http://quantlib.414.s1.nabble.com/Trying-to-add-SWIG-for-PieceWiseHeston-tp402p403.html
>
> I am trying to add the Piecewise heston model and have the following SWIG
> code. But the Parameter type isn't currently working can someone give me a
> hand on this?
>
> %{
> using QuantLib::CalibratedModel;
> using QuantLib::TimeGrid;
> using QuantLib::Parameter;
> using QuantLib::PiecewiseTimeDependentHestonModel;
> typedef boost::shared_ptr<CalibratedModel>
> PiecewiseTimeDependentHestonModelPtr;
> %}
> %rename(PiecewiseTimeDependentHestonModel)
> PiecewiseTimeDependentHestonModelPtr;
> class PiecewiseTimeDependentHestonModelPtr : public
> boost::shared_ptr<CalibratedModel> {
> public:
> %extend {
> PiecewiseTimeDependentHestonModelPtr(const Handle<YieldTermStructure>&
> riskFreeTS,
> const Handle<YieldTermStructure>& dividendTS,
> const Handle& s0,
> Real v0, const Parameter& theta,
> const Parameter& kappa, const Parameter& sigma, const
> Parameter& rho, const TimeGrid& timeGrid)
> {
> return new PiecewiseTimeDependentHestonModelPtr(
> new PiecewiseTimeDependentHestonModel(riskFreeTS, dividendTS, s0, v0,
> theta, kappa, sigma, rho, timeGrid));
> }
>
> }
> };
> --
> View this message in context:
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>
>
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