SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
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joffemd2
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Posts: 9
Joined: April 14th, 2012, 9:46 pm

Open Source Sovereign Risk Model

April 18th, 2012, 8:27 pm

I am releasing the first version of an open source sovereign/sub-sovereign risk framework next month. It uses a Monte Carlo budget simulation to estimate default probabilities. I'm sure that participants in this forum could improve upon the initial version considerably. Perhaps, if there is interest, it could be added to or somehow associated with Wilmott's QFCL. I welcome any ideas for collaboration.A Windows/Excel pre-release version is available at: http://www.publicsectorcredit.org/pscf.htmlBlog posts making the case for this tool can be found at:http://expectedloss.blogspot.com/2012/0 ... hanks,Marc
 
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Cuchulainn
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Joined: July 16th, 2004, 7:38 am
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Open Source Sovereign Risk Model

April 22nd, 2012, 5:34 am

Hi,Welcome to qfcl.I downloaded the beta version. I think that automagic .msi setup in the case of Windows is a very good idea.I was wondering if the following is possible:1. Instead of Windows/PSCF an option to choose your own directory.2. Automatic (y/n switch) icon on desktop.3. I could not find \Documents\PSCF\sample.xlsmDo you have any further docs on the stochastic model itself, the design of your product, Boost interop etc.? This would be useful for integration with other packages.What is important is the whole issue of Excel and its interop. I see you have an .xla file; do you use ATL or whatever?Thanks
Last edited by Cuchulainn on April 21st, 2012, 10:00 pm, edited 1 time in total.
 
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joffemd2
Topic Author
Posts: 9
Joined: April 14th, 2012, 9:46 pm

Open Source Sovereign Risk Model

April 23rd, 2012, 3:30 pm

CuchulainnThanks for your interest.We do not use ATL. The system runs the C processing stages as separate processes, via a shell interface. This is not inefficient, as there are few invocations, and the overhead head of such a scheme is proportionally minimal. The architecture also provides a good degree of protection for Excel, should the external program fail: such failures won?t crash Excel.There?s also the portability aspect: COM is a Windows thing, whereas the C-code is potentially useable with many OSs. Early in the project, we had developed a command line interface (using delimited files instead of Excel tabs) that could work in Linux. Once the source is released, I am hoping that we can refresh and extend that aspect of the project.One frustration for me was lack of easy Mac compatibility. Because we used Excel and ANSI C, I thought this wouldn't be a problem, but because the system performs a background compile and link, it becomes necessary for the Mac user to have XCode. This seriously increases the complexity of the installation. Regards,Marc
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