Hi Scott
welcome 'on board'
> Please let me know how I can become involved
I have a suggestion.
The InterestRateIndex::fixing method uses Index(TimeSeries)Manager to
look for historical fixings. The time series must have been provided
before in order to avoid a "missing fixing" run time exception. In my
current Excel environment this is the operational weakest point.
It would be nice to provide some SourceManager hook before the
exception for run-time queries to an ordered list of sources (DB,
Reuters, Bloomberg) in order to try to get the fixing from the sources
and extend the time series
Of course the hook should be elegant enough to factor all custom
settings, transcodings, configurations, etc in some easy to extend C++
code or XLM config file. QuantLib might ship with an empty code stub
and/or provide examples for Reuters / Bloomberg, SQLite, generic SQL
query, OTL
Even a SQLite refactoring of Index(TimeSeries)Manager would be interesting...
ciao -- Nando
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