allow to pass None for start_date, step_in_date and cash_settle_date

3 files changed, 39 insertions, 7 deletions

diff --git a/pyisda/curve.pxd b/pyisda/curve.pxd
index 8d62d65..3f5c744 100644
--- a/pyisda/curve.pxd
+++ b/pyisda/curve.pxd
@@ -96,7 +96,7 @@ cdef extern from "isda/cds.h" nogil:
         TDate           startDate,
         # Step in date of the benchmark CDS
         TDate           stepinDate,
-        # Date when payment should be make
+        # Date when payment should be made
         TDate           cashSettleDate,
         # Number of benchmark dates
         long            nbDate,
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index b839ee9..c966d03 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -1,7 +1,8 @@
 from libc.math cimport log1p, log
-from date cimport (JpmcdsStringToDateInterval, pydate_to_TDate, dcc,
+from date cimport (JpmcdsStringToDateInterval, pydate_to_TDate, dcc, TMonthDayYear,
                    JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust, TDate_to_pydate,
-                   JpmcdsDateFromBusDaysOffset, JpmcdsStringToDayCountConv, ACT_360)
+                   JpmcdsDateFromBusDaysOffset, JpmcdsStringToDayCountConv, ACT_360,
+                   JpmcdsDateToMDY, JpmcdsMDYToDate)
 from date import dcc_tostring
 from cdsone cimport JpmcdsStringToStubMethod, TStubMethod
 from legs cimport (JpmcdsCdsContingentLegMake, JpmcdsCdsFeeLegMake,
@@ -39,6 +40,22 @@ cdef inline shared_ptr[TCurve] make_shared(TCurve* ptr) nogil:
 cdef inline void double_free(double* ptr) nogil:
     free(ptr)
 
+cdef TDate previous_twentieth(TDate d) nogil:
+    cdef TMonthDayYear mdy
+    JpmcdsDateToMDY(d, &mdy)
+    if mdy.day < 20:
+        mdy.month = 12 if mdy.month == 1 else mdy.month - 1
+    mdy.day = 20
+    cdef int mod = mdy.month % 3
+    if mod != 0:
+        mdy.month -= mod
+        if mdy.month < 0:
+            mdy.month += 12
+            mdy.year -= 1
+    cdef TDate r
+    JpmcdsMDYToDate(&mdy, &r)
+    return r
+
 cdef class Curve(object):
 
     def __getstate__(self):
@@ -466,9 +483,23 @@ cdef class SpreadCurve(Curve):
                  str ticker=None):
 
         cdef TDate today_c = pydate_to_TDate(today)
-        cdef TDate step_in_date_c = pydate_to_TDate(step_in_date)
-        cdef TDate cash_settle_date_c = pydate_to_TDate(cash_settle_date)
-        cdef TDate start_date_c = pydate_to_TDate(start_date)
+        cdef TDate step_in_date_c
+        cdef TDate cash_settle_date_c
+        cdef TDate start_date_c
+
+        if start_date is None:
+            start_date_c = previous_twentieth(today_c)
+        else:
+            start_date_c = pydate_to_TDate(start_date)
+        if step_in_date is None:
+            step_in_date_c = today_c + 1
+        else:
+            step_in_date_c = pydate_to_TDate(step_in_date)
+        if cash_settle_date is None:
+            JpmcdsDateFromBusDaysOffset(today_c, 3, "None", &cash_settle_date_c)
+        else:
+            cash_settle_date_c = pydate_to_TDate(cash_settle_date)
+
         cdef int n_dates
         cdef TDate* end_dates_c = NULL
         cdef TCurve* curve = NULL
@@ -520,7 +551,7 @@ cdef class SpreadCurve(Curve):
                                            b'NONE')
             if freeup:
                 free(end_dates_c)
-        if curve == NULL:
+        if curve is NULL:
             raise ValueError("Didn't init the survival curve properly")
         else:
             self._thisptr = make_shared(curve)
diff --git a/pyisda/date.pxd b/pyisda/date.pxd
index dda35d0..56d1e45 100644
--- a/pyisda/date.pxd
+++ b/pyisda/date.pxd
@@ -29,6 +29,7 @@ cdef extern from "isda/date_sup.h" nogil:
 cdef extern from "isda/dateconv.h" nogil:
     TDate JpmcdsDate(long year, long month, long day)
     int JpmcdsDateToMDY(TDate date, TMonthDayYear *mdyDate)
+    int JpmcdsMDYToDate(TMonthDayYear*, TDate*)
 
 cdef extern from "isda/ldate.h" nogil:
     int JpmcdsDateFwdThenAdjust(TDate date, TDateInterval* interval, long badDayMethod,