Well, I found out how to do it.
Without boost (only error message, because code to extract info from traceback is too heavy to post it here):
PyObject *ptype, *pvalue, *ptraceback;
PyErr_Fetch(&ptype, &pvalue, &ptraceback);
//pvalue contains error message
//ptraceback contains stack snapshot and many other information
//(see python traceback structure)
//Get error message
char *pStrErrorMessage = PyString_AsString(pvalue);
And BOOST version
try{
//some code that throws an error
}catch(error_already_set &){
PyObject *ptype, *pvalue, *ptraceback;
PyErr_Fetch(&ptype, &pvalue, &ptraceback);
handle<> hType(ptype);
object extype(hType);
handle<> hTraceback(ptraceback);
object traceback(hTraceback);
//Extract error message
string strErrorMessage = extract<string>(pvalue);
//Extract line number (top entry of call stack)
// if you want to extract another levels of call stack
// also process traceback.attr("tb_next") recurently
long lineno = extract<long> (traceback.attr("tb_lineno"));
string filename = extract<string>(traceback.attr("tb_frame").attr("f_code").attr("co_filename"));
string funcname = extract<string>(traceback.attr("tb_frame").attr("f_code").attr("co_name"));
... //cleanup here