QLDDS - Data Distribution Service for QuantLib

QLDDS is an open source project that simplifies the use of QuantLib in the distributed environment via OpenDDS. Using QLDDS, the functionality of the QuantLibAddin/C++ interface may be distributed across multiple computers running different operating systems, in real-time. This distribution is accomplished by publishing and subscribing to DDS data type messages that trigger corresponding QuantLibAddin calls with the received data.

Content

QLDDS package includes OMG IDL data types and corresponding DataReaders autogenerated from QuantLibAddin for C++. It includes examples and convenience classes that simplify interaction between OpenDDS, CORBA and QuantLibAddin

Middleware - Data Distribution Service

QLDDS utilizes OpenDDS as a data distribution middleware. OpenDDS is an open source implementation of the OMG Data Distribution Services for Real-Time System specification. Please review OpenDDS Developers Guide to get familiar with the basic DDS concepts before continuing with this document. http://download.ociweb.com/OpenDDS/OpenDDS-latest.pdf

Overview

QLDDS contains converted IDL data types and corresponding data readers from the QuantLibAddin/C++ function definitions. Data samples from converted IDL data types are published to subscribed data readers via DDS topics. Once data samples are received, they are converted into QuantLibAddin objects by invoking corresponding QuantLibAddin/C++ calls. IDL data types and data readers are auto-generated and are located in $QLDDS_ROOT/Addins/OpenDDS

Dependencies

Project	Version
OpenDDS	3.22
QuantLib	1.22
ObjectHandler/GenSrc/QuantLibAddinCpp	1.22

All QuantLib dependencies need to be configured, compiled and installed(make install). OpenDDS needs to be configured and compiled prior to building QLDDS.

Data Types

OpenDDS data types are defined using IDL (see Defining the Data Types in OpenDDS Developer Guide) The auto generated IDL data types are located in $QLDDS_ROOT/Addins/OpenDDS

Example of qlSwapRateHelper2 Data Type from ratehelpers.idl:

#pragma DCPS_DATA_TYPE "ratehelpers::qlSwapRateHelper2"
#pragma DCPS_DATA_KEY "ratehelpers::qlSwapRateHelper2 instanceID"

struct qlSwapRateHelper2 {
   string instanceID;
   string ObjectId;
   double Rate;
   string Tenor;
   string Calendar;
   string FixedLegFrequency;
   string FixedLegConvention;
   string FixedLegDayCounter;
   string IborIndex;
   double Spread;
   string ForwardStart;
   string DiscountingCurve;
   boolean Permanent;
   boolean Trigger;
  boolean Overwrite;
};

OpenDDS provides a compiler that generates the code to marshal and demarshal idl messages, as well as type support code for data readers and writers (see Processing the IDL in OpenDDS Developers Guide)

Example of using generated C++ code for qlSwapRateHelper2:

ratehelpers::qlSwapRateHelper2 swap_rate_helper2;

swap_rate_helper2.ObjectId = CORBA::string_dup(“IRS_10Y”);
swap_rate_helper2.Rate = 0.03165;
swap_rate_helper2.Tenor = CORBA::string_dup(“10Y”);
swap_rate_helper2.Calendar = CORBA::string_dup("TARGET");
swap_rate_helper2.FixedLegFrequency = CORBA::string_dup("Annual");
swap_rate_helper2.FixedLegConvention=CORBA::string_dup("Unadjusted");
swap_rate_helper2.FixedLegDayCounter = CORBA::string_dup("30/360");
swap_rate_helper2.IborIndex = CORBA::string_dup("Libor");
swap_rate_helper2.ForwardStart = CORBA::string_dup("0D");
swap_rate_helper2.Spread = 0.0;
swap_rate_helper2.Overwrite = true;

Default Data Readers

Default Data Readers are derived from qldds::DataReaderListener. qldds::DataReaderListener is an abstract class defined in DataReaderListener.hpp, located in $QLDDS_ROOT/qldds_utils. qldds::DataReaderListener is derived from DDS::DataReaderListener and has a number of additional pure virtual functions that will be called during data reading. These calls include reading start, reading end, pre and post QuantLibAddin function calls, as well as calls during exceptions

Default DataReaders are autogenerated from QuantLibAddin/C++ XML function definitions using qldds_gensrc.py. Default Data Readers are included in the package and are located at $QLDDS_ROOT/Addins/OpenDDS. Below is an incomplete class declaration of a default data reader for qlSwapRateHelper2 data type. The complete class declaration can be found in $QLDDS_ROOT/Addins/OpenDDS/ratehelpersDataReaderListenerI mpl.hpp

class qlSwapRateHelper2DataReaderListenerImpl : public virtual OpenDDS::DCPS::LocalObject
<qldds::DataReaderListener< ratehelpers::qlSwapRateHelper2, std::string > >;

Note that qldds::DataReaderListener takes two template parameters. First parameter indicates QLDDS datatype which is ratehelpers::qlSwapRateHelper2 in case of qlSwapRateHelper2DataReaderListenerImpl. Second parameter indicates the type returned by a particular QuantLibAddin call which is a std::string returned by QuantLibAddinCpp::qlSwapRateHelper2 in this case. A reference to an instance of an object of the first template parameter is being passed to pre_quantlib_addin_call and post_quantlib_addin_call. A reference to an instance of an object of the second template parameter is being passed to post_quantlib_addin_call. Below is a snapshot of an autogenerated code of on_data_available for qlSwapRateHelper2DataReaderListenerImpl. Complete declaration can be found in $QLDDS_ROOT/Addins/OpenDDS/ ratehelpersDataReaderListenerImpl.cpp

ratehelpers::qlSwapRateHelper2 obj;
DDS::SampleInfo si ;
DDS::ReturnCode_t status = obj_dr->take_next_sample(obj, si) ;

if ( status == DDS::RETCODE_OK && si.valid_data == true )
{
   if ( si.valid_data == true )
   {
      ++count;
      if ( pre_quantlib_addin_call( reader, si, obj ) )
      {
         std::string returnObject;;

         try {
             ACE_Guard<ACE_Mutex> guard( get_ACE_Mutex() );

             returnObject = QuantLibAddinCpp::qlSwapRateHelper2 (
                            obj.ObjectId.in(),
                            obj.Rate ,
                            obj.Tenor.in(),
                            obj.Calendar.in(),
                            obj.FixedLegFrequency.in(),
                            obj.FixedLegConvention.in(),
                            obj.FixedLegDayCounter.in(),
                            obj.IborIndex.in(),
                            obj.Spread ,
                            obj.ForwardStart.in(),
                            obj.DiscountingCurve.in(),
                            static_cast<bool>(obj.Permanent),
                            obj.Trigger,
                            static_cast<bool>(obj.Overwrite) );
           } catch ( std::exception& e )
           {
                on_std_exception( reader, obj, e );
                continue;
           }

           if ( !post_quantlib_addin_call( reader, obj, returnObject ) )
              break;
      }
}

Threading

OpenDDS creates a separate thread to handle transport I/O events(see Threading in OpenDDS Developers Guide). Since QuantLib, ObjectHandler and QuantLibAddin for C++ are not thread safe libraries, all calls to these components must be synchronized when called from different threads. Constructors of Default Data Readers accept a reference to an ACE_Mutex object that will be locked before making a QuantLibAddin for C++ call and released after the call is complete.

BasicDomainParticipant

BasicDomainParticipant is a class that provides convenience functions to create publishers, subscribers, thread safe default data readers and data writers. This class is essentially a wrapper around DDS API. BasicDomainParticipant can be found in $QLDDS_ROOT/qldds_utils/BasicDomainParticipant.hpp Example of a publisher for ratehelpers::SwapRateHelper2 :

DDS::DomainParticipantFactory_var dpf =
DDS::DomainParticipantFactory::_nil();
DDS::DomainParticipant_var participant =
DDS::DomainParticipant::_nil();

dpf = TheParticipantFactoryWithArgs(argc, argv);
qldds_utils::BasicDomainParticipant participant( dpf, IRS_DOMAIN_ID );

participant.createPublisher();

DDS::Topic_var swap_rate_helper2_topic =
         participant.createTopicAndRegisterType
        < ratehelpers::qlSwapRateHelper2TypeSupport_var,
         ratehelpers::qlSwapRateHelper2TypeSupportImpl >
        ( SWAP_RATE_HELPER2_TOPIC_NAME );

ratehelpers::qlSwapRateHelper2DataWriter_var swap_rate_helper2_dw =
         participant.createDataWriter
         < ratehelpers::qlSwapRateHelper2DataWriter_var,
         ratehelpers::qlSwapRateHelper2DataWriter >
         ( swap_rate_helper2_topic );

ratehelpers::qlSwapRateHelper2 swap_rate_helper2;

DDS::InstanceHandle_t swap_rate_helper2_instance = swap_rate_helper2_dw->register_instance( swap_rate_helper2 );

swap_rate_helper2.ObjectId = CORBA::string_dup(“IRS_10Y”);
swap_rate_helper2.Rate = 0.03165;
swap_rate_helper2.Tenor = CORBA::string_dup(“10Y”);
swap_rate_helper2.Calendar = CORBA::string_dup("TARGET");
swap_rate_helper2.FixedLegFrequency = CORBA::string_dup("Annual");
swap_rate_helper2.FixedLegConvention=CORBA::string_dup("Unadjusted");
swap_rate_helper2.FixedLegDayCounter = CORBA::string_dup("30/360");
swap_rate_helper2.IborIndex = CORBA::string_dup("Libor");
swap_rate_helper2.ForwardStart = CORBA::string_dup("0D");
swap_rate_helper2.Spread = 0.0;
swap_rate_helper2.Overwrite = true;

int ret = swap_rate_helper2_dw->write( swap_rate_helper2, swap_rate_helper2_instance );
if (ret != DDS::RETCODE_OK) {
    ACE_ERROR ((LM_ERROR, ACE_TEXT("(%P|%t) ERROR: Swap write returned %d.\n"), ret));
}

Example of subscriber for ratehelpers::SwapRateHelper2 with a default DataReader:

DDS::DomainParticipantFactory_var dpf = DDS::DomainParticipantFactory::_nil();
DDS::DomainParticipant_var participant = DDS::DomainParticipant::_nil();
QuantLibAddinCpp::initializeAddin();

QuantLib::Calendar calendar = QuantLib::TARGET();
QuantLib::Date settlementDate(22, QuantLib::September, 2004);
settlementDate = calendar.adjust(settlementDate);

dpf = TheParticipantFactoryWithArgs(argc, argv);
qldds_utils::BasicDomainParticipant irs_participant( dpf, IRS_DOMAIN_ID );

irs_participant.createSubscriber();
QuantLibAddinCpp::qlLibor("Libor", "USD", "6M", "", false, false, true);
DDS::Topic_var swap_rate_helper2_topic = irs_participant.createTopicAndRegisterType
        < ratehelpers::qlSwapRateHelper2TypeSupport_var, ratehelpers::qlSwapRateHelper2TypeSupportImpl >
        ( SWAP_RATE_HELPER2_TOPIC_NAME );

// This lock synchronizes QuantLib calls
ACE_Mutex qldds_lock;
irs_participant.createDataReaderListener<ratehelpers::qlSwapRateHelper2DataReaderListenerImpl>
        ( qldds_lock, swap_rate_helper2_topic );

Configuring and Building QLDDS

QLDDS can be configured using configure.py located in the root directory of the package. This script creates an environment file with all the necessary variables for this package. Usage: Unix (Assuming all dependences were installed under $HOME):

$ python configure.py --dds_dir=$HOME/DDS --boost_dir=$HOME --quantlib_dir=$HOME --oh_dir=$HOME --qladdin_dir=$HOME

Upon the successful execution of the configuration script the following file with environment variables will be created in the root directory of the package: Unix - qldds_env.sh This file should be sourced before building other components of the package.

AutoGeneration of DataTypes and DataReaders

$QLDDS_HOME/gensrc/qldds_gensrc.py is a script that converts QuantLibAddin for C++ XML function definitions to IDL and creates default implementation of DataReaders for converted types. This script requires locations of source directories of ObjectHander, GenSrc and QuantLibAddin that can be passed as command arguments

$ python qldds_gensrc.py --oh_dir=$HOME/ObjectHandler-1.12.0 --gensrc_dir=$HOME/gensrc-1.12.0
     --qladdin_dir=$HOME/QuantLibAddin-1.12.0

Examples:

Interest Rate Swaps

Scenario:

InstrumentDataPublisher publishes interest rate swap contract information. MarketDataPublisher publishes components of swap curves that include Deposits, FRAs and Swaps. Two calculators subscribe to swap contract information and market data, reprice received swaps against the latest market data and republish priced portfolio of swaps to clients. (Fig 3.0) (Fig 3.0)

InstrumentPublishesher continuously publishes contract information to IRScalculators. Swap contract information consists of schedule::qlSchedule and vanillaswap::qlVanillaSwap QLDDS data types. Upon publishing each of the samples of a given data type, publisher waits for an acknowledgement from each of the subscribers/IRSCalculators.

Market Data Publisher continuously publishes updates on the instrument components of a swap curve that include samples of ratehelpers::qlDepositRateHelper2, ratehelpers::qlFraRateHelper2 and ratehelpers::qlSwapRateHelper2 QLDDS data types.

IRSCalculators subscribe to all listed above data types, once per second, reprice all swaps against the latest market data with specified in command line curve. Priced interest rate swaps are subsequently published in form of a portfolio to three clients.

Curves :

Calculator A	Calculator B
Deposit/1M	Deposit/1M
Deposit/3M	Deposit/3M
FRA/6M9	Deposit/6M
FRA/6M12	Deposit/1Y
Swap/2Y	Swap/2Y
Swap/5Y	Swap/5Y
Swap/10Y	Swap/10Y
Swap/15Y	Swap/15Y
Swap/50Y	Swap/50Y

Clients subscribe to priced swap portfolio data and display portfolio NPVs on the screen.

Topics:

Topic Name	Topic Type	Source	Destination
SCHEDULE_TOPIC	schedule::qlSchedule	InstrumentDataPublisher	IRSCalculator
VANILLA_SWAP_TOPIC	vanillaswap::qlVanillaSwap	InstrumentDataPublisher	IRSCalculator
DEPOSIT_RATE_HELPER2_TOPIC	ratehelpers::qlDepositRateHelper2	MarketDataPublisher	IRSCalculator
FRA_RATE_HELPER2_TOPIC	ratehelpers::qlFraRateHelper2	MarketDataPublisher	IRSCalculator
SWAP_RATE_HELPER2_TOPIC	ratehelpers::qlSwapRateHelper2	MarketDataPublisher	IRSCalculator
IRS_PORTFOLIO_TOPIC	IRS::Portfolio	IRSCalculator	Client

Configuring and Compiling:

$ $ACE_ROOT/bin/mwc.pl -type gnuace InterestRateSwaps.mwc
$ make

start script:

$ ./run_test.pl

Swaptions

Scenario:

MarketDataPublisher continuously publishes updates on swaption vol surface and market data components of the underlying swap curve. Curve components consist of Deposits, FRAs and SwapRates. Two Swaption calculators consume volatility and curve data. Client continuously publishing requests to compute NPV on swaptions with various expirations and underlying swap maturities. Calculators consume pricing requests, compute NPVs, break even rates, and publish results back to the client. Client displays results along with the name of the calculator that replied first.

Configuring and Compiling:

$ $ACE_ROOT/bin/mwc.pl -type gnuace Swaptions.mwc
$ make

Equity Options

Scenario:

DataPublisher publishes indicative and market data information for 20 put and call strikes for three stock tickers. Three calculators(EquityOptionServers) subscribe to indicative and market data for a given stock ticker. They compute NPVs and Greeks on puts and calls of received strikes and publish results to clients. Two clients receive data published by 3 calculators and display the results. (See Fig 5.0) This example also demonstrates the multi-topic subscription feature of OpenDDS by having sequences of BlackContantVols, GeneralizedBlackScholesProcesses, StickedTypePayoffs and EuropeanExcercises published by the DataPublisher and joined on the ticker by the EquityOptionServer.

Configuring and Compiling:

$ $ACE_ROOT/bin/mwc.pl -type gnuace EquityOptions.mwc
$ make

Curve Builder - Java Client

Scenario:

Java client publishes curve components, market data and to be priced curve tenors to CurvePricer. CurvePricer constructs yield curve from received components, calculates rates for provided tenors and publishes back results. Java Client displays calculated rates on the screen.

Configuring and Compiling

$ cd $QLDDS_ROOT/java
$ $ACE_ROOT/bin/mwc.pl -type gnuace
$ make

Start Script:

$ cd Examples/CurveBuilder
$ ./run_test.sh

mkipnis/qldds

QLDDS - Data Distribution Service for QuantLib

Content

Middleware - Data Distribution Service

Overview

Dependencies

Data Types

Default Data Readers

Threading

BasicDomainParticipant

Example of subscriber for ratehelpers::SwapRateHelper2 with a default DataReader:

Configuring and Building QLDDS

AutoGeneration of DataTypes and DataReaders

Examples:

Interest Rate Swaps

Scenario:

Curves :

Topics:

Configuring and Compiling:

start script:

Swaptions

Scenario:

Configuring and Compiling:

Equity Options

Scenario:

Configuring and Compiling:

Curve Builder - Java Client

Scenario:

Configuring and Compiling

Start Script: