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Bridging FpML and QuantLib

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 Sunday, September 28, 2008
Bridging FpML and QuantLib
Sunday, September 28, 2008 7:53:55 PM (台北標準時間, UTC+08:00) ( .NET Programming | Quant's Life )
I am tring to make FpML and QuantLib working together. I use a plain vanilla swap sample of FpML and convert it to VanillaSwap class of QuantLib. The experiment is successful and I can read an FpML document of vanilla swap and pricing it using QuantLib. I will put the workable version of ASP.NET on my site after I maintain a database of historical price of interest rate index, ie LIBOR, Euribor, and Tainwanese indexes.

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