Use trade_date

compute the forward implied default probabilities.
allow to roll the trade date

1 files changed, 17 insertions, 7 deletions

diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx
index 6e9664f..2f7a37b 100644
--- a/pyisda/credit_index.pyx
+++ b/pyisda/credit_index.pyx
@@ -45,7 +45,7 @@ cdef TContingentLeg* copyContingentLeg(TContingentLeg* leg) nogil:
 cdef class CurveList:
 
     @cython.initializedcheck(False)
-    def __init__(self, list curves not None, double[:] weights=None):
+    def __init__(self, list curves not None, double[:] weights=None, trade_date=None):
         cdef:
             SpreadCurve sc
             size_t i
@@ -58,7 +58,11 @@ cdef class CurveList:
             raise TypeError("curves need to be a list of SpreadCurve")
 
         self.T = vector[double](sc._thisptr.get().fNumItems)
-        self.base_date = sc._thisptr.get().fBaseDate
+        if trade_date is not None:
+            self.base_date = pydate_to_TDate(trade_date)
+        else:
+            self.base_date = sc._thisptr.get().fBaseDate
+
         for i in range(self.T.size()):
             self.T[i] = (sc._thisptr.get().fArray[i].fDate - self.base_date) / 365.
 
@@ -135,6 +139,13 @@ cdef class CurveList:
             out[p.second] = p.first.decode('utf-8')
         return out
 
+    @property
+    def trade_date(self):
+        return TDate_to_pydate(self.base_date)
+
+    @trade_date.setter
+    def trade_date(self, d):
+        self.base_date = pydate_to_TDate(d)
 
     @property
     def curves(self):
@@ -188,8 +199,9 @@ cdef class CurveList:
 
 @cython.auto_pickle(False)
 cdef class CreditIndex(CurveList):
-    def __init__(self, start_date, maturities, list curves, double[:] weights=None):
-        CurveList.__init__(self, curves, weights)
+    def __init__(self, start_date, maturities, list curves, double[:] weights=None,
+                 trade_date=None):
+        CurveList.__init__(self, curves, weights, trade_date)
         self.start_date = pydate_to_TDate(start_date)
         for d in maturities:
             self._maturities.push_back(pydate_to_TDate(d))
@@ -467,7 +479,6 @@ cdef class CreditIndex(CurveList):
         cdef:
             shared_ptr[TCurve] sc
             pair[string, size_t] p
-            TDate start_date
             size_t i
             np.npy_intp[2] n
         n[0] = self._curves.size()
@@ -479,9 +490,8 @@ cdef class CreditIndex(CurveList):
         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[p.second, i] = JpmcdsForwardZeroPrice(sc.get(), start_date, schedule[i])
+                sp[p.second, i] = JpmcdsForwardZeroPrice(sc.get(), self.base_date, schedule[i])
         return sp, tickers
 
 cdef unsigned long fill_mask(const TDate maturity, const vector[TDate]& maturities,