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Use a Python typemap for std::variant<Real, Handle<Quote>> (lballabio#744)
2 parents 5c68dcf + 56b835d commit b5ca919

3 files changed

Lines changed: 161 additions & 0 deletions

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‎SWIG/defaultprobability.i‎

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Original file line numberDiff line numberDiff line change
@@ -196,6 +196,26 @@ namespace std {
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%shared_ptr(SpreadCdsHelper)
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class SpreadCdsHelper : public DefaultProbabilityHelper {
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public:
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#if defined(SWIGPYTHON)
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%feature("kwargs") SpreadCdsHelper;
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SpreadCdsHelper(
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const std::variant<Real, Handle<Quote>>& spread,
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const Period& tenor,
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Integer settlementDays,
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const Calendar& calendar,
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Frequency frequency,
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BusinessDayConvention convention,
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DateGeneration::Rule rule,
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const DayCounter& dayCounter,
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Real recoveryRate,
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const Handle<YieldTermStructure>& discountCurve,
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bool settlesAccrual = true,
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bool paysAtDefaultTime = true,
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const Date& startDate = Date(),
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const DayCounter& lastPeriodDayCounter = DayCounter(),
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bool rebatesAccrual = true,
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CreditDefaultSwap::PricingModel model = CreditDefaultSwap::Midpoint);
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#else
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SpreadCdsHelper(
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const Handle<Quote>& spread,
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const Period& tenor,
@@ -230,12 +250,35 @@ class SpreadCdsHelper : public DefaultProbabilityHelper {
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const DayCounter& lastPeriodDayCounter = DayCounter(),
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bool rebatesAccrual = true,
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CreditDefaultSwap::PricingModel model = CreditDefaultSwap::Midpoint);
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#endif
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};
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%shared_ptr(UpfrontCdsHelper)
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class UpfrontCdsHelper : public DefaultProbabilityHelper {
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public:
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#if defined(SWIGPYTHON)
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%feature("kwargs") UpfrontCdsHelper;
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UpfrontCdsHelper(
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const std::variant<Real, Handle<Quote>>& upfront,
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Rate spread,
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const Period& tenor,
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Integer settlementDays,
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const Calendar& calendar,
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Frequency frequency,
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BusinessDayConvention convention,
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DateGeneration::Rule rule,
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const DayCounter& dayCounter,
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Real recoveryRate,
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const Handle<YieldTermStructure>& discountCurve,
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Natural upfrontSettlementDays=0,
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bool settlesAccrual = true,
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bool paysAtDefaultTime = true,
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const Date& startDate = Date(),
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const DayCounter& lastPeriodDayCounter = DayCounter(),
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bool rebatesAccrual = true,
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CreditDefaultSwap::PricingModel model = CreditDefaultSwap::Midpoint);
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#else
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UpfrontCdsHelper(
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const Handle<Quote>& upfront,
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Rate spread,
@@ -274,6 +317,7 @@ class UpfrontCdsHelper : public DefaultProbabilityHelper {
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const DayCounter& lastPeriodDayCounter = DayCounter(),
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bool rebatesAccrual = true,
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CreditDefaultSwap::PricingModel model = CreditDefaultSwap::Midpoint);
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#endif
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};
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‎SWIG/marketelements.i‎

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Original file line numberDiff line numberDiff line change
@@ -47,6 +47,62 @@ class Quote : public Observable {
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RelinkableHandle<Quote> makeQuoteHandle(Real value);
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#if defined(SWIGPYTHON)
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%typecheck(SWIG_TYPECHECK_DOUBLE) std::variant<Real, Handle<Quote>>, const std::variant<Real, Handle<Quote>>& %{
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{
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int res = SWIG_AsVal_double($input, NULL);
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$1 = SWIG_CheckState(res);
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}
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if (!$1) {
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int res = SWIG_ConvertPtr($input, 0, $descriptor(Handle<Quote>*), SWIG_POINTER_NO_NULL | 0);
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$1 = SWIG_CheckState(res);;
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}
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%}
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%typemap(in) std::variant<Real, Handle<Quote>> (int res, Real val, void * argp) %{
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res = SWIG_AsVal_double($input, &val);
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if (SWIG_IsOK(res)) {
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$1 = val;
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} else {
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res = SWIG_ConvertPtr($input, &argp, $descriptor(Handle<Quote>*), SWIG_POINTER_NO_NULL);
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if (!SWIG_IsOK(res)) {
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SWIG_exception_fail(SWIG_ArgError(res), "in method '$symname', argument $argnum of type '$type'");
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} else if (!argp) {
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SWIG_exception_fail(SWIG_ValueError, "invalid null reference in method '$symname', argument $argnum of type '$type'");
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} else {
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Handle< Quote > * h = reinterpret_cast< Handle< Quote > * >(argp);
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$1 = *h;
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if (SWIG_IsNewObj(res)) delete h;
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}
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}
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%}
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%typemap(in) const std::variant<Real, Handle<Quote>>& (std::variant<Real, Handle<Quote>> temp, int res, Real val, void * argp) %{
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res = SWIG_AsVal_double($input, &val);
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if (SWIG_IsOK(res)) {
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temp = val;
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$1 = &temp;
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} else {
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res = SWIG_ConvertPtr($input, &argp, $descriptor(Handle<Quote>*), SWIG_POINTER_NO_NULL);
88+
if (!SWIG_IsOK(res)) {
89+
SWIG_exception_fail(SWIG_ArgError(res), "in method '$symname', argument $argnum of type '$type'");
90+
} else if (!argp) {
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SWIG_exception_fail(SWIG_ValueError, "invalid null reference in method '$symname', argument $argnum of type '$type'");
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} else {
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Handle< Quote > * h = reinterpret_cast< Handle< Quote > * >(argp);
94+
temp = *h;
95+
$1 = &temp;
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if (SWIG_IsNewObj(res)) delete h;
97+
}
98+
}
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%}
100+
101+
#endif
102+
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50106
// actual quotes
51107
%{
52108
using QuantLib::SimpleQuote;

‎SWIG/ratehelpers.i‎

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Original file line numberDiff line numberDiff line change
@@ -359,6 +359,66 @@ class OISRateHelper : public RateHelper {
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%feature("kwargs") forDates;
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#endif
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public:
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#if defined(SWIGPYTHON)
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OISRateHelper(
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Natural settlementDays,
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const Period& tenor,
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const std::variant<Real, Handle<Quote>>& rate,
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const ext::shared_ptr<OvernightIndex>& index,
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const Handle<YieldTermStructure>& discountingCurve = {},
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bool telescopicValueDates = false,
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Integer paymentLag = 0,
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BusinessDayConvention paymentConvention = Following,
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Frequency paymentFrequency = Annual,
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const Calendar& paymentCalendar = Calendar(),
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const Period& forwardStart = 0 * Days,
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const Spread overnightSpread = 0.0,
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Pillar::Choice pillar = Pillar::LastRelevantDate,
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Date customPillarDate = Date(),
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RateAveraging::Type averagingMethod = RateAveraging::Compound,
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ext::optional<bool> endOfMonth = ext::nullopt,
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ext::optional<Frequency> fixedPaymentFrequency = ext::nullopt,
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const Calendar& fixedCalendar = Calendar(),
382+
Natural lookbackDays = Null<Natural>(),
383+
Natural lockoutDays = 0,
384+
bool applyObservationShift = false,
385+
const ext::shared_ptr<FloatingRateCouponPricer>& pricer = {},
386+
DateGeneration::Rule rule = DateGeneration::Backward,
387+
const Calendar& overnightCalendar = Calendar());
388+
%extend {
389+
static ext::shared_ptr<OISRateHelper> forDates(
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const Date& startDate,
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const Date& endDate,
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const std::variant<Real, Handle<Quote>>& rate,
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const ext::shared_ptr<OvernightIndex>& index,
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const Handle<YieldTermStructure>& discountingCurve = {},
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bool telescopicValueDates = false,
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Integer paymentLag = 0,
397+
BusinessDayConvention paymentConvention = Following,
398+
Frequency paymentFrequency = Annual,
399+
const Calendar& paymentCalendar = Calendar(),
400+
Spread overnightSpread = 0.0,
401+
Pillar::Choice pillar = Pillar::LastRelevantDate,
402+
Date customPillarDate = Date(),
403+
RateAveraging::Type averagingMethod = RateAveraging::Compound,
404+
ext::optional<bool> endOfMonth = ext::nullopt,
405+
ext::optional<Frequency> fixedPaymentFrequency = ext::nullopt,
406+
const Calendar& fixedCalendar = Calendar(),
407+
Natural lookbackDays = Null<Natural>(),
408+
Natural lockoutDays = 0,
409+
bool applyObservationShift = false,
410+
const ext::shared_ptr<FloatingRateCouponPricer>& pricer = {},
411+
DateGeneration::Rule rule = DateGeneration::Backward,
412+
const Calendar& overnightCalendar = Calendar()) {
413+
return ext::make_shared<OISRateHelper>(
414+
startDate, endDate, rate, index, discountingCurve,
415+
telescopicValueDates, paymentLag, paymentConvention, paymentFrequency,
416+
paymentCalendar, overnightSpread, pillar, customPillarDate, averagingMethod,
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endOfMonth, fixedPaymentFrequency, fixedCalendar, lookbackDays, lockoutDays,
418+
applyObservationShift, pricer, rule, overnightCalendar);
419+
}
420+
}
421+
#else
362422
OISRateHelper(
363423
Natural settlementDays,
364424
const Period& tenor,
@@ -417,6 +477,7 @@ class OISRateHelper : public RateHelper {
417477
applyObservationShift, pricer, rule, overnightCalendar);
418478
}
419479
}
480+
#endif
420481
ext::shared_ptr<OvernightIndexedSwap> swap();
421482
};
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