add expected_forward_curve method

1 files changed, 25 insertions, 0 deletions

diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index 55fdada..52ddab7 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -170,6 +170,31 @@ cdef class YieldCurve(Curve):
         cdef size_t i
         return [TDate_to_pydate(self._dates[i]) for i in range(self._ninstr)]
 
+    def expected_forward_curve(self, forward_date):
+        """ returns the expected forward curve """
+        cdef TDate forward_date_c = pydate_to_TDate(forward_date)
+        cdef YieldCurve yc = YieldCurve.__new__(YieldCurve)
+        cdef size_t i = 0
+        while self._dates[i] < forward_date_c:
+            i += 1
+        yc._ninstr = self._ninstr - i
+        yc._dates = <TDate*>malloc(sizeof(TDate) * (self._ninstr-i))
+        cdef double* rates = <double*>malloc(sizeof(double) * yc._ninstr)
+        cdef size_t k
+        cdef double df
+        cdef double df_forward_date = JpmcdsZeroPrice(
+            self._thisptr, forward_date_c)
+        for k in range(yc._ninstr):
+            yc._dates[k] = self._dates[i]
+            df = JpmcdsZeroPrice(self._thisptr, self._dates[i])/df_forward_date
+            JpmcdsDiscountToRateYearFrac(
+                df, <double>(self._dates[i] - forward_date_c)/365.,
+                <double>1, &rates[k])
+            i += 1
+        yc._thisptr = JpmcdsMakeTCurve(forward_date_c, yc._dates, rates, yc._ninstr,
+                                       <double>1, self._thisptr.fDayCountConv)
+        return yc
+
 cdef class SpreadCurve(Curve):
     """
     Initialize a SpreadCurve from a list of spreads and maturity.