apologies for the delay. Personally, I feel that it would be
> 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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