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| author | Guillaume Horel <guillaume.horel@gmail.com> | 2017-08-15 17:44:45 -0400 |
|---|---|---|
| committer | Guillaume Horel <guillaume.horel@gmail.com> | 2017-08-16 17:42:13 -0400 |
| commit | d1199cfd6346a5790051ca8a80c5a8f01df3baea (patch) | |
| tree | 212adf24a48ff574f3351100c18c14beddb26714 | |
| parent | e772eb688ba58b890cd2563d466f3253f7e6b201 (diff) | |
| download | pyisda-d1199cfd6346a5790051ca8a80c5a8f01df3baea.tar.gz | |
add survival_matrix method
| -rw-r--r-- | pyisda/credit_index.pyx | 22 |
1 files changed, 20 insertions, 2 deletions
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx index f0be482..a3f617d 100644 --- a/pyisda/credit_index.pyx +++ b/pyisda/credit_index.pyx @@ -7,7 +7,7 @@ cimport cython from legs cimport (JpmcdsCdsContingentLegMake, JpmcdsCdsFeeLegMake, JpmcdsContingentLegPV, JpmcdsFeeLegPV, FeeLegAI, JpmcdsFeeLegFree) from curve cimport (SpreadCurve, JpmcdsCopyCurve, tweak_curve, YieldCurve, - JpmcdsFreeTCurve) + JpmcdsFreeTCurve, JpmcdsForwardZeroPrice) from date cimport (pydate_to_TDate, TDate_to_pydate, ACT_365F, JpmcdsDtFwdAny, TDateInterval, JpmcdsMakeDateInterval) from cdsone cimport JpmcdsStringToStubMethod, TStubMethod @@ -310,7 +310,7 @@ cdef class CreditIndex(CurveList): r.append(TDate_to_pydate(maturity)) return r - def tweak_portfolio(self, double epsilon, maturity, inplace=True): + def tweak_portfolio(self, double epsilon, maturity, bint inplace=True): cdef: TDate maturity_c = pydate_to_TDate(maturity) unsigned long mask = fill_mask(maturity_c, self.maturities, @@ -323,6 +323,24 @@ cdef class CreditIndex(CurveList): sc = p.second.get() tweak_curve(sc, sc, epsilon, h, self.T, mask) + @cython.boundscheck(False) + def survival_matrix(self, TDate[:] schedule, d1=None): + cdef: + pair[string, shared_ptr[TCurve]] p + TCurve* sc + TDate start_date + size_t i, j + np.npy_intp[2] n = [self.curves.size(), schedule.shape[0]] + np.ndarray[np.float64_t,ndim=2] sp = np.PyArray_EMPTY(2, n, np.NPY_DOUBLE, 0) + j = 0 + for p in self.curves: + sc = p.second.get() + start_date = sc.fBaseDate + for i in range(n[1]): + sp[j,i] = JpmcdsForwardZeroPrice(sc, start_date, schedule[i]) + j += 1 + return sp + cdef unsigned long fill_mask(const TDate maturity, const vector[TDate]& maturities, const shared_ptr[TCurve]& sc) nogil: cdef: |