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SwapRateHelper Question - SWIG Python

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Ioan F.

SwapRateHelper Question - SWIG Python

Hello,

I am trying to expose a new type of the SwapRateHelper constructor (already existent in QuantLib) to Python.
In the ratehelpers.i interface file, I added the following code:

//ADDED

SwapRateHelperPtr(
const Handle<Quote>& rate,
const Period &tenor,
const Calendar &calendar,
Frequency fixedFrequency,
BusinessDayConvention fixedConvention,
const DayCounter &fixedDayCount,
const boost::shared_ptr<IborIndex> &index,
const Handle<Quote> &spread=Handle<Quote>(),
const Period &fwdStart=0 *Days,
const Handle<YieldTermStructure> &discountingCurve=Handle<YieldTermStructure>()) {
boost::shared_ptr<IborIndex> libor =
boost::dynamic_pointer_cast<IborIndex>(index);
return new SwapRateHelperPtr(
new SwapRateHelper(rate, tenor, calendar,
fixedFrequency, fixedConvention,
fixedDayCount, libor,
spread, fwdStart,
discountingCurve));

//END ADDED

I was able to wrap, build and install the QuantLib library (via SWIG) into Python, but when I try to use the SwapRateHelper in Python, I get the following error:

NotImplementedError: Wrong number or type of arguments for overloaded function 'new_SwapRateHelper'.
Possible C/C++ prototypes are:....

The following code works:

qqq=SwapRateHelper(QuoteHandle(eurLiborSwaps[(2, Years)]),
Period(2, Years),
euroCalendar,
fixedLegFrequency,
fixedLegAdjustment,
fixedLegDayCounter,
EURLibor3M(),
QuoteHandle(),
Period(0,0))

while this one causes the problem:

qqq=SwapRateHelper(QuoteHandle(eurLiborSwaps[(2, Years)]),
Period(2, Years),
euroCalendar,
fixedLegFrequency,
fixedLegAdjustment,
fixedLegDayCounter,
EURLibor3M(),
QuoteHandle(),
Period(0,0),
eoniaHandle)

Furthermore, please note that Python reports the type of the eoniaHandle variable as:

QuantLib.QuantLib.YieldTermStructureHandle

Any help or suggestions are highly appreciated.
Since this is my first time posting, please excuse any breaking of the "mailing list etiquette."

Thank you,
Ioan

Luigi Ballabio

Re: SwapRateHelper Question - SWIG Python

The constructor is exported in the latest version of the code (see
<https://github.com/lballabio/quantlib/blob/master/QuantLib-SWIG/SWIG/ratehelpers.i>)
and it seems to work. Are you sure you're not picking up an old
installed version of the module? In the "Possible C/C++ prototypes
are:....* error message, is the one with the additional parameter
listed? If so, can you provide a small script that initializes the
parameters you're passing and reproduces the problem?

Luigi

On Wed, May 21, 2014 at 6:27 PM, Ioan F. <[hidden email]> wrote:

> Hello,
>
> I am trying to expose a new type of the SwapRateHelper constructor (already
> existent in QuantLib) to Python.
> In the ratehelpers.i interface file, I added the following code:
>
> //ADDED
>
> *SwapRateHelperPtr(
> const Handle& rate,
> const Period &tenor,
> const Calendar &calendar,
> Frequency fixedFrequency,
> BusinessDayConvention fixedConvention,
> const DayCounter &fixedDayCount,
> const boost::shared_ptr<IborIndex> &index,
> const Handle &spread=Handle(),
> const Period &fwdStart=0 *Days,
> const Handle<YieldTermStructure>
> &discountingCurve=Handle<YieldTermStructure>()) {
> boost::shared_ptr<IborIndex> libor =
> boost::dynamic_pointer_cast<IborIndex>(index);
> return new SwapRateHelperPtr(
> new SwapRateHelper(rate, tenor, calendar,
> fixedFrequency, fixedConvention,
> fixedDayCount, libor,
> spread, fwdStart,
> discountingCurve));*
>
> //END ADDED
>
> I was able to wrap, build and install the QuantLib library (via SWIG) into
> Python, but when I try to use the SwapRateHelper in Python, I get the
> following error:
>
> *NotImplementedError: Wrong number or type of arguments for overloaded
> function 'new_SwapRateHelper'.
> Possible C/C++ prototypes are:....*
>
> The following code works:
>
> *qqq=SwapRateHelper(QuoteHandle(eurLiborSwaps[(2, Years)]),
> Period(2, Years),
> euroCalendar,
> fixedLegFrequency,
> fixedLegAdjustment,
> fixedLegDayCounter,
> EURLibor3M(),
> QuoteHandle(),
> Period(0,0))*
>
> while this one causes the problem:
>
> *qqq=SwapRateHelper(QuoteHandle(eurLiborSwaps[(2, Years)]),
> Period(2, Years),
> euroCalendar,
> fixedLegFrequency,
> fixedLegAdjustment,
> fixedLegDayCounter,
> EURLibor3M(),
> QuoteHandle(),
> Period(0,0),
> eoniaHandle)*
>
> Furthermore, please note that Python reports the type of the eoniaHandle
> variable as:
>
> *QuantLib.QuantLib.YieldTermStructureHandle*
>
> Any help or suggestions are highly appreciated.
> Since this is my first time posting, please excuse any breaking of the
> "mailing list etiquette."
>
> Thank you,
> Ioan
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/SwapRateHelper-Question-SWIG-Python-tp15297.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
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--
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>

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Ioan F.

Re: SwapRateHelper Question - SWIG Python

Thank you Luigi.

Using the latest ratehelpers.i interface file worked.

If I may ask, how come your version of the SWIG interface files are not part of the latest "official" version? I got the latest QuantLib SWIG version available not too long ago from

http://sourceforge.net/projects/quantlib/files/QuantLib/1.4/other%20languages/

Luigi Ballabio

Re: SwapRateHelper Question - SWIG Python

On Tue, May 27, 2014 at 9:26 PM, Ioan F. <[hidden email]> wrote:
> Using the latest ratehelpers.i interface file worked.

Glad to hear it. Strange, though: your change looked the same to me. Oh well.

> If I may ask, how come your version of the SWIG interface files are not part
> of the latest "official" version?

The additional constructor was exported after the 1.4 version was released.

Cheers,
Luigi

--
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>

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