Financial Modelling in Python

P1: JYS

c11 JWBK378-Fletcher April 24, 2009 8:17 Printer: Yet to come

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 ...