Re: [Quantlib-users] ExponentialSplinesFitting in Python

[<da...@el...>]

Many thanks for the help, Luigi.

David

 

From: Luigi Ballabio <lui...@gm...> 
Sent: Wednesday, 13 October 2021 08:19
To: da...@el...
Cc: QuantLib users <qua...@li...>
Subject: Re: [Quantlib-users] ExponentialSplinesFitting in Python

 

Hi David,

    currently Python only exports the long-form constructor (see https://github.com/lballabio/QuantLib-SWIG/blob/master/SWIG/fittedbondcurve.i#L85).  As you say, you can pass the default parameters — a large number for maxCutoffTime is ok.

 

Luigi

 

 

On Mon, Oct 11, 2021 at 11:58 PM <da...@el... <mailto:da...@el...> > wrote:

Hi,

The C++ documentation here (QuantLib: ExponentialSplinesFitting Class Reference (rkapl123.github.io) <https://rkapl123.github.io/QLAnnotatedSource/d9/d6c/class_quant_lib_1_1_exponential_splines_fitting.html> ) has a constructor:

ExponentialSplinesFitting(bool constrainAtZero, Size numCoeffs, Real fixedKappa, const Array & weights = Array() )

If I try to get away in Python with just passing these parameters, I get the error:

Wrong number or type of arguments for overloaded function 'new_ExponentialSplinesFitting'.

  Possible C/C++ prototypes are:

    ExponentialSplinesFitting::ExponentialSplinesFitting(bool,Array const &,Array const &,Real,Real,Size,Real)

    ExponentialSplinesFitting::ExponentialSplinesFitting(bool,Array const &,Array const &,Real,Real,Size)

    ExponentialSplinesFitting::ExponentialSplinesFitting(bool,Array const &,Array const &,Real,Real)

    ExponentialSplinesFitting::ExponentialSplinesFitting(bool,Array const &,Array const &,Real)

    ExponentialSplinesFitting::ExponentialSplinesFitting(bool,Array const &,Array const &)

    ExponentialSplinesFitting::ExponentialSplinesFitting(bool,Array const &)

    ExponentialSplinesFitting::ExponentialSplinesFitting(bool)

    ExponentialSplinesFitting::ExponentialSplinesFitting()

Ie none of these match.

 

Using QuantLib 1.23 on Python.

 

I am afraid I am not very knowledgeable about how the C++/Python conversion works: I can pass the default parameters to the long-form constructor, except I am not sure how to specify QL_MAX_REAL in Python (using a large number like 1000000 seems to work …)

 

Grateful for any advice!

Thanks

David Sansom

                

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