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.
Related Links
Unhandled exception in Yield Curve Quantlib .exe
How to obtain the “time” values of a schedule
Why did QuantLib introduce the Handle class?
Can't expose monotone convex interpolation in python quantlib
unable to start program QuantLib-vc120-mt-gd.lib
C++: Derive a class template from QuantLib::PiecewiseYieldCurve
clean or dirty price for FixedRateBondHelper
Which version of QuantLib is the basis for QLNet ?
xlquantlib bootstrapping Offshore KRW Curve
“end must be large than start” in Uniform1dMesher
How do I get coupon payment dates for a simple fixed bond using quantlib, quantlib-swig and python
How to calculate the local volatilty surface using QuantLib?