Add survival_probability

discount_factor and survival_probability are now defined
in terms of forwardZeroPrice.

2 files changed, 43 insertions, 33 deletions

diff --git a/pyisda/curve.pxd b/pyisda/curve.pxd
index 29dabf4..52cfbed 100644
--- a/pyisda/curve.pxd
+++ b/pyisda/curve.pxd
@@ -82,16 +82,17 @@ cdef extern from "isda/tcurve.h":
                              double *rates,
                              int     numPts,
                              double  basis,
-                             long    dayCountConv);
+                             long    dayCountConv)
 
 cdef extern from "isda/cxzerocurve.h":
     double JpmcdsZeroPrice(TCurve* curve, TDate date)
+    double JpmcdsForwardZeroPrice(TCurve* curve, TDate startDate, TDate maturityDate)
 
 cdef extern from "isda/cfinanci.h":
     int JpmcdsDiscountToRateYearFrac(double discount,          # (I) Discount factor
                                      double yearFraction,      # (I) See JpmcdsDayCountFraction
                                      double basis,             # (I) Basis for the rate
-                                     double *rate);
+                                     double *rate)
 cdef enum Basis:
     CONTINUOUS = 5000
     DISCOUNT_RATE = 512
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index 9e2f2e9..ec75cf6 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -14,27 +14,48 @@ cpdef public enum BadDay:
     MODIFIED = <long>'M'
 
 cdef class Curve:
-   def __dealloc__(self):
-       if self._thisptr is not NULL:
-           JpmcdsFreeTCurve(self._thisptr)
+    def __dealloc__(self):
+        if self._thisptr is not NULL:
+            JpmcdsFreeTCurve(self._thisptr)
 
-   def inspect(self):
-       """ method to inspect the content of the C struct
+    def inspect(self):
+        """ method to inspect the content of the C struct
 
-       Returns
-       -------
-       dict
+        Returns
+        -------
+        dict
            contains `base_date`, `basis`, `day_count_counvention` and `data`
-       """
+        """
 
-       return {'base_date': TDate_to_pydate(self._thisptr.fBaseDate),
-               'basis': self._thisptr.fBasis,
-               'day_count_convention': dcc_tostring(self._thisptr.fDayCountConv),
-               'data': fArray_to_list(self._thisptr.fArray, self._thisptr.fNumItems)}
-   @property
-   def base_date(self):
-       return TDate_to_pydate(self._thisptr.fBaseDate)
+        return {'base_date': TDate_to_pydate(self._thisptr.fBaseDate),
+                'basis': self._thisptr.fBasis,
+                'day_count_convention': dcc_tostring(self._thisptr.fDayCountConv),
+                'data': fArray_to_list(self._thisptr.fArray, self._thisptr.fNumItems)}
+    @property
+    def base_date(self):
+        return TDate_to_pydate(self._thisptr.fBaseDate)
 
+    def __forward_zero_price(self, d2, d1 = None):
+        """ computes the forward zero price at a given date.
+
+        Parameters
+        ----------
+        date : :class:`datetime.date`
+
+        Returns
+        -------
+        float
+        """
+        if self._thisptr is NULL:
+            raise ValueError('curve is empty')
+        cdef TDate start_date
+        if d1 is None:
+            start_date = self._thisptr.fBaseDate
+        else:
+            start_date = pydate_to_TDate(d1)
+        return JpmcdsForwardZeroPrice(self._thisptr,
+                                      start_date,
+                                      pydate_to_TDate(d2))
 
 cdef fArray_to_list(TRatePt* fArray, int fNumItems):
     cdef size_t i
@@ -147,21 +168,7 @@ cdef class YieldCurve(Curve):
                                        <double>1, dcc(day_count_conv))
         return yc
 
-    def discount_factor(self, date):
-        """ computes the discount factor at a given date.
-
-        Parameters
-        ----------
-        date : :class:`datetime.date`
-
-        Returns
-        -------
-        float
-        """
-        if self._thisptr is NULL:
-            raise ValueError('curve is empty')
-        cdef TDate discount_date = pydate_to_TDate(date)
-        return JpmcdsZeroPrice(self._thisptr, discount_date)
+    discount_factor = Curve.__forward_zero_price
 
     def list_dates(self):
         """ returns the list of instrument dates
@@ -254,6 +261,8 @@ cdef class SpreadCurve(Curve):
         if self._thisptr == NULL:
             raise ValueError("something went wrong")
 
+    survival_probability = Curve.__forward_zero_price
+
     @classmethod
     def from_flat_hazard(cls, base_date, double rate, Basis basis = CONTINUOUS,
                          str day_count_conv = 'Actual/365F'):