1 files changed, 4 insertions, 92 deletions
diff --git a/python/analytics/cms_spread.py b/python/analytics/cms_spread.py
index 24c45e73..fa61c7cf 100644
--- a/python/analytics/cms_spread.py
+++ b/python/analytics/cms_spread.py
@@ -1,12 +1,12 @@
-import atexit
+from . import cms_spread_utils
+from .cms_spread_utils import h_call, h_put
 import datetime
 import matplotlib.pyplot as plt
 import numpy as np
 import pandas as pd
 import re
 from math import exp, sqrt, log, pi
-from .black import bachelier, cnd_erf
-from numba import cfunc, types, float64, vectorize
+from .black import bachelier
 from quantlib.time.api import (
     Date,
     Period,
@@ -45,95 +45,7 @@ from utils.db import dawn_engine, serenitas_pool
 __all__ = ["CmsSpread"]
 
 
-@vectorize(
-    [
-        float64(
-            float64,
-            float64,
-            float64,
-            float64,
-            float64,
-            float64,
-            float64,
-            float64,
-            float64,
-        )
-    ],
-    cache=True,
-    nopython=True,
-)
-def h_call(z, K, S1, S2, mu_x, mu_y, sigma_x, sigma_y, rho):
-    # conditionned on S2, integral wrt S1
-    # z = (y - mu_y) / sigma_y
-    u1 = mu_x + rho * sigma_x * z
-    Ktilde = K + S2 * exp(mu_y + sigma_y * z)
-    u2 = log(Ktilde / S1)
-
-    v = sigma_x * sqrt(1 - rho * rho)
-    v2 = sigma_x * sigma_x * (1 - rho * rho)
-    x = (u1 - u2) / v
-    return 0.5 * (S1 * exp(u1 + 0.5 * v2) * cnd_erf(x + v) - Ktilde * cnd_erf(x))
-
-
-@vectorize(
-    [
-        float64(
-            float64,
-            float64,
-            float64,
-            float64,
-            float64,
-            float64,
-            float64,
-            float64,
-            float64,
-        )
-    ],
-    cache=True,
-    nopython=True,
-)
-def h_put(z, K, S1, S2, mu_x, mu_y, sigma_x, sigma_y, rho):
-    # z = (y - mu_y) / sigma_y
-    u1 = mu_x + rho * sigma_x * z
-    Ktilde = K + S2 * exp(mu_y + sigma_y * z)
-    u2 = log(Ktilde / S1)
-
-    v = sigma_x * sqrt(1 - rho * rho)
-    v2 = sigma_x * sigma_x * (1 - rho * rho)
-    x = (u2 - u1) / v
-    return 0.5 * (Ktilde * cnd_erf(x) - S1 * exp(u1 + 0.5 * v2) * cnd_erf(x - v))
-
-
-_sig = types.double(types.intc, types.CPointer(types.double))
-
-
-@cfunc(_sig, cache=True, nopython=True)
-def _h1(n, args):
-    # z = (y - mu_y) / sigma_y
-    z = args[0]
-    K = args[1]
-    S1 = args[2]
-    S2 = args[3]
-    mu_x = args[4]
-    mu_y = args[5]
-    sigma_x = args[6]
-    sigma_y = args[7]
-    rho = args[8]
-    u1 = mu_x + rho * sigma_x * z
-    Ktilde = K + S2 * exp(mu_y + sigma_y * z)
-    u2 = log(Ktilde / S1)
-
-    v = sigma_x * sqrt(1 - rho * rho)
-    v2 = sigma_x * sigma_x * (1 - rho * rho)
-    x = (u1 - u2) / v
-    return (
-        0.5
-        * (S1 * exp(u1 + 0.5 * v2) * cnd_erf(x + v) - Ktilde * cnd_erf(x))
-        * exp(-0.5 * z * z)
-    )
-
-
-_call_integrand = LowLevelCallable(_h1.ctypes)
+_call_integrand = LowLevelCallable.from_cython(cms_spread_utils, "h1")
 
 
 def get_fixings(conn, tenor1, tenor2, fixing_date=None):