Hi,
Some time ago I exported some of BondFunctions I needed in the following way. I don't know if it is the best approach though.
Spread zSpread(const BondPtr& bond,
Real cleanPrice,
const boost::shared_ptr<YieldTermStructure>& d,
const DayCounter& dayCounter,
Compounding compounding,
Frequency frequency,
Date settlement,
Real accuracy,
Size maxIterations,
Rate guess) {
return QuantLib::BondFunctions::zSpread(
*(boost::dynamic_pointer_cast<Bond>(bond)),
cleanPrice,
d,
dayCounter,
compounding,
frequency,
settlement,
accuracy,
maxIterations,
guess);
}
Time duration(const BondPtr& bond,
const InterestRate& yield,
Duration::Type type,
Date settlement) {
if (settlement == Date())
settlement = boost::dynamic_pointer_cast<Bond>(bond)->settlementDate();
return CashFlows::duration(boost::dynamic_pointer_cast<Bond>(bond)->cashflows(), yield,
type,
false, settlement);
}
Real bps(const BondPtr& bond,
const InterestRate& yield,
Date settlement){
if (settlement == Date())
settlement = boost::dynamic_pointer_cast<Bond>(bond)->settlementDate();
return CashFlows::bps(boost::dynamic_pointer_cast<Bond>(bond)->cashflows(), yield,
false, settlement) * 100.0 / boost::dynamic_pointer_cast<Bond>(bond)->notional(settlement);
}
Lluís
On Tue 12/06/12 11:58 , Luigi Ballabio <[hidden email]> wrote:
Dagur,
you're correct, BondFunctions is not exported. You can try adding
it to the SWIG interfaces and rebuilding the bindings; you can use the
CashFlows class as a model (it's in SWIG/cashflows.i). If it works,
send me a patch and I'll add it to the repository. And of course,
write back if you get stuck.
Luigi
On Thu, Jun 7, 2012 at 6:21 PM, Dagur Gunnarsson <<A href="javascript:top.opencompose('dagur@kodi.is','','','1')">javascript:top.opencompose('dagur@...','','','1')> wrote:
> hello,
>
> Does anyone know how to calculate Duration for say, a fixedrate bond in
> Python-QuantLib, I am not able to find the BondFunctions class in the python
> bindings.
>
> regards
> Dagur G
>
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