Forgot this thread, seems useful a lot of work and a way to *leverage* (uh, sorry) the library.
Is it possible to have QL talk FPML only and have translation modules in between? I am not sure they cover equivalent problems/data items; Like, an instrument position, and engine, or a data set. Or it would be dealing only with data?
> I'm agnostic. Lately we have been moving (in practice, if not in
> explicit purpose) towards separating the modules: I've been making
> releases from my clone of the repository and Eric has been making
> releases from his. I'm not against using the same repo, but it
> doesn't
> give anything more than what you get from different repos (other than
> the convenience of cloning just once, and that can be seen as the
> *in*convenience of having to clone everything).
>
> So I'm bailing out. No vote either way :)
>
>
> On Fri, Oct 17, 2014 at 3:03 PM, Ferdinando M. Ametrano
> <
[hidden email]> wrote:
> > 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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