Quantlib Gsr model for python

[troos222]

Hi all,

I have installed quantlib (1.4) for python by downloading the binary from here: http://www.lfd.uci.edu/~gohlke/pythonlibs/

It all works fine, except the module does not seem to contain any functions related to the Gsr model (which should be available in v1.4 according to the version history (http://quantlib.org/reference/history.html)).

Anybody have any advice on how I can get the Gsr model for python? Ideally I would like to install a binary rather than compile the library myself.

Thanks,
Tom

[Luigi Ballabio]

Hello,

    the Python module doesn't include all of the features available in the C++ library. To make it available, it should be added to the SWIG interfaces used to generate the Python wrappers.

Luigi

On Tue, Mar 17, 2015 at 7:31 AM, troos222 <[hidden email]> wrote:

Hi all,

I have installed quantlib (1.4) for python by downloading the binary from
here:  http://www.lfd.uci.edu/~gohlke/pythonlibs/
<http://www.lfd.uci.edu/~gohlke/pythonlibs/>

It all works fine, except the module does not seem to contain any functions
related to the Gsr model (which should be available in v1.4 according to the
version history ( http://quantlib.org/reference/history.htm
<http://quantlib.org/reference/history.htm>  l)).

Anybody have any advice on how I can get the Gsr model for python? Ideally I
would like to install a binary rather than compile the library myself.

Thanks,
Tom









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[troos222]

Luigi Ballabio wrote

Hello,
    the Python module doesn't include all of the features available in the
C++ library. To make it available, it should be added to the SWIG
interfaces used to generate the Python wrappers.

Luigi


On Tue, Mar 17, 2015 at 7:31 AM, troos222 <[hidden email]> wrote:

> Hi all,
>
> I have installed quantlib (1.4) for python by downloading the binary from
> here:  http://www.lfd.uci.edu/~gohlke/pythonlibs/
> <http://www.lfd.uci.edu/~gohlke/pythonlibs/>
>
> It all works fine, except the module does not seem to contain any functions
> related to the Gsr model (which should be available in v1.4 according to
> the
> version history ( http://quantlib.org/reference/history.htm
> <http://quantlib.org/reference/history.htm>  l)).
>
> Anybody have any advice on how I can get the Gsr model for python? Ideally
> I
> would like to install a binary rather than compile the library myself.
>
> Thanks,
> Tom
>
> --
> View this message in context:
> http://quantlib.10058.n7.nabble.com/Quantlib-Gsr-model-for-python-tp16373.html
> Sent from the quantlib-users mailing list archive at Nabble.com.

Thanks for your reply.

A follow-up question: what I am really looking for is a simple termstructure model with piecewise constant parameters, so that it can accurately fit a strip of swaptions. Does anybody know if such a model is available in the python version of Quantlib v1.4?

Thanks,
Tom

[Luigi Ballabio]

No, it's not. But thanks to Matthias Groncki, I just committed Python interfaces for the Gsr model to the GitHub repository. If you can download and recompile code from there, you should be covered.

Luigi

On Tue, Mar 17, 2015 at 10:18 AM, troos222 <[hidden email]> wrote:

Luigi Ballabio wrote
> Hello,
>     the Python module doesn't include all of the features available in the
> C++ library. To make it available, it should be added to the SWIG
> interfaces used to generate the Python wrappers.
>
> Luigi
>
>
> On Tue, Mar 17, 2015 at 7:31 AM, troos222 <

> troos222@

> > wrote:
>
>> Hi all,
>>
>> I have installed quantlib (1.4) for python by downloading the binary from
>> here:  http://www.lfd.uci.edu/~gohlke/pythonlibs/
>> <http://www.lfd.uci.edu/~gohlke/pythonlibs/>
>>
>> It all works fine, except the module does not seem to contain any
>> functions
>> related to the Gsr model (which should be available in v1.4 according to
>> the
>> version history ( http://quantlib.org/reference/history.htm
>> <http://quantlib.org/reference/history.htm>  l)).
>>
>> Anybody have any advice on how I can get the Gsr model for python?
>> Ideally
>> I
>> would like to install a binary rather than compile the library myself.
>>
>> Thanks,
>> Tom
>>
>> --
>> View this message in context:
>> http://quantlib.10058.n7.nabble.com/Quantlib-Gsr-model-for-python-tp16373.html
>> Sent from the quantlib-users mailing list archive at Nabble.com.

Thanks for your reply.

A follow-up question: what I am really looking for is a simple termstructure
model with piecewise constant parameters, so that it can accurately fit a
strip of swaptions. Does anybody know if such a model is available in the
python version of Quantlib v1.4?

Thanks,
Tom





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news, videos, case studies, tutorials and more. Take a look and join the
conversation now. http://goparallel.sourceforge.net/
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conversation now. http://goparallel.sourceforge.net/
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[troos222]

Luigi Ballabio wrote

No, it's not. But thanks to Matthias Groncki, I just committed Python
interfaces for the Gsr model to the GitHub repository. If you can download
and recompile code from there, you should be covered.

Luigi

Thanks, that's great.