Various tweaks

- switch to bitset for mask
- add couple nogil

3 files changed, 16 insertions, 17 deletions

diff --git a/pyisda/cdsone.pxd b/pyisda/cdsone.pxd
index b24d3b4..0f446ba 100644
--- a/pyisda/cdsone.pxd
+++ b/pyisda/cdsone.pxd
@@ -1,13 +1,13 @@
 from date cimport TDateInterval
 from curve cimport TCurve
 
-cdef extern from "isda/stub.h":
+cdef extern from "isda/stub.h" nogil:
     ctypedef struct TStubMethod:
         pass
 
     int JpmcdsStringToStubMethod(char* name, TStubMethod* stub)
 
-cdef extern from "isda/cdsone.h":
+cdef extern from "isda/cdsone.h" nogil:
 
     ctypedef int TBoolean
 
diff --git a/pyisda/curve.pxd b/pyisda/curve.pxd
index 0937eed..14c881c 100644
--- a/pyisda/curve.pxd
+++ b/pyisda/curve.pxd
@@ -2,6 +2,7 @@ from cdsone cimport TStubMethod
 from legs cimport TContingentLeg, TFeeLeg
 from libcpp.vector cimport vector
 from libcpp cimport bool
+from libcpp.string cimport string
 
 cdef extern from "isda/zerocurve.h" nogil:
     ctypedef int TBoolean
@@ -162,9 +163,9 @@ cdef class YieldCurve(Curve):
     cdef size_t _ninstr
 
 cdef class SpreadCurve(Curve):
-    cdef public str ticker
+    cdef string ticker
 
 cdef fArray_to_list(TRatePt* fArray, int fNumItems)
 
 cdef void tweak_curve(TCurve* sc, TCurve* sc_tweaked, double epsilon,
-                      vector[double]& h, const vector[double]& T, bint* mask)
+                      vector[double]& h, const vector[double]& T, unsigned long mask) nogil
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index c9ce6f7..23e9fad 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -343,7 +343,7 @@ cdef class YieldCurve(Curve):
 
 @cython.cdivision(True)
 cdef void tweak_curve(TCurve* sc, TCurve* sc_tweaked, double epsilon,
-                      vector[double]& h, const vector[double]& T, bint* mask):
+                      vector[double]& h, const vector[double]& T, unsigned long mask) nogil:
     ## We want to tweak in the forward space, so we convert the hazard rates
     ## into forward rates and then back
     cdef double h1, h2, t1, t2
@@ -353,7 +353,7 @@ cdef void tweak_curve(TCurve* sc, TCurve* sc_tweaked, double epsilon,
         h2 = sc.fArray[i].fRate
         t2 = T[i]
         h[i] = (h2 * t2 - h1 * t1) / (t2 - t1)
-        if mask is NULL or (mask is not NULL and mask[i]):
+        if mask == 0 or (mask >> i) & 1:
             h[i] *= (1 + epsilon)
         h1 = h2
         t1 = t2
@@ -390,7 +390,7 @@ cdef class SpreadCurve(Curve):
                  cash_settle_date, end_dates,
                  double[:] coupon_rates, double[:] upfront_rates,
                  double[:] recovery_rates, bint pay_accrued_on_default=True,
-                 ticker=None):
+                 str ticker=None):
 
         cdef TDate today_c = pydate_to_TDate(today)
         cdef TDate step_in_date_c = pydate_to_TDate(step_in_date)
@@ -446,7 +446,7 @@ cdef class SpreadCurve(Curve):
             raise ValueError("Didn't init the survival curve properly")
         else:
             self._thisptr = make_shared(curve)
-            self.ticker = ticker
+            self.ticker = ticker.encode()
 
     survival_probability = Curve.__forward_zero_price
 
@@ -485,7 +485,7 @@ cdef class SpreadCurve(Curve):
 
     @cython.boundscheck(False)
     def tweak_curve(self, double epsilon, bint multiplicative=True,
-                    bint[::1] mask=None, bint inplace=False):
+                    unsigned long mask=0, bint inplace=False):
         """
         Tweak the survival curve in place.
 
@@ -506,7 +506,6 @@ cdef class SpreadCurve(Curve):
             vector[double] h
             vector[double] T
             size_t i
-            bint* mask_ptr
 
         if not inplace:
             sc = SpreadCurve.__new__(SpreadCurve)
@@ -521,13 +520,8 @@ cdef class SpreadCurve(Curve):
         for i in range(num_items):
             T[i] = (curve_tweaked.fArray[i].fDate - curve_tweaked.fBaseDate) / 365.
 
-        if mask is not None:
-            if mask.shape[0] != self._thisptr.get().fNumItems:
-                raise ValueError("mask size need to be the same as the number of Items")
-            mask_ptr = &mask[0]
-        else:
-            mask_ptr = NULL
-        tweak_curve(self._thisptr.get(), curve_tweaked, epsilon, h, T, mask_ptr)
+        if mask != 0:
+            tweak_curve(self._thisptr.get(), curve_tweaked, epsilon, h, T, mask)
         return sc
 
     @cython.boundscheck(False)
@@ -575,6 +569,10 @@ cdef class SpreadCurve(Curve):
             free(par_spreads)
             return r
 
+    @property
+    def ticker(self):
+        return self.ticker.decode()
+
 @cython.boundscheck(False)
 @cython.wraparound(False)
 @cython.initializedcheck(False)