Re: FpML

Posted by eric ehlers on
URL: http://quantlib.414.s1.nabble.com/FpML-tp10694p10709.html

Hi David

>> 4) QuantLibAddin will use QuantLib-FpML to instantiate a
>> QuantLib::TermSheet from a FpML file and then use it to instantiate a
>> QuantLib::Instrument

> So, QuantLib-FpML has not been written?  

Correct.

> I was under the impression
> that Excel and OpenOffice Spreadsheet already have a semi-stable
> QuantLibAddIn.  How are these currently working?  
> Would these need
> changing once QuantLib-FpML has been sorted out?  I'm assuming, yes,
> QuantLibAddIn will need modification to output FpML.  When everything
> is working, this FpML would be parsed and finally an instrument would
> be created; calculation ouput would be returned.

You seem to be thinking in terms of QuantLibAddin and QuantLib
exclusively speaking FpML to each other in some kind of client-server
or peer-to-peer relationship.  In the simplest case QuantLib is
statically linked into QuantLibAddin to create, say, a single xll
binary which is loaded into Excel.  QuantLibAddin invokes QuantLib's
native C++ interface and objects are constructed directly from native
datatypes (captured by spreadsheet formulas).

The existing framework will be extended to additionally support FpML.
So in addition to being able to construct objects from literal inputs,
you will alternatively be able to type into the spreadsheet something
like

QL_OBJECT_LOAD("path/to/object_definition.xml")

As Nando says this uses QuantLib-FpML to construct the TermSheet
object from the file, and the TermSheet object is then passed as an
input to the constructor of the corresponding QuantLib class, which is
instantiated as an object on the spreadsheet.

> Peace,
> DB

Harmony,
Eric