add convenience function to convert python dates

3 files changed, 12 insertions, 13 deletions

diff --git a/date.pxd b/date.pxd
index cce6c55..24af83f 100644
--- a/date.pxd
+++ b/date.pxd
@@ -18,3 +18,5 @@ cdef extern from "isda/dateconv.h":
 cdef extern from "isda/ldate.h":
     int JpmcdsDateFwdThenAdjust(TDate date, TDateInterval* interval, long badDayMethod,
                                 char* holidayFile, TDate *advAdjustedDate)
+
+cdef TDate pydate_to_TDate(d)
diff --git a/date.pyx b/date.pyx
new file mode 100644
index 0000000..2852f1b
--- /dev/null
+++ b/date.pyx
@@ -0,0 +1,6 @@
+import datetime
+from date cimport JpmcdsDate
+
+cdef TDate pydate_to_TDate(d):
+    assert isinstance(d, datetime.date)
+    return JpmcdsDate(d.year, d.month, d.day)
diff --git a/zerocurve.pyx b/zerocurve.pyx
index d86c0bd..6760d41 100644
--- a/zerocurve.pyx
+++ b/zerocurve.pyx
@@ -2,8 +2,8 @@ from cpython cimport datetime
 from libc.stdlib cimport malloc, free
 from pyisda.zerocurve cimport JpmcdsBuildIRZeroCurve
 from pyisda.yearfrac cimport dcc
-from pyisda.date cimport (JpmcdsStringToDateInterval, JpmcdsDateIntervalToFreq,
-                          JpmcdsDate, JpmcdsDateFwdThenAdjust)
+from pyisda.date cimport (JpmcdsStringToDateInterval, pydate_to_TDate,
+                          JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust)
 
 cdef int SUCCESS = 0
 
@@ -30,12 +30,7 @@ cdef class ZeroCurve:
            double float_freq
            TDateInterval ivl
            char* routine = 'zerocurve'
-           TDate value_date
-
-        if isinstance(date, datetime.date):
-            value_date = JpmcdsDate(date.year, date.month, date.day)
-        else:
-            raise ValueError
+           TDate value_date = pydate_to_TDate(date)
 
         self._dates = <TDate*>malloc(len(periods) * sizeof(TDate))
         cdef TDateInterval tmp
@@ -77,9 +72,5 @@ cdef class ZeroCurve:
     def discount_factor(self, date):
         if self._thisptr is NULL:
             raise ValueError('curve is empty')
-        cdef TDate discount_date
-        if isinstance(date, datetime.date):
-            discount_date = JpmcdsDate(date.year, date.month, date.day)
-        else:
-            raise ValueError
+        cdef TDate discount_date = pydate_to_TDate(date)
         return JpmcdsZeroPrice(self._thisptr, discount_date)