Qauntlib Wrapper Overview
Overview
The QuantLib Wrapper library is a library that provides a simplified interface in Python
to the Quantlib library. Functions provided in the library ustilize pydantic and pydantic data
classes to provide a typed functions into QuantLib functions.
Quantlib Hanlde
Most wrapper objects will create a corresponding quantlib object, which is set as the handle property
on the object.
import contracts as ct
schedule = ct.Schedule(start_date='2000-01-01', end_date='2030-01-01',
frequency= ct.Frequency.Annual,
calendar= cl.Calendar.USGovernmentBond,
convention=ct.Convention.Following,
dateroll=ct.DateRoll.Forward)
bond = ct.FixedRateBond(settlement_days=2,face_value=10000,
day_count=ct.DayCount.Actual360,
coupon=0.05,schedule=schedule)
qbond = bond.handle
Copying Objects
The dataclasses in the wrapper library are designed to be immutable. That is, once you create an
object, you cant change it. You can, however make a copy
from dataclasses import replace
contract = replace(contract)
Contracts and Helpers
The quantlib library separates out objects that represent fixed income contracts, from observiations of those contracts,
known as helpers. Helpers are used as data to the construction of term structures.
The wrapper library merges these classes. As such, there is no difference between a Fixed Income Contract, and a Fixed Income
Contract Helper.