ZeroCurve in Python

Posted by Birgir Arnarson on Sep 21, 2015; 3:26pm
URL: http://quantlib.414.s1.nabble.com/ZeroCurve-in-Python-tp16922.html

Dear list,

I need advice on the use of ZeroCurve in Python.

In one of the great IPython notebook examples (http://www.implementingquantlib.com/2015/05/quantlib-notebook-duration-of-floating.html) Luigi demonstrates the convenience of using a QuoteHandle in a FlatForward termstructure. Using the QuoteHandle, one can change the curve rate and reprice the instrument with great convenience. 

As I understand it, this is not possible with the ZeroCurve. If I link an instrument to a ZeroCurve and want to change the curve rates, I'll need to create a new ZeroCurve object and link it to the instrument (via its YieldTermStructureHandle). This is most inconvenient. This is because ZeroCurve can only be constructed using a list of numbers, not a list of handles. 

Quantlib itself has a constructor that supports a vector of QuoteHandles. Is it difficult to enhance the SWIG interface to allow for this constructor as well on the Python side, or are there alternative solutions?

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