CMS Bonds in Python

Posted by Lluis Pujol Bajador on
URL: http://quantlib.414.s1.nabble.com/CMS-Bonds-in-Python-tp458.html

Hello,

I am trying to create CMS Bonds in Python and thus I need to create the relate SWIG interface files.
As I am quite newbie to both SWIG and Quantlib, I am currently stuck with the CMS pricer.

I have succesfully been able to export (at least it builds without complains) :

1) The CMSCoupon:

using QuantLib::CmsCoupon;

typedef boost::shared_ptr<CashFlow> CmsCouponPtr;

%rename(CmsCoupon) CmsCouponPtr;
class CmsCouponPtr : public FloatingRateCouponPtr {
      public:
    %extend {
        CmsCouponPtr(const Date& paymentDate, Real nominal,
                  const Date& startDate, const Date& endDate,
                  Integer fixingDays, const boost::shared_ptr<SwapIndex>& index,
                  Real gearing = 1.0, Spread spread = 0.0,
                  const Date& refPeriodStart = Date(),
                  const Date& refPeriodEnd = Date(),
                  const DayCounter& dayCounter = DayCounter(),
                  bool isInArrears = false) {       
            const boost::shared_ptr<SwapIndex> swi =
          boost::dynamic_pointer_cast<SwapIndex>(index);
            return new CmsCouponPtr(
        new CmsCoupon(paymentDate,nominal,startDate,endDate,
                  fixingDays,swi,gearing,spread,
                  refPeriodStart, refPeriodEnd, dayCounter,isInArrears));
        }
   
     }   

};

2) The CMSBond:
using QuantLib::CmsRateBond;
typedef boost::shared_ptr<Instrument> CmsRateBondPtr;
%rename(CmsRateBond) CmsRateBondPtr;
class CmsRateBondPtr : public BondPtr {
    %feature("kwargs") CmsRateBondPtr;
      public:
    %extend {
        CmsRateBondPtr(Size settlementDays,
                    Real faceAmount,
                    const Schedule& schedule,
                    const SwapIndexPtr& index,
                    const DayCounter& paymentDayCounter,
                    BusinessDayConvention paymentConvention,
                    Natural fixingDays ,
                    const std::vector<Real>& gearings ,
                    const std::vector<Spread>& spreads ,
                    const std::vector<Rate>& caps ,
                    const std::vector<Rate>& floors,
                    bool inArrears = false,
                    Real redemption = 100.0,
                    const Date& issueDate = Date()){
            boost::shared_ptr<SwapIndex> swap = boost::dynamic_pointer_cast<SwapIndex>(index);
            return new CmsRateBondPtr(
                new CmsRateBond(settlementDays,
                                     faceAmount,
                                     schedule,
                                     swap,
                                     paymentDayCounter,
                                     paymentConvention,
                                     fixingDays,
                                     gearings,
                                     spreads,
                                     caps,
                                     floors,
                                     inArrears,
                                     redemption,
                                     issueDate));
        }
      }
    };


But when try to extend the current Pricers in (cashflows.i) as follows: (I paste all the pricers altough I am just addind the CMS pricer based on how the IborCouponPricer is defined).

%{
using QuantLib::FloatingRateCouponPricer;
using QuantLib::IborCouponPricer;
using QuantLib::BlackIborCouponPricer;
using QuantLib::CmsCouponPricer;
typedef boost::shared_ptr<IborCouponPricer> BlackIborCouponPricerPtr;
typedef boost::shared_ptr<FloatingRateCouponPricer> CmsCouponPricerPtr;
%}


%ignore IborCouponPricer;
class IborCouponPricer {
  public:
    Handle<OptionletVolatilityStructure> capletVolatility() const;
    void setCapletVolatility(const Handle<OptionletVolatilityStructure>& v =
                                      Handle<OptionletVolatilityStructure>());
};

%template(IborCouponPricer) boost::shared_ptr<IborCouponPricer>;
%template(FloatingRateCouponPricer) boost::shared_ptr<FloatingRateCouponPricer>;
void setCouponPricer(const Leg&, const boost::shared_ptr<IborCouponPricer>&);


%rename(BlackIborCouponPricer) BlackIborCouponPricerPtr;
class BlackIborCouponPricerPtr : public boost::shared_ptr<IborCouponPricer> {
  public:
    %extend {
        BlackIborCouponPricerPtr(const Handle<OptionletVolatilityStructure>& v =
                                     Handle<OptionletVolatilityStructure>()) {
            return new BlackIborCouponPricerPtr(new BlackIborCouponPricer(v));
        }
    }
};

%rename(CmsCouponPricer) CmsCouponPricerPtr;
class CmsCouponPricerPtr : public boost::shared_ptr<FloatingRateCouponPricer>{
      public:
       CmsCouponPricerPtr(const Handle<SwaptionVolatilityStructure>& v =
                                        Handle<SwaptionVolatilityStructure>()) {
            return new CmsCouponPricerPtr(new CmsCouponPricer(v));
           
   
       }
};

I get the following error (translated to english).

QuantLib/quantlib_wrap.cpp(127710) : error C2664: 'boost::shared_ptr<T>::shared_
ptr(const boost::shared_ptr<T> &)' : cannot convert parameter 1 from 'co
nst QuantLib::Handle<T>' to 'const boost::shared_ptr<T> &'
        with
        [
            T=QuantLib::FloatingRateCouponPricer
        ]
        and
        [
            T=QuantLib::SwaptionVolatilityStructure
        ]
        and
        [
            T=QuantLib::FloatingRateCouponPricer
        ]
        Reason: Cannot find the conversion from 'const QuantLib::Handle<T>'
 to 'const boost::shared_ptr<T>'
        with
        [
            T=QuantLib::SwaptionVolatilityStructure
        ]
        and
        [
            T=QuantLib::FloatingRateCouponPricer
        ]

It is not clear to me if I have also to export FloatingRateCouponPricer...

As I am quite lost with SWIG I don't know if someone could hint me a way to solve this or have any guidance on how to create the SWIG interface files for Quantlib.

Thanks in advance for your help.

Lluís

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