QuantLib error while Plotting Volatility Surface

Question

I'm trying to plot the volatility surface using the code blelow:

        plot_years = np.arange(0, 2, 0.1)
    plot_strikes = np.arange(535, 750, 1)
    fig = plt.figure()
    ax = fig.gca(projection='3d')
    X, Y = np.meshgrid(plot_strikes, plot_years)
    Z = np.array([black_var_surface.blackVol(y, x) 
                  for xr, yr in zip(X, Y) 
                      for x, y in zip(xr,yr) ]
                 ).reshape(len(X), len(X[0]))
    
    surf = ax.plot_surface(X,Y,Z, rstride=1, cstride=1, cmap=cm.coolwarm, 
                    linewidth=0.1)
    fig.colorbar(surf, shrink=0.5, aspect=5)

But I get this error :

    TypeError                                 Traceback (most recent call last)
    <ipython-input-55-8132b1b292ed> in <module>
          4 ax = fig.gca(projection='3d')
          5 X, Y = np.meshgrid(plot_strikes, plot_years)
    ----> 6 Z = np.array([black_var_surface.blackVol(y, x) 
          7               for xr, yr in zip(X, Y)
          8                   for x, y in zip(xr,yr) ]
    
    <ipython-input-55-8132b1b292ed> in <listcomp>(.0)
          4 ax = fig.gca(projection='3d')
          5 X, Y = np.meshgrid(plot_strikes, plot_years)
    ----> 6 Z = np.array([black_var_surface.blackVol(y, x) 
          7               for xr, yr in zip(X, Y)
          8                   for x, y in zip(xr,yr) ]
    
    ~\anaconda3\lib\site-packages\QuantLib\QuantLib.py in blackVol(self, *args)
       7566 
       7567     def blackVol(self, *args):
    -> 7568         return _QuantLib.BlackVolTermStructure_blackVol(self, *args)
       7569 
       7570     def blackVariance(self, *args):
    
    TypeError: Wrong number or type of arguments for overloaded function 'BlackVolTermStructure_blackVol'.
      Possible C/C++ prototypes are:
        BlackVolTermStructure::blackVol(Date const &,Real,bool) const
        BlackVolTermStructure::blackVol(Date const &,Real) const
        BlackVolTermStructure::blackVol(Time,Real,bool) const
        BlackVolTermStructure::blackVol(Time,Real) const

am I using an old version of the package? Because I'm working with a notebook that Goutham Balaraman shared in 2016.

Thank you for your help !

Answer 1

The QuantLib functions and class methods are exposed from C++ through wrappers that perform type conversion from Python types to the underlying C++ types. The obvious ones are defined (Python int to C++ int, Python float to C++ double, even Python int to C++ double if needed) but others are not.

In your case, the C++ function takes two doubles, but x and y are numpy types (you can check this with a print(type(x)) or print(type(x))). y comes from np.arange(0, 2, 0.1) and is of type np.float64, which can converts to float and then C++ double. x, instead, comes from np.arange(535, 750, 1) and is of type np.int64 which doesn't convert automatically to float, hence the error.

One way to make this work is to cast the variable explicitly, that is,

black_var_surface.blackVol(y, float(x))

Another is to use

plot_strikes = np.arange(535.0, 750.0, 1.0)

which generates an array of np.float64 instead of np.int64.