Python: BlackIborCouponPricer; SwapRateHelper solved

[Chuck Swiger-4]

Thanks to the example in Python/test I found I had a wrong argument
(using libor6m, instead of libor6m() ).

Made much more progress with Bonds.cpp, now I'm stuck on how to
Pythonize:

        // Coupon pricers
         boost::shared_ptr<IborCouponPricer> pricer(new BlackIborCouponPricer);


It exists in Quantlib-0.9.7/ql/cashflows/couponpricer.cpp, the closest I
can find in quantlib_wrap.cpp is  IborCoupon

Any clue appreciated..


--Chuck



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[Luigi Ballabio]

On Thu, 2009-09-17 at 12:53 -0400, Charles Swiger wrote:
> Made much more progress with Bonds.cpp, now I'm stuck on how to
> Pythonize:
>
> // Coupon pricers
>          boost::shared_ptr<IborCouponPricer> pricer(new BlackIborCouponPricer);
>
>
> It exists in Quantlib-0.9.7/ql/cashflows/couponpricer.cpp, the closest I
> can find in quantlib_wrap.cpp is  IborCoupon

That's not exported. It should be added to the SWIG interface. Do you
want to have a try? You should export
shared_ptr<FloatingRateCouponPricer>. You can look at the way
shared_ptr<CashFlow> is exported to get an example. I'll be here if you
get stuck.

Luigi


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[Lluis Pujol Bajador]

Hi,

I am also interested on using floating Rate Bonds on Python.
(unfortunatelly I am novice to both Quantlib and SWIG)

I am trying to create the shared_ptr<FloatingRateCouponPricer>
interface, as suggested I followed the shared_ptr<CashFlow>, but I got
lost with the private member and also the registerWith that cointains
IborCouponPricer.

This is the C++ version of IborCouponPricer, any help would be appreciated.

class IborCouponPricer : public FloatingRateCouponPricer {
      public:
        IborCouponPricer(const Handle<OptionletVolatilityStructure>& v =
                                         
Handle<OptionletVolatilityStructure>())
        : capletVol_(v) { registerWith(capletVol_); }

        Handle<OptionletVolatilityStructure> capletVolatility() const{
            return capletVol_;
        }
        void setCapletVolatility(
                            const Handle<OptionletVolatilityStructure>& v =
                                   
Handle<OptionletVolatilityStructure>()) {
            unregisterWith(capletVol_);
            capletVol_ = v;
            registerWith(capletVol_);
            update();
        }
      private:
        Handle<OptionletVolatilityStructure> capletVol_;
    };

Lluís


Luigi Ballabio escribió:

> On Thu, 2009-09-17 at 12:53 -0400, Charles Swiger wrote:
>  
>> Made much more progress with Bonds.cpp, now I'm stuck on how to
>> Pythonize:
>>
>> // Coupon pricers
>>          boost::shared_ptr<IborCouponPricer> pricer(new BlackIborCouponPricer);
>>
>>
>> It exists in Quantlib-0.9.7/ql/cashflows/couponpricer.cpp, the closest I
>> can find in quantlib_wrap.cpp is  IborCoupon
>>    
>
> That's not exported. It should be added to the SWIG interface. Do you
> want to have a try? You should export
> shared_ptr<FloatingRateCouponPricer>. You can look at the way
> shared_ptr<CashFlow> is exported to get an example. I'll be here if you
> get stuck.
>
> Luigi
>
>
>  

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[Luigi Ballabio]

On Mon, 2009-11-09 at 21:13 +0100, Lluís Pujol wrote:
> I am trying to create the shared_ptr<FloatingRateCouponPricer>
> interface, as suggested I followed the shared_ptr<CashFlow>, but I got
> lost with the private member and also the registerWith that cointains
> IborCouponPricer.

Sorry for the delay.

I meant something like this for the base class:

%ignore IborCouponPricer;
class IborCouponPricer {
  public:
    // export the public interface here, if needed
};

%template(IborCouponPricer) boost::shared_ptr<IborCouponPricer>;

After that,
1) you'll add the setPricer() method to IborCoupon taking a
boost::shared_ptr<IborCouponPricer>;
2) you'll export the constructors for the concrete pricers such as
BlackIborCouponPricer with something like:

%{
typedef boost::shared_ptr<IborCouponPricer> BlackIborCouponPricerPtr;
%}

%rename(BlackIborCouponPricer) BlackIborCouponPricerPtr;
class BlackIborCouponPricerPtr
: public boost::shared_ptr<IborCouponPricer> {
  public:
    %extend {
        BlackIborCouponPricerPtr(...) {
            return new BlackIborCouponPricerPtr(
                new BlackIborCouponPricer(...));
        }
    }
};


Luigi




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[Lluis Pujol Bajador]

Hi,

After a long time without being able to play with it I've tried again to
implement the SWIG interfaces needed to use FRN in Python.

As suggested by Luigi I exported the IborCouponPricer and
BlackIborCouponPricer with no compiling errors but I have not been able
to test it as I am getting stuck now with the following sentence  (from
C++ bond Examples)

   setCouponPricer(floatingRateBond.cashflows(),pricer);

I exported setCouponPricer as:

void setCouponPricer(const std::vector<boost::shared_ptr<CashFlow> >&  ,
const boost::shared_ptr<IborCouponPricer>& );

I get the following error when I try to use it on Python.

Traceback (most recent call last):

     setCouponPricer(frn.cashflows,pricer)
TypeError: in method 'setCouponPricer', argument 1 of type 'std::vector<
boost::shared_ptr< CashFlow >,std::allocator< boost::shared_ptr<
CashFlow > > > const &'

I attach the couponpricer interface. (please don't complain as I am
really newby to SWIG and C++).

Any help is appreciated.

Lluís

Luigi Ballabio escribió:

> On Mon, 2009-11-09 at 21:13 +0100, Lluís Pujol wrote:
>  
>> I am trying to create the shared_ptr<FloatingRateCouponPricer>
>> interface, as suggested I followed the shared_ptr<CashFlow>, but I got
>> lost with the private member and also the registerWith that cointains
>> IborCouponPricer.
>>    
>
> Sorry for the delay.
>
> I meant something like this for the base class:
>
> %ignore IborCouponPricer;
> class IborCouponPricer {
>   public:
>     // export the public interface here, if needed
> };
>
> %template(IborCouponPricer) boost::shared_ptr<IborCouponPricer>;
>
> After that,
> 1) you'll add the setPricer() method to IborCoupon taking a
> boost::shared_ptr<IborCouponPricer>;
> 2) you'll export the constructors for the concrete pricers such as
> BlackIborCouponPricer with something like:
>
> %{
> typedef boost::shared_ptr<IborCouponPricer> BlackIborCouponPricerPtr;
> %}
>
> %rename(BlackIborCouponPricer) BlackIborCouponPricerPtr;
> class BlackIborCouponPricerPtr
> : public boost::shared_ptr<IborCouponPricer> {
>   public:
>     %extend {
>         BlackIborCouponPricerPtr(...) {
>             return new BlackIborCouponPricerPtr(
>                 new BlackIborCouponPricer(...));
>         }
>     }
> };
>
>
> Luigi
>
>
>
>
>  

%{
using QuantLib::IborCouponPricer;
%}

%ignore IborCouponPricer;
class IborCouponPricer {
  public:
    IborCouponPricer(const Handle<OptionletVolatilityStructure>& v =
                                          Handle<OptionletVolatilityStructure>())
        : capletVol_(v) { registerWith(capletVol_); }

        Handle<OptionletVolatilityStructure> capletVolatility() const{
            return capletVol_;}

        void setCapletVolatility(
                            const Handle<OptionletVolatilityStructure>& v =
                                    Handle<OptionletVolatilityStructure>()) {
            unregisterWith(capletVol_);
            capletVol_ = v;
            registerWith(capletVol_);
            update();
        }
};

%template(IborCouponPricer) boost::shared_ptr<IborCouponPricer>;

// implementations
%{
using QuantLib::BlackIborCouponPricer;
%}
%{

typedef boost::shared_ptr<IborCouponPricer> BlackIborCouponPricerPtr;

%}

%rename(BlackIborCouponPricer) BlackIborCouponPricerPtr;
class BlackIborCouponPricerPtr : public boost::shared_ptr<IborCouponPricer> {
    public:
        %extend {
        BlackIborCouponPricerPtr(const Handle<OptionletVolatilityStructure>& v =
                                          Handle<OptionletVolatilityStructure>()) {
            return new BlackIborCouponPricerPtr(
                new BlackIborCouponPricer(v));}
       
                }
   
};

void setCouponPricer(const std::vector<boost::shared_ptr<CashFlow> >&  , const boost::shared_ptr<IborCouponPricer>& );




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[Luigi Ballabio]

On Sat, 2010-04-24 at 01:26 +0200, Lluis Pujol wrote:

> As suggested by Luigi I exported the IborCouponPricer and
> BlackIborCouponPricer with no compiling errors [...] I get the
> following error when I try to use it on Python.
>
> Traceback (most recent call last):
>
>      setCouponPricer(frn.cashflows,pricer)
> TypeError: in method 'setCouponPricer', argument 1 of type 'std::vector<
> boost::shared_ptr< CashFlow >,std::allocator< boost::shared_ptr<
> CashFlow > > > const &'

I think you mean
        setCouponPricer(frn.cashflows(),pricer)
(note the () after cashflows.)
If that still doesn't work, it might be that the declaration is not
picking up the typemap for cash-flow vectors. Try adding

%include cashflows.i

at the beginning of couponpricer.i.

Luigi


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