http://quantlib.414.s1.nabble.com/CMS-Bonds-in-Python-tp458p461.html
However, I think you're making the wrong associations. You're modeling
(BlackIborCouponPricer, IborCouponPricer). Instead, CmsCouponPricer is
class. What I'd suggest is something like:
also take a CmsCouponPricer. Write again if you get stuck, and I'll try
> 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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