initial import

8 files changed, 123 insertions, 0 deletions

diff --git a/Makefile b/Makefile
new file mode 100644
index 0000000..1ea9bde
--- /dev/null
+++ b/Makefile
@@ -0,0 +1,2 @@
+build:
+	python setup.py build_ext --inplace
diff --git a/__init__.py b/__init__.py
new file mode 100644
index 0000000..e69de29
--- /dev/null
+++ b/__init__.py
diff --git a/convert.pxd b/convert.pxd
new file mode 100644
index 0000000..0d02c8b
--- /dev/null
+++ b/convert.pxd
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+cdef extern from "isda/cdate.h":
+    ctypedef struct TDateInterval:
+        pass
+
+ctypedef long TDate
+
+cdef extern from "isda/convert.h":
+    int JpmcdsStringToDateInterval(char* input, char* label, TDateInterval* interval)
+    int JpmcdsMakeDateInterval(int num_periods, char period_type, TDateInterval* interval)
+
+cdef extern from "isda/date_sup.h":
+    int JpmcdsDateIntervalToFreq(TDateInterval* interval, double* freq)
+
+cdef extern from "isda/dateconv.h":
+    TDate JpmcdsDate(long year, long month, long day)
diff --git a/setup.py b/setup.py
new file mode 100644
index 0000000..54d65cc
--- /dev/null
+++ b/setup.py
@@ -0,0 +1,6 @@
+from distutils.core import setup
+from Cython.Build import cythonize
+
+setup(
+    ext_modules = cythonize("*.pyx")
+)
diff --git a/yearfrac.pxd b/yearfrac.pxd
new file mode 100644
index 0000000..739ca90
--- /dev/null
+++ b/yearfrac.pxd
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+cdef extern from "isda/yearfrac.h":
+    int JpmcdsStringToDayCountConv(char* day_count, long* type)
+
+cdef long dcc(str day_count)
diff --git a/yearfrac.pyx b/yearfrac.pyx
new file mode 100644
index 0000000..48b8995
--- /dev/null
+++ b/yearfrac.pyx
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+from pyisda.yearfrac cimport JpmcdsStringToDayCountConv
+
+cdef long dcc(str day_count):
+    cdef long r
+    dc_bytes = day_count.encode('utf-8')
+    cdef char* dc = dc_bytes
+    cdef err = JpmcdsStringToDayCountConv(<char*> dc, &r)
+    if err == 0:
+        return r
+    else:
+        raise ValueError('{0} is not a valid day count'.format(day_count))
diff --git a/zerocurve.pxd b/zerocurve.pxd
new file mode 100644
index 0000000..f3aaf57
--- /dev/null
+++ b/zerocurve.pxd
@@ -0,0 +1,17 @@
+cdef extern from "isda/zerocurve.h":
+
+    ctypedef long int TDate
+
+    ctypedef struct TCurve:
+        pass
+
+    ctypedef struct TDateInterval:
+        pass
+
+    TCurve* JpmcdsBuildIRZeroCurve(TDate valueDate, char* instrNames, TDate* dates, double* rates, long nInstr, long mmDCC, long fixedSwapFreq, long floatSwapFreq, long fixedSwapDCC, long floatSwapDCC, long badDayConv, char* holidayFile)
+
+cdef extern from "isda/tcurve.h":
+    void JpmcdsFreeTCurve(TCurve* curve)
+
+cdef extern from "isda/cxzerocurve.h":
+    double JpmcdsZeroPrice(TCurve* curve, TDate date)
diff --git a/zerocurve.pyx b/zerocurve.pyx
new file mode 100644
index 0000000..2918bae
--- /dev/null
+++ b/zerocurve.pyx
@@ -0,0 +1,68 @@
+from cpython cimport datetime
+from libc.stdlib cimport malloc, free
+from pyisda.zerocurve cimport JpmcdsBuildIRZeroCurve
+from pyisda.yearfrac cimport dcc
+from pyisda.convert cimport JpmcdsStringToDateInterval, JpmcdsDateIntervalToFreq, JpmcdsDate
+
+cdef int SUCCESS = 0
+
+cdef class Tcurve:
+    cdef TCurve* _thisptr
+    cdef TDate* _dates
+
+    def __cinit__(self, date, str types,
+                  list dates, double[:] rates,
+                  str mm_dcc, str fixed_swap_period, str float_swap_period,
+                  str fixed_swap_dcc, str float_swap_dcc, char bad_day_conv,
+                  char* holidayFile):
+
+        cdef:
+           double fixed_freq
+           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
+
+        cdef TDate* _dates = <TDate*>malloc(len(dates) * sizeof(TDate))
+
+        for i, d in enumerate(date):
+            _dates[i] = JpmcdsDate(d.year, d.month, d.day)
+
+        fixed_bytes = fixed_swap_period.encode('utf-8')
+        float_bytes = float_swap_period.encode('utf-8')
+        types_bytes = types.encode('utf-8')
+
+        if JpmcdsStringToDateInterval(fixed_bytes, routine, &ivl) != SUCCESS:
+            raise ValueError
+        if JpmcdsDateIntervalToFreq(&ivl, &fixed_freq) != SUCCESS:
+            raise ValueError
+        if JpmcdsStringToDateInterval(float_bytes, routine, &ivl) != SUCCESS:
+            raise ValueError
+        if JpmcdsDateIntervalToFreq(&ivl, &float_freq) != SUCCESS:
+            raise ValueError
+        self._thisptr = JpmcdsBuildIRZeroCurve(
+            value_date, types_bytes, _dates,
+            &rates[0], len(dates), dcc(mm_dcc), <long> fixed_freq,
+            <long> float_freq,
+            dcc(fixed_swap_dcc), dcc(fixed_swap_dcc), <long>bad_day_conv, "None"
+        )
+
+    def __dealloc__(self):
+        if self._thisptr is not NULL:
+            JpmcdsFreeTCurve(self._thisptr)
+        if self._dates is not NULL:
+            free(self._dates)
+
+    def discount_factor(self, date):
+        cdef TDate discount_date
+        if isinstance(date, datetime.date):
+            discount_date = JpmcdsDate(date.year, date.month, date.day)
+        else:
+            raise ValueError
+
+        return JpmcdsZeroPrice(self._thisptr, discount_date)