Suljettu

Python Wrapper for Quantlib

I’m looking to learn how to modify SWIG libraries in the context of QuantLib, C & Python in Ubuntu.

The python class [url removed, login to view] has a couple of missing constructors when compared to the C class @ [url removed, login to view] notably the constructors that include the VolatilityType and displacement parameters as per the following:

Python Constructors

import QuantLib as ql

[url removed, login to view]()

Possible C/C++ prototypes are:

ConstantOptionletVolatilityPtr::ConstantOptionletVolatilityPtr(Date const &,Calendar const &,BusinessDayConvention,Volatility,DayCounter const &)

ConstantOptionletVolatilityPtr::ConstantOptionletVolatilityPtr(Date const &,Calendar const &,BusinessDayConvention,Handle< Quote > const &,DayCounter const &)

ConstantOptionletVolatilityPtr::ConstantOptionletVolatilityPtr(Natural,Calendar const &,BusinessDayConvention,Volatility,DayCounter const &)

ConstantOptionletVolatilityPtr::ConstantOptionletVolatilityPtr(Natural,Calendar const &,BusinessDayConvention,Handle< Quote > const &,DayCounter const &)

C Constructors

[url removed, login to view]

E.g.

ConstantOptionletVolatility::ConstantOptionletVolatility(

Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc,

const Handle< Quote > &vol, const DayCounter &dc, VolatilityType type,

Real displacement)

: OptionletVolatilityStructure(settlementDays, cal, bdc, dc),

volatility_(vol), type_(type), displacement_(displacement) {

registerWith(volatility_);

}

The deliverables I need are:

• Script to install the standard QuantLib Python in Ubuntu

• Updated C/Python/SWIG interface files clearly showing the modifications done to the latest C release of QuantLib

• Commands used to regenerate and compile the wrappers

• Detailed Documentation of work done

The contractor can look at the following link for a hint on how it’s done [url removed, login to view] .

Thanks

Taidot: Python, tietojärjestelmäarkkitehtuuri

Näytä lisää: quantlib python github, quantlib swig python, quantlib python cookbook, pip install quantlib, quantlib python examples, quantlib python mac, quantlib python install mac, quantlib tutorial, wrapper function python, python wrapper function, python wrapper lib, python matlab wrapper, gatk python wrapper, wrapper library python matlab, python wrapper

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