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POQuantlib - BlackVariancesurface
 

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  1. POQuantlib - BlackVariancesurface
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    <p>Below is my code for using Quantlib blackvariance surface. But it complains. can you advise? In this function I am calling the Blackvariance function with 6 variables</p> <hr> <pre><code>from QuantLib import * # global data todaysDate = Date(24,September,2013) Settings.instance().evaluationDate = todaysDate settlementDate = Date(24,September,2013) riskFreeRate = FlatForward(settlementDate, 0.0025, Actual365Fixed()) # option parameters exercise = EuropeanExercise(Date(23,December,2013)) payoff = PlainVanillaPayoff(Option.Call, 170.365) # market data underlying = SimpleQuote(170.365) volatility = BlackConstantVol(todaysDate, TARGET(), 0.13538, Actual365Fixed()) dividendYield = FlatForward(settlementDate, 0.0227, Actual365Fixed()) dc=ActualActual() eurexCal=Germany.Eurex print eurexCal dateVec=[] strikes=[] blackVolMatrix=[] vol=[] for i in range(10): dateVec.append(Date(24, October, 2013)+Period(i, Months)) strikes.append(170+i*10) vol.append(0.1+i/10) def create_matrix(m, n): return [[0.1]*n for _ in xrange(m)] blackVolMatrix = create_matrix(10, 10) #for x in range (10): # for y in range(10): # blackVolMatrix[x,y]=0.1 volsurf=BlackVarianceSurface(settlementDate,eurexCal,dateVec, strikes,blackVolMatrix,dc) </code></pre> <p><em><strong>I have added the 6th argument. *</em>**<em>*</em>**<em>*</em>**<em>*</em>*</strong></p> <p>Error Message:</p> <pre><code>Traceback (most recent call last): File "/home/chandra/Software/snotes/test4.py", line 39, in &lt;module&gt; strikes,blackVolMatrix,dc) File "/usr/local/lib/python2.7/dist-packages/QuantLib/QuantLib.py", line 3371, in __init__ this = _QuantLib.new_BlackVarianceSurface(*args) NotImplementedError: Wrong number or type of arguments for overloaded function 'new_BlackVarianceSurface'. Possible C/C++ prototypes are: BlackVarianceSurfacePtr(Date const &amp;,Calendar const &amp;,std::vector&lt; Date,std::allocator&lt; Date &gt; &gt; const &amp;,std::vector&lt; Real,std::allocator&lt; Real &gt; &gt; const &amp;,Matrix const &amp;,DayCounter const &amp;,BlackVarianceSurface::Extrapolation,BlackVarianceSurface::Extrapolation) BlackVarianceSurfacePtr(Date const &amp;,Calendar const &amp;,std::vector&lt; Date,std::allocator&lt; Date &gt; &gt; const &amp;,std::vector&lt; Real,std::allocator&lt; Real &gt; &gt; const &amp;,Matrix const &amp;,DayCounter const &amp;,BlackVarianceSurface::Extrapolation) BlackVarianceSurfacePtr(Date const &amp;,Calendar const &amp;,std::vector&lt; Date,std::allocator&lt; Date &gt; &gt; const &amp;,std::vector&lt; Real,std::allocator&lt; Real &gt; &gt; const &amp;,Matrix const &amp;,DayCounter const &amp;) </code></pre>
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    1. PTQuestion
    1. USK. chandra sekhar
    1. USK. chandra sekhar
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    1. This table or related slice is empty.
    1. COBy my count that type requires 6, 7 or 8 arguments, but your code only passes in 5.
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      1. POQuantlib - BlackVariancesurface
      1. USMartijn Pieters
    2. COvolsurf=BlackVarianceSurface(settlementDate,eurexCal,dateVec, strikes,blackVolMatrix,dc) it still gives same error. ( it was a typo I did not include the day count)
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      1. POQuantlib - BlackVariancesurface
      1. USK. chandra sekhar
    3. COThen the *type* of arguments is incorrect. Please [edit] your qusetion to correct that missing argument at least.
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      1. POQuantlib - BlackVariancesurface
      1. USMartijn Pieters
 

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