Fixes to CreditIndex

- switch to map for tickers (order is guaranteed)
- add tickers methods, and return list of tickers in survival_matrix

2 files changed, 26 insertions, 14 deletions

diff --git a/pyisda/credit_index.pxd b/pyisda/credit_index.pxd
index 56267f9..e3e1de1 100644
--- a/pyisda/credit_index.pxd
+++ b/pyisda/credit_index.pxd
@@ -2,7 +2,7 @@ from legs cimport TContingentLeg, TFeeLeg
 from date cimport TDate
 from curve cimport TCurve, TRatePt, shared_ptr
 from libcpp.vector cimport vector
-from libcpp.unordered_map cimport unordered_map
+from libcpp.map cimport map
 from libcpp.string cimport string
 
 cdef class CurveList:
@@ -10,7 +10,7 @@ cdef class CurveList:
     cdef vector[double] _weights
     cdef vector[double] T
     cdef vector[shared_ptr[TCurve]] _curves
-    cdef unordered_map[string, size_t] tickers
+    cdef map[string, size_t] tickers
     cdef vector[shared_ptr[double]] recovery_rates
 
 cdef class CreditIndex(CurveList):
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx
index d25e05a..6731ca9 100644
--- a/pyisda/credit_index.pyx
+++ b/pyisda/credit_index.pyx
@@ -52,7 +52,7 @@ cdef class CurveList:
         cdef:
             SpreadCurve sc
             size_t i
-            unordered_map[string, size_t].iterator it
+            map[string, size_t].iterator it
             size_t n = len(curves)
 
         if isinstance(curves[0], SpreadCurve):
@@ -91,7 +91,7 @@ cdef class CurveList:
     def __getitem__(self, str ticker):
         cdef:
             string ticker_cpp = ticker.encode()
-            unordered_map[string, size_t].iterator got = \
+            map[string, size_t].iterator got = \
                 self.tickers.find(ticker_cpp)
             SpreadCurve sc
 
@@ -120,13 +120,23 @@ cdef class CurveList:
     @property
     def weights(self):
         cdef np.npy_intp shape = self._weights.size()
-        cdef np.ndarray out =  \
+        cdef np.ndarray[np.float64_t, ndim=1] out =  \
                     np.PyArray_SimpleNewFromData(1, &shape, np.NPY_DOUBLE, self._weights.data())
         out.base = <PyObject*>self
         Py_INCREF(self)
         return out
 
     @property
+    def tickers(self):
+        cdef np.npy_intp shape = self.tickers.size()
+        cdef pair[string, size_t] p
+        cdef np.ndarray out = np.PyArray_EMPTY(1, &shape, np.NPY_OBJECT, 1)
+        for p in self.tickers:
+            out[p.second] = p.first.decode('utf-8')
+        return out
+
+
+    @property
     def curves(self):
         """returns the list of curves inside the porfolio.
 
@@ -150,7 +160,7 @@ cdef class CurveList:
             size_t len_l = len(l)
             size_t i
             SpreadCurve sc
-            unordered_map[string, size_t].iterator it
+            map[string, size_t].iterator it
 
         self._curves.clear()
         self.tickers.clear()
@@ -310,7 +320,6 @@ cdef class CreditIndex(CurveList):
         h =  Hash64WithSeed(<char*>self._weights.data(), sizeof(double) * self._weights.size(), h)
         return h
 
-
     #@cython.initializedcheck(False)
     def pv_vec(self, step_in_date, value_date, YieldCurve yc, double recovery_rate):
         cdef:
@@ -483,17 +492,20 @@ cdef class CreditIndex(CurveList):
     def survival_matrix(self, TDate[:] schedule, d1=None):
         cdef:
             shared_ptr[TCurve] sc
+            pair[string, size_t] p
             TDate start_date
-            size_t i, j
+            size_t i
             np.npy_intp[2] n = [self._curves.size(), schedule.shape[0]]
-            np.ndarray[np.float64_t,ndim=2] sp = np.PyArray_EMPTY(2, n, np.NPY_DOUBLE, 1)
-        j = 0
-        for sc in self._curves:
+            np.ndarray[np.float64_t, ndim=2] sp = np.PyArray_EMPTY(2, n, np.NPY_DOUBLE, 1)
+            np.ndarray tickers = np.PyArray_EMPTY(1, n, np.NPY_OBJECT, 1)
+
+        for p in self.tickers:
+            sc = self._curves[p.second]
+            tickers[p.second] = p.first.decode('utf-8')
             start_date = sc.get().fBaseDate
             for i in range(n[1]):
-                sp[j,i] = JpmcdsForwardZeroPrice(sc.get(), start_date, schedule[i])
-            j += 1
-        return sp
+                sp[p.second, i] = JpmcdsForwardZeroPrice(sc.get(), start_date, schedule[i])
+        return sp, tickers
 
 cdef unsigned long fill_mask(const TDate maturity, const vector[TDate]& maturities,
                              const shared_ptr[TCurve]& sc) nogil: