add cdsone functions

2 files changed, 124 insertions, 0 deletions

diff --git a/cdsone.pxd b/cdsone.pxd
new file mode 100644
index 0000000..0f76c50
--- /dev/null
+++ b/cdsone.pxd
@@ -0,0 +1,52 @@
+from date cimport TDateInterval
+from pyisda.zerocurve cimport TCurve
+
+cdef extern from "isda/stub.h":
+    ctypedef struct TStubMethod:
+        pass
+
+    int JpmcdsStringToStubMethod(char* name, TStubMethod* stub)
+
+cdef extern from "isda/cdsone.h":
+
+    ctypedef int TBoolean
+
+    ctypedef long int TDate
+
+    int JpmcdsCdsoneUpfrontCharge(TDate today,
+                                  TDate valueDate,
+                                  TDate benchmarkStartDate,
+                                  TDate stepinDate,
+                                  TDate startDate,
+                                  TDate endDate,
+                                  double couponRate,
+                                  TBoolean payAccruedOnDefault,
+                                  TDateInterval* dateInterval,
+                                  TStubMethod* stubType,
+                                  long accrueDCC,
+                                  long badDayConv,
+                                  char* calendar,
+                                  TCurve* discCurve,
+                                  double oneSpread,
+                                  double recoveryRate,
+                                  TBoolean payAccruedAtStart,
+                                  double* upfrontCharge)
+
+    int JpmcdsCdsoneSpread(TDate today,
+                           TDate valueDate,
+                           TDate benchmarkStartDate,
+                           TDate stepinDate,
+                           TDate startDate,
+                           TDate endDate,
+                           double couponRate,
+                           TBoolean payAccruedOnDefault,
+                           TDateInterval* dateInterval,
+                           TStubMethod* stubType,
+                           long accrueDCC,
+                           long badDayConv,
+                           char* calendar,
+                           TCurve* discCurve,
+                           double upfrontCharge,
+                           double recoveryRate,
+                           TBoolean payAccruedAtStart,
+                           double* oneSpread)
diff --git a/cdsone.pyx b/cdsone.pyx
new file mode 100644
index 0000000..cb567f6
--- /dev/null
+++ b/cdsone.pyx
@@ -0,0 +1,72 @@
+from pyisda.cdsone cimport (JpmcdsCdsoneUpfrontCharge,
+                            JpmcdsCdsoneSpread, JpmcdsStringToStubMethod)
+from pyisda.zerocurve cimport ZeroCurve
+from pyisda.date cimport JpmcdsStringToDateInterval, pydate_to_TDate
+from pyisda.yearfrac cimport dcc
+
+cdef int SUCCESS = 0
+
+def upfront_charge(date, value_date, benchmark_start_date, stepin_date,
+                   start_date, end_date, double coupon_rate,
+                   ZeroCurve zc,
+                   double spread,
+                   double recovery_rate,
+                   TBoolean pay_accrued_at_start = True,
+                   TBoolean pay_accrued_on_default = True):
+
+    cdef:
+       TDate today = pydate_to_TDate(date)
+       TDate value_date_c = pydate_to_TDate(value_date)
+       TDate benchmark_start_date_c = pydate_to_TDate(benchmark_start_date)
+       TDate stepin_date_c = pydate_to_TDate(stepin_date)
+       TDate start_date_c = pydate_to_TDate(start_date)
+       TDate end_date_c = pydate_to_TDate(end_date)
+       double result
+       TStubMethod stub
+       TDateInterval ivl
+       char* routine = "upfront_charge"
+
+    if JpmcdsStringToStubMethod(b"f/s", &stub) != SUCCESS:
+        raise ValueError("can't convert stub")
+    if JpmcdsStringToDateInterval(b"3M", routine, &ivl) != SUCCESS:
+        raise ValueError("can't convert to date interval")
+    if JpmcdsCdsoneUpfrontCharge(today, value_date_c, benchmark_start_date_c, stepin_date_c,
+                                 start_date_c, end_date_c, coupon_rate, pay_accrued_on_default,
+                                 &ivl, &stub,
+                                 dcc("ACT/360"), b'F', b"None", zc._thisptr, spread, recovery_rate,
+                                 pay_accrued_at_start, &result) == SUCCESS:
+        return result
+    else:
+        raise ValueError("computation failed")
+
+def spread_from_upfront(date, value_date, benchmark_start_date, stepin_date,
+                        start_date, end_date, double coupon_rate,
+                        ZeroCurve zc,
+                        double upfront,
+                        double recovery_rate,
+                        TBoolean pay_accrued_at_start = True,
+                        TBoolean pay_accrued_on_default = True):
+    cdef:
+       TDate today = pydate_to_TDate(date)
+       TDate value_date_c = pydate_to_TDate(value_date)
+       TDate benchmark_start_date_c = pydate_to_TDate(benchmark_start_date)
+       TDate stepin_date_c = pydate_to_TDate(stepin_date)
+       TDate start_date_c = pydate_to_TDate(start_date)
+       TDate end_date_c = pydate_to_TDate(end_date)
+       double result
+       TStubMethod stub
+       TDateInterval ivl
+       char* routine = "upfront_charge"
+
+    if JpmcdsStringToStubMethod(b"f/s", &stub) != SUCCESS:
+        raise ValueError("can't convert stub")
+    if JpmcdsStringToDateInterval(b"3M", routine, &ivl) != SUCCESS:
+        raise ValueError("can't convert to date interval")
+    if JpmcdsCdsoneSpread(today, value_date_c, benchmark_start_date_c, stepin_date_c,
+                          start_date_c, end_date_c, coupon_rate, pay_accrued_on_default,
+                          &ivl, &stub,
+                          dcc("ACT/360"), b'F', b"None", zc._thisptr, upfront, recovery_rate,
+                          pay_accrued_at_start, &result) == SUCCESS:
+        return result
+    else:
+        raise ValueError("computation failed")