QuantLibPythonExamples

MORE APIs, MORE examples, MORE test suites.

Introduction

• Reconstructing SWIG interface files for building Python wrapper.
• Reimplementing QuantLib examples by Python.
• Reimplementing QuantLib test-suite by Python.

Related blog (in Chinese): https://www.cnblogs.com/xuruilong100/p/13281006.html

Environment:

• QuantLib: 1.27
• swig: 4.0.2
• icx, icpx: Intel(R) oneAPI DPC++/C++ Compiler 2022.1.0 (2022.1.0.20220316)
• ubuntu: 22.04 LTS

How to build Python wrapper

Open ../SWIGpy/ and run the following commands.

1. Generate .cpp file:

swig4.0 -w509 -c++ -python -outdir QuantLib -o QuantLib/ql_wrap.cpp quantlib.i

2. Compile .cpp file:

CC=icx CXX=icpx python3 setup.py build

3. Install Python wrapper:

python3 setup.py install

Examples

• [ ] BasketLosses
• [x] BermudanSwaption
• [x] Bonds
• [ ] CallableBonds
• [ ] CDS
• [x] ConvertibleBonds
• [ ] CVAIRS
• [ ] DiscreteHedging
• [x] EquityOption
• [ ] FittedBondCurve
• [ ] FRA
• [x] Gaussian1dModels
• [ ] GlobalOptimizer
• [ ] LatentModel
• [ ] MarketModels
• [ ] MultidimIntegral
• [x] Replication
• [ ] Repo
• [x] MulticurveBootstrapping

Test suites

• [x] americanoption
• [x] amortizingbond
• [x] andreasenhugevolatilityinterpl
• [x] array
• [x] asianoptions
• [x] assetswap
• [x] autocovariances
• [x] barrieroption
• [x] basismodels
• [x] basisswapratehelpers
• [x] basketoption
• [x] batesmodel
• [x] bermudanswaption
• [x] binaryoption
• [x] blackdeltacalculator
• [x] blackformula
• [x] bondforward
• [x] bonds
• [x] brownianbridge
• [x] businessdayconventions
• [x] calendars
• [x] callablebonds
• [x] capflooredcoupon
• [x] capfloor
• [x] cashflows
• [x] catbonds
• [ ] cdo
• [x] cdsoption
• [x] chooseroption
• [x] cliquetoption
• [x] cms
• [x] cmsspread
• [x] commodityunitofmeasure
• [x] compoundoption
• [x] convertiblebonds
• [x] covariance
• [x] creditdefaultswap
• [x] creditriskplus
• [x] crosscurrencyratehelpers
• [x] currency
• [x] curvestates
• [x] dates
• [x] daycounters
• [x] defaultprobabilitycurves
• [x] digitalcoupon
• [x] digitaloption
• [x] distributions
• [x] dividendoption
• [x] doublebarrieroption
• [x] doublebinaryoption
• [x] europeanoption
• [x] everestoption
• [x] exchangerate
• [x] extendedtrees
• [x] extensibleoptions
• [x] fastfouriertransform
• [x] fdcev
• [x] fdcir
• [x] fdheston
• [ ] fdmlinearop
• [x] fdsabr
• [x] fittedbonddiscountcurve
• [x] forwardoption
• [x] forwardrateagreement
• [x] functions
• [x] garch
• [x] gaussianquadratures
• [x] gjrgarchmodel
• [x] gsr
• [x] hestonmodel
• [x] hestonslvmodel
• [x] himalayaoption
• [x] hybridhestonhullwhiteprocess
• [x] indexes
• [x] inflation
• [x] inflationcapfloor
• [x] inflationcapflooredcoupon
• [x] inflationcpibond
• [x] inflationcpicapfloor
• [x] inflationcpiswap
• [x] inflationvolatility
• [x] inflationzciisinterpolation
• [x] instruments
• [x] integrals
• [x] interestrates
• [x] interpolations
• [x] jumpdiffusion
• [x] lazyobject
• [x] libormarketmodel
• [x] libormarketmodelprocess
• [ ] linearleastsquaresregression
• [x] lookbackoptions
• [x] lowdiscrepancysequences
• [x] margrabeoption
• [x] marketmodel_cms
• [x] marketmodel
• [x] marketmodel_smmcapletalphacalibration
• [x] marketmodel_smmcapletcalibration
• [x] marketmodel_smmcaplethomocalibration
• [x] marketmodel_smm
• [x] markovfunctional
• [x] matrices
• [x] mclongstaffschwartzengine
• [x] mersennetwister
• [x] money
• [x] noarbsabr
• [x] normalclvmodel
• [ ] nthorderderivativeop
• [ ] nthtodefault
• [x] numericaldifferentiation
• [ ] observable
• [ ] ode
• [x] operators
• [x] optimizers
• [x] optionletstripper
• [x] overnightindexedcoupon
• [x] overnightindexedswap
• [x] pagodaoption
• [x] partialtimebarrieroption
• [x] pathgenerator
• [x] period
• [x] piecewiseyieldcurve
• [x] piecewisezerospreadedtermstructure
• [x] quantooption
• [x] quotes
• [x] rangeaccrual
• [x] riskneutraldensitycalculator
• [x] riskstats
• [x] rngtraits
• [x] rounding
• [x] sampledcurve
• [x] schedule
• [x] settings
• [x] shortratemodels
• [x] sofrfutures
• [x] solvers
• [x] spreadoption
• [x] squarerootclvmodel
• [x] stats
• [x] subperiodcoupons
• [x] svivolatility
• [x] swap
• [x] swapforwardmappings
• [x] swaption
• [x] swaptionvolatilitycube
• [x] swaptionvolatilitymatrix
• [x] swingoption
• [x] termstructures
• [x] timegrid
• [x] timeseries
• [x] tqreigendecomposition
• [ ] tracing
• [x] transformedgrid
• [x] twoassetbarrieroption
• [x] twoassetcorrelationoption
• [x] ultimateforwardtermstructure
• [x] variancegamma
• [x] varianceoption
• [x] varianceswaps
• [x] volatilitymodels
• [x] vpp
• [x] zabr
• [x] zerocouponswap