fix mask computation

2 files changed, 25 insertions, 23 deletions

diff --git a/pyisda/credit_index.pxd b/pyisda/credit_index.pxd
index 3da57f9..e4b2d37 100644
--- a/pyisda/credit_index.pxd
+++ b/pyisda/credit_index.pxd
@@ -16,7 +16,3 @@ cdef class CreditIndex(CurveList):
     cdef vector[TDate] maturities
     cdef TContingentLeg** contingent_legs
     cdef TFeeLeg** fee_legs
-
-cdef extern from "<algorithm>" namespace "std" nogil:
-    Iter find[Iter, T](Iter first, Iter last, const T& val)
-    Iter lower_bound[Iter, T](Iter first, Iter last, const T& value)
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx
index e8db882..66c475a 100644
--- a/pyisda/credit_index.pyx
+++ b/pyisda/credit_index.pyx
@@ -1,4 +1,5 @@
 from libc.stdlib cimport malloc, free
+from libc.math cimport nan
 from libcpp.pair cimport pair
 from cython.operator cimport dereference as deref
 
@@ -163,8 +164,6 @@ cdef class CreditIndex(CurveList):
             TCurve* sc
             pair[string,shared_ptr[TCurve]] p
 
-        FeeLegAI(self.fee_legs[0], self.base_date, &accrued)
-
         for maturity in self.maturities:
             d[j] = maturity - 134774
             j += 1
@@ -234,7 +233,7 @@ cdef class CreditIndex(CurveList):
         return r
 
     def theta(self, step_in_date, value_date, maturity, YieldCurve yc not None,
-              double recovery_rate, double fixed_rate):
+              double recovery_rate, double fixed_rate, double old_pv=nan("")):
         cdef:
             TDate step_in_date_c = pydate_to_TDate(step_in_date)
             TDate value_date_c =  pydate_to_TDate(value_date)
@@ -245,11 +244,12 @@ cdef class CreditIndex(CurveList):
                                                          self.contingent_legs,
                                                          self.fee_legs,
                                                          self.maturities)
+        if old_pv != old_pv:
+            old_pv = pv(self.curves, self.base_date, step_in_date_c,
+                        value_date_c, yc._thisptr.get(), legs,
+                        recovery_rate, fixed_rate, self.weights,
+                        0., h, self.T, 0)
 
-        cdef double old_pv = pv(self.curves, self.base_date, step_in_date_c,
-                                value_date_c, yc._thisptr.get(), legs,
-                                recovery_rate, fixed_rate, self.weights,
-                                0., h, self.T, 0)
         maturity_c = pydate_to_TDate(maturity - relativedelta(years=1))
         legs = get_legs(maturity_c,
                         self.start_date,
@@ -323,22 +323,28 @@ cdef unsigned long fill_mask(const TDate maturity, const vector[TDate]& maturiti
                              const shared_ptr[TCurve]& sc) nogil:
     cdef:
         TDate prev_maturity = 0
+        TDate next_maturity = maturity
         size_t i
-        vector[TDate].const_iterator index = lower_bound(maturities.const_begin(),
-                                                         maturities.const_end(),
-                                                         maturity)
+        TRatePt* it = sc.get().fArray
         unsigned long mask = 0
 
-    if index == maturities.end():
-        return 0
-    elif index != maturities.begin():
-        prev_maturity = deref(index-1)
 
-    cdef TRatePt* it = sc.get().fArray
-    for i in range(sc.get().fNumItems):
-        if (it[i].fDate <= maturity ) and \
-           (it[i].fDate > prev_maturity):
-            mask |= 1 << i
+    for i in range(maturities.size()):
+        if maturities[i] == maturity:
+            break
+    else:
+        return mask
+
+    if i > 0:
+        prev_maturity = maturities[i-1]
+        i = 0
+        while it[i].fDate < prev_maturity:
+            i += 1
+        i += 1
+    while it[i].fDate < maturity:
+        mask |= 1 << i
+        i += 1
+    mask |= 1 << i
     return mask
 
 cdef pair[TContingentLeg,TFeeLeg] get_legs(TDate maturity,