QuantLib error while Plotting Volatility Surface

Question

I'm trying to plot the volatility surface using the code blelow:

        plot_years = np.arange(0, 2, 0.1)
    plot_strikes = np.arange(535, 750, 1)
    fig = plt.figure()
    ax = fig.gca(projection='3d')
    X, Y = np.meshgrid(plot_strikes, plot_years)
    Z = np.array([black_var_surface.blackVol(y, x) 
                  for xr, yr in zip(X, Y) 
                      for x, y in zip(xr,yr) ]
                 ).reshape(len(X), len(X[0]))
    
    surf = ax.plot_surface(X,Y,Z, rstride=1, cstride=1, cmap=cm.coolwarm, 
                    linewidth=0.1)
    fig.colorbar(surf, shrink=0.5, aspect=5)

But I get this error:

    TypeError                                 Traceback (most recent call last)
    <ipython-input-55-8132b1b292ed> in <module>
          4 ax = fig.gca(projection='3d')
          5 X, Y = np.meshgrid(plot_strikes, plot_years)
    ----> 6 Z = np.array([black_var_surface.blackVol(y, x) 
          7               for xr, yr in zip(X, Y)
          8                   for x, y in zip(xr,yr) ]
    
    <ipython-input-55-8132b1b292ed> in <listcomp>(.0)
          4 ax = fig.gca(projection='3d')
          5 X, Y = np.meshgrid(plot_strikes, plot_years)
    ----> 6 Z = np.array([black_var_surface.blackVol(y, x) 
          7               for xr, yr in zip(X, Y)
          8                   for x, y in zip(xr,yr) ]
    
    ~\anaconda3\lib\site-packages\QuantLib\QuantLib.py in blackVol(self, *args)
       7566 
       7567     def blackVol(self, *args):
    -> 7568         return _QuantLib.BlackVolTermStructure_blackVol(self, *args)
       7569 
       7570     def blackVariance(self, *args):
    
    TypeError: Wrong number or type of arguments for overloaded function 'BlackVolTermStructure_blackVol'.
      Possible C/C++ prototypes are:
        BlackVolTermStructure::blackVol(Date const &,Real,bool) const
        BlackVolTermStructure::blackVol(Date const &,Real) const
        BlackVolTermStructure::blackVol(Time,Real,bool) const
        BlackVolTermStructure::blackVol(Time,Real) const

am I using an old version of the package? Because I'm working with a notebook that Goutham Balaraman shared in 2016.

Thank you for your help !

Answer 1

The QuantLib functions and class methods are exposed from C++ through wrappers that perform type conversion from Python types to the underlying C++ types. The obvious ones are defined (Python int to C++ int , Python float to C++ double , even Python int to C++ double if needed) but others are not.

In your case, the C++ function takes two doubles, but x and y are numpy types (you can check this with a print(type(x)) or print(type(x)) ). y comes from np.arange(0, 2, 0.1) and is of type np.float64 , which can converts to float and then C++ double . x , instead, comes from np.arange(535, 750, 1) and is of type np.int64 which doesn't convert automatically to float , hence the error.

One way to make this work is to cast the variable explicitly, that is,

black_var_surface.blackVol(y, float(x))

Another is to use

plot_strikes = np.arange(535.0, 750.0, 1.0)

which generates an array of np.float64 instead of np.int64 .