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

---

Test suites

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