Posted by
Toyin Akin on
URL: http://quantlib.414.s1.nabble.com/FpML-support-in-QuantLib-tp565p568.html
Hi,
Okay, if full FpML compliance is needed, you could check out
www.liquid-technologies.com
They provide a toolkit that can turn a FpML document schema into c++, java
or .NET classes.
In fact it turns any XSD into c++, java or .NET classes.
I have used it and it works wonderfully.
You can actually use it to generate FpML classes, package this as a library
and then write interface code that will map between QuantLib and FpML (in
time of course).
The library that is generated is freely distributed. (I'm not too sure if
the source itself is freely distributed).
The genrated FpML library will contain hundreds of classes thus you will
need a FpML domain expert in order to do the mapping.
I actaully helped beta test the toolkit a couple of years ago and today it's
used by a number of top banks.
I think it's the cheapest solution compared to a lot of the competition I
played with. It also generates beautiful code. XSD enumerators are mapped to
enums. XSD patterns and restrictions are validated also in code.
The only other issue is that although you may have a schema that is valid
(according to the XSD), you can still package a deal that does not make
sense financially, thus there is yet another layer on top of the XSD that
trys to capture invalid trade structures within a FpML file (swapswire is
one such company that is looking into this). This is part of the validation
commitee within FpML and I do believe that they have published serveral
rules with examples.
This is certainly needed in the case of accepting a FpML document and trying
to price a deal in which internally, does not make financial sense. (ie -
accepting a FpML swaption document where the underlying swap has 0, 1 or
more than 2 cashflow legs!!).
Best Regards,
Toyin Akin,
CapeTools QuantTools
www.QuantTools.com
>From: "Ferdinando Ametrano" <
[hidden email]>
>To:
[hidden email]
>CC:
[hidden email], "Toyin Akin"
><
[hidden email]>
>Subject: Re: [Quantlib-users] FpML support in QuantLib
>Date: Tue, 30 Jan 2007 12:39:28 +0100
>
>Hi Patrick,
>
>I think you're on the right track, or at least the track I would love
>and support :-)
>
>On 1/30/07, Toyin Akin <
[hidden email]> wrote:
>>The question is what do you want to use FpML for?
>>
>>Is it to simply read a FpML contract and price it in QuantLib?
>>Give QuantLib the ability to read and write FpML documents?
>for me the goal should be the latter
>
>>Again, the latter question would be hard to fulfill simply because you are
>>assuming that QuantLib (or any other financial library) is FpML compliant
>>(ie - every aspect of FpML can be mapped to the library's classes or
>>series
>>of classes).
>I think that FpML compliance should be a must, and I'm personally
>willing to support any development in this direction.
>
>I look forward to your QuEP
>
>ciao -- Nando
>
>PS and let me add that any name AT mises.com immediately gets my
>wholehearted sympathy :-)
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