Re: Quantlib, OH, QuantlibAddin environment variables.

Posted by Joe Byers-2 on
URL: http://quantlib.414.s1.nabble.com/Java-wrapper-test-program-using-Eclipse-3-1-1-tp4555p4564.html

Eric,

I think fleshing it out a bit more is a good Idea.  I think it requires a global objective for WHY this would be beneficial for an individual or firm.  Also, an initial pass at a list of DB's for the functions is needed. 

I am in the rough start up phase of working on a proposal with two professors here at the Univeristy of Tulsa on a database schema for the financial industry that is Sarbanes Oxley compliant with audit trails.  This schema will have a design for data warehousing of finanical security prices and derivative prices.  I also want it to have the ability to hold the paramters for pricing the derivatives.  That is the arguments quantlib functions needs.  This way one can have a database of their positions or in prices for a research project.  The default or modified arguments are saved and the portfolio can be revalued or research conducted easily on a few or several thousand derivative instruments.

This ability to value a portfolio of derivative instruments inside a DB is what I see as the objective for this project.    Individuals, researcher, and companies could benefit applicable to front, mid, and back office operations.

Let me know where this needs to go from here.

Have a good day.

Joe




eric ehlers <[hidden email]> wrote:

Hi Joe,

> I can install the *.lib files anywhere then as long as they are on my
> path.

The *.lib files aren't installed whatsoever. When QLA is compiled,
the location of the QL/OH *.lib files is indicated by
QL_DIR/OBJECT_HANDLER_DIR. At run time the *.lib files aren't
referred to at all. The only thing that needs to be installed to your
PATH is the log4cxx DLL though as mentioned this requirement
disappears with version 0.3.12 which I hope to release this evening.

> The OpenOffice is not going well. I was trying to compile it at my
> university office and had all kinds of trouble with the OO programs that set
> it up. I had to give up and go teach that evening:). I will work on it
> some more next week. I am interested in cross compatibility and portability
> across OS's. I hate reinventing the wheel when a prototype program needs to
> be moved to a Linux or other server.

Sorry to hear that you're having trouble installing OO, but it's
understandable as the build process is long and cryptic. Don't
hesitate to give me a shout if you need help.

> I still use the old QuantlibXL and will continue for a while.
> 1. The risk management / stat / math functions are not in QuantlibADDIN. I
> really liked those.
> 2. The Greeks are available for the options in QuantlibXL not in
> QuantlibADDIN

I'll have a look at the feasibility of porting that functionality to
QLA - at first glance it seems straightforward.

> 3. QuantlibADDin is quite complicated and requires a well rounded
> understanding of Quantlib. QuantlibXL does not. Simplicity is a plus for
> teaching and consulting.

Absolutely. Inherent in the QLA design is a requirement that the user
be familiar with the QL object model, which makes for a steeper
learning curve.

> I use Espen G. Haug's "The Complete Guide to Option Pricing" where I created
> and xl addin from the disk with the book for teaching basic option theory,
> pricing, and trading. This book is a simple and clear presentation of
> option formulas and examples. No Theory, which the student appreciate. But
> I would like a more production oriented software for larger projects. I
> think Quantlib will do that. I compare Quantlib to FEA (www.fea.com),
> TechHackers, and a couple of others. I think that many of the quantlib
> functions could be loaded into a database system like ORacle or MYSQL if the
> User Defined Function wrapper for the DB to Quantlib. This would be an
> interesting project to see started.

The DB idea sounds interesting. If you like, as an initial step we
could flesh it out a bit further and document it in the "Proposed
Enhancements" section of the QLA design doc:
http://quantlib.org/quantlibaddin/design.html#sec_5

> Again, thanx for you help

With pleasure, and thanks for your feedback.

Regards,
Eric

A man is not the center of his universe, rather those he loves are. So his focus should always be on them for they will provide him with love and happiness all of his life - Anonymous

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