add defaulted field to SpreadCurve

4 files changed, 34 insertions, 6 deletions

diff --git a/pyisda/credit_index.pxd b/pyisda/credit_index.pxd
index aa77883..eb855a3 100644
--- a/pyisda/credit_index.pxd
+++ b/pyisda/credit_index.pxd
@@ -11,6 +11,7 @@ cdef class CurveList:
     cdef vector[shared_ptr[TCurve]] _curves
     cdef map[string, size_t] tickers
     cdef vector[shared_ptr[double]] recovery_rates
+    cdef vector[TDate] defaulted
 
 cdef class CreditIndex(CurveList):
     cdef TDate start_date
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx
index 5d8ee65..3a408dd 100644
--- a/pyisda/credit_index.pyx
+++ b/pyisda/credit_index.pyx
@@ -77,6 +77,7 @@ cdef class CurveList:
                     self._curves.push_back(sc._thisptr)
                     self.recovery_rates.push_back(sc.recovery_rates)
                     self._weights.push_back(1.)
+                    self.defaulted.push_back(sc.defaulted)
                     i += 1
                 else:
                     self._weights[deref(it).second] += 1
@@ -107,6 +108,7 @@ cdef class CurveList:
             sc._thisptr = self._curves[deref(got).second]
             sc.recovery_rates = self.recovery_rates[deref(got).second]
             sc.ticker = ticker_cpp
+            sc.defaulted = self.defaulted[deref(got).second]
             return sc
 
     def items(self):
@@ -119,6 +121,7 @@ cdef class CurveList:
             sc._thisptr = self._curves[p.second]
             sc.ticker = p.first
             sc.recovery_rates = self.recovery_rates[p.second]
+            sc.defaulted = self.defaulted[p.second]
             yield (sc.ticker, self._weights[p.second], sc)
 
     @property
@@ -162,6 +165,7 @@ cdef class CurveList:
             sc._thisptr = self._curves[p.second]
             sc.ticker = p.first
             sc.recovery_rates = self.recovery_rates[p.second]
+            sc.defaulted = self.defaulted[p.second]
             r.append(sc)
         return r
 
@@ -267,7 +271,8 @@ cdef class CreditIndex(CurveList):
         cdef:
             TCurve* curve = self._curves[0].get()
             size_t size = TCurve_size(curve.fNumItems)
-            size_t buf_size = size + curve.fNumItems * sizeof(double) + 8
+            size_t size_recovery = curve.fNumItems * sizeof(double)
+            size_t buf_size = size + size_recovery + 8 + sizeof(TDate)
             unsigned char* buf = <unsigned char*>malloc(buf_size)
             unsigned char* cursor
             unsigned char* start = buf + size
@@ -286,7 +291,9 @@ cdef class CreditIndex(CurveList):
             else:
                 p.first.copy(<char*>cursor, 8, 0)
             cursor += 8
-            memcpy(cursor, self.recovery_rates[p.second].get(), curve.fNumItems * sizeof(double))
+            memcpy(cursor, self.recovery_rates[p.second].get(), size_recovery)
+            cursor += size_recovery
+            memcpy(cursor, &self.defaulted[p.second], sizeof(TDate))
             h ^= Hash64(<char*>buf, buf_size)
 
         free(buf)
diff --git a/pyisda/curve.pxd b/pyisda/curve.pxd
index 16eab8a..12ed440 100644
--- a/pyisda/curve.pxd
+++ b/pyisda/curve.pxd
@@ -218,6 +218,7 @@ cdef class YieldCurve(Curve):
 cdef class SpreadCurve(Curve):
     cdef string ticker
     cdef shared_ptr[double] recovery_rates
+    cdef TDate defaulted
 
 cdef fArray_to_list(TRatePt* fArray, int fNumItems)
 
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index 4dddb14..7235ce7 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -585,13 +585,16 @@ cdef class SpreadCurve(Curve):
         cdef:
             TCurve* curve = self._thisptr.get()
             size_t size = TCurve_size(curve.fNumItems)
+            size_t size_recovery = curve.fNumItems * sizeof(double)
             size_t buf_size = size + sizeof(size_t) + self.ticker.length() + \
-                              curve.fNumItems * sizeof(double)
+                              size_recovery + sizeof(TDate)
             unsigned char* buf = <unsigned char*>malloc(buf_size)
             unsigned char* cursor = buf + size
         serialize(curve, buf)
         cursor = serialize_string(self.ticker, cursor)
-        memcpy(cursor, self.recovery_rates.get(), sizeof(double) * curve.fNumItems)
+        memcpy(cursor, self.recovery_rates.get(), size_recovery)
+        cursor += size_recovery
+        memcpy(cursor, &self.defaulted, sizeof(TDate))
         return <bytes>buf[:buf_size]
 
     def __setstate__(self, bytes state):
@@ -610,6 +613,8 @@ cdef class SpreadCurve(Curve):
         self.recovery_rates = shared_ptr[double](<double*>malloc(size),
                                                  double_free)
         memcpy(self.recovery_rates.get(), cursor, size)
+        cursor += size
+        memcpy(&self.defaulted, cursor, sizeof(TDate))
 
     def __deepcopy__(self, dict memo):
         cdef SpreadCurve sc = SpreadCurve.__new__(SpreadCurve)
@@ -618,9 +623,18 @@ cdef class SpreadCurve(Curve):
         sc.ticker = self.ticker
         sc.recovery_rates= shared_ptr[double](<double*>malloc(size), double_free)
         memcpy(sc.recovery_rates.get(), self.recovery_rates.get(), size)
+        memcpy(&sc.defaulted, &self.defaulted, sizeof(TDate))
         memo[id(self)] = sc
         return sc
 
+    @property
+    def defaulted(self):
+        return self.defaulted == -1
+
+    @property
+    def default_date(self):
+        return TDate_to_pydate(self.defaulted)
+
     @classmethod
     def from_bytes(cls, bytes state):
         cdef:
@@ -646,6 +660,8 @@ cdef class SpreadCurve(Curve):
         instance.recovery_rates = shared_ptr[double](
             <double*>malloc(size), double_free)
         memcpy(instance.recovery_rates.get(), cursor, size)
+        cursor += size
+        memcpy(&instance.defaulted, cursor, sizeof(TDate))
         return instance
 
     def __hash__(self):
@@ -653,13 +669,16 @@ cdef class SpreadCurve(Curve):
         cdef:
             TCurve* curve = self._thisptr.get()
             size_t size = TCurve_size(curve.fNumItems)
+            size_t size_recovery = curve.fNumItems * sizeof(double)
             size_t buf_size = size + sizeof(size_t) + self.ticker.length() + \
-                              curve.fNumItems * sizeof(double)
+                              size_recovery + sizeof(TDate)
             unsigned char* buf = <unsigned char*>malloc(buf_size)
             unsigned char* cursor = buf + size
         serialize(curve, buf)
         cursor = serialize_string(self.ticker, cursor)
-        memcpy(cursor, self.recovery_rates.get(), curve.fNumItems * sizeof(double))
+        memcpy(cursor, self.recovery_rates.get(), size_recovery)
+        cursor += size_recovery
+        memcpy(cursor, &self.defaulted, sizeof(TDate))
         cdef uint64_t r = Hash64(<char*>buf, buf_size)
         free(buf)
         return r