
Show HN: Quantra.io, a quantitative finance API made with Quantlib - melenaboija
https://quantra.io/
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kilburn
I guess I'm just not the target, but anyway... I think the website could
communicate whatever it is you are doing better.

What pain point does your API solve? Who is your target audience? Can you show
us a simple example (or a few)?

Is it closed-source? How are you planning to monetize it? This is a very
important issue for any api-as-a-service project which yours seems to be. If
you don't have any strategy, then I will not bet my business on you sticking
around...

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melenaboija
Thanks for your comment!

It basically wraps some functionalities of quantlib library into an API. Main
reason of it is that I think part of the target of the library is people that
not need to know about programming, and an API opens it to future user
friendly interfaces (such as the google sheets addon).

Examples, the add-on uses it and you can find the source code in the
repository. Close source, yes now, it's been just a side project. Not thinking
about monetize it now.

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iterion1
You should open-source this, would love to be able to contribute!

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melenaboija
Thinking about it, send me an email if you are interested :)

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cm2187
In your doc, is your sample getIbors meant to be complete? Don't show that to
a finance professional if it is. I don't see Libor, you have Eonia, Sonia but
no Fed's fund, I am not sure what Euribor Act/365 is.

Also I am a bit confused by what your curves return. The coefficients seem to
be rates. I would expect a curve (once built) to be a compibination of
discount factors and some interpolation function.

Haven't looked at the details so perhaps this feedback is irrelevant. But from
the look of it it looks like all your curves are self discounting curves. You
need to be careful as the market moved away from these curves 6-7y ago.

~~~
melenaboija
Thanks for your comment.

Agree, not all ibor indexes are defined in Quantlib, so now just euribors can
be used for forward rates.

About Euribor 365:

Euribor rate adjusted for the mismatch between the actual/360 convention used
for Euribor and the actual/365 convention previously used by a few pre-EUR
currencies

I'm not sure what you mean with self discounting curves, but you can use
different curves for discount and forward rates. I will add OIS discounting
too in the future, if that is what you mean.

~~~
cm2187
On self discounting, it has more to do with how you define your curve. They
seem to be defined as a single list of instruments, like a self discounting
curve. Whereas with multiple curves (OIS / Libor 1m / Libor 3m, etc), you
would need to provide the instruments that define the inter-dependency of the
curves (like 1m-3m basis swaps, etc) and you kind of need to build them all at
once, since they are interdependent (swap rates vs 3m are using both the 3m
and the OIS curve).

Anyway, I have never looked at Quantlib myself, so all of this may be
limitations of the underlying library. But if you present a yield curve
product to an interest rate professional, the question will come up.

On index names, I think it should be data more than hard-coded enums. There is
nothing in the calculation that should explicitly refer to the name of an
index. It should be all about daycount fractions, calendars, and other
conventions.

~~~
melenaboija
No it does not, but I think it could be done with Quantlib. At least that's
what I see in this paper:

[https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2219548](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2219548)

And I think QuantlibXL has the multiple curve bootstrapping implemented.

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jerry40
I can imagine people or companies can use this API to check their own
functions in test cases. Example - you have tons of deals and at the end of
the day it would be interesting to doublecheck daily P&L. But I believe this
business doesn't trust anybody but well-known players or experts. Also the
time is essential so they will prefer a local library. And again, the security
can prohibit external APIs. I don't discourage your work though, perhaps it is
a step to your personal success, who knows.

~~~
melenaboija
Thanks for your comment. I agree with most of what you said:

"I can imagine people or companies can use this API to check their own
functions in test cases"

Testing is one good application.

"But I believe this business doesn't trust anybody but well-known players or
experts"

Take a look to the community mantaining quantlib.

"Also the time is essential so they will prefer a local library"

How long does it take to financial institutions to test all valuations for
each modification to "local libraries"? Using external services could avoid
that. This is not going to be the one, but it would be just a matter of
resources to improve performance(ie big data platform for risk simulations)

"And again, the security can prohibit external APIs"

Why do banks rely on RSA for payment transactions but don't do it for other
purposes?

"I don't discourage your work though, perhaps it is a step to your personal
success, who knows"

Already did, I learned and enjoyed doing it :)

~~~
thomaspaine
As someone who works in a bank, if I sent trading data off to an external
service I'd be fired almost immediately. Even things like pretty printing
services are monitored and blocked.

~~~
melenaboija
Totally agree, but they would not fire you if you price a bond in Bloomberg. I
guess is more something about who the banks trust, which is a closed set of
actors that does not seem to change (again, I'm not saying anyone has to trust
with this, but maybe something will change some day)

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nodesocket
First time I am seeing Slate
([https://github.com/lord/slate](https://github.com/lord/slate)) a static
documentation theme. Really beautiful, seems like they "borrowed" some ideas
from Stripe.

~~~
parthdesai
If you read the docs, it says it's inspired by Stripe and Paypal's API docs.

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swhalen
The documentation suggests that this currently only supports single-currency
IRS, and it's also BYO market data.

To my knowledge there isn't anything like a RESTful pricing/valuation service
in the market, let alone one with integrated market data, so there might be an
opportunity there. Existing services also tend to only have "enterprise"
sales/pricing structures, which is a pain if you just want to try something
out.

~~~
melenaboija
Thanks for your comment.

That's right, it just prices IRS and Bonds (with no optionalities). Next steps
could be adding equity options, swaptions, caps and floors or bond options,
but it's just a side project I used to learn something about quantlib. Anyone
willing to contribute will be welcome though :). It is entirely done with C++
(C++ quantlib, crow and rapidjson).

About market data, I think that is a big gap to fill in this industry.
Hopefully some day it will exist an open source of data, but IMHO that's not
something is likely going to happen in the near future.

~~~
swhalen
You might want to think about cross-currency IRS and FX products as next
steps, because they're more common hedge instruments for corporates (your
likely market, if you ever want to go in that direction) compared with
options.

To monetize the API I guess your only option would be to partner with an
exchange (or something like that) to get access to the necessary market data.
A decent API for valuations and pricing would really be a breath of fresh air.

~~~
cm2187
Companies using this library may have access to bloomberg or reuters so an API
to interact with the bloomberg or reuters API may be enough. Otherwise you
would probably need to charge for access to market data.

But to offer this commercially, you will need to support quite a few
currencies, market conventions, customised terms, formats for the trade
representation, etc.

~~~
melenaboija
Thanks for your comment. Not thought as a commercial product. As you said lot
of work to do

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kinduff
I really liked how you presented the API, both docs and the Chrome Extension
for Google Sheets.

I have to say it was a little bit unclear at the beginning, I suggest you to
make it more clear in the landing page or in the extension description. I
agree with other comments regarding target audience and what problem you're
solving or potentially the API can solve (examples are a charm).

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claytonjy
What is this? I think it needs a more clear and accessible demo; I don't know
what it is, and I don't want to install a google sheets add-on to find out.

How does this compare to tools like Quantopian's? Is it targeting a less
sophisticated user, hence the Google Sheets?

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melenaboija
Thanks for the comment! About what is it, I already answered in another
comment but I guess landing page needs more info.

It mostly gives finance products pricing capabilities, not trading algorithms
like quantopian.

I thought a google sheets addon would be a good way to show what it does, and
actually a real good application for it. There already exists an excel wrap
for it ([http://quantlib.org/quantlibxl/](http://quantlib.org/quantlibxl/)
much much better than this though) but you need Microsoft Excel :)

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adambrod
Marketing 101... tell people what you do and how it can help them.

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rmetzler
I'm sorry, I don't want to shame you, but I see two typos in the first page of
your documentation. Can I send you a pull request somehow?

~~~
melenaboija
Thanks! I dont have a repository for the API docs sorry :( Send me an email if
is possible and I'll try to solve it.

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beagle3
Is usage of 'API' to denote a remote service common? It used to be that you
had local APIs and remote services....

