Python: BlackIborCouponPricer; SwapRateHelper solved

[Chuck Swiger-4]

Thanks to the example in Python/test I found I had a wrong argument
(using libor6m, instead of libor6m() ).

Made much more progress with Bonds.cpp, now I'm stuck on how to
Pythonize:

        // Coupon pricers
         boost::shared_ptr<IborCouponPricer> pricer(new BlackIborCouponPricer);


It exists in Quantlib-0.9.7/ql/cashflows/couponpricer.cpp, the closest I
can find in quantlib_wrap.cpp is  IborCoupon

Any clue appreciated..


--Chuck



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[Luigi Ballabio]

On Thu, 2009-09-17 at 12:53 -0400, Charles Swiger wrote:
> Made much more progress with Bonds.cpp, now I'm stuck on how to
> Pythonize:
>
> // Coupon pricers
>          boost::shared_ptr<IborCouponPricer> pricer(new BlackIborCouponPricer);
>
>
> It exists in Quantlib-0.9.7/ql/cashflows/couponpricer.cpp, the closest I
> can find in quantlib_wrap.cpp is  IborCoupon

That's not exported. It should be added to the SWIG interface. Do you
want to have a try? You should export
shared_ptr<FloatingRateCouponPricer>. You can look at the way
shared_ptr<CashFlow> is exported to get an example. I'll be here if you
get stuck.

Luigi


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[Lluís Pujol]

Hi,

I am also interested on using floating Rate Bonds on Python.
(unfortunatelly I am novice to both Quantlib and SWIG)

I am trying to create the shared_ptr<FloatingRateCouponPricer>
interface, as suggested I followed the shared_ptr<CashFlow>, but I got
lost with the private member and also the registerWith that cointains
IborCouponPricer.

This is the C++ version of IborCouponPricer, any help would be appreciated.

class IborCouponPricer : public FloatingRateCouponPricer {
      public:
        IborCouponPricer(const Handle<OptionletVolatilityStructure>& v =
                                         
Handle<OptionletVolatilityStructure>())
        : capletVol_(v) { registerWith(capletVol_); }

        Handle<OptionletVolatilityStructure> capletVolatility() const{
            return capletVol_;
        }
        void setCapletVolatility(
                            const Handle<OptionletVolatilityStructure>& v =
                                   
Handle<OptionletVolatilityStructure>()) {
            unregisterWith(capletVol_);
            capletVol_ = v;
            registerWith(capletVol_);
            update();
        }
      private:
        Handle<OptionletVolatilityStructure> capletVol_;
    };

Lluís


Luigi Ballabio escribió:

> On Thu, 2009-09-17 at 12:53 -0400, Charles Swiger wrote:
>  
>> Made much more progress with Bonds.cpp, now I'm stuck on how to
>> Pythonize:
>>
>> // Coupon pricers
>>          boost::shared_ptr<IborCouponPricer> pricer(new BlackIborCouponPricer);
>>
>>
>> It exists in Quantlib-0.9.7/ql/cashflows/couponpricer.cpp, the closest I
>> can find in quantlib_wrap.cpp is  IborCoupon
>>    
>
> That's not exported. It should be added to the SWIG interface. Do you
> want to have a try? You should export
> shared_ptr<FloatingRateCouponPricer>. You can look at the way
> shared_ptr<CashFlow> is exported to get an example. I'll be here if you
> get stuck.
>
> Luigi
>
>
>  

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[Luigi Ballabio]

On Mon, 2009-11-09 at 21:13 +0100, Lluís Pujol wrote:
> I am trying to create the shared_ptr<FloatingRateCouponPricer>
> interface, as suggested I followed the shared_ptr<CashFlow>, but I got
> lost with the private member and also the registerWith that cointains
> IborCouponPricer.

Sorry for the delay.

I meant something like this for the base class:

%ignore IborCouponPricer;
class IborCouponPricer {
  public:
    // export the public interface here, if needed
};

%template(IborCouponPricer) boost::shared_ptr<IborCouponPricer>;

After that,
1) you'll add the setPricer() method to IborCoupon taking a
boost::shared_ptr<IborCouponPricer>;
2) you'll export the constructors for the concrete pricers such as
BlackIborCouponPricer with something like:

%{
typedef boost::shared_ptr<IborCouponPricer> BlackIborCouponPricerPtr;
%}

%rename(BlackIborCouponPricer) BlackIborCouponPricerPtr;
class BlackIborCouponPricerPtr
: public boost::shared_ptr<IborCouponPricer> {
  public:
    %extend {
        BlackIborCouponPricerPtr(...) {
            return new BlackIborCouponPricerPtr(
                new BlackIborCouponPricer(...));
        }
    }
};


Luigi




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