Registered by Maurice Maneschi

The DataScopeRateFeed is a Windows based Python application that captures rates from Reuters Datascope Select and builds them into into curves suitable for entry into Quantum and Risk. Supported curves include FX, commodities, interest rates (including ratesetting rates), option volatilities and securities.

I created this product to capture and manage rate curves for Oakvale Capital. It was highly successful. Unfortunately, the company was not, and when it was closed, the administrators granted me the use of the scripts I had written. This application will run as is in a SunGard AvantGard Quantum implementation, but you should budget a week to get the configuration files right. However, I expect this might be a very useful starting point for anyone using the Thomson Reuters' DataScope Select product.

The application is written in Python v3 and is designed to run under Windows. (I have run the capture program, DataScopeRateFeed.pyw, under Linux, so Windows is only required if you wish to feed the rates into a Treasury system vis a DCOM library, such as the one packaged with AvantGard Quantum and AvantGard Risk.) It uses Tkinter for the UI, SQLite for internal data management, FTP to download rates, Excel for a manual rates (used for rates no available in DataScope Select), INI files for configuration, Python for inline scripting and jQuery/backbone.js/underscore.js/RPC for a intranet based dashboard.

The application comprises
1. DataScopeRateFeed - stand alone application that captures rates into a pool database and builds them into curves n the curves database.
2. QuantumRateFeed - stand alone application that writes live and end of day curves in to AvantGard Quantum using the published DCOM library
3. RiskRateFeed - stand alone application that manages the general replication of rates from AvantGard Quantum to AvantGard Risk and handles the special cases.
4. ExportUtility - stand alone application that exports rate curves showing how the curves were built. It also manages the inline documentation. It has an batch mode that allows daily rate snaps to be archived for reference purposes.

Let me know if you find this application useful. If I am free, I am happy to quote on enhancements. However, anyone with decent Python skills should have no problem modifying the code.

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Maurice Maneschi
Maurice Maneschi
Simplified BSD Licence

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