new function

1 files changed, 25 insertions, 1 deletions

diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index c188b1a..6039616 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -1,6 +1,6 @@
 from libc.stdlib cimport malloc, free, calloc
 from libc.string cimport memcpy
-from libc.math cimport log1p
+from libc.math cimport log1p, log
 from libcpp.vector cimport vector
 
 from date cimport (JpmcdsStringToDateInterval, pydate_to_TDate, dcc,
@@ -539,3 +539,27 @@ cdef class SpreadCurve(Curve):
                 r.append(par_spreads[i])
                 free(par_spreads)
             return r
+
+def fill_curve(SpreadCurve sc, list end_dates):
+    cdef int n_dates = len(end_dates)
+    cdef TDate* end_dates_c = <TDate*>malloc(n_dates * sizeof(TDate))
+    cdef double* rates = <double*>malloc(n_dates * sizeof(TDate))
+
+    cdef size_t i
+    cdef TDate base_date = sc._thisptr.get().fBaseDate
+
+    for i, d in enumerate(end_dates):
+        end_dates_c[i] = pydate_to_TDate(d)
+        t = (end_dates_c[i] - base_date)/365.
+        rates[i] = -log(JpmcdsForwardZeroPrice(sc._thisptr.get(), base_date,
+                                               end_dates_c[i])) / t
+
+    cdef TCurve* curve = JpmcdsMakeTCurve(sc._thisptr.get().fBaseDate,
+                                          end_dates_c,
+                                          rates,
+                                          n_dates,
+                                          5000.,
+                                          2)
+    cdef SpreadCurve sc_new = SpreadCurve.__new__(SpreadCurve)
+    sc_new._thisptr = make_shared(curve)
+    return sc_new