Financial Modelling in Python

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Hybrid Python/C++ Pricing Systems 161

11.2 EXERCISING nth imm of year FROM C++

We turn our attention now to ‘embedding’ a Python interpreter in a C++ program. We have

seen how to call C++ code from Python. Here we aim to do the reverse: call Python code

from C++. To do this we use a mix of Python C API routines together with helper types and

functions in the Boost.Python library:

#include <boost/detail/lightweight test.hpp>

#include <boost/python.hpp>

#include <boost/date

time/gregorian/gregorian.hpp>

int main()

{

namespace bd = boost::date

time;

namespace bg = boost::gregorian;

namespace python = boost::python;

typedef bd::year

based generator<bg::date> ybd t;

Py

Initialise();

try

{

//extract the ppf.date

time.nth imm of year class

//object

python::object main

module = python::import(" main ");

python::object global(main

module.attr(" dict "));

python::object result =

python::exec("from ppf.date

time import *\n", global, global);

python::object nth

imm of year class = global["nth imm of year"];

//use the class object to create instances of

//nth

imm of year

python::object first

imm = nth imm of year class(bg::Mar);

python::object second

imm = nth imm of year class(bg::Jun);

python::object third

imm = nth imm of year class(bg::Sep);

python::object fourth

imm = nth imm of year class(bg::Dec);

//get references to boost date

time year based generators

//from the newly created objects

ybd

t& first imm = python::extract<ybd t&>(first imm );

ybd

t& second imm = python::extract<ybd t&>(second imm );

ybd

t& third imm = python::extract<ybd t&>(third imm );

ybd

t& fourth imm = python::extract<ybd t&>(fourth imm );

//check imm dates for 2005

BOOST TEST(first imm.get date (2005) == bg::date(2005,

bg::Mar, 16));

BOOST

TEST(second imm.get date (2005) == bg::date(2005,

bg::Jun, 15));

BOOST

TEST(third imm.get date (2005) == bg::date(2005,

bg::Sep, 21));

BOOST

TEST(fourth imm.get date (2005) == bg::date(2005,

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162 Financial Modelling in Python

bg::Dec, 21));

}

catch(python::error

already set const&)

{

PyErr

Print();

}

catch(std::runtime

error const& e)

{

std::cerr << e.what() << std::endl;

}

catch(...)

{

std::cerr << "unexpected exception" << std::endl;

}

return boost::report

errors();

}

The significant steps in the above program are as follows: first, the Python interpreter is

initialised with the call to the Python C API function Py

Initialise(). Among other

things, this has the effect of creating the fundamental ’’

main ’’ module. The following

statements

python::object main module = python::import(" main ");

python::object global(main

module.attr(" dict "));

import the main module and obtain a reference to its namespace. With these the context

for executing Python code has been obtained and we execute

python::object result =

python::exec("from ppf.date

time import *\n", global, global);

to cause Python to import all types and functions in the ppf.date time module into the

global namespace. In particular, we are interested in the nth

imm of year class object

which we retrieve with

python::object nth imm of year class = global["nth imm of year"];

With the class object at our disposal, we use it to produce nth imm of year class instances

python::object first imm = nth imm of year class(bg::Mar);

python::object second

imm = nth imm of year class(bg::Jun);

python::object third

imm = nth imm of year class(bg::Sep);

python::object fourth

imm = nth imm of year class(bg::Dec);

This is the point at which things get interesting. Since nth imm of year IS A year

based generator<date> we can manipulate them through a year based

generator<date> reference or pointer

ybd t& first imm = python::extract<ybd t&>(first imm );

ybd

t& second imm = python::extract<ybd t&>(second imm );

ybd

t& third imm = python::extract<ybd t&>(third imm );

ybd

t& fourth imm = python::extract<ybd t&>(fourth imm );

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Finally, invoking the virtual function get date on these references calls out to Python for

the implementation

BOOST TEST(first imm.get date (2005) == bg::date(2005,

bg::Mar, 16));

BOOST

TEST(second imm.get date (2005) == bg::date(2005,

bg::Jun, 15));

BOOST

TEST(third imm.get date (2005) == bg::date(2005,

bg::Sep, 21));

BOOST

TEST(fourth imm.get date (2005) == bg::date(2005,

bg::Dec, 21));

The net effect is that this shows how we can implement classes in Python and have them

behave as first-class C++ types in C++, a very powerful technique indeed!

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