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[Quantlib-dev] Call QL from SWIG/Python : FittedBondCurve
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From: F. D. <fre...@gm...> - 2008-07-16 07:44:52
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Hi,
Glenn, did you finish your translation of fitted bond curve from C++ to
Python in QuantLib? I've got a problem with my own translation. So, I'm
really interested by your code if possible.
Also, I would like to understand where my mistake is. Now, I don't find any
solutions except making a c++ function that creates my
FittedBondDiscountCurve from simple parameters. I guess it is not a clean
solution.
Firstly, I wrote a swig file to call FittedBondDiscountCurve from Python.
Secondly, I called it from a python script. Finally, this prototype is not
recognized.
Someone has some tips to find mistakes with Swig (like swig option to
activate…)?
#ifndef quantlib_fitted_bond_i
#define quantlib_fitted_bond_i
%include termstructures.i
%include ratehelpers.i
%{
using QuantLib::FittedBondDiscountCurve;
using QuantLib::FittedBondDiscountCurve::FittingMethod;
typedef boost::shared_ptr<FittedBondDiscountCurve>
FittedBondDiscountCurvePtr;
%}
%rename(FittedBondDiscountCurve) FittedBondDiscountCurvePtr;
class FittedBondDiscountCurvePtr : public
boost::shared_ptr<YieldTermStructure> {
public:
%extend {
FittedBondDiscountCurvePtr(Natural settlementDays,
const Calendar& calendar,
const
std::vector<boost::shared_ptr<FixedRateBondHelper> >& instruments,
const DayCounter& dayCounter,
const FittingMethod& fittingMethod,
Real accuracy = 1.0e-10,
Size maxEvaluations = 10000,
const Array& guess = Array(),
Real simplexLambda = 1.0)
{
return new FittedBondDiscountCurvePtr(
new
FittedBondDiscountCurve(settlementDays, calendar, instruments, dayCounter,
fittingMethod, accuracy,
maxEvaluations, guess, simplexLambda));
}
FittedBondDiscountCurvePtr(const Date &referenceDate,
const
std::vector<boost::shared_ptr<FixedRateBondHelper> >& instruments,
const DayCounter& dayCounter,
const FittingMethod& fittingMethod,
Real accuracy = 1.0e-10,
Size maxEvaluations = 10000,
const Array &guess = Array(),
Real simplexLambda = 1.0)
{
return new FittedBondDiscountCurvePtr(
new
FittedBondDiscountCurve(referenceDate, instruments, dayCounter,
fittingMethod, accuracy,
maxEvaluations, guess, simplexLambda));
}
}
};
%{
using QuantLib::ExponentialSplinesFitting;
using QuantLib::NelsonSiegelFitting;
using QuantLib::CubicBSplinesFitting;
%}
class ExponentialSplinesFitting : public
QuantLib::FittedBondDiscountCurve::FittingMethod
{
public:
%extend
{
ExponentialSplinesFitting(bool constrainAtZero = true)
{
return new ExponentialSplinesFitting(constrainAtZero);
}
}
};
class NelsonSiegelFitting : public
QuantLib::FittedBondDiscountCurve::FittingMethod
{
public:
%extend
{
NelsonSiegelFitting()
{
return new NelsonSiegelFitting();
}
}
};
class CubicBSplinesFitting : public
QuantLib::FittedBondDiscountCurve::FittingMethod
{
public:
%extend
{
CubicBSplinesFitting(const std::vector<Time>& knotVector, bool
constrainAtZero = true)
{
return new CubicBSplinesFitting(knotVector, constrainAtZero);
}
}
};
#endif
I call if from:
print type(instruments[0])
print type(self.today_ql), type(instruments), type(dc),
type(exponentialSplines)
ts = FittedBondDiscountCurve(self.today_ql,
instruments,
dc,
exponentialSplines)
And I get:
<class 'QuantLib.QuantLib.FixedRateBondHelper'>
<class 'QuantLib.QuantLib.Date'> <type 'list'> <class
'QuantLib.QuantLib.SimpleDayCounter'> <class
'QuantLib.QuantLib.ExponentialSplinesFitting'>
[...]
NotImplementedError: Wrong number of arguments for overloaded function
'new_FittedBondDiscountCurve'.
Possible C/C++ prototypes are:
FittedBondDiscountCurvePtr(Date const &,std::vector< boost::shared_ptr<
FixedRateBondHelper >,std::allocator< boost::shared_ptr< FixedRateBondHelper
> > > const &,DayCounter const &,FittingMethod const &)
Thank you
Frédéric
-----Original Message-----
From: qua...@li... [mailto:
qua...@li...] On Behalf Of Luigi Ballabio
Sent: mardi 29 avril 2008 18:11
To: ga...@ag...
Cc: qua...@li...
Subject: Re: [Quantlib-users] Converting C++ to Python SWIG
On Sun, 2008-04-20 at 20:25 -0500, glenn andrews wrote:
> I am trying to convert the example below from C++ to Python using SWIG.
> I am stuck on how to convert some of the lines such as the following to
> Python:
>
> 1) std::vector< boost::shared_ptr<SimpleQuote> > quote;
>
> 2) RelinkableHandle<Quote> quoteHandle[numberOfBonds]
>
> 3) Real coupons[] = { 0.0200, 0.0225, 0.0250, 0.0275, 0.0300,
> 0.0325, 0.0350, 0.0375, 0.0400, 0.0425,
> 0.0450, 0.0475, 0.0500, 0.0525, 0.0550 };
In each case, you can use Python lists. For instance, the third case
would be:
coupons = [ 0.0200, 0.0225, 0.0250, 0.0275, 0.0300,
0.0325, 0.0350, 0.0375, 0.0400, 0.0425,
0.0450, 0.0475, 0.0500, 0.0525, 0.055 ]
In the first two cases, you don't need separate initialization. You can
create the list using list comprehension; for example, 1) would be:
quote = [ SimpleQuote(cleanPrice[i]) for i in range(len(cleanPrice)) ]
or better yet
quote = [ SimpleQuote(p) for p in cleanPrice ]
In general:
- shared_ptr is hidden in the SWIG interfaces, so you can just omit it
and use the pointed class directly;
- for vectors, use Python lists.
Luigi
--
Weiler's Law:
Nothing is impossible for the man who doesn't have to
do it himself.
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