I'm agnostic. Lately we have been moving (in practice, if not in
releases from his. I'm not against using the same repo, but it doesn't
So I'm bailing out. No vote either way :)
On Fri, Oct 17, 2014 at 3:03 PM, Ferdinando M. Ametrano
> I vote for separate project in the same repository, as for ObjectHandler
> among the others
>
> On Fri, Oct 17, 2014 at 1:02 PM, Peter Caspers <
[hidden email]>
> wrote:
>>
>> Hi Luigi,
>>
>> alright. That would mean a separate project on the level QuantLib,
>> QuantLibAddinn QuantLib-SWIG etc. ? Or a separate repository ?
>>
>> Thanks
>> Peter
>>
>> On 17 October 2014 12:00, Luigi Ballabio <
[hidden email]> wrote:
>> > Hi Peter,
>> > apologies for the delay. Personally, I feel that it would be
>> > useful but as a separate module.
>> >
>> > Later,
>> > Luigi
>> >
>> >
>> > On Fri, Oct 3, 2014 at 8:31 PM, Peter Caspers <
[hidden email]>
>> > wrote:
>> >> 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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>> >
>> > --
>> > <
https://implementingquantlib.blogspot.com>
>> > <
https://twitter.com/lballabio>
>>
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