Posted by
André de Boer on
Nov 17, 2015; 3:02pm
URL: http://quantlib.414.s1.nabble.com/G2Process-in-QuantLib-Swig-tp17096.html
Hello All,
In the header file StochasticProcess.hpp in the class
StochasticProcess there is an method:
virtual Disposable<Array> evolve(Time t0, const Array& x0, Time dt,
const Array& dw)
that I need in python, so I can do:
ir = g2Process->evolve(t, ir, dt, dz).
But in the file stochasticprocess.i I only see:
%{
using QuantLib::StochasticProcess;
%}
%ignore StochasticProcess;
class StochasticProcess {};
%template(StochasticProcess) boost::shared_ptr<StochasticProcess>;
IsObservable(boost::shared_ptr<StochasticProcess>);
How can I add this method 'evolve' to this class StochasticProcess?
I have already added G2Process to the file stochasticprocess.i :
%{
using QuantLib::G2Process;
typedef boost::shared_ptr<StochasticProcess> G2ProcessPtr;
%}
%rename(G2Process) G2ProcessPtr;
class G2ProcessPtr : public boost::shared_ptr<StochasticProcess> {
public:
%extend {
G2ProcessPtr(Real a, Real sigma, Real b, Real eta, Real rho) {
return new G2ProcessPtr(new G2Process(a, sigma, b, eta, rho));
}
}
};
Kind regards,
André de Boer
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