Re: Generate Schedule in Python with given dates

Posted by Luigi Ballabio on May 12, 2017; 11:17am
URL: http://quantlib.414.s1.nabble.com/Generate-Schedule-in-Python-with-given-dates-tp18266p18274.html

That's great to know.  May you open a pull request?

Luigi

On Fri, May 12, 2017 at 12:37 PM CK TUNG <[hidden email]> wrote:

In fact I have tried it in Windows SWIG, it works.

Luigi Ballabio <[hidden email]> 於 2017年5月12日 下午6:27 寫道：

Hmm. Unfortunately, I don't think that SWIG supports boost::optional out of the box. It will require some kind of mapping, which might be the reason the wrappers are not updated yet.

On Fri, May 12, 2017, 12:15 CK TUNG <[hidden email]> wrote:

what I think is QuantLib Python interface file needs to be updated and wrap again.  For this case just add this to scheduler.i

and rebuild

Schedule(const std::vector<Date>&,
                 const Calendar& calendar = NullCalendar(),
                 const BusinessDayConvention
                                    convention = Unadjusted,
                 boost::optional<BusinessDayConvention>
                     terminationDateConvention = boost::none,
                 const boost::optional<Period> tenor = boost::none,
                 boost::optional<DateGeneration::Rule> rule = boost::none,
                 boost::optional<bool> endOfMonth = boost::none,
                 const std::vector<bool>& isRegular = std::vector<bool>(0));

Thanks 

TUNG Ching Kai

97782276

Luigi Ballabio <[hidden email]> 於 2017年5月12日 下午5:18 寫道：

This will build the schedule, but passing it to other classes such as FixedRateBond won't work.  The Schedule constructor exported to Python should be extended to support the additional parameters now available in C++.  Until then, schedules built in this way won't be very useful...

Luigi

On Thu, May 11, 2017 at 4:17 AM CK TUNG <[hidden email]> wrote:

Here is an example

https://leanpub.com/quantlibpythoncookbook/read

calendar = UnitedStates()

dates = [Date(2,1,2015), Date(2, 2,2015),
                  Date(2,3,2015), Date(1,4,2015),
                  Date(1,5,2015), Date(1,6,2015),
                  Date(1,7,2015), Date(3,8,2015),
                  Date(1,9,2015), Date(1,10,2015),
                  Date(2,11,2015), Date(1,12,2015),
                  Date(4,1,2016)]

         rolling_convention = Following 

schedule= Schedule(dates, calendar,
                              rolling_convention) 

for i, d in enumerate(schedule):
             print i+1, d

TSchulz85 <[hidden email]> 於 2017年5月11日 上午3:04 寫道：

Hi,
Is it possible to generate a QuantLib Schedule in python just with specific
defined dates?
I'm intending to just download a bond coupon schedule from bloomberg, thus
avoiding any problems with stubs.
Thanks,
Tobias



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