method to tweak curves

1 files changed, 64 insertions, 0 deletions

diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index a62e103..aa8a40b 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -368,3 +368,67 @@ cdef class SpreadCurve(Curve):
         sc._thisptr = JpmcdsMakeTCurve(base_date_c, &max_date, &rate, 1,
                                        <double>basis, dcc(day_count_conv))
         return sc
+
+    def tweak_curve(self, double epsilon, bint multiplicative=True,
+                    bint[:] mask=None, inplace=True):
+        """
+
+        Tweak the survival curve in place.
+
+        Parameters
+        ----------
+        epsilon : double
+           tweaking factor (either additive or multiplicative)
+        multiplicative : bool, optional
+           do we scale by 1+epsilon or add epsilon (default multiplicative)
+        mask : array of bool or None
+           If None (default), tweak everything, otherwise only tweak values
+           in the mask
+        """
+        ## We want to tweak in the forward space, so we convert the hazard rates
+        ## into forward rates and then back
+        cdef double t1, h1, t2, h2
+        cdef TCurve* newcurve = NULL
+        cdef SpreadCurve sc
+        cdef int num_items = self._thisptr.fNumItems
+        if not inplace:
+            sc = SpreadCurve.__new__(SpreadCurve)
+            newcurve = <TCurve*>malloc(sizeof(TCurve))
+            newcurve.fNumItems = num_items
+            newcurve.fBaseDate = self._thisptr.fBaseDate
+            newcurve.fDayCountConv = self._thisptr.fDayCountConv
+            newcurve.fArray = <TRatePt*>malloc(sizeof(TRatePt) * num_items)
+            newcurve.fBasis = self._thisptr.fBasis
+            sc._thisptr = newcurve
+
+        t1 = 0
+        h1 = 0
+        cdef double* h = <double*>malloc(num_items * sizeof(double))
+        cdef double* T = <double*>malloc(num_items * sizeof(double))
+        if mask is not None:
+            if mask.size != self._thisptr.fNumItems:
+                raise ValueError("mask size need to be the same as the number of Items")
+        for i in range(num_items):
+            h2 = log1p(self._thisptr.fArray[i].fRate)
+            t2 = T[i] = (self._thisptr.fArray[i].fDate - self._thisptr.fBaseDate)/365.
+            h[i] = (h2 * t2 - h1 * t1) / (t2 - t1)
+            if mask is None or mask[i]:
+                h[i] *= (1+epsilon)
+            h1 = h2
+            t1 = t2
+        t1 = 0
+        cdef double c = 0
+        cdef TRatePt* update
+        if not inplace:
+            update = self._thisptr.fArray
+        else:
+            update = sc._thisptr.fArray
+
+        for i in range(self._thisptr.fNumItems):
+            c += (T[i] - t1) * h[i]
+            update[i].fRate = expm1(c/T[i])
+            t1 = T[i]
+        free(h)
+        free(T)
+        if not inplace:
+            return sc