small speedup

3 files changed, 16 insertions, 11 deletions

diff --git a/pyisda/cdsone.pyx b/pyisda/cdsone.pyx
index 074c4ad..af811d2 100644
--- a/pyisda/cdsone.pyx
+++ b/pyisda/cdsone.pyx
@@ -1,5 +1,5 @@
 from curve cimport YieldCurve
-from date cimport JpmcdsStringToDateInterval, pydate_to_TDate, dcc
+from date cimport JpmcdsMakeDateInterval, pydate_to_TDate, dcc
 
 cdef int SUCCESS = 0
 
@@ -54,7 +54,8 @@ def upfront_charge(date, value_date, benchmark_start_date, stepin_date,
 
     if JpmcdsStringToStubMethod(b"f/s", &stub) != SUCCESS:
         raise ValueError("can't convert stub")
-    if JpmcdsStringToDateInterval(b"3M", routine, &ivl) != SUCCESS:
+
+    if JpmcdsMakeDateInterval(3, "M", &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,
@@ -116,7 +117,7 @@ def spread_from_upfront(date, value_date, benchmark_start_date, stepin_date,
 
     if JpmcdsStringToStubMethod(b"f/s", &stub) != SUCCESS:
         raise ValueError("can't convert stub")
-    if JpmcdsStringToDateInterval(b"3M", routine, &ivl) != SUCCESS:
+    if JpmcdsMakeDateInterval(3, "M", &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,
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx
index 609d733..f0be482 100644
--- a/pyisda/credit_index.pyx
+++ b/pyisda/credit_index.pyx
@@ -8,10 +8,10 @@ from legs cimport (JpmcdsCdsContingentLegMake, JpmcdsCdsFeeLegMake,
                    JpmcdsContingentLegPV, JpmcdsFeeLegPV, FeeLegAI, JpmcdsFeeLegFree)
 from curve cimport (SpreadCurve, JpmcdsCopyCurve, tweak_curve, YieldCurve,
                     JpmcdsFreeTCurve)
-from date cimport pydate_to_TDate, TDate_to_pydate, ACT_365F
+from date cimport (pydate_to_TDate, TDate_to_pydate, ACT_365F, JpmcdsDtFwdAny,
+                   TDateInterval, JpmcdsMakeDateInterval)
 from cdsone cimport JpmcdsStringToStubMethod, TStubMethod
 from date cimport ACT_365F
-from dateutil.relativedelta import relativedelta
 cimport numpy as np
 np.import_array()
 import pandas as pd
@@ -240,6 +240,7 @@ cdef class CreditIndex(CurveList):
             TDate maturity_c = pydate_to_TDate(maturity)
             vector[double] h
             pair[TContingentLeg,TFeeLeg] legs
+            TDateInterval ivl
 
         if old_pv != old_pv:
             legs = get_legs(maturity_c,
@@ -252,7 +253,9 @@ cdef class CreditIndex(CurveList):
                         recovery_rate, fixed_rate, self.weights,
                         0., h, self.T, 0)
 
-        maturity_c = pydate_to_TDate(maturity - relativedelta(years=1))
+        maturity_c = pydate_to_TDate(maturity)
+        JpmcdsMakeDateInterval(-1, "Y", &ivl)
+        JpmcdsDtFwdAny(maturity_c, &ivl, &maturity_c)
         legs = get_legs(maturity_c,
                         self.start_date,
                         self.contingent_legs,
diff --git a/pyisda/date.pxd b/pyisda/date.pxd
index 7c4fbda..dda35d0 100644
--- a/pyisda/date.pxd
+++ b/pyisda/date.pxd
@@ -18,21 +18,22 @@ cdef extern from "isda/mdydate.h":
 
 ctypedef long TDate
 
-cdef extern from "isda/convert.h":
+cdef extern from "isda/convert.h" nogil:
     int JpmcdsStringToDateInterval(char* input, char* label, TDateInterval* interval)
     int JpmcdsMakeDateInterval(int num_periods, char period_type, TDateInterval* interval)
     char* JpmcdsFormatDate(TDate date)
 
-cdef extern from "isda/date_sup.h":
+cdef extern from "isda/date_sup.h" nogil:
     int JpmcdsDateIntervalToFreq(TDateInterval* interval, double* freq)
 
-cdef extern from "isda/dateconv.h":
+cdef extern from "isda/dateconv.h" nogil:
     TDate JpmcdsDate(long year, long month, long day)
     int JpmcdsDateToMDY(TDate date, TMonthDayYear *mdyDate)
 
-cdef extern from "isda/ldate.h":
+cdef extern from "isda/ldate.h" nogil:
     int JpmcdsDateFwdThenAdjust(TDate date, TDateInterval* interval, long badDayMethod,
-                                char* holidayFile, TDate *advAdjustedDate) nogil
+                                char* holidayFile, TDate *advAdjustedDate)
+    int JpmcdsDtFwdAny(TDate date, TDateInterval* interval, TDate* sumDate)
 
 cdef enum DCC:
     ACT_365 = 1L