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| author | Guillaume Horel <guillaume.horel@gmail.com> | 2018-08-28 16:00:22 -0400 |
|---|---|---|
| committer | Guillaume Horel <guillaume.horel@gmail.com> | 2018-08-28 16:00:22 -0400 |
| commit | 54b4ce54a83cb145af8a4f22c0e9073c57cf7791 (patch) | |
| tree | 73f455d38673cf80fa7b4578ffa0c586202ecd4f | |
| parent | 8f39d027887c645d4df5abe391d268ed1ec1a53d (diff) | |
| download | pyisda-54b4ce54a83cb145af8a4f22c0e9073c57cf7791.tar.gz | |
fix openmp code
| -rw-r--r-- | pyisda/credit_index.pyx | 93 |
1 files changed, 50 insertions, 43 deletions
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx index ef04fec..1d7ae43 100644 --- a/pyisda/credit_index.pyx +++ b/pyisda/credit_index.pyx @@ -6,7 +6,7 @@ from libcpp.pair cimport pair from libcpp.memory cimport unique_ptr from cython.operator cimport dereference as deref from cpython cimport PyObject, Py_INCREF -from cython.parallel cimport prange +from cython.parallel cimport prange, parallel cimport cython from legs cimport (JpmcdsCdsContingentLegMake, JpmcdsCdsFeeLegMake, @@ -620,47 +620,54 @@ cdef double pv(const vector[shared_ptr[TCurve]]& curves, double recovery_rate if epsilon == 0.: - for i in prange(curves.size()): - tweaked_curve = curves[i].get() - recovery_rate = recovery_rates[i].get()[0] - JpmcdsContingentLegPV(legs.first, - base_date, - cash_settle_date, - step_in_date, - yc, - tweaked_curve, - recovery_rate, - &cl_pv) - JpmcdsFeeLegPV(legs.second, - base_date, - step_in_date, - cash_settle_date, - yc, - tweaked_curve, - True, - &fl_pv) - r += weights[i] * (cl_pv - fl_pv * fixed_rate) + with parallel(): + fl_pv = 0. + cl_pv = 0. + + for i in prange(curves.size()): + tweaked_curve = curves[i].get() + recovery_rate = recovery_rates[i].get()[0] + JpmcdsContingentLegPV(legs.first, + base_date, + cash_settle_date, + step_in_date, + yc, + tweaked_curve, + recovery_rate, + &cl_pv) + JpmcdsFeeLegPV(legs.second, + base_date, + step_in_date, + cash_settle_date, + yc, + tweaked_curve, + True, + &fl_pv) + r += weights[i] * (cl_pv - fl_pv * fixed_rate) else: - tweaked_curve = JpmcdsCopyCurve(curves[0].get()) - for i in prange(curves.size()): - orig_curve = curves[i].get() - tweak_curve(orig_curve, tweaked_curve, epsilon, mask) - recovery_rate = recovery_rates[i].get()[0] - JpmcdsContingentLegPV(legs.first, - base_date, - cash_settle_date, - step_in_date, - yc, - tweaked_curve, - recovery_rate, - &cl_pv) - JpmcdsFeeLegPV(legs.second, - base_date, - step_in_date, - cash_settle_date, - yc, - tweaked_curve, - True, - &fl_pv) - r += weights[i] * (cl_pv - fl_pv * fixed_rate) + with parallel(): + tweaked_curve = JpmcdsCopyCurve(curves[0].get()) + cl_pv = 0. + fl_pv = 0. + for i in prange(curves.size()): + orig_curve = curves[i].get() + tweak_curve(orig_curve, tweaked_curve, epsilon, mask) + recovery_rate = recovery_rates[i].get()[0] + JpmcdsContingentLegPV(legs.first, + base_date, + cash_settle_date, + step_in_date, + yc, + tweaked_curve, + recovery_rate, + &cl_pv) + JpmcdsFeeLegPV(legs.second, + base_date, + step_in_date, + cash_settle_date, + yc, + tweaked_curve, + True, + &fl_pv) + r += weights[i] * (cl_pv - fl_pv * fixed_rate) return r |