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Generate Schedule in Python with given dates

TSchulz85
Hi,
Is it possible to generate a QuantLib Schedule in python just with specific defined dates?
I'm intending to just download a bond coupon schedule from bloomberg, thus avoiding any problems with stubs.
Thanks,
Tobias
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Re: Generate Schedule in Python with given dates

CK TUNG
Here is an example
https://leanpub.com/quantlibpythoncookbook/read
calendar = UnitedStates()
dates = [Date(2,1,2015), Date(2, 2,2015),
                  Date(2,3,2015), Date(1,4,2015),
                  Date(1,5,2015), Date(1,6,2015),
                  Date(1,7,2015), Date(3,8,2015),
                  Date(1,9,2015), Date(1,10,2015),
                  Date(2,11,2015), Date(1,12,2015),
                  Date(4,1,2016)]

         rolling_convention = Following 
schedule= Schedule(dates, calendar,
                              rolling_convention) 
for i, d in enumerate(schedule):
             print i+1, d

TSchulz85 <[hidden email]> 於 2017年5月11日 上午3:04 寫道:

Hi,
Is it possible to generate a QuantLib Schedule in python just with specific
defined dates?
I'm intending to just download a bond coupon schedule from bloomberg, thus
avoiding any problems with stubs.
Thanks,
Tobias



--
View this message in context: http://quantlib.10058.n7.nabble.com/Generate-Schedule-in-Python-with-given-dates-tp18266.html
Sent from the quantlib-users mailing list archive at Nabble.com.

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Re: Generate Schedule in Python with given dates

Luigi Ballabio
This will build the schedule, but passing it to other classes such as FixedRateBond won't work.  The Schedule constructor exported to Python should be extended to support the additional parameters now available in C++.  Until then, schedules built in this way won't be very useful...

Luigi


On Thu, May 11, 2017 at 4:17 AM CK TUNG <[hidden email]> wrote:
Here is an example
https://leanpub.com/quantlibpythoncookbook/read
calendar = UnitedStates()
dates = [Date(2,1,2015), Date(2, 2,2015),
                  Date(2,3,2015), Date(1,4,2015),
                  Date(1,5,2015), Date(1,6,2015),
                  Date(1,7,2015), Date(3,8,2015),
                  Date(1,9,2015), Date(1,10,2015),
                  Date(2,11,2015), Date(1,12,2015),
                  Date(4,1,2016)]

         rolling_convention = Following 
schedule= Schedule(dates, calendar,
                              rolling_convention) 
for i, d in enumerate(schedule):
             print i+1, d

TSchulz85 <[hidden email]> 於 2017年5月11日 上午3:04 寫道:

Hi,
Is it possible to generate a QuantLib Schedule in python just with specific
defined dates?
I'm intending to just download a bond coupon schedule from bloomberg, thus
avoiding any problems with stubs.
Thanks,
Tobias



--
View this message in context: http://quantlib.10058.n7.nabble.com/Generate-Schedule-in-Python-with-given-dates-tp18266.html
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Re: Generate Schedule in Python with given dates

CK TUNG
what I think is QuantLib Python interface file needs to be updated and wrap again.  For this case just add this to scheduler.i
and rebuild
Schedule(const std::vector<Date>&,
                 const Calendar& calendar = NullCalendar(),
                 const BusinessDayConvention
                                    convention = Unadjusted,
                 boost::optional<BusinessDayConvention>
                     terminationDateConvention = boost::none,
                 const boost::optional<Period> tenor = boost::none,
                 boost::optional<DateGeneration::Rule> rule = boost::none,
                 boost::optional<bool> endOfMonth = boost::none,
                 const std::vector<bool>& isRegular = std::vector<bool>(0));





Thanks 
TUNG Ching Kai
97782276
Luigi Ballabio <[hidden email]> 於 2017年5月12日 下午5:18 寫道:

This will build the schedule, but passing it to other classes such as FixedRateBond won't work.  The Schedule constructor exported to Python should be extended to support the additional parameters now available in C++.  Until then, schedules built in this way won't be very useful...

Luigi


On Thu, May 11, 2017 at 4:17 AM CK TUNG <[hidden email]> wrote:
Here is an example
https://leanpub.com/quantlibpythoncookbook/read
calendar = UnitedStates()
dates = [Date(2,1,2015), Date(2, 2,2015),
                  Date(2,3,2015), Date(1,4,2015),
                  Date(1,5,2015), Date(1,6,2015),
                  Date(1,7,2015), Date(3,8,2015),
                  Date(1,9,2015), Date(1,10,2015),
                  Date(2,11,2015), Date(1,12,2015),
                  Date(4,1,2016)]

         rolling_convention = Following 
schedule= Schedule(dates, calendar,
                              rolling_convention) 
for i, d in enumerate(schedule):
             print i+1, d

TSchulz85 <[hidden email]> 於 2017年5月11日 上午3:04 寫道:

Hi,
Is it possible to generate a QuantLib Schedule in python just with specific
defined dates?
I'm intending to just download a bond coupon schedule from bloomberg, thus
avoiding any problems with stubs.
Thanks,
Tobias



--
View this message in context: http://quantlib.10058.n7.nabble.com/Generate-Schedule-in-Python-with-given-dates-tp18266.html
Sent from the quantlib-users mailing list archive at Nabble.com.

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Re: Generate Schedule in Python with given dates

Luigi Ballabio

Hmm. Unfortunately, I don't think that SWIG supports boost::optional out of the box. It will require some kind of mapping, which might be the reason the wrappers are not updated yet.


On Fri, May 12, 2017, 12:15 CK TUNG <[hidden email]> wrote:
what I think is QuantLib Python interface file needs to be updated and wrap again.  For this case just add this to scheduler.i
and rebuild
Schedule(const std::vector<Date>&,
                 const Calendar& calendar = NullCalendar(),
                 const BusinessDayConvention
                                    convention = Unadjusted,
                 boost::optional<BusinessDayConvention>
                     terminationDateConvention = boost::none,
                 const boost::optional<Period> tenor = boost::none,
                 boost::optional<DateGeneration::Rule> rule = boost::none,
                 boost::optional<bool> endOfMonth = boost::none,
                 const std::vector<bool>& isRegular = std::vector<bool>(0));





Thanks 
TUNG Ching Kai
97782276
Luigi Ballabio <[hidden email]> 於 2017年5月12日 下午5:18 寫道:

This will build the schedule, but passing it to other classes such as FixedRateBond won't work.  The Schedule constructor exported to Python should be extended to support the additional parameters now available in C++.  Until then, schedules built in this way won't be very useful...

Luigi


On Thu, May 11, 2017 at 4:17 AM CK TUNG <[hidden email]> wrote:
Here is an example
https://leanpub.com/quantlibpythoncookbook/read
calendar = UnitedStates()
dates = [Date(2,1,2015), Date(2, 2,2015),
                  Date(2,3,2015), Date(1,4,2015),
                  Date(1,5,2015), Date(1,6,2015),
                  Date(1,7,2015), Date(3,8,2015),
                  Date(1,9,2015), Date(1,10,2015),
                  Date(2,11,2015), Date(1,12,2015),
                  Date(4,1,2016)]

         rolling_convention = Following 
schedule= Schedule(dates, calendar,
                              rolling_convention) 
for i, d in enumerate(schedule):
             print i+1, d

TSchulz85 <[hidden email]> 於 2017年5月11日 上午3:04 寫道:

Hi,
Is it possible to generate a QuantLib Schedule in python just with specific
defined dates?
I'm intending to just download a bond coupon schedule from bloomberg, thus
avoiding any problems with stubs.
Thanks,
Tobias



--
View this message in context: http://quantlib.10058.n7.nabble.com/Generate-Schedule-in-Python-with-given-dates-tp18266.html
Sent from the quantlib-users mailing list archive at Nabble.com.

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Re: Generate Schedule in Python with given dates

CK TUNG
In fact I have tried it in Windows SWIG, it works.

Luigi Ballabio <[hidden email]> 於 2017年5月12日 下午6:27 寫道:

Hmm. Unfortunately, I don't think that SWIG supports boost::optional out of the box. It will require some kind of mapping, which might be the reason the wrappers are not updated yet.


On Fri, May 12, 2017, 12:15 CK TUNG <[hidden email]> wrote:
what I think is QuantLib Python interface file needs to be updated and wrap again.  For this case just add this to scheduler.i
and rebuild
Schedule(const std::vector<Date>&,
                 const Calendar& calendar = NullCalendar(),
                 const BusinessDayConvention
                                    convention = Unadjusted,
                 boost::optional<BusinessDayConvention>
                     terminationDateConvention = boost::none,
                 const boost::optional<Period> tenor = boost::none,
                 boost::optional<DateGeneration::Rule> rule = boost::none,
                 boost::optional<bool> endOfMonth = boost::none,
                 const std::vector<bool>& isRegular = std::vector<bool>(0));





Thanks 
TUNG Ching Kai
97782276
Luigi Ballabio <[hidden email]> 於 2017年5月12日 下午5:18 寫道:

This will build the schedule, but passing it to other classes such as FixedRateBond won't work.  The Schedule constructor exported to Python should be extended to support the additional parameters now available in C++.  Until then, schedules built in this way won't be very useful...

Luigi


On Thu, May 11, 2017 at 4:17 AM CK TUNG <[hidden email]> wrote:
Here is an example
https://leanpub.com/quantlibpythoncookbook/read
calendar = UnitedStates()
dates = [Date(2,1,2015), Date(2, 2,2015),
                  Date(2,3,2015), Date(1,4,2015),
                  Date(1,5,2015), Date(1,6,2015),
                  Date(1,7,2015), Date(3,8,2015),
                  Date(1,9,2015), Date(1,10,2015),
                  Date(2,11,2015), Date(1,12,2015),
                  Date(4,1,2016)]

         rolling_convention = Following 
schedule= Schedule(dates, calendar,
                              rolling_convention) 
for i, d in enumerate(schedule):
             print i+1, d

TSchulz85 <[hidden email]> 於 2017年5月11日 上午3:04 寫道:

Hi,
Is it possible to generate a QuantLib Schedule in python just with specific
defined dates?
I'm intending to just download a bond coupon schedule from bloomberg, thus
avoiding any problems with stubs.
Thanks,
Tobias



--
View this message in context: http://quantlib.10058.n7.nabble.com/Generate-Schedule-in-Python-with-given-dates-tp18266.html
Sent from the quantlib-users mailing list archive at Nabble.com.

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Re: Generate Schedule in Python with given dates

Luigi Ballabio
That's great to know.  May you open a pull request?

Luigi


On Fri, May 12, 2017 at 12:37 PM CK TUNG <[hidden email]> wrote:
In fact I have tried it in Windows SWIG, it works.

Luigi Ballabio <[hidden email]> 於 2017年5月12日 下午6:27 寫道:

Hmm. Unfortunately, I don't think that SWIG supports boost::optional out of the box. It will require some kind of mapping, which might be the reason the wrappers are not updated yet.


On Fri, May 12, 2017, 12:15 CK TUNG <[hidden email]> wrote:
what I think is QuantLib Python interface file needs to be updated and wrap again.  For this case just add this to scheduler.i
and rebuild
Schedule(const std::vector<Date>&,
                 const Calendar& calendar = NullCalendar(),
                 const BusinessDayConvention
                                    convention = Unadjusted,
                 boost::optional<BusinessDayConvention>
                     terminationDateConvention = boost::none,
                 const boost::optional<Period> tenor = boost::none,
                 boost::optional<DateGeneration::Rule> rule = boost::none,
                 boost::optional<bool> endOfMonth = boost::none,
                 const std::vector<bool>& isRegular = std::vector<bool>(0));





Thanks 
TUNG Ching Kai
97782276
Luigi Ballabio <[hidden email]> 於 2017年5月12日 下午5:18 寫道:

This will build the schedule, but passing it to other classes such as FixedRateBond won't work.  The Schedule constructor exported to Python should be extended to support the additional parameters now available in C++.  Until then, schedules built in this way won't be very useful...

Luigi


On Thu, May 11, 2017 at 4:17 AM CK TUNG <[hidden email]> wrote:
Here is an example
https://leanpub.com/quantlibpythoncookbook/read
calendar = UnitedStates()
dates = [Date(2,1,2015), Date(2, 2,2015),
                  Date(2,3,2015), Date(1,4,2015),
                  Date(1,5,2015), Date(1,6,2015),
                  Date(1,7,2015), Date(3,8,2015),
                  Date(1,9,2015), Date(1,10,2015),
                  Date(2,11,2015), Date(1,12,2015),
                  Date(4,1,2016)]

         rolling_convention = Following 
schedule= Schedule(dates, calendar,
                              rolling_convention) 
for i, d in enumerate(schedule):
             print i+1, d

TSchulz85 <[hidden email]> 於 2017年5月11日 上午3:04 寫道:

Hi,
Is it possible to generate a QuantLib Schedule in python just with specific
defined dates?
I'm intending to just download a bond coupon schedule from bloomberg, thus
avoiding any problems with stubs.
Thanks,
Tobias



--
View this message in context: http://quantlib.10058.n7.nabble.com/Generate-Schedule-in-Python-with-given-dates-tp18266.html
Sent from the quantlib-users mailing list archive at Nabble.com.

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Re: Generate Schedule in Python with given dates

CK TUNG
However, I don't know how to change it into named parameters in SWIG.  The last parameter isRegular is always needed for the FixedRateBond. Others are really optional.

Luigi Ballabio <[hidden email]> 於 2017年5月12日 下午7:17 寫道:

That's great to know.  May you open a pull request?

Luigi


On Fri, May 12, 2017 at 12:37 PM CK TUNG <[hidden email]> wrote:
In fact I have tried it in Windows SWIG, it works.

Luigi Ballabio <[hidden email]> 於 2017年5月12日 下午6:27 寫道:

Hmm. Unfortunately, I don't think that SWIG supports boost::optional out of the box. It will require some kind of mapping, which might be the reason the wrappers are not updated yet.


On Fri, May 12, 2017, 12:15 CK TUNG <[hidden email]> wrote:
what I think is QuantLib Python interface file needs to be updated and wrap again.  For this case just add this to scheduler.i
and rebuild
Schedule(const std::vector<Date>&,
                 const Calendar& calendar = NullCalendar(),
                 const BusinessDayConvention
                                    convention = Unadjusted,
                 boost::optional<BusinessDayConvention>
                     terminationDateConvention = boost::none,
                 const boost::optional<Period> tenor = boost::none,
                 boost::optional<DateGeneration::Rule> rule = boost::none,
                 boost::optional<bool> endOfMonth = boost::none,
                 const std::vector<bool>& isRegular = std::vector<bool>(0));





Thanks 
TUNG Ching Kai
97782276
Luigi Ballabio <[hidden email]> 於 2017年5月12日 下午5:18 寫道:

This will build the schedule, but passing it to other classes such as FixedRateBond won't work.  The Schedule constructor exported to Python should be extended to support the additional parameters now available in C++.  Until then, schedules built in this way won't be very useful...

Luigi


On Thu, May 11, 2017 at 4:17 AM CK TUNG <[hidden email]> wrote:
Here is an example
https://leanpub.com/quantlibpythoncookbook/read
calendar = UnitedStates()
dates = [Date(2,1,2015), Date(2, 2,2015),
                  Date(2,3,2015), Date(1,4,2015),
                  Date(1,5,2015), Date(1,6,2015),
                  Date(1,7,2015), Date(3,8,2015),
                  Date(1,9,2015), Date(1,10,2015),
                  Date(2,11,2015), Date(1,12,2015),
                  Date(4,1,2016)]

         rolling_convention = Following 
schedule= Schedule(dates, calendar,
                              rolling_convention) 
for i, d in enumerate(schedule):
             print i+1, d

TSchulz85 <[hidden email]> 於 2017年5月11日 上午3:04 寫道:

Hi,
Is it possible to generate a QuantLib Schedule in python just with specific
defined dates?
I'm intending to just download a bond coupon schedule from bloomberg, thus
avoiding any problems with stubs.
Thanks,
Tobias



--
View this message in context: http://quantlib.10058.n7.nabble.com/Generate-Schedule-in-Python-with-given-dates-tp18266.html
Sent from the quantlib-users mailing list archive at Nabble.com.

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Re: Generate Schedule in Python with given dates

Luigi Ballabio
Unfortunately, SWIG can't generate wrappers with named parameters if the constructor is overloaded.


On Fri, May 12, 2017 at 1:40 PM CK TUNG <[hidden email]> wrote:
However, I don't know how to change it into named parameters in SWIG.  The last parameter isRegular is always needed for the FixedRateBond. Others are really optional.

Luigi Ballabio <[hidden email]> 於 2017年5月12日 下午7:17 寫道:

That's great to know.  May you open a pull request?

Luigi


On Fri, May 12, 2017 at 12:37 PM CK TUNG <[hidden email]> wrote:
In fact I have tried it in Windows SWIG, it works.

Luigi Ballabio <[hidden email]> 於 2017年5月12日 下午6:27 寫道:

Hmm. Unfortunately, I don't think that SWIG supports boost::optional out of the box. It will require some kind of mapping, which might be the reason the wrappers are not updated yet.


On Fri, May 12, 2017, 12:15 CK TUNG <[hidden email]> wrote:
what I think is QuantLib Python interface file needs to be updated and wrap again.  For this case just add this to scheduler.i
and rebuild
Schedule(const std::vector<Date>&,
                 const Calendar& calendar = NullCalendar(),
                 const BusinessDayConvention
                                    convention = Unadjusted,
                 boost::optional<BusinessDayConvention>
                     terminationDateConvention = boost::none,
                 const boost::optional<Period> tenor = boost::none,
                 boost::optional<DateGeneration::Rule> rule = boost::none,
                 boost::optional<bool> endOfMonth = boost::none,
                 const std::vector<bool>& isRegular = std::vector<bool>(0));





Thanks 
TUNG Ching Kai
97782276
Luigi Ballabio <[hidden email]> 於 2017年5月12日 下午5:18 寫道:

This will build the schedule, but passing it to other classes such as FixedRateBond won't work.  The Schedule constructor exported to Python should be extended to support the additional parameters now available in C++.  Until then, schedules built in this way won't be very useful...

Luigi


On Thu, May 11, 2017 at 4:17 AM CK TUNG <[hidden email]> wrote:
Here is an example
https://leanpub.com/quantlibpythoncookbook/read
calendar = UnitedStates()
dates = [Date(2,1,2015), Date(2, 2,2015),
                  Date(2,3,2015), Date(1,4,2015),
                  Date(1,5,2015), Date(1,6,2015),
                  Date(1,7,2015), Date(3,8,2015),
                  Date(1,9,2015), Date(1,10,2015),
                  Date(2,11,2015), Date(1,12,2015),
                  Date(4,1,2016)]

         rolling_convention = Following 
schedule= Schedule(dates, calendar,
                              rolling_convention) 
for i, d in enumerate(schedule):
             print i+1, d

TSchulz85 <[hidden email]> 於 2017年5月11日 上午3:04 寫道:

Hi,
Is it possible to generate a QuantLib Schedule in python just with specific
defined dates?
I'm intending to just download a bond coupon schedule from bloomberg, thus
avoiding any problems with stubs.
Thanks,
Tobias



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