Problems getting Python Swig to run

Question

I am trying to get Quantlib in Python to run. I had it running but had to make a new clean install and now I am struggeling getting it again running. I think the main problem seem to be in the wrapper.

My OS is Windows 10 and I am using python 3.6.3 |Anaconda custom (64-bit) and Visual Studio Community 2015. Quantlib compiles (64-bit) normally in VS15 and is also running.I compliled only the Quantlib solution not the full package.

My QL output is:

QuantLib-vc140-x64-mt

Then I set-up all the env variables as defined below:

INCLUDE=C:\QuantAna\boost_1_65_0
LIB=C:\QuantAna\boost_1_65_0\lib64-msvc-14.0
Path=C:\Users\mcm\Anaconda3;C:\Users\mcm\Anaconda3\Library\mingw-w64\bin;C:\Users\mcm\Anaconda3\Library\usr\bin;C:\Users\mcm\Anaconda3\Library\bin;C:\Users\mcm\Anaconda3\Scripts;C:\Users\mcm\Anaconda3\bin;C:\ProgramData\Oracle\Java\javapath;C:\WINDOWS\system32;C:\WINDOWS;C:\WINDOWS\System32\Wbem;C:\WINDOWS\System32\WindowsPowerShell\v1.0\;C:\Program Files\MySQL\MySQL Utilities 1.6\;C:\WINDOWS\system32\config\systemprofile\.dnx\bin;C:\Program Files\Microsoft DNX\Dnvm\;C:\Program Files (x86)\Windows Kits\8.1\Windows Performance Toolkit\;C:\Program Files (x86)\Microsoft Emulator Manager\1.0\;C:\Program Files\Microsoft SQL Server\130\Tools\Binn\;C:\Users\mcm\Anaconda3;C:\Users\mcm\Anaconda3\Library\mingw-w64\bin;C:\Users\mcm\Anaconda3\Library\usr\bin;C:\Users\mcm\Anaconda3\Library\bin;C:\Users\mcm\Anaconda3\Scripts;C:\Users\mcm\AppData\Local\Microsoft\WindowsApps;C:\QuantAna\swigwin-3.0.12;
QL_DIR=C:\QuantAna\QuantLib-1.11

I am using then the Anaconda prompt to get QL in python running as the following:

python setup.py wrap:

running wrap
Generating Python bindings for QuantLib...
SWIG(1) : Warning 125: Use of the include path to find the input file is deprecated and will not work with ccache. Please include the path when specifying the input file.

python setup.py build:

running build
running build_py
copying QuantLib\QuantLib.py -> build\lib.win-amd64-3.6\QuantLib
running build_ext
building 'QuantLib._QuantLib' extension
C:\Program Files (x86)\Microsoft Visual Studio 14.0\VC\BIN\x86_amd64\cl.exe /c /nologo /Ox /W3 /GL /DNDEBUG /MD -D__WIN32__ -DWIN32 -DNDEBUG -D_WINDOWS -DNOMINMAX -IC:\Users\mcm\Anaconda3\include -IC:\Users\mcm\Anaconda3\include -IC:\QuantAna\QuantLib-1.11 "-IC:\Program Files (x86)\Microsoft Visual Studio 14.0\VC\INCLUDE" "-IC:\Program Files (x86)\Microsoft Visual Studio 14.0\VC\ATLMFC\INCLUDE" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.10240.0\ucrt" "-IC:\Program Files (x86)\Windows Kits\NETFXSDK\4.6\include\um" "-IC:\Program Files (x86)\Windows Kits\8.1\include\\shared" "-IC:\Program Files (x86)\Windows Kits\8.1\include\\um" "-IC:\Program Files (x86)\Windows Kits\8.1\include\\winrt" -IC:\QuantAna\boost_1_65_0 "-IC:\Program Files (x86)\Microsoft Visual Studio 14.0\VC\INCLUDE" "-IC:\Program Files (x86)\Microsoft Visual Studio 14.0\VC\ATLMFC\INCLUDE" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.10240.0\ucrt" "-IC:\Program Files (x86)\Windows Kits\NETFXSDK\4.6\include\um" "-IC:\Program Files (x86)\Windows Kits\8.1\include\\shared" "-IC:\Program Files (x86)\Windows Kits\8.1\include\\um" "-IC:\Program Files (x86)\Windows Kits\8.1\include\\winrt" "-IC:\Program Files (x86)\Microsoft Visual Studio 14.0\VC\INCLUDE" "-IC:\Program Files (x86)\Microsoft Visual Studio 14.0\VC\ATLMFC\INCLUDE" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.10240.0\ucrt" "-IC:\Program Files (x86)\Windows Kits\NETFXSDK\4.6\include\um" "-IC:\Program Files (x86)\Windows Kits\8.1\include\\shared" "-IC:\Program Files (x86)\Windows Kits\8.1\include\\um" "-IC:\Program Files (x86)\Windows Kits\8.1\include\\winrt" -IC:\QuantAna\boost_1_65_0 /EHsc /TpQuantLib/quantlib_wrap.cpp /Fobuild\temp.win-amd64-3.6\Release\QuantLib/quantlib_wrap.obj /GR /FD /Zm250 /EHsc /bigobj /MD
quantlib_wrap.cpp
C:\Program Files (x86)\Microsoft Visual Studio 14.0\VC\BIN\x86_amd64\link.exe /nologo /INCREMENTAL:NO /LTCG /DLL /MANIFEST:EMBED,ID=2 /MANIFESTUAC:NO /LIBPATH:C:\Users\mcm\Anaconda3\libs /LIBPATH:C:\Users\mcm\Anaconda3\PCbuild\amd64 /LIBPATH:C:\QuantAna\QuantLib-1.11\lib "/LIBPATH:C:\Program Files (x86)\Microsoft Visual Studio 14.0\VC\LIB\amd64" "/LIBPATH:C:\Program Files (x86)\Microsoft Visual Studio 14.0\VC\ATLMFC\LIB\amd64" "/LIBPATH:C:\Program Files (x86)\Windows Kits\10\lib\10.0.10240.0\ucrt\x64" "/LIBPATH:C:\Program Files (x86)\Windows Kits\NETFXSDK\4.6\lib\um\x64" "/LIBPATH:C:\Program Files (x86)\Windows Kits\8.1\lib\winv6.3\um\x64" /LIBPATH:C:\QuantAna\boost_1_65_0\lib64-msvc-14.0 "/LIBPATH:C:\Program Files (x86)\Microsoft Visual Studio 14.0\VC\LIB\amd64" "/LIBPATH:C:\Program Files (x86)\Microsoft Visual Studio 14.0\VC\ATLMFC\LIB\amd64" "/LIBPATH:C:\Program Files (x86)\Windows Kits\10\lib\10.0.10240.0\ucrt\x64" "/LIBPATH:C:\Program Files (x86)\Windows Kits\NETFXSDK\4.6\lib\um\x64" "/LIBPATH:C:\Program Files (x86)\Windows Kits\8.1\lib\winv6.3\um\x64" "/LIBPATH:C:\Program Files (x86)\Microsoft Visual Studio 14.0\VC\LIB\amd64" "/LIBPATH:C:\Program Files (x86)\Microsoft Visual Studio 14.0\VC\ATLMFC\LIB\amd64" "/LIBPATH:C:\Program Files (x86)\Windows Kits\10\lib\10.0.10240.0\ucrt\x64" "/LIBPATH:C:\Program Files (x86)\Windows Kits\NETFXSDK\4.6\lib\um\x64" "/LIBPATH:C:\Program Files (x86)\Windows Kits\8.1\lib\winv6.3\um\x64" /LIBPATH:C:\QuantAna\boost_1_65_0\lib64-msvc-14.0 /EXPORT:PyInit__QuantLib build\temp.win-amd64-3.6\Release\QuantLib/quantlib_wrap.obj /OUT:build\lib.win-amd64-3.6\QuantLib\_QuantLib.cp36-win_amd64.pyd /IMPLIB:build\temp.win-amd64-3.6\Release\QuantLib\_QuantLib.cp36-win_amd64.lib /subsystem:windows /machine:x64
quantlib_wrap.obj : warning LNK4197: export 'PyInit__QuantLib' specified multiple times; using first specification
   Creating library build\temp.win-amd64-3.6\Release\QuantLib\_QuantLib.cp36-win_amd64.lib and object build\temp.win-amd64-3.6\Release\QuantLib\_QuantLib.cp36-win_amd64.exp
Generating code
Finished generating code

python setup.py install:

running install
running build
running build_py
running build_ext
running install_lib
copying build\lib.win-amd64-3.6\QuantLib\QuantLib.py -> C:\Users\mcm\Anaconda3\Lib\site-packages\QuantLib
copying build\lib.win-amd64-3.6\QuantLib\_QuantLib.cp36-win_amd64.pyd -> C:\Users\mcm\Anaconda3\Lib\site-packages\QuantLib
copying build\lib.win-amd64-3.6\QuantLib\__pycache__\QuantLib.cpython-36.pyc -> C:\Users\mcm\Anaconda3\Lib\site-packages\QuantLib\__pycache__
byte-compiling C:\Users\mcm\Anaconda3\Lib\site-packages\QuantLib\QuantLib.py to QuantLib.cpython-36.pyc
running install_egg_info
Removing C:\Users\mcm\Anaconda3\Lib\site-packages\QuantLib_Python-1.11-py3.6.egg-info
Writing C:\Users\mcm\Anaconda3\Lib\site-packages\QuantLib_Python-1.11-py3.6.egg-info

python setup.py test:

When running the test I am getting the following error messages:

running test
running build
running build_py
running build_ext
testing QuantLib 1.11
runTest (date.DateTest)
Testing date arithmetics ... ok
runTest (daycounters.DayCountersTest)
Testing daycounters ... ok
testObservable (instruments.InstrumentTest)
Testing observability of stocks ... ok
testObservable (marketelements.MarketElementTest)
Testing observability of market elements ... ok
testObservableHandle (marketelements.MarketElementTest)
Testing observability of market element handles ... ok
testKronrod (integrals.IntegralTest)
Testing Gauss-Kronrod integration ... ok
testSegment (integrals.IntegralTest)
Testing segment integration ... ok
testSimpson (integrals.IntegralTest)
Testing Simpson integration ... ok
testTrapezoid (integrals.IntegralTest)
Testing trapezoid integration ... ok
runTest (solvers1d.Solver1DTest)
Testing 1-D solvers ... ok
testFSpreadedObs (termstructures.TermStructureTest)
Testing observability of forward-spreaded term structure ... ok
testImpliedObs (termstructures.TermStructureTest)
Testing observability of implied term structure ... ok
testZSpreadedObs (termstructures.TermStructureTest)
Testing observability of zero-spreaded term structure ... ok
testCashFlows (bonds.FixedRateBondTest)
Testing that the FixedRateBond gives the expected cash flows. ... ok
testCleanPrice (bonds.FixedRateBondTest)
Testing FixedRateBond clean price. ... ok
testCleanPriceFromZSpread (bonds.FixedRateBondTest)
Testing FixedRateBond clean price derived from Z-spread. ... ok
testDayCounter (bonds.FixedRateBondTest)
Testing FixedRateBond dayCounter() method. ... ok
testDirtyPrice (bonds.FixedRateBondTest)
Testing FixedRateBond dirty price. ... ok
testFrequency (bonds.FixedRateBondTest)
Testing FixedRateBond frequency() method. ... ok
testNextCoupon (bonds.FixedRateBondTest)
Testing FixedRateBond correct next coupon amount. ... FAIL
testNotional (bonds.FixedRateBondTest)
Testing FixedRateBond notional values. ... FAIL
testPrevCoupon (bonds.FixedRateBondTest)
Testing FixedRateBond correct previous coupon amount. ... ok
testRedemption (bonds.FixedRateBondTest)
Testing FixedRateBond redemption value and date. ... ok
testRedemptions (bonds.FixedRateBondTest)
Testing FixedRateBond redemptions. ... ok
testSimpleInspectors (bonds.FixedRateBondTest)
Testing FixedRateBond simple inspectors. ... FAIL
testBond (ratehelpers.FixedRateBondHelperTest)
Testing FixedRateBondHelper bond() method. ... FAIL
testFairRate (cms.CmsTest)
Testing Hagan-pricer flat-vol equivalence for coupons... ... ok
testParity (cms.CmsTest)
Testing put-call parity for capped-floored CMS coupons... ... ok
testConsistency (assetswap.AssetSwapTest)
Testing consistency between fair price and fair spread... ... ok
testGenericBondImplied (assetswap.AssetSwapTest)
Testing implied generic-bond value against asset-swap fair price with null    spread... ... ok
testImpliedValue (assetswap.AssetSwapTest)
Testing implied bond value against asset-swap fair price with null spread... ... ok
testMASWWithGenericBond (assetswap.AssetSwapTest)
Testing market asset swap against par asset swap with generic bond... ... ok
testMarketASWSpread (assetswap.AssetSwapTest)
Testing relationship between market asset swap and par asset swap... ... ok
testSpecializedBondVsGenericBond (assetswap.AssetSwapTest)
Testing clean and dirty prices for specialized bond against equivalent generic bond... ... ok
testSpecializedBondVsGenericBondUsingAsw (assetswap.AssetSwapTest)
Testing asset-swap prices and spreads for specialized bond against equivalent generic bond... ... ok
testZSpread (assetswap.AssetSwapTest)
Testing clean and dirty price with null Z-spread against theoretical prices... ... ok
testZSpreadWithGenericBond (assetswap.AssetSwapTest)
Testing clean and dirty price with null Z-spread against theoretical prices... ... ok
testBachelierCapFloorEngine (capfloor.CapFloorTest)
Testing BachelierCapFloorEngine ... ok
testBlackCapFloorEngine (capfloor.CapFloorTest)
Testing BlackCapFloorEngine ... ok
test_blackFormula (blackformula.BlackFormulaTest)
Testing blackFormula in a simple Black-Scholes World... ... ok
test_black_formula_implied_stdev (blackformula.BlackFormulaTest)
Testing implied volatility calculator ... ok
test_single_spot_delta (blackformula.BlackDeltaCalculatorTest)
Test for a single strike for call spot delta 75 ... ok
test_spot_atm_delta_calculator (blackformula.BlackDeltaCalculatorTest)
Test for 0-delta straddle strike ... ok

======================================================================
FAIL: testNextCoupon (bonds.FixedRateBondTest)
Testing FixedRateBond correct next coupon amount.
----------------------------------------------------------------------
Traceback (most recent call last):
  File "test\bonds.py", line 95, in testNextCoupon
    self.assertEqual(self.bond.nextCouponRate(self.issue_date), 0.05)
AssertionError: 0.0 != 0.05

======================================================================
FAIL: testNotional (bonds.FixedRateBondTest)
Testing FixedRateBond notional values.
----------------------------------------------------------------------
Traceback (most recent call last):
  File "test\bonds.py", line 90, in testNotional
    self.assertEqual(self.bond.notional(), 100.0)
AssertionError: 0.0 != 100.0

======================================================================
FAIL: testSimpleInspectors (bonds.FixedRateBondTest)
Testing FixedRateBond simple inspectors.
----------------------------------------------------------------------
Traceback (most recent call last):
  File "test\bonds.py", line 59, in testSimpleInspectors
    self.assertEqual(self.bond.notional(), self.face_amount)
AssertionError: 0.0 != 100.0

======================================================================
FAIL: testBond (ratehelpers.FixedRateBondHelperTest)
Testing FixedRateBondHelper bond() method.`enter code here`
----------------------------------------------------------------------
Traceback (most recent call last):
  File "test\ratehelpers.py", line 46, in testBond
    self.assertEqual(bond.nextCouponRate(), self.coupons[0])
AssertionError: 0.0 != 0.05

----------------------------------------------------------------------
Ran 43 tests in 1.565s

FAILED (failures=4)

I am not sure where the problem is. I tried many things like 32-bit othe VS version etc with the same result. Also when chaning something in the swig file (things which were previously working) the build fails. So therefore I was thinking it must be something in the wrapping.

Answer 1

There's nothing wrong with your installation. There is a problem in the tests, which surfaced recently (see https://github.com/lballabio/QuantLib-SWIG/issues/89). The problem was fixed (https://github.com/lballabio/QuantLib-SWIG/pull/90) but the fix still hasn't made into a release, hence the errors you're seeing.

You can go ahead and install the module you built.