QuantLib financial calculations - DIY package Python Interface (1)

Others 2019-12-16 23:37:14 views: null

table of Contents

QuantLib financial calculations - DIY package Python Interface (1)

Outline

QuantLib has begun PyPi release packaged Python interface to install and easy to use on the common packet indistinguishable. And timely updates to keep the latest version of the corresponding QuantLib.

The official release of Python interface to the advantage of the breadth and comprehensive , the disadvantage is the depth insufficient . Sometimes the user is not exactly the functionality required package ( "Construction of the yield curve of curve (3)" in an article mentioned before), it is desirable to re-package interface, you need to add functionality; the user has also, or C ++ source code on the level of expansion or repair the quantLib, hope packing new features expanded , and used in conjunction with the official Python interface.

In each of these cases, the user needs to do it yourself package Python interface.

How QuantLib package Python interfaces?

QuantLib using swig to encapsulate a Python interface (other interfaces language is also packaged with a swig), therefore, to package their own hands Python interface needs to understand the usage of one o'clock swig of (see here or here ).

C ++ swig package flow roughly as follows:

  1. The preparation of a number of "interface file" (file extension is .i), how to inform swig package C ++ source code;
  2. Swig run on the interface file command, it will generate a .pyfile (Python interfaces described encapsulated, comprising a number of defined functions or classes), and a .cppfile (behind the interface is calculated by the engine to generate the document);
  3. Write and run setup.py, which will compile the .cppfile and compile the resulting .sofiles (dynamic link library) with .pyfile bind, through the surface of the Python interfaces and calculation engine behind C ++;
  4. Finally obtained a Python package (included in the system directory).

QuantLib different versions of swig interface files can here be obtained. All interface files can be divided into three parts:

  1. quantlib.iIs the top interface file, swig interface code will be generated (according to this document .pyand .cpp);
  2. ql.i Intermediate layer file, interface file used together other;
  3. bonds.i, date.iAnd the like are packaged particular interface file.

Python interface to package yourself

After understanding the principle of one o'clock swig will find, in a good swig Python package interface hides behind a C ++ object of a real, actual computing tasks, type checking and exception handling, etc. In fact, these are entrusted to C ++ objects.

So you can guess, the package with some C ++ code into two different Python interfaces, interfaces should be able to mix the two, because this is just "the same person wearing different clothes."

The following test this idea by experiment.

Packaging Arrayand Matrixclass

In QuantLib two classes Arrayand Matrix, for example, they are independent, the package name as QuantLibEx package. Specific interfaces file does not need to write directly follow the release of the official version (version 1.15).

In swig interface file official release, Arrayand Matrixthe corresponding documents are linearalgebra.i, the file contains ( %include) a common.iand types.itwo files.

The above three documents together quantlib.i(renamed quantlibex.i) and ql.iindependent, and delete some of the interface package Python independent code, as the interface file QuantLibEx constructed.

Created in the directory that contains the five interface files of a QuantLibExdirectory, then run swig command to generate the necessary .pyand .cppfile:

swig -c++ -python -outdir QuantLibEx -o QuantLibEx/qlx_wrap.cpp quantlibex.i

QuantLibExDirectory will appear two files: QuantLibEx.pyand qlx_wrap.cpp. To make QuantLibEx become a Python package, you need to add a __init__.pyfile (content see appendix ).

QuantLibEx.pyAnd qlx_wrap.cppyou're ready to run pre-written setup.pydocument (content see appendix ), compiled .cppfiles, packed into the system directory and Python.

First, construct ( buildcommand) QuantLibEx package:

python3 setup.py build
running build
running build_py
creating build
creating build/lib.linux-x86_64-3.6
creating build/lib.linux-x86_64-3.6/QuantLibEx
copying QuantLibEx/__init__.py -> build/lib.linux-x86_64-3.6/QuantLibEx
copying QuantLibEx/QuantLibEx.py -> build/lib.linux-x86_64-3.6/QuantLibEx
running build_ext
building 'QuantLibEx._QuantLibEx' extension
creating build/temp.linux-x86_64-3.6
creating build/temp.linux-x86_64-3.6/QuantLibEx
x86_64-linux-gnu-gcc -pthread -DNDEBUG -g -fwrapv -O2 -Wall -g -fstack-protector-strong -Wformat -Werror=format-security -Wdate-time -D_FORTIFY_SOURCE=2 -fPIC -I/usr/include/ql -I/usr/include/python3.6m -c QuantLibEx/qlx_wrap.cpp -o build/temp.linux-x86_64-3.6/QuantLibEx/qlx_wrap.o
x86_64-linux-gnu-g++ -pthread -shared -Wl,-O1 -Wl,-Bsymbolic-functions -Wl,-Bsymbolic-functions -Wl,-z,relro -Wl,-Bsymbolic-functions -Wl,-z,relro -g -fstack-protector-strong -Wformat -Werror=format-security -Wdate-time -D_FORTIFY_SOURCE=2 build/temp.linux-x86_64-3.6/QuantLibEx/qlx_wrap.o -L/usr/lib/ -lQuantLib -o build/lib.linux-x86_64-3.6/QuantLibEx/_QuantLibEx.cpython-36m-x86_64-linux-gnu.so

Will appear after a successful build builddirectory, which contains a number of documents, including prebuilt QuantLibEx package. Then, enter the installation ( installcommand) link, packaged into Python's system directory (require sudo permissions).

sudo python3 setup.py install
running install
running build
running build_py
running build_ext
running install_lib
copying build/lib.linux-x86_64-3.6/QuantLibEx/QuantLibEx.py -> /usr/local/lib/python3.6/dist-packages/QuantLibEx
copying build/lib.linux-x86_64-3.6/QuantLibEx/_QuantLibEx.cpython-36m-x86_64-linux-gnu.so -> /usr/local/lib/python3.6/dist-packages/QuantLibEx
byte-compiling /usr/local/lib/python3.6/dist-packages/QuantLibEx/QuantLibEx.py to QuantLibEx.cpython-36.pyc
running install_egg_info
Writing /usr/local/lib/python3.6/dist-packages/QuantLibEx-0.1.egg-info

Run pip3 listyou can see the QuantLibEx.

...
QuantLib                1.17
QuantLibEx              0.1
...

QuantLibEx and official package mix

Following is a brief verify QuantLibEx (based QuantLib-1.15) and whether the official package can be mixed (QuantLib-1.17-based) use:

import QuantLib as ql
import QuantLibEx as qlx

array = ql.Array(5,0.2)
print(type(array))
print(array)

arrayX = qlx.Array(5,0.3)
print(type(arrayX))
print(arrayX)

print(array + arrayX)
<class 'QuantLib.QuantLib.Array'>
[ 0.2; 0.2; 0.2; 0.2; 0.2 ]
<class 'QuantLibEx.QuantLibEx.Array'>
[ 0.3; 0.3; 0.3; 0.3; 0.3 ]
[ 0.5; 0.5; 0.5; 0.5; 0.5 ]

A little more complex example - dimensional interpolation:

xVec = [float(i) for i in range(10)]
yVec = [float(i) for i in range(10)]

m = ql.Matrix(len(xVec), len(yVec))
mX = qlx.Matrix(len(xVec), len(yVec))

for rowIt in range(len(xVec)):
    for colIt in range(len(yVec)):
        m[rowIt][colIt] = scipy.sin(xVec[rowIt]) + scipy.sin(yVec[colIt])
        mX[rowIt][colIt] = scipy.sin(xVec[rowIt]) + scipy.sin(yVec[colIt])

print(type(m))
print(m)

print(type(mX))
print(mX)

bicubIntp = ql.BicubicSpline(
    xVec, yVec, m)

bicubIntpX = ql.BicubicSpline(
    xVec, yVec, mX)

x = 0.5
y = 4.5

print("Analytical Value:  ", scipy.sin(x) + scipy.sin(y))
print("Bicubic Value(base on ql):  ", bicubIntp(x, y))
print("Bicubic Value(base on qlx):  ", bicubIntpX(x, y))
<class 'QuantLib.QuantLib.Matrix'>
| 0 0.841471 0.909297 0.14112 -0.756802 -0.958924 -0.279415 0.656987 0.989358 0.412118 |
| 0.841471 1.68294 1.75077 0.982591 0.0846685 -0.117453 0.562055 1.49846 1.83083 1.25359 |
| 0.909297 1.75077 1.81859 1.05042 0.152495 -0.0496268 0.629882 1.56628 1.89866 1.32142 |
| 0.14112 0.982591 1.05042 0.28224 -0.615682 -0.817804 -0.138295 0.798107 1.13048 0.553238 |
| -0.756802 0.0846685 0.152495 -0.615682 -1.5136 -1.71573 -1.03622 -0.0998159 0.232556 -0.344684 |
| -0.958924 -0.117453 -0.0496268 -0.817804 -1.71573 -1.91785 -1.23834 -0.301938 0.030434 -0.546806 |
| -0.279415 0.562055 0.629882 -0.138295 -1.03622 -1.23834 -0.558831 0.377571 0.709943 0.132703 |
| 0.656987 1.49846 1.56628 0.798107 -0.0998159 -0.301938 0.377571 1.31397 1.64634 1.06911 |
| 0.989358 1.83083 1.89866 1.13048 0.232556 0.030434 0.709943 1.64634 1.97872 1.40148 |
| 0.412118 1.25359 1.32142 0.553238 -0.344684 -0.546806 0.132703 1.06911 1.40148 0.824237 |

<class 'QuantLibEx.QuantLibEx.Matrix'>
| 0 0.841471 0.909297 0.14112 -0.756802 -0.958924 -0.279415 0.656987 0.989358 0.412118 |
| 0.841471 1.68294 1.75077 0.982591 0.0846685 -0.117453 0.562055 1.49846 1.83083 1.25359 |
| 0.909297 1.75077 1.81859 1.05042 0.152495 -0.0496268 0.629882 1.56628 1.89866 1.32142 |
| 0.14112 0.982591 1.05042 0.28224 -0.615682 -0.817804 -0.138295 0.798107 1.13048 0.553238 |
| -0.756802 0.0846685 0.152495 -0.615682 -1.5136 -1.71573 -1.03622 -0.0998159 0.232556 -0.344684 |
| -0.958924 -0.117453 -0.0496268 -0.817804 -1.71573 -1.91785 -1.23834 -0.301938 0.030434 -0.546806 |
| -0.279415 0.562055 0.629882 -0.138295 -1.03622 -1.23834 -0.558831 0.377571 0.709943 0.132703 |
| 0.656987 1.49846 1.56628 0.798107 -0.0998159 -0.301938 0.377571 1.31397 1.64634 1.06911 |
| 0.989358 1.83083 1.89866 1.13048 0.232556 0.030434 0.709943 1.64634 1.97872 1.40148 |
| 0.412118 1.25359 1.32142 0.553238 -0.344684 -0.546806 0.132703 1.06911 1.40148 0.824237 |

Analytical Value:   -0.498104579060894
Bicubic Value(base on ql):   -0.49656170664824184
Bicubic Value(base on qlx):   -0.49656170664824184

So far, everything can run as expected, customized packaging and package indeed the official release of mixed use. However, some type of judgment strange :

b = array + arrayX
c = arrayX + array

print(type(b))
print(type(c))
<class 'QuantLibEx.QuantLibEx.Array'>
<class 'QuantLibEx.QuantLibEx.Array'>

Why band cwere determined to QuantLibEx in Array?

Appendix: Interface file, setup.pyand__init__.py

  • quantlibex.i：
%module QuantLibEx

%include exception.i

%exception {
    try {
        $action
    } catch (std::out_of_range& e) {
        SWIG_exception(SWIG_IndexError,const_cast<char*>(e.what()));
    } catch (std::exception& e) {
        SWIG_exception(SWIG_RuntimeError,const_cast<char*>(e.what()));
    } catch (...) {
        SWIG_exception(SWIG_UnknownError,"unknown error");
    }
}

//#if defined(SWIGPYTHON)
%{
#include <ql/version.hpp>
const int    __hexversion__ = QL_HEX_VERSION;
const char* __version__    = QL_VERSION;
%}

const int __hexversion__;
%immutable;
const char* __version__;
%mutable;
//#endif

%include ql.i
  • ql.i：
//#if defined(SWIGPYTHON)
%{
#ifdef barrier
#undef barrier
#endif
%}
//#endif

%{
#include <ql/quantlib.hpp>

#if QL_HEX_VERSION < 0x011400f0
    #error using an old version of QuantLib, please update
#endif

#ifdef BOOST_MSVC
#ifdef QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
#define BOOST_LIB_NAME boost_thread
#include <boost/config/auto_link.hpp>
#undef BOOST_LIB_NAME
#define BOOST_LIB_NAME boost_system
#include <boost/config/auto_link.hpp>
#undef BOOST_LIB_NAME
#endif
#endif

// add here SWIG version check

%}

//#ifdef SWIGPYTHON
%{
#if PY_VERSION_HEX < 0x02010000
    #error Python version 2.1.0 or later is required
#endif
%}
//#endif

// common name mappings

%include common.i
%include linearalgebra.i
%include types.i
  • types.i：
#ifndef quantlib_types_i
#define quantlib_types_i

%include common.i
%include std_common.i

%{
using QuantLib::Integer;
using QuantLib::BigInteger;
using QuantLib::Natural;
using QuantLib::BigNatural;
using QuantLib::Real;
using QuantLib::Decimal;
using QuantLib::Time;
using QuantLib::Rate;
using QuantLib::Spread;
using QuantLib::DiscountFactor;
using QuantLib::Volatility;
using QuantLib::Probability;
using QuantLib::Size;
%}

typedef int Integer;
typedef long BigInteger;
typedef unsigned int Natural;
typedef unsigned long BigNatural;
typedef double Real;

typedef Real Decimal;
typedef Real Time;
typedef Real Rate;
typedef Real Spread;
typedef Real DiscountFactor;
typedef Real Volatility;
typedef Real Probability;

//#if defined(SWIGPYTHON)
// needed for those using SWIG 1.3.21 in order to compile with VC++6
%typecheck(SWIG_TYPECHECK_INTEGER) std::size_t {
    $1 = (PyInt_Check($input) || PyLong_Check($input)) ? 1 : 0;
}
//#endif

typedef std::size_t Size;

#endif
  • common.i：
#ifndef quantlib_common_i
#define quantlib_common_i

%include stl.i
%include exception.i

%define QL_TYPECHECK_BOOL       7210    %enddef

%{
// This is necessary to avoid compile failures on
// GCC 4
// see http://svn.boost.org/trac/boost/ticket/1793

#if defined(NDEBUG)
#define BOOST_DISABLE_ASSERTS 1
#endif

#include <boost/algorithm/string/case_conv.hpp>
%}

//#if defined(SWIGPYTHON)
%typemap(in) boost::optional<bool> %{
    if($input == Py_None)
        $1 = boost::none;
    else if ($input == Py_True)
        $1 = true;
    else
        $1 = false;
%}
%typecheck (QL_TYPECHECK_BOOL) boost::optional<bool> {
if (PyBool_Check($input) || Py_None == $input)
    $1 = 1;
else
    $1 = 0;
}
//#endif

%{
// generally useful classes
using QuantLib::Error;
using QuantLib::Handle;
using QuantLib::RelinkableHandle;
%}

namespace boost {

    template <class T>
    class shared_ptr {
      public:
        T* operator->();
        //#if defined(SWIGPYTHON)
        %extend {
            bool __nonzero__() {
                return !!(*self);
            }
            bool __bool__() {
                return !!(*self);
            }
        }
        //#endif
    };

}

template <class T>
class Handle {
  public:
    Handle(const boost::shared_ptr<T>& = boost::shared_ptr<T>());
    boost::shared_ptr<T> operator->();
    //#if defined(SWIGPYTHON)
    %extend {
        bool __nonzero__() {
            return !self->empty();
        }
        bool __bool__() {
            return !self->empty();
        }
    }
    //#endif
};

template <class T>
class RelinkableHandle : public Handle<T> {
  public:
    RelinkableHandle(const boost::shared_ptr<T>& = boost::shared_ptr<T>());
    void linkTo(const boost::shared_ptr<T>&);
};

%define swigr_list_converter(ContainerRType,
                            ContainerCType, ElemCType)
%enddef

%define deprecate_feature(OldName, NewName)
//#if defined(SWIGPYTHON)
%pythoncode %{
def OldName(*args, **kwargs):
    from warnings import warn
    warn('%s is deprecated; use %s' % (OldName.__name__, NewName.__name__))
    return NewName(*args, **kwargs)
%}
//#endif
%enddef

#endif
  • linearalgebra.i
#ifndef quantlib_linear_algebra_i
#define quantlib_linear_algebra_i

%include common.i
%include types.i
%include stl.i

%{
using QuantLib::Array;
using QuantLib::Matrix;
%}

%define QL_TYPECHECK_ARRAY       4210    %enddef
%define QL_TYPECHECK_MATRIX      4220    %enddef

//#if defined(SWIGPYTHON)
%{
bool extractArray(PyObject* source, Array* target) {
    if (PyTuple_Check(source) || PyList_Check(source)) {
        Size size = (PyTuple_Check(source) ?
                     PyTuple_Size(source) :
                     PyList_Size(source));
        *target = Array(size);
        for (Size i=0; i<size; i++) {
            PyObject* o = PySequence_GetItem(source,i);
            if (PyFloat_Check(o)) {
                (*target)[i] = PyFloat_AsDouble(o);
                Py_DECREF(o);
            } else if (PyInt_Check(o)) {
                (*target)[i] = Real(PyInt_AsLong(o));
                Py_DECREF(o);
            } else {
                Py_DECREF(o);
                return false;
            }
        }
        return true;
    } else {
        return false;
    }
}
%}

%typemap(in) Array (Array* v) {
    if (extractArray($input,&$1)) {
        ;
    } else {
        SWIG_ConvertPtr($input,(void **) &v, $&1_descriptor,1);
        $1 = *v;
    }
};
%typemap(in) const Array& (Array temp) {
    if (extractArray($input,&temp)) {
        $1 = &temp;
    } else {
        SWIG_ConvertPtr($input,(void **) &$1,$1_descriptor,1);
    }
};
%typecheck(QL_TYPECHECK_ARRAY) Array {
    /* native sequence? */
    if (PyTuple_Check($input) || PyList_Check($input)) {
        Size size = PySequence_Size($input);
        if (size == 0) {
            $1 = 1;
        } else {
            PyObject* o = PySequence_GetItem($input,0);
            if (PyNumber_Check(o))
                $1 = 1;
            else
                $1 = 0;
            Py_DECREF(o);
        }
    } else {
        /* wrapped Array? */
        Array* v;
        if (SWIG_ConvertPtr($input,(void **) &v,
                            $&1_descriptor,0) != -1)
            $1 = 1;
        else
            $1 = 0;
    }
}
%typecheck(QL_TYPECHECK_ARRAY) const Array & {
    /* native sequence? */
    if (PyTuple_Check($input) || PyList_Check($input)) {
        Size size = PySequence_Size($input);
        if (size == 0) {
            $1 = 1;
        } else {
            PyObject* o = PySequence_GetItem($input,0);
            if (PyNumber_Check(o))
                $1 = 1;
            else
                $1 = 0;
            Py_DECREF(o);
        }
    } else {
        /* wrapped Array? */
        Array* v;
        if (SWIG_ConvertPtr($input,(void **) &v,
                            $1_descriptor,0) != -1)
            $1 = 1;
        else
            $1 = 0;
    }
}

%typemap(in) Matrix (Matrix* m) {
    if (PyTuple_Check($input) || PyList_Check($input)) {
        Size rows, cols;
        rows = (PyTuple_Check($input) ?
                PyTuple_Size($input) :
                PyList_Size($input));
        if (rows > 0) {
            // look ahead
            PyObject* o = PySequence_GetItem($input,0);
            if (PyTuple_Check(o) || PyList_Check(o)) {
                cols = (PyTuple_Check(o) ?
                        PyTuple_Size(o) :
                        PyList_Size(o));
                Py_DECREF(o);
            } else {
                PyErr_SetString(PyExc_TypeError, "Matrix expected");
                Py_DECREF(o);
                return NULL;
            }
        } else {
            cols = 0;
        }
        $1 = Matrix(rows,cols);
        for (Size i=0; i<rows; i++) {
            PyObject* o = PySequence_GetItem($input,i);
            if (PyTuple_Check(o) || PyList_Check(o)) {
                Size items = (PyTuple_Check(o) ?
                                        PyTuple_Size(o) :
                                        PyList_Size(o));
                if (items != cols) {
                    PyErr_SetString(PyExc_TypeError,
                        "Matrix must have equal-length rows");
                    Py_DECREF(o);
                    return NULL;
                }
                for (Size j=0; j<cols; j++) {
                    PyObject* d = PySequence_GetItem(o,j);
                    if (PyFloat_Check(d)) {
                        $1[i][j] = PyFloat_AsDouble(d);
                        Py_DECREF(d);
                    } else if (PyInt_Check(d)) {
                        $1[i][j] = Real(PyInt_AsLong(d));
                        Py_DECREF(d);
                    } else {
                        PyErr_SetString(PyExc_TypeError,"doubles expected");
                        Py_DECREF(d);
                        Py_DECREF(o);
                        return NULL;
                    }
                }
                Py_DECREF(o);
            } else {
                PyErr_SetString(PyExc_TypeError, "Matrix expected");
                Py_DECREF(o);
                return NULL;
            }
        }
    } else {
        SWIG_ConvertPtr($input,(void **) &m,$&1_descriptor,1);
        $1 = *m;
    }
};
%typemap(in) const Matrix & (Matrix temp) {
    if (PyTuple_Check($input) || PyList_Check($input)) {
        Size rows, cols;
        rows = (PyTuple_Check($input) ?
                PyTuple_Size($input) :
                PyList_Size($input));
        if (rows > 0) {
            // look ahead
            PyObject* o = PySequence_GetItem($input,0);
            if (PyTuple_Check(o) || PyList_Check(o)) {
                cols = (PyTuple_Check(o) ?
                        PyTuple_Size(o) :
                        PyList_Size(o));
                Py_DECREF(o);
            } else {
                PyErr_SetString(PyExc_TypeError, "Matrix expected");
                Py_DECREF(o);
                return NULL;
            }
        } else {
            cols = 0;
        }

        temp = Matrix(rows,cols);
        for (Size i=0; i<rows; i++) {
            PyObject* o = PySequence_GetItem($input,i);
            if (PyTuple_Check(o) || PyList_Check(o)) {
                Size items = (PyTuple_Check(o) ?
                                        PyTuple_Size(o) :
                                        PyList_Size(o));
                if (items != cols) {
                    PyErr_SetString(PyExc_TypeError,
                        "Matrix must have equal-length rows");
                    Py_DECREF(o);
                    return NULL;
                }
                for (Size j=0; j<cols; j++) {
                    PyObject* d = PySequence_GetItem(o,j);
                    if (PyFloat_Check(d)) {
                        temp[i][j] = PyFloat_AsDouble(d);
                        Py_DECREF(d);
                    } else if (PyInt_Check(d)) {
                        temp[i][j] = Real(PyInt_AsLong(d));
                        Py_DECREF(d);
                    } else {
                        PyErr_SetString(PyExc_TypeError,"doubles expected");
                        Py_DECREF(d);
                        Py_DECREF(o);
                        return NULL;
                    }
                }
                Py_DECREF(o);
            } else {
                PyErr_SetString(PyExc_TypeError, "Matrix expected");
                Py_DECREF(o);
                return NULL;
            }
        }
        $1 = &temp;
    } else {
        SWIG_ConvertPtr($input,(void **) &$1,$1_descriptor,1);
    }
};
%typecheck(QL_TYPECHECK_MATRIX) Matrix {
    /* native sequence? */
    if (PyTuple_Check($input) || PyList_Check($input)) {
        $1 = 1;
    /* wrapped Matrix? */
    } else {
        Matrix* m;
        if (SWIG_ConvertPtr($input,(void **) &m,
                            $&1_descriptor,0) != -1)
            $1 = 1;
        else
            $1 = 0;
    }
}
%typecheck(QL_TYPECHECK_MATRIX) const Matrix & {
    /* native sequence? */
    if (PyTuple_Check($input) || PyList_Check($input)) {
        $1 = 1;
    /* wrapped Matrix? */
    } else {
        Matrix* m;
        if (SWIG_ConvertPtr($input,(void **) &m,
                            $1_descriptor,0) != -1)
            $1 = 1;
        else
            $1 = 0;
    }
}
//#endif

class Array {
    //#if defined(SWIGPYTHON) || defined(SWIGRUBY)
    %rename(__len__)   size;
    //#endif
  public:
    Array();
    Array(Size n, Real fill = 0.0);
    Array(const Array&);
    Size size() const;
    %extend {
        std::string __str__() {
            std::ostringstream out;
            out << *self;
            return out.str();
        }
        //#if defined(SWIGPYTHON) || defined(SWIGRUBY) || defined(SWIGR)
        Array __add__(const Array& a) {
            return Array(*self+a);
        }
        Array __sub__(const Array& a) {
            return Array(*self-a);
        }
        Array __mul__(Real a) {
            return Array(*self*a);
        }
        Real __mul__(const Array& a) {
            return QuantLib::DotProduct(*self,a);
        }
        Array __mul__(const Matrix& a) {
            return *self*a;
        }
        Array __div__(Real a) {
            return Array(*self/a);
        }
        //#endif
        //#if defined(SWIGPYTHON)
        Array __rmul__(Real a) {
            return Array(*self*a);
        }
        Array __getslice__(Integer i, Integer j) {
            Integer size_ = static_cast<Integer>(self->size());
            if (i<0)
                i = size_+i;
            if (j<0)
                j = size_+j;
            i = std::max(0,i);
            j = std::min(size_,j);
            Array tmp(j-i);
            std::copy(self->begin()+i,self->begin()+j,tmp.begin());
            return tmp;
        }
        void __setslice__(Integer i, Integer j, const Array& rhs) {
            Integer size_ = static_cast<Integer>(self->size());
            if (i<0)
                i = size_+i;
            if (j<0)
                j = size_+j;
            i = std::max(0,i);
            j = std::min(size_,j);
            QL_ENSURE(static_cast<Integer>(rhs.size()) == j-i,
                      "arrays are not resizable");
            std::copy(rhs.begin(),rhs.end(),self->begin()+i);
        }
        bool __nonzero__() {
            return (self->size() != 0);
        }
        bool __bool__() {
            return (self->size() != 0);
        }
        //#endif
        //#if defined(SWIGPYTHON) || defined(SWIGRUBY)
        Real __getitem__(Integer i) {
            Integer size_ = static_cast<Integer>(self->size());
            if (i>=0 && i<size_) {
                return (*self)[i];
            } else if (i<0 && -i<=size_) {
                return (*self)[size_+i];
            } else {
                throw std::out_of_range("array index out of range");
            }
        }
        void __setitem__(Integer i, Real x) {
            Integer size_ = static_cast<Integer>(self->size());
            if (i>=0 && i<size_) {
                (*self)[i] = x;
            } else if (i<0 && -i<=size_) {
                (*self)[size_+i] = x;
            } else {
                throw std::out_of_range("array index out of range");
            }
        }
        //#endif
    }
};

// 2-D view

%{
typedef QuantLib::LexicographicalView<Array::iterator> DefaultLexicographicalView;
typedef QuantLib::LexicographicalView<Array::iterator>::y_iterator DefaultLexicographicalViewColumn;
%}

//#if defined(SWIGPYTHON) || defined(SWIGRUBY) || defined(SWIGR)
class DefaultLexicographicalViewColumn {
  private:
    // access control - no constructor exported
    DefaultLexicographicalViewColumn();
  public:
    %extend {
        Real __getitem__(Size i) {
            return (*self)[i];
        }
        void __setitem__(Size i, Real x) {
            (*self)[i] = x;
        }
    }
};
//#endif

%rename(LexicographicalView) DefaultLexicographicalView;
class DefaultLexicographicalView {
  public:
    Size xSize() const;
    Size ySize() const;
    %extend {
        DefaultLexicographicalView(Array& a, Size xSize) {
            return new DefaultLexicographicalView(a.begin(),a.end(),xSize);
        }
        std::string __str__() {
            std::ostringstream s;
            for (Size j=0; j<self->ySize(); j++) {
                s << "\n";
                for (Size i=0; i<self->xSize(); i++) {
                    if (i != 0)
                        s << ",";
                    Array::value_type value = (*self)[i][j];
                    s << value;
                }
            }
            s << "\n";
            return s.str();
        }
        //#if defined(SWIGPYTHON) || defined(SWIGRUBY) || defined(SWIGR)
        DefaultLexicographicalViewColumn __getitem__(Size i) {
            return (*self)[i];
        }
        //#endif
    }
};

%{
typedef QuantLib::Matrix::row_iterator MatrixRow;
using QuantLib::outerProduct;
using QuantLib::transpose;
using QuantLib::SVD;
%}

//#if defined(SWIGPYTHON) || defined(SWIGRUBY)
class MatrixRow {
  private:
    MatrixRow();
  public:
    %extend {
        Real __getitem__(Size i) {
            return (*self)[i];
        }
        void __setitem__(Size i, Real x) {
            (*self)[i] = x;
        }
    }
};
//#endif

class Matrix {
  public:
    Matrix();
    Matrix(Size rows, Size columns, Real fill = 0.0);
    Matrix(const Matrix&);
    Size rows() const;
    Size columns() const;
    %extend {
        std::string __str__() {
            std::ostringstream out;
            out << *self;
            return out.str();
        }
        //#if defined(SWIGPYTHON) || defined(SWIGRUBY)
        Matrix __add__(const Matrix& m) {
            return *self+m;
        }
        Matrix __sub__(const Matrix& m) {
            return *self-m;
        }
        Matrix __mul__(Real x) {
            return *self*x;
        }
        Array __mul__(const Array& x) {
            return *self*x;
        }
        Matrix __mul__(const Matrix& x) {
            return *self*x;
        }
        Matrix __div__(Real x) {
            return *self/x;
        }
        //#endif
        //#if defined(SWIGPYTHON) || defined(SWIGRUBY)
        MatrixRow __getitem__(Size i) {
            return (*self)[i];
        }
        //#endif
        //#if defined(SWIGPYTHON)
        Matrix __rmul__(Real x) {
            return x*(*self);
        }
        Array __rmul__(const Array& x) {
            return x*(*self);
        }
        Matrix __rmul__(const Matrix& x) {
            return x*(*self);
        }
        //#endif
    }
};

// functions

%{
using QuantLib::pseudoSqrt;
using QuantLib::SalvagingAlgorithm;
%}

struct SalvagingAlgorithm {
    //#if defined(SWIGPYTHON)
    %rename(NoAlgorithm) None;
    //#endif
    enum Type { None, Spectral };
};

Matrix transpose(const Matrix& m);
Matrix outerProduct(const Array& v1, const Array& v2);
Matrix pseudoSqrt(const Matrix& m, SalvagingAlgorithm::Type a);

class SVD {
  public:
    SVD(const Matrix&);
    const Matrix& U() const;
    const Matrix& V() const;
    Matrix S() const;
    const Array& singularValues() const;
};

#endif
  • setup.py：
"""
setup.py file for QuantLibEx
"""

from distutils.core import setup, Extension

qlx_module = Extension(
    name='QuantLibEx._QuantLibEx',
    sources=['QuantLibEx/qlx_wrap.cpp'],
    include_dirs=['/usr/include/ql'], # QuantLib 头文件所在的目录
    library_dirs=['/usr/lib/'],       # QuantLib 库所在的目录
    libraries=['QuantLib']            # QuantLib 库的名字
    )

setup(
    name        = 'QuantLibEx',
    version     = '0.1',
    author      = "xrl",
    description = "Python bindings for the QuantLibEx library",
    ext_modules = [qlx_module],
    py_modules  = ['QuantLibEx.__init__','QuantLibEx.QuantLibEx'])
  • __init__.py：
import sys
if sys.version_info.major >= 3:
    from .QuantLibEx import *
    from .QuantLibEx import _QuantLibEx
else:
    from QuantLibEx import *
    from QuantLibEx import _QuantLibEx
del sys

__author__ = 'xrl'

if hasattr(_QuantLibEx,'__version__'):
    __version__ = _QuantLibEx.__version__
elif hasattr(_QuantLibEx.cvar,'__version__'):
    __version__ = _QuantLibEx.cvar.__version__
else:
    print('Could not find __version__ attribute')

if hasattr(_QuantLibEx,'__hexversion__'):
    __hexversion__ = _QuantLibEx.__hexversion__
elif hasattr(_QuantLibEx.cvar,'__hexversion__'):
    __hexversion__ = _QuantLibEx.cvar.__hexversion__
else:
    print('Could not find __hexversion__ attribute')

__license__ = """
QuantLibEx ...
"""

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