Re: Quantlib Gsr model for python

Posted by troos222 on
URL: http://quantlib.414.s1.nabble.com/Quantlib-Gsr-model-for-python-tp16373p16376.html

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