Python Swig TypeError in DividendVanillaOption method

[vema]

Hi,

I am trying to evaluate the price of a dividend American Option and i was using the DividendVanillaOption method for obtaining it in Python. (I have been abel to successfuly build the  Quantlib libs via the SWIG-python  access methods)
However I am gettign this error which says

dividendDates=(Date(17,June,1998),Date(17,July,1998))
dividends=(0.07,0.5)
option = DividendVanillaOption(payoff,exercise,dividendDates,dividends);

TypeError:  in method 'new_DividendVanillaOption', argument 4 of type 'std::vector<Real,std::allocator<Real > > const &'


The entire code is as below. The fourth argument is definitely creating a problem. I am toying around with a similar function called RealtimeSeries in Quantlib which takes as arguments the dates and the values and I havent had any problems with it as such. I somehow feel that the problem is much more subtle. I greatly appreciate any help in this matter.

Thanking You
Mahesh Vemula
----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
from QuantLib import *

# global data
todaysDate = Date(15,May,1998)
Settings.instance().evaluationDate = todaysDate
settlementDate = Date(17,September,1998)
riskFreeRate = FlatForward(settlementDate, 0.06, Actual365Fixed())

# option parameters
exercise = AmericanExercise(settlementDate, Date(17,May,1999))
payoff = PlainVanillaPayoff(Option.Put, 40.0)

# market data
underlying = SimpleQuote(36.0)
volatility = BlackConstantVol(todaysDate, TARGET(), 0.20, Actual365Fixed())
dividendYield = FlatForward(settlementDate, 0.00, Actual365Fixed())

# report
header = '%19s' % 'method' + ' |' + \
         ' |'.join(['%17s' % tag for tag in ['value',
                                            'estimated error',
                                            'actual error' ] ])
print
print header
print '-'*len(header)

refValue = None
def report(method, x, dx = None):
    e = '%.4f' % abs(x-refValue)
    x = '%.5f' % x
    if dx:
        dx = '%.4f' % dx
    else:
        dx = 'n/a'
    print '%19s' % method + ' |' + \
          ' |'.join(['%17s' % y for y in [x, dx, e] ])

# good to go

process = BlackScholesMertonProcess(QuoteHandle(underlying),
                                    YieldTermStructureHandle(dividendYield),
                                    YieldTermStructureHandle(riskFreeRate),
                                    BlackVolTermStructureHandle(volatility))

#option = VanillaOption(payoff, exercise)
dividendDates=(Date(17,June,1998),Date(17,July,1998))
dividends=(0.07,0.5)
option = DividendVanillaOption(payoff,exercise,dividendDates,dividends);

[Luigi Ballabio]

On Dec 20, 2007, at 2:37 AM, vema wrote:

> I am trying to evaluate the price of a dividend American Option and i
> was
> using the DividendVanillaOption method for obtaining it in Python. (I
> have
> been abel to successfuly build the  Quantlib libs via the SWIG-python
> access methods)
> However I am gettign this error which says
>
> dividendDates=(Date(17,June,1998),Date(17,July,1998))
> dividends=(0.07,0.5)
> option =
> DividendVanillaOption(payoff,exercise,dividendDates,dividends);
>
> TypeError:  in method 'new_DividendVanillaOption', argument 4 of type
> 'std::vector<Real,std::allocator<Real > > const &'

Mahesh,
        this is fixed in the upcoming 0.9.0 release. In the meantime, instead
of

dividends = (0.07,0.5)

you'll have to use the more verbose:

dividends = DoubleVector(2)
dividends[0] = 0.07
dividends[1] = 0.5

Later,
        Luigi



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