save recovery curve

2 files changed, 16 insertions, 4 deletions

diff --git a/pyisda/curve.pxd b/pyisda/curve.pxd
index 4b6b362..c982347 100644
--- a/pyisda/curve.pxd
+++ b/pyisda/curve.pxd
@@ -199,6 +199,7 @@ cdef class YieldCurve(Curve):
 
 cdef class SpreadCurve(Curve):
     cdef string ticker
+    cdef public double[:] recovery_rates
 
 cdef fArray_to_list(TRatePt* fArray, int fNumItems)
 
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index c3f91e5..1e64ccb 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -476,7 +476,7 @@ cdef class SpreadCurve(Curve):
         cdef TCurve* curve = NULL
         cdef unsigned int includes = 0
         cdef size_t i
-        cdef int freeup = 0
+        cdef bint freeup = False
         if cash_settle_date_c < yc._thisptr.get().fBaseDate:
             raise ValueError("cash_settle_date: {0} is anterior to yc's base_date: {1}".
                              format(cash_settle_date, yc.base_date))
@@ -484,7 +484,7 @@ cdef class SpreadCurve(Curve):
         if isinstance(end_dates, list):
             n_dates = len(end_dates)
             end_dates_c = <TDate*>malloc(n_dates * sizeof(TDate))
-            freeup = 1
+            freeup = True
             i = 0
             for d in end_dates:
                 end_dates_c[i] = pydate_to_TDate(d)
@@ -525,6 +525,7 @@ cdef class SpreadCurve(Curve):
             raise ValueError("Didn't init the survival curve properly")
         else:
             self._thisptr = make_shared(curve)
+            self.recovery_rates = recovery_rates
             if ticker:
                 self.ticker = ticker.encode()
 
@@ -534,14 +535,19 @@ cdef class SpreadCurve(Curve):
         cdef:
             TCurve* curve = self._thisptr.get()
             size_t size = TCurve_size(curve.fNumItems)
-            size_t buf_size = size + sizeof(size_t) + self.ticker.length()
+            size_t buf_size = size + sizeof(size_t) + self.ticker.length() + \
+                              sizeof(size_t) + self.recovery_rates.nbytes
             unsigned char* buf = <unsigned char*>malloc(buf_size)
             unsigned char* cursor = buf + size
         serialize(curve, buf)
         size = self.ticker.length()
         memcpy(cursor, &size, sizeof(size_t))
         cursor += sizeof(size_t)
-        self.ticker.copy(<char*>cursor, size, 0)
+        cursor += self.ticker.copy(<char*>cursor, size, 0)
+        size = self.recovery_rates.size
+        memcpy(cursor, &size, sizeof(size_t))
+        cursor += sizeof(size_t)
+        memcpy(cursor, &self.recovery_rates[0], self.recovery_rates.nbytes)
         return <bytes>buf[:buf_size]
 
     def __setstate__(self, bytes state):
@@ -549,12 +555,17 @@ cdef class SpreadCurve(Curve):
             TCurve* curve = <TCurve*>malloc(sizeof(TCurve))
             unsigned char* cursor = state
             size_t ticker_length
+            np.npy_intp size
 
         cursor = deserialize(cursor, curve)
         self._thisptr = make_shared(curve)
         memcpy(&ticker_length, cursor, sizeof(size_t))
         cursor += sizeof(size_t)
         self.ticker = string(<char*>cursor, ticker_length)
+        cursor += ticker_length
+        memcpy(&size, cursor, sizeof(size_t))
+        cursor += sizeof(size_t)
+        self.recovery_rates = np.PyArray_SimpleNewFromData(1, &size, np.NPY_DOUBLE, cursor)
 
     def __deepcopy__(self, dict memo):
         cdef SpreadCurve sc = SpreadCurve.__new__(SpreadCurve)