testsuite. (probably too optimistic for me). I am currently stuck on the
SwaptionVolCube2Ptr(const Handle<SwaptionVolatilityStructure>& atmVolStructure,
const std::vector<std::vector<Handle<Quote> > >& volSpreads,
const boost::shared_ptr<SwapIndex>& swapIndexBase,
const boost::shared_ptr<SwapIndex>& shortSwapIndexBase,
new SwaptionVolCube2(atmVolStructure,optionTenors,swapTenors,strikeSpreads,
volSpreads, swapIndexBase, shortSwapIndexBase, vegaWeightedSmileFit));
File "D:\Python26\Lib\site-packages\QuantLib\QuantLib.py", line 4432, in __init__
TypeError: in method 'new_SwaptionVolCube2', argument 5 of type 'std::vector< std::vector< Handle< Quote>,std::allocator< Handle< Quote> > >,std::allocator< std::vector< Handle< Quote>,std::allocator< Handle< Quote> > > > > const&'
> Hi Lluis,
> from the code you pasted, it looks like you forgot to put the the
> CmsCouponPricerPtr constructor inside %extend (you can copy how it's
> done in the BlackIborCouponPricerPtr interface.)
>
> However, I think you're making the wrong associations. You're modeling
> (CmsCouponPricer, FloatingRateCouponPricer) after
> (BlackIborCouponPricer, IborCouponPricer). Instead, CmsCouponPricer is
> at the same level as IborCouponPricer, as they're both inherited from
> FloatingRateCouponPricer; and in the role of BlackIborCouponPricer,
> you'll have one of the CMS pricers defined in conundrumpricer.hpp.
> Exporting CmsCouponPricer alone won't work, since it's an abstract
> class. What I'd suggest is something like:
>
> %{
> using QuantLib::CmsCouponPricer;
> using QuantLib::AnalyticHaganPricer // for instance
> typedef boost::shared_ptr<CmsCouponPricer>
> QuantLib::AnalyticHaganPricerPtr;
> %}
>
> %ignore QuantLib::CmsCouponPricer;
> class CmsCouponPricer {
> public:
> Handle<SwaptionVolatilityStructure> swaptionVolatility() const;
> void setSwaptionVolatility(
> const Handle<SwaptionVolatilityStructure>& v =
> Handle<SwaptionVolatilityStructure>());
> };
>
> %template(CmsCouponPricer) boost::shared_ptr<CmsCouponPricer>;
>
> %rename(AnalyticHaganPricer) AnalyticHaganPricerPtr;
> class AnalyticHaganPricerPtr : public boost::shared_ptr<CmsCouponPricer>
> {
> public:
> %extend {
> AnalyticHaganPricerPtr(
> const Handle<SwaptionVolatilityStructure>& v,
> GFunctionFactory::YieldCurveModel model,
> const Handle<Quote>& meanReversion) {
> return new AnalyticHaganPricerPtr(
> new AnalyticHaganPricer(v, model, meanReversion));
> }
> }
> };
>
> You'll also have to export the GFunctionFactory class before
> AnalyticHaganPricer, and you'll need to overload setPricer so that it
> also take a CmsCouponPricer. Write again if you get stuck, and I'll try
> to find some time and send a patch.
>
> Luigi
>
>
> On Thu, 2011-06-23 at 09:58 +0200, Lluis Pujol Bajador wrote:
>> 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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