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| author | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2016-07-06 12:21:53 -0400 |
|---|---|---|
| committer | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2016-07-06 12:21:53 -0400 |
| commit | 1990c15ff0bfeffd442d9be3c3d38df0dbb0b15d (patch) | |
| tree | 1822ce8100b270da7b64df85d20489e61c66cdd3 | |
| parent | e61c2ea1409c9579f6a2020f382db480f58be538 (diff) | |
| download | pyisda-1990c15ff0bfeffd442d9be3c3d38df0dbb0b15d.tar.gz | |
fix indentation
| -rw-r--r-- | curve.pyx | 31 |
1 files changed, 14 insertions, 17 deletions
@@ -1,6 +1,6 @@ from libc.stdlib cimport malloc, free from curve cimport (JpmcdsBuildIRZeroCurve, JpmcdsZeroPrice, JpmcdsMakeTCurve, - Basis, CONTINUOUS) + Basis, CONTINUOUS, JpmcdsCleanSpreadCurve) from date cimport (JpmcdsStringToDateInterval, pydate_to_TDate, dcc, JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust, TDate_to_pydate, JpmcdsDateFromBusDaysOffset) @@ -9,9 +9,6 @@ from cdsone cimport JpmcdsStringToStubMethod, TStubMethod cdef int SUCCESS = 0 -cdef extern from "limits.h": - long LONG_MAX - cpdef public enum BadDay: FOLLOW = <long>'F' PREVIOUS = <long>'P' @@ -141,18 +138,18 @@ cdef class SpreadCurve(Curve): <long>'M', b'NONE') - @classmethod - def from_flat_hazard(cls, base_date, double rate, Basis basis = CONTINUOUS, - str day_count_conv = 'Actual/365F'): - cdef TDate base_date_c = pydate_to_TDate(base_date) - cdef SpreadCurve sc = cls.__new__(cls) - cdef TDate max_date = LONG_MAX - cdef TDate* dates = <TDate*>malloc(sizeof(TDate)) + @classmethod + def from_flat_hazard(cls, base_date, double rate, Basis basis = CONTINUOUS, + str day_count_conv = 'Actual/365F'): + cdef TDate base_date_c = pydate_to_TDate(base_date) + cdef SpreadCurve sc = cls.__new__(cls) + cdef TDate max_date = 200000 # can go higher but this should be more than enough + cdef TDate* dates = <TDate*>malloc(sizeof(TDate)) - cdef double* rates = <double*>malloc(sizeof(double)) - dates[0] = max_date - rates[0] = rate + cdef double* rates = <double*>malloc(sizeof(double)) + dates[0] = max_date + rates[0] = rate - sc._thisptr = JpmcdsMakeTCurve(base_date_c, dates, rates, 1, - <double>basis, dcc(day_count_conv)) - return sc + sc._thisptr = JpmcdsMakeTCurve(base_date_c, dates, rates, 1, + <double>basis, dcc(day_count_conv)) + return sc |
