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Generate Schedule in Python with given dates

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TSchulz85

May 10, 2017; 7:04pm

Generate Schedule in Python with given dates

Hi,
Is it possible to generate a QuantLib Schedule in python just with specific defined dates?
I'm intending to just download a bond coupon schedule from bloomberg, thus avoiding any problems with stubs.
Thanks,
Tobias

CK TUNG

May 11, 2017; 2:14am

Re: Generate Schedule in Python with given dates

Here is an example

https://leanpub.com/quantlibpythoncookbook/read

calendar = UnitedStates()

dates = [Date(2,1,2015), Date(2, 2,2015),
                  Date(2,3,2015), Date(1,4,2015),
                  Date(1,5,2015), Date(1,6,2015),
                  Date(1,7,2015), Date(3,8,2015),
                  Date(1,9,2015), Date(1,10,2015),
                  Date(2,11,2015), Date(1,12,2015),
                  Date(4,1,2016)]


         rolling_convention = Following

schedule= Schedule(dates, calendar,
                              rolling_convention)

for i, d in enumerate(schedule):
             print i+1, d

TSchulz85 <[hidden email]> 於 2017年5月11日上午3:04 寫道：

Hi,
Is it possible to generate a QuantLib Schedule in python just with specific
defined dates?
I'm intending to just download a bond coupon schedule from bloomberg, thus
avoiding any problems with stubs.
Thanks,
Tobias

--
View this message in context: http://quantlib.10058.n7.nabble.com/Generate-Schedule-in-Python-with-given-dates-tp18266.html
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Luigi Ballabio

May 12, 2017; 9:18am

Re: Generate Schedule in Python with given dates

This will build the schedule, but passing it to other classes such as FixedRateBond won't work. The Schedule constructor exported to Python should be extended to support the additional parameters now available in C++. Until then, schedules built in this way won't be very useful...

Luigi

On Thu, May 11, 2017 at 4:17 AM CK TUNG <[hidden email]> wrote:

Here is an example
https://leanpub.com/quantlibpythoncookbook/read
calendar = UnitedStates()
dates = [Date(2,1,2015), Date(2, 2,2015),
                  Date(2,3,2015), Date(1,4,2015),
                  Date(1,5,2015), Date(1,6,2015),
                  Date(1,7,2015), Date(3,8,2015),
                  Date(1,9,2015), Date(1,10,2015),
                  Date(2,11,2015), Date(1,12,2015),
                  Date(4,1,2016)]
         rolling_convention = Following 
schedule= Schedule(dates, calendar,
                              rolling_convention) 
for i, d in enumerate(schedule):
             print i+1, d
TSchulz85 <[hidden email]> 於 2017年5月11日上午3:04 寫道：

Hi,
Is it possible to generate a QuantLib Schedule in python just with specific
defined dates?
I'm intending to just download a bond coupon schedule from bloomberg, thus
avoiding any problems with stubs.
Thanks,
Tobias

--
View this message in context: http://quantlib.10058.n7.nabble.com/Generate-Schedule-in-Python-with-given-dates-tp18266.html
Sent from the quantlib-users mailing list archive at Nabble.com.

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CK TUNG

May 12, 2017; 10:12am

Re: Generate Schedule in Python with given dates

what I think is QuantLib Python interface file needs to be updated and wrap again. For this case just add this to scheduler.i

and rebuild

Schedule(const std::vector<Date>&,
                 const Calendar& calendar = NullCalendar(),
                 const BusinessDayConvention
                                    convention = Unadjusted,
                 boost::optional<BusinessDayConvention>
                     terminationDateConvention = boost::none,
                 const boost::optional<Period> tenor = boost::none,
                 boost::optional<DateGeneration::Rule> rule = boost::none,
                 boost::optional<bool> endOfMonth = boost::none,
                 const std::vector<bool>& isRegular = std::vector<bool>(0));

Thanks

TUNG Ching Kai

97782276

Luigi Ballabio <[hidden email]> 於 2017年5月12日下午5:18 寫道：

This will build the schedule, but passing it to other classes such as FixedRateBond won't work. The Schedule constructor exported to Python should be extended to support the additional parameters now available in C++. Until then, schedules built in this way won't be very useful...

Luigi
On Thu, May 11, 2017 at 4:17 AM CK TUNG <[hidden email]> wrote:
Here is an example
https://leanpub.com/quantlibpythoncookbook/read
calendar = UnitedStates()
dates = [Date(2,1,2015), Date(2, 2,2015),
                  Date(2,3,2015), Date(1,4,2015),
                  Date(1,5,2015), Date(1,6,2015),
                  Date(1,7,2015), Date(3,8,2015),
                  Date(1,9,2015), Date(1,10,2015),
                  Date(2,11,2015), Date(1,12,2015),
                  Date(4,1,2016)]
         rolling_convention = Following 
schedule= Schedule(dates, calendar,
                              rolling_convention) 
for i, d in enumerate(schedule):
             print i+1, d
TSchulz85 <[hidden email]> 於 2017年5月11日上午3:04 寫道：

Hi,
Is it possible to generate a QuantLib Schedule in python just with specific
defined dates?
I'm intending to just download a bond coupon schedule from bloomberg, thus
avoiding any problems with stubs.
Thanks,
Tobias

--
View this message in context: http://quantlib.10058.n7.nabble.com/Generate-Schedule-in-Python-with-given-dates-tp18266.html
Sent from the quantlib-users mailing list archive at Nabble.com.

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Luigi Ballabio

May 12, 2017; 10:27am

Re: Generate Schedule in Python with given dates

Hmm. Unfortunately, I don't think that SWIG supports boost::optional out of the box. It will require some kind of mapping, which might be the reason the wrappers are not updated yet.

On Fri, May 12, 2017, 12:15 CK TUNG <[hidden email]> wrote:

what I think is QuantLib Python interface file needs to be updated and wrap again. For this case just add this to scheduler.i
and rebuild
Schedule(const std::vector<Date>&,
                 const Calendar& calendar = NullCalendar(),
                 const BusinessDayConvention
                                    convention = Unadjusted,
                 boost::optional<BusinessDayConvention>
                     terminationDateConvention = boost::none,
                 const boost::optional<Period> tenor = boost::none,
                 boost::optional<DateGeneration::Rule> rule = boost::none,
                 boost::optional<bool> endOfMonth = boost::none,
                 const std::vector<bool>& isRegular = std::vector<bool>(0));
Thanks
TUNG Ching Kai
97782276
Luigi Ballabio <[hidden email]> 於 2017年5月12日下午5:18 寫道：
This will build the schedule, but passing it to other classes such as FixedRateBond won't work. The Schedule constructor exported to Python should be extended to support the additional parameters now available in C++. Until then, schedules built in this way won't be very useful...

Luigi
On Thu, May 11, 2017 at 4:17 AM CK TUNG <[hidden email]> wrote:
Here is an example
https://leanpub.com/quantlibpythoncookbook/read
calendar = UnitedStates()
dates = [Date(2,1,2015), Date(2, 2,2015),
                  Date(2,3,2015), Date(1,4,2015),
                  Date(1,5,2015), Date(1,6,2015),
                  Date(1,7,2015), Date(3,8,2015),
                  Date(1,9,2015), Date(1,10,2015),
                  Date(2,11,2015), Date(1,12,2015),
                  Date(4,1,2016)]
         rolling_convention = Following 
schedule= Schedule(dates, calendar,
                              rolling_convention) 
for i, d in enumerate(schedule):
             print i+1, d
TSchulz85 <[hidden email]> 於 2017年5月11日上午3:04 寫道：

Hi,
Is it possible to generate a QuantLib Schedule in python just with specific
defined dates?
I'm intending to just download a bond coupon schedule from bloomberg, thus
avoiding any problems with stubs.
Thanks,
Tobias

--
View this message in context: http://quantlib.10058.n7.nabble.com/Generate-Schedule-in-Python-with-given-dates-tp18266.html
Sent from the quantlib-users mailing list archive at Nabble.com.

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CK TUNG

May 12, 2017; 10:34am

Re: Generate Schedule in Python with given dates

In fact I have tried it in Windows SWIG, it works.

Luigi Ballabio <[hidden email]> 於 2017年5月12日下午6:27 寫道：

Hmm. Unfortunately, I don't think that SWIG supports boost::optional out of the box. It will require some kind of mapping, which might be the reason the wrappers are not updated yet.
On Fri, May 12, 2017, 12:15 CK TUNG <[hidden email]> wrote:
what I think is QuantLib Python interface file needs to be updated and wrap again. For this case just add this to scheduler.i
and rebuild
Schedule(const std::vector<Date>&,
                 const Calendar& calendar = NullCalendar(),
                 const BusinessDayConvention
                                    convention = Unadjusted,
                 boost::optional<BusinessDayConvention>
                     terminationDateConvention = boost::none,
                 const boost::optional<Period> tenor = boost::none,
                 boost::optional<DateGeneration::Rule> rule = boost::none,
                 boost::optional<bool> endOfMonth = boost::none,
                 const std::vector<bool>& isRegular = std::vector<bool>(0));
Thanks
TUNG Ching Kai
97782276
Luigi Ballabio <[hidden email]> 於 2017年5月12日下午5:18 寫道：
This will build the schedule, but passing it to other classes such as FixedRateBond won't work. The Schedule constructor exported to Python should be extended to support the additional parameters now available in C++. Until then, schedules built in this way won't be very useful...

Luigi
On Thu, May 11, 2017 at 4:17 AM CK TUNG <[hidden email]> wrote:
Here is an example
https://leanpub.com/quantlibpythoncookbook/read
calendar = UnitedStates()
dates = [Date(2,1,2015), Date(2, 2,2015),
                  Date(2,3,2015), Date(1,4,2015),
                  Date(1,5,2015), Date(1,6,2015),
                  Date(1,7,2015), Date(3,8,2015),
                  Date(1,9,2015), Date(1,10,2015),
                  Date(2,11,2015), Date(1,12,2015),
                  Date(4,1,2016)]
         rolling_convention = Following 
schedule= Schedule(dates, calendar,
                              rolling_convention) 
for i, d in enumerate(schedule):
             print i+1, d
TSchulz85 <[hidden email]> 於 2017年5月11日上午3:04 寫道：

Hi,
Is it possible to generate a QuantLib Schedule in python just with specific
defined dates?
I'm intending to just download a bond coupon schedule from bloomberg, thus
avoiding any problems with stubs.
Thanks,
Tobias

--
View this message in context: http://quantlib.10058.n7.nabble.com/Generate-Schedule-in-Python-with-given-dates-tp18266.html
Sent from the quantlib-users mailing list archive at Nabble.com.

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... [show rest of quote]
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... [show rest of quote]
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Luigi Ballabio

May 12, 2017; 11:17am

Re: Generate Schedule in Python with given dates

That's great to know. May you open a pull request?

Luigi

On Fri, May 12, 2017 at 12:37 PM CK TUNG <[hidden email]> wrote:

In fact I have tried it in Windows SWIG, it works.
Luigi Ballabio <[hidden email]> 於 2017年5月12日下午6:27 寫道：
Hmm. Unfortunately, I don't think that SWIG supports boost::optional out of the box. It will require some kind of mapping, which might be the reason the wrappers are not updated yet.
On Fri, May 12, 2017, 12:15 CK TUNG <[hidden email]> wrote:
what I think is QuantLib Python interface file needs to be updated and wrap again. For this case just add this to scheduler.i
and rebuild
Schedule(const std::vector<Date>&,
                 const Calendar& calendar = NullCalendar(),
                 const BusinessDayConvention
                                    convention = Unadjusted,
                 boost::optional<BusinessDayConvention>
                     terminationDateConvention = boost::none,
                 const boost::optional<Period> tenor = boost::none,
                 boost::optional<DateGeneration::Rule> rule = boost::none,
                 boost::optional<bool> endOfMonth = boost::none,
                 const std::vector<bool>& isRegular = std::vector<bool>(0));
Thanks
TUNG Ching Kai
97782276
Luigi Ballabio <[hidden email]> 於 2017年5月12日下午5:18 寫道：
This will build the schedule, but passing it to other classes such as FixedRateBond won't work. The Schedule constructor exported to Python should be extended to support the additional parameters now available in C++. Until then, schedules built in this way won't be very useful...

Luigi
On Thu, May 11, 2017 at 4:17 AM CK TUNG <[hidden email]> wrote:
Here is an example
https://leanpub.com/quantlibpythoncookbook/read
calendar = UnitedStates()
dates = [Date(2,1,2015), Date(2, 2,2015),
                  Date(2,3,2015), Date(1,4,2015),
                  Date(1,5,2015), Date(1,6,2015),
                  Date(1,7,2015), Date(3,8,2015),
                  Date(1,9,2015), Date(1,10,2015),
                  Date(2,11,2015), Date(1,12,2015),
                  Date(4,1,2016)]
         rolling_convention = Following 
schedule= Schedule(dates, calendar,
                              rolling_convention) 
for i, d in enumerate(schedule):
             print i+1, d
TSchulz85 <[hidden email]> 於 2017年5月11日上午3:04 寫道：

Hi,
Is it possible to generate a QuantLib Schedule in python just with specific
defined dates?
I'm intending to just download a bond coupon schedule from bloomberg, thus
avoiding any problems with stubs.
Thanks,
Tobias

--
View this message in context: http://quantlib.10058.n7.nabble.com/Generate-Schedule-in-Python-with-given-dates-tp18266.html
Sent from the quantlib-users mailing list archive at Nabble.com.

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CK TUNG

May 12, 2017; 11:36am

Re: Generate Schedule in Python with given dates

However, I don't know how to change it into named parameters in SWIG. The last parameter isRegular is always needed for the FixedRateBond. Others are really optional.

Luigi Ballabio <[hidden email]> 於 2017年5月12日下午7:17 寫道：

That's great to know. May you open a pull request?

Luigi
On Fri, May 12, 2017 at 12:37 PM CK TUNG <[hidden email]> wrote:
In fact I have tried it in Windows SWIG, it works.
Luigi Ballabio <[hidden email]> 於 2017年5月12日下午6:27 寫道：
Hmm. Unfortunately, I don't think that SWIG supports boost::optional out of the box. It will require some kind of mapping, which might be the reason the wrappers are not updated yet.
On Fri, May 12, 2017, 12:15 CK TUNG <[hidden email]> wrote:
what I think is QuantLib Python interface file needs to be updated and wrap again. For this case just add this to scheduler.i
and rebuild
Schedule(const std::vector<Date>&,
                 const Calendar& calendar = NullCalendar(),
                 const BusinessDayConvention
                                    convention = Unadjusted,
                 boost::optional<BusinessDayConvention>
                     terminationDateConvention = boost::none,
                 const boost::optional<Period> tenor = boost::none,
                 boost::optional<DateGeneration::Rule> rule = boost::none,
                 boost::optional<bool> endOfMonth = boost::none,
                 const std::vector<bool>& isRegular = std::vector<bool>(0));
Thanks
TUNG Ching Kai
97782276
Luigi Ballabio <[hidden email]> 於 2017年5月12日下午5:18 寫道：
This will build the schedule, but passing it to other classes such as FixedRateBond won't work. The Schedule constructor exported to Python should be extended to support the additional parameters now available in C++. Until then, schedules built in this way won't be very useful...

Luigi
On Thu, May 11, 2017 at 4:17 AM CK TUNG <[hidden email]> wrote:
Here is an example
https://leanpub.com/quantlibpythoncookbook/read
calendar = UnitedStates()
dates = [Date(2,1,2015), Date(2, 2,2015),
                  Date(2,3,2015), Date(1,4,2015),
                  Date(1,5,2015), Date(1,6,2015),
                  Date(1,7,2015), Date(3,8,2015),
                  Date(1,9,2015), Date(1,10,2015),
                  Date(2,11,2015), Date(1,12,2015),
                  Date(4,1,2016)]
         rolling_convention = Following 
schedule= Schedule(dates, calendar,
                              rolling_convention) 
for i, d in enumerate(schedule):
             print i+1, d
TSchulz85 <[hidden email]> 於 2017年5月11日上午3:04 寫道：

Hi,
Is it possible to generate a QuantLib Schedule in python just with specific
defined dates?
I'm intending to just download a bond coupon schedule from bloomberg, thus
avoiding any problems with stubs.
Thanks,
Tobias

--
View this message in context: http://quantlib.10058.n7.nabble.com/Generate-Schedule-in-Python-with-given-dates-tp18266.html
Sent from the quantlib-users mailing list archive at Nabble.com.

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Luigi Ballabio

May 12, 2017; 12:58pm

Re: Generate Schedule in Python with given dates

Unfortunately, SWIG can't generate wrappers with named parameters if the constructor is overloaded.

On Fri, May 12, 2017 at 1:40 PM CK TUNG <[hidden email]> wrote:

However, I don't know how to change it into named parameters in SWIG. The last parameter isRegular is always needed for the FixedRateBond. Others are really optional.
Luigi Ballabio <[hidden email]> 於 2017年5月12日下午7:17 寫道：
That's great to know. May you open a pull request?

Luigi
On Fri, May 12, 2017 at 12:37 PM CK TUNG <[hidden email]> wrote:
In fact I have tried it in Windows SWIG, it works.
Luigi Ballabio <[hidden email]> 於 2017年5月12日下午6:27 寫道：
Hmm. Unfortunately, I don't think that SWIG supports boost::optional out of the box. It will require some kind of mapping, which might be the reason the wrappers are not updated yet.
On Fri, May 12, 2017, 12:15 CK TUNG <[hidden email]> wrote:
what I think is QuantLib Python interface file needs to be updated and wrap again. For this case just add this to scheduler.i
and rebuild
Schedule(const std::vector<Date>&,
                 const Calendar& calendar = NullCalendar(),
                 const BusinessDayConvention
                                    convention = Unadjusted,
                 boost::optional<BusinessDayConvention>
                     terminationDateConvention = boost::none,
                 const boost::optional<Period> tenor = boost::none,
                 boost::optional<DateGeneration::Rule> rule = boost::none,
                 boost::optional<bool> endOfMonth = boost::none,
                 const std::vector<bool>& isRegular = std::vector<bool>(0));
Thanks
TUNG Ching Kai
97782276
Luigi Ballabio <[hidden email]> 於 2017年5月12日下午5:18 寫道：
This will build the schedule, but passing it to other classes such as FixedRateBond won't work. The Schedule constructor exported to Python should be extended to support the additional parameters now available in C++. Until then, schedules built in this way won't be very useful...

Luigi
On Thu, May 11, 2017 at 4:17 AM CK TUNG <[hidden email]> wrote:
Here is an example
https://leanpub.com/quantlibpythoncookbook/read
calendar = UnitedStates()
dates = [Date(2,1,2015), Date(2, 2,2015),
                  Date(2,3,2015), Date(1,4,2015),
                  Date(1,5,2015), Date(1,6,2015),
                  Date(1,7,2015), Date(3,8,2015),
                  Date(1,9,2015), Date(1,10,2015),
                  Date(2,11,2015), Date(1,12,2015),
                  Date(4,1,2016)]
         rolling_convention = Following 
schedule= Schedule(dates, calendar,
                              rolling_convention) 
for i, d in enumerate(schedule):
             print i+1, d
TSchulz85 <[hidden email]> 於 2017年5月11日上午3:04 寫道：

Hi,
Is it possible to generate a QuantLib Schedule in python just with specific
defined dates?
I'm intending to just download a bond coupon schedule from bloomberg, thus
avoiding any problems with stubs.
Thanks,
Tobias

--
View this message in context: http://quantlib.10058.n7.nabble.com/Generate-Schedule-in-Python-with-given-dates-tp18266.html
Sent from the quantlib-users mailing list archive at Nabble.com.

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Check out the vibrant tech community on one of the world's most
engaging tech sites, Slashdot.org! http://sdm.link/slashdot_______________________________________________
QuantLib-users mailing list
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Check out the vibrant tech community on one of the world's most
engaging tech sites, Slashdot.org! http://sdm.link/slashdot_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

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