使用Quantlib Python进行引导

Question

I want to bootstrap a yield curve in Python using QuantLib library. I know that when doing bootstrapping using C++, there is a function for bootstrapping called PiecewiseYieldCurve in QuantLiab, but when I am using Python, there is no such function in Python QuantLib. I wonder that if in Python QuantLib there is an alias of PiecewiseYieldCurve, so I have to call the alias function name in order to use PiecewiseYieldCurve function

Should I creating my own function to bootstrap the yield curve?

Thanks!

Answer 1

PiecewiseYieldCurve is a class template, so it can't be exported to Python as such. By default, we're exporting to Python a particular instantiation of it; it's exported as PiecewiseFlatForward and it correspond to PiecewiseYieldCurve<ForwardRate,BackwardFlat> .

If you need another instantiation, you can edit QuantLib-SWIG/SWIG/piecewiseyieldcurve.i , add it (it you look at the end of the file, you'll find a few examples of how to do it) and regenerate and recompile the Python wrappers.

Finally, an example of bootstrap is available in QuantLib-SWIG/Python/examples/swap.py .