Posted by
Peter Caspers-4 on
Oct 03, 2014; 6:31pm
URL: http://quantlib.414.s1.nabble.com/MDRS-Support-tp15934.html
Hi,
I am wondering if we want support classes in the core library to
interface commercial systems' market data and termstructures.
Specifically I am thinking about Murex which has a standardized XML
interface to export and import virtually all kind of market data
across all market data sets in its financial database.
The first step would be a class that represents the contents of such a
file and providing easy access to its market data points (in a more
user friendly way than a "stupid" general XML parser could do). To
keep the dependencies simple, I'd rely on RapidXML as the XML parser
for this part.
A second layer built on that would provide functionality to create
quantlib termstructures populated with that market data, based on meta
data (instruments in a curve, their conventions etc.) provided in
additional specification files (where parts of the necessary meta data
is even available in the Mx export and could - optionally - taken from
there). The other direction - create a MDRS file based on quantlib
termstructure objects that can be uploaded to Murex - can also be
interesting for certain applications.
All that should be done on an abstract level with specific
implementations for different source systems, of which one beneath
Murex MDRS could also be a simple "quantlib-proprietary" one, which
would allow to share reference / test market data and meta data for
associated concrete termstructure objects.
I am quite sure that this is both doable and useful (because I have
done parts of it and use it in my daily work). However it is some work
to set up the framework in a clean way and maintain it, for several
MDRS versions (some details sometimes change from release to release,
but the general structure seems stable).
So my questions are
- does that belong into the core library, like under ql / io / ... (
well, for a start under ql / experimental / io / ... ;-) )
- anyone else that would be interested in that functionality and maybe
willing to contribute to such a development ?
- maybe other systems that could be of interest (maybe the MarkIt CDS
market data files ?)
Thanks a lot
Peter
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