Last fixing date of a swap with respect to today [Kind of urgent]

[Leon Sit]

Hi all

In quantlib, is there a way to query the last fixing date of a swap
with respect to the evaluation date?

Thanks tons

Leon

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[Seb Venus]

Hi,

I would like to ask about the SWIG module for Python. I noticed that each function/object is defined in QuantLib.py and quantlib_wrap.cpp, and that the latter is automatically generated. What are the steps to expose additional functionality to Python? I am not familiar with SWIG...

Thanks in advance for your help.

Seb
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[Bojan Nikolic]

Seb Venus <[hidden email]> writes:

> I would like to ask about the SWIG module for Python. I noticed that
> each function/object is defined in QuantLib.py and quantlib_wrap.cpp,
> and that the latter is automatically generated.

They are both automatically generated I think

> What are the steps to
> expose additional functionality to Python? I am not familiar with
> SWIG...

You need to add to the SWIG interface files which have the "*.i"
extension.

Best,
Bojan

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Bojan Nikolic          ||          http://www.bnikolic.co.uk

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[Luigi Ballabio]

On Jan 20, 2011, at 8:03 PM, Leon Sit wrote:
> In quantlib, is there a way to query the last fixing date of a swap
> with respect to the evaluation date?

Yes, but it's kind of complex.  You'll have to:
- ask the swap for its floating leg; if it's a VanillaSwap, call its  
floatingLeg() method; if it's a generic Swap, use the leg(i) method by  
passing the correct index;
- get a pointer to the last CashFlow; that's leg.back()
- downcast it to FloatingRateCoupon; that's
coupon = boost::dynamic_pointer_cast<FloatingRateCoupon>(leg.back());
- now you can use its fixingDate() method.

Luigi


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[Seb Venus]

Thanks a lot for your help.

I am having some trouble in exposing the class LinearLeastSquaresRegression
since it is dependent on templates (I think this issue was discussed at the
recent QuantLib forum).

Could someone please give advice on the best way to do this? So far I just
have this, which I wrote in a new .i file:

%{
using QuantLib::TimeGrid;
using QuantLib::LinearLeastSquaresRegression;
using QuantLib::EarlyExerciseTraits<Path>;
%}

template <class ArgumentType>
class LinearLeastSquaresRegression  {
public:
    %extend                      
         LinearLeastSquaresRegression( const std::vector<ArgumentType>& x,
                                       const std::vector<Real>& y,
                                       const
std::vector<boost::function1<Real, ArgumentType> > & v);

                                                               
         const Array& coefficients()   const;            
         const Array& residuals()      const;            
         const Array& standardErrors() const;
};

%template(LinearLeastSquaresRegression1)
LinearLeastSquaresRegression<EarlyExerciseTraits<Path> >;

Cheers,

Seb

-----Original Message-----
From: Bojan Nikolic [mailto:[hidden email]]
Sent: 20 January 2011 21:14
To: Seb Venus
Cc: [hidden email]
Subject: Re: [Quantlib-users] Exposing additional functions to Python


Seb Venus <[hidden email]> writes:

> I would like to ask about the SWIG module for Python. I noticed that
> each function/object is defined in QuantLib.py and quantlib_wrap.cpp,
> and that the latter is automatically generated.

They are both automatically generated I think

> What are the steps to
> expose additional functionality to Python? I am not familiar with
> SWIG...

You need to add to the SWIG interface files which have the "*.i"
extension.

Best,
Bojan

--
Bojan Nikolic          ||          http://www.bnikolic.co.uk


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[Bojan Nikolic]

In your example the syntax of "%extend" is wrong -- you need braces
after it and you need to %include the relevant .hpp files. You need to
look at some of the other .i files in more detail or consult the SWIG
manual.

You also picked a function which is not the easiest to wrap -- one of
the arguments is a vector of boost function objects, so you will need to
have a way of creating these too.

Best,
Bojan

--
Bojan Nikolic          ||          http://www.bnikolic.co.uk/ql

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