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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 |
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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, ... [show rest of quote] ------------------------------------------------------------------------------ Dive into the World of Parallel Programming The Go Parallel Website, sponsored by Intel and developed in partnership with Slashdot Media, is your hub for all things parallel software development, from weekly thought leadership blogs to news, videos, case studies, tutorials and more. Take a look and join the conversation now. http://goparallel.sourceforge.net/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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... [show rest of quote]
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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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:
... [show rest of quote] ------------------------------------------------------------------------------ Dive into the World of Parallel Programming The Go Parallel Website, sponsored by Intel and developed in partnership with Slashdot Media, is your hub for all things parallel software development, from weekly thought leadership blogs to news, videos, case studies, tutorials and more. Take a look and join the conversation now. http://goparallel.sourceforge.net/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Thanks, that's great. |
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