Posted by
Keith Wood on
URL: http://quantlib.414.s1.nabble.com/Adding-a-data-store-tp9251p9256.html
So a simple vanilla swap is where I pay fixed and receive floating.
I can save most of that, applications such as Summit, Murex, Calypso and
so on do this all the time.
If I initiate this swap today, then for a 3M Euro-Euribor swap, in about
88 days time I will stop guessing what the floating rate is for the 2nd
payment and FIX it with the prevailing market rate. This might change
the NPV of the swap.
I could create a portfolio of derivative instruments and then look at
the effects of changes in market rates on the valuation of those
instruments over time.
I can accept that holidays are based on a rule. Calendar-Week-1 is the
Week where the first Thursday is a January.
I am not sure how you would do the Easter thing, but I accept that there
is a rule for this somewhere.
Whilst it is nice to know when the Eurex people stay at home, there are
also religious holidays for the individual states in Germany.
I accept that you can do rules for all of these, and that so far nobody
was interested in when Christi did the himmelfart thing from a Bavarian
viewpoint.
The daycount stuff is rather trivial for a quant-type (no offence) but
there are a bunch of people who still ask what the convention is for MM,
Bond, Repo and Swaps in EUR. A trivial collection of tables but it saves
me from having to remember, when I can go and do a select. (See it is
even trivial for a non-quant-type)
I am looking at a reversed view of this.
I already have a large data warehouse that contains all of the trades
and positions, now I want to apply the QuantLib functions on those
instruments. I can fetch stuff into the arrays and structures and then
do the kinky valuation thing. I might want to do this on a regular basis
and then also store the result set back in the warehouse.
I have a very specific interest. I am working on a data warehouse that
allows me to store the ticks and quotes from more than one exchange
based platform. If I have all, and I mean all of the ticks and quotes
from the various different exchanges where they trade Daimler-Chrysler I
can do some interesting things when it comes to calculated volatility.
Currently, quite a lot of the tick-by-tick stuff is hidden away in what
people call "Dark Liquidity". MiFID will change that here in Europe.
suddenly the Tick & Quote information from OTC and internal trades will
be published. A lot of people who currently calculate risk on the basis
of High/Low/Open/Close will have access to much more granular
information. I have a standard SQL based means to collect and store that
information in and efficient manner that will also allow you to read
from the tick-pool in near real-time (<10ms). Having this in a big
bucket is a nice idea, it would be nice if there was an "open"
collection of financial analysis tools that allowed people to access and
analyse this information.
I have a data schema that allows me to collect lots of interesting
information about business entities.
I have a data schema that allows me to collect lots of interesting
information about financial instruments.
The business entity stuff is a collection of Citibank, BarCap, RBOS,
HBOS data that has been scrubbed and reconciled.
The instrument stuff is based on the internal instrument definitions
used by Eurex, Xetra, Xontra and Clearstream.
I have a feed handler and subscription that ensures that this is updated.
I am working on a Tick&Quote data model that allows me to collect data
from most of the recognised electronic platforms in the world.
Rather than trying to read 400000 ticks for the Bund-Future from a file,
I plan to be able to get this from a table.
I currently have some test data for 1-day that has 10,823,981 ticks in
it. (it was a quite day)
I also have all of Eurex for 30-days.
Whilst I accept that there are not that many
ContinuousFloatingLookbackOptions in there, doing Monte Carlo and
Stochastic stuff to this might be interesting for some people.
The nice people at Sybase like that I have done all of this using their
product line.
It is loosely based on their RAP product line where they have Sybase-IQ
as the VLDB time series database and an in-memory version of the regular
Sybase-ASE data server for the relational stuff.
They are sufficiently impressed and have asked me what else they could
do to assist in further enhancing this basic platform.
I figured that putting some element of persistence around QuantLib
would be nice, as this would add an open source collection of accepted
and approved financial math to the picture.
I have not yet mentioned QuantLib to them yet, as I wanted to get some
idea for what the QuantLib people thought about this.
Sybase is a big commercial data vendor that has a previous history of
being nice to the open world.
Hopefully I did not get too arrogant in all of the above, or make any
assumptions that I should not have done.
equally as hopefully, you can let me know what you think about what
might at first seem like a wacky idea.
Regards
Keith
Luigi Ballabio wrote:
>
> On Mar 13, 2007, at 7:58 PM, Keith Wood wrote:
>> My suggestion had to do with the design and implementation of a data
>> schema that would enable people who use QuantLib to store stuff in
>> tables in a relational database. All of the holiday stuff belongs in a
>> table. All of the day count convention could usefully be stored in a
>> collection of tables.
>
> I'm not sure that I follow here. I can see that the definition of,
> say, an equity option (exercise date, strike...) can be stored in a
> table. A calendar I might see---even though our calendars are not a
> collection of holidays, but rather a collection of rules such as "the
> third Monday in September" or "May 1st unless it's a Sunday, in which
> case the following Monday is a holiday instead". But a day-count
> convention is basically an algorithm. I might just have misinterpreted
> you, but how are you going to store them?
>
> Later,
> Luigi
>
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