quantlib


Can't expose monotone convex interpolation in python quantlib


Using quantlib 1.9 and downloaded it as a precompiled binary as made available on prof christoph goehlke's website.
I want to use monotone convex interpolation for bootstrapping a curve from a set of instruments.
But I am unable to see the function under the installation. Therefore using piecewise flat forwards.
Any suggestions on making monotone convex interpolation work?? Python 2.7 is the interpreter.
Thanks.
Since C++ templates must be instantiated at compile time, interpolations can't be enabled on a precompiled binary when missing. To export them, you'll have to modify the SWIG interfaces, regenerate the wrappers and recompile the module.
The modifications should be in couple of places. In interpolations.i, you'll have to export the ConvexMonotone class; you can mimic what's done, e.g., for the Cubic class (unfortunately, you'll have to live with the default quadraticity, monotonicity and forcePositive parameters). In piecewiseyieldcurve.i, instead, you'll have to add the instantiation you want with an additional call to the export_piecewise_curve macro.
If that proves too difficult, you can ask for help on the QuantLib mailing list at quantlib-users#lists.sourceforge.net.

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