add method to compute accrued

2 files changed, 9 insertions, 0 deletions

diff --git a/legs.pxd b/legs.pxd
index c9df02b..3d8d5bd 100644
--- a/legs.pxd
+++ b/legs.pxd
@@ -89,6 +89,10 @@ cdef extern from "isda/feeleg.h":
 
    cdef void JpmcdsFeeLegFree(TFeeLeg *p)
 
+   cdef void FeeLegAI(TFeeLeg* fl,
+                      TDate today,
+                      double* ai)
+
 cdef class ContingentLeg:
     cdef TContingentLeg* _thisptr
 
diff --git a/legs.pyx b/legs.pyx
index 2df83e3..55f1fcb 100644
--- a/legs.pyx
+++ b/legs.pyx
@@ -93,6 +93,11 @@ cdef class FeeLeg:
         else:
             raise ValueError
 
+    def accrued(self, today):
+        cdef double ai
+        FeeLegAI(self._thisptr, pydate_to_TDate(today), &ai)
+        return ai
+
     def __dealloc__(self):
         if self._thisptr is not NULL:
             JpmcdsFeeLegFree(self._thisptr)