http://quantlib.414.s1.nabble.com/QuantLib-SWIG-1-3-pricing-caps-with-non-constant-vola-tp14952p15004.html
unfortunately we don't have much docs on the wrappers. I think you
to do some strange things with inheritance. We have plenty of examples
in the existing wrappers, though. Let me know if you get stuck.
> Hi Luigi,
>
> I'm not experienced with swig but would give it a try. How would you start,
> I mean which is probably the best way to get acquainted with swig-ql and
> learn how to write some wrappers?
>
> Thanks
> Toby
>
>
> 2014-02-19 16:06 GMT+01:00 Luigi Ballabio <
[hidden email]>:
>
>> Hi,
>> the chain of classes CapFloorTermVolSurface -> OptionletStripper1
>> -> StrippedOptioneltAdapter should be exported to QuantLib-SWIG. (My
>> guess is that nobody needed them yet, so they weren't exported.
>> QuantLib-SWIG tends to lag behind the C++ library. This is also true
>> of QuantLibXL, with the difference that someone used and exported
>> those particular classes).
>>
>> Are you willing to give it a try at writing the SWIG wrappers for
>> them? if so, I can point you in the right direction. And of course,
>> I'll be glad to add them to the official repository if you contribute
>> them.
>>
>> Later,
>> Luigi
>>
>>
>>
>> On Mon, Feb 10, 2014 at 10:20 AM, Nils Tobias Kramer
>> <
[hidden email]> wrote:
>> > Hi,
>> >
>> > I was delving into pricing caps and the only way I could get it to work
>> > was
>> > using ConstantOptionletVolatility(). This is because I'm using
>> > BlackCapFloorEngine() which needs an OptionletVolatiltyStructureHandle()
>> > as
>> > second argument.
>> >
>> > In QuantlibXL I could get it to work: CapFloorTermVolSurface() ->
>> > OptionletStripper1() -> StrippedOptioneltAdapter() =>
>> > OptionletVolatilityStructure().
>> >
>> > However using C# I couldn't find any constructors for
>> > CapFloorTermVolSurface() or OptionletStripper().
>> > For Surface(), LocalVolTermStructure(), and
>> > CapFloorTermVolatilityStructure() I could only find an empty constructor
>> > so
>> > I'm not sure how to use it and am not sure if these are implemented in
>> > SWIG.
>> >
>> > The only two volatility term structures I found in C# are
>> > CapFloorTermVolCurve() and BlackVarianceSurfac(). But I can't get these
>> > things converted to and OptionletVolatiltyStructure().
>> > - Any ideas on how to price a cap with a vola term structure in C#?
>> > - Should I write my own pricer or use an other pricer from Quantlib,
>> > namely:
>> > analyticcapfloorengine, discretizedcapfloor, mchullwhiteengine or
>> > treecapfloorengine?
>> >
>> > I searched and searched and searched but could only come up with this:
>> >
http://quantlib.10058.n7.nabble.com/CapFloor-surfaces-td5575.html. Also
>> >
>> >
http://implementingquantlib.blogspot.com/2014/01/chapter-3-part-7-of-7-interest-rate.html>> > didn't clear things up enough for me to solve my issue.
>> >
>> > Any suggestions are welcome.
>> >
>> > Have nice week
>> > Toby
>> >
>> >
>> >
>> >
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>> >
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>>
>>
>>
>> --
>> <
https://implementingquantlib.blogspot.com>
>> <
https://twitter.com/lballabio>
>
>