diff options
| author | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2016-11-09 18:05:27 -0500 |
|---|---|---|
| committer | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2016-11-09 18:05:27 -0500 |
| commit | 863bf62a86fe0436f4902a4dc877e46a3dfa4951 (patch) | |
| tree | ace896486b30a30f14e3b03edd13e832103fabfa | |
| parent | 919ab60abe326b7cb8d471403bcc0ed969c19d4a (diff) | |
| download | pyisda-863bf62a86fe0436f4902a4dc877e46a3dfa4951.tar.gz | |
fix memory leak
| -rw-r--r-- | pyisda/flat_hazard.pyx | 18 |
1 files changed, 13 insertions, 5 deletions
diff --git a/pyisda/flat_hazard.pyx b/pyisda/flat_hazard.pyx index 83a0d4a..7549a38 100644 --- a/pyisda/flat_hazard.pyx +++ b/pyisda/flat_hazard.pyx @@ -2,10 +2,14 @@ from date cimport dcc, TDate cimport numpy as np from legs cimport (JpmcdsCdsContingentLegMake, JpmcdsCdsFeeLegMake, - TContingentLeg, TFeeLeg, JpmcdsContingentLegPV, JpmcdsFeeLegPV) -from curve cimport TCurve, YieldCurve, SpreadCurve, JpmcdsCleanSpreadCurve -from date cimport pydate_to_TDate + TContingentLeg, TFeeLeg, JpmcdsContingentLegPV, JpmcdsFeeLegPV, + JpmcdsFeeLegFree) +from curve cimport (TCurve, YieldCurve, SpreadCurve, JpmcdsCleanSpreadCurve, + JpmcdsFreeTCurve, JpmcdsMakeTCurve, CONTINUOUS) +from date cimport pydate_to_TDate, ACT_360, ACT_365F from cdsone cimport JpmcdsStringToStubMethod, TStubMethod +from cpython.mem cimport PyMem_Malloc, PyMem_Free +from libc.stdlib cimport free cimport cython import numpy as np @@ -40,7 +44,7 @@ def strike_vec(double[:] spreads, YieldCurve yc, trade_date, value_date, &stub_type, 1., # notional 1., # coupon_rate - 3, # JPMCDS_ACT_360 + ACT_360, # JPMCDS_ACT_360 <long>'M', b'NONE', 1) # protect_start = True @@ -58,7 +62,7 @@ def strike_vec(double[:] spreads, YieldCurve yc, trade_date, value_date, recovery_rate, 1, # pay_accrued_on_default True NULL, - 3, # JPMCDS_ACT_360 + ACT_360, # JPMCDS_ACT_360 &stub_type, <long>'M', b'NONE') @@ -69,4 +73,8 @@ def strike_vec(double[:] spreads, YieldCurve yc, trade_date, value_date, if JpmcdsFeeLegPV(fee_leg, trade_date_c, step_in_date_c, value_date_c, yc._thisptr, sc, True, &coupon_leg_pv[i]) != 0: raise ValueError("Something went wrong") + JpmcdsFeeLegFree(fee_leg) + free(default_leg) + if sc is not NULL: + JpmcdsFreeTCurve(sc) return default_leg_pv, coupon_leg_pv |