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| author | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2016-11-10 14:22:15 -0500 |
|---|---|---|
| committer | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2016-11-10 14:22:15 -0500 |
| commit | a85b77d2d3887ecc827d2f61f94e55d095e69fd7 (patch) | |
| tree | 237fd84bbf2c66d682a5e32d905820c5a36f493f | |
| parent | 8134b12f3d051e468a20df1a8e90408dedc3d112 (diff) | |
| download | pyisda-a85b77d2d3887ecc827d2f61f94e55d095e69fd7.tar.gz | |
more nogil
| -rw-r--r-- | pyisda/curve.pxd | 12 | ||||
| -rw-r--r-- | pyisda/legs.pxd | 10 |
2 files changed, 11 insertions, 11 deletions
diff --git a/pyisda/curve.pxd b/pyisda/curve.pxd index f59bbe0..dadd87b 100644 --- a/pyisda/curve.pxd +++ b/pyisda/curve.pxd @@ -1,6 +1,6 @@ from cdsone cimport TStubMethod -cdef extern from "isda/zerocurve.h": +cdef extern from "isda/zerocurve.h" nogil: ctypedef int TBoolean ctypedef long int TDate @@ -32,7 +32,7 @@ cdef extern from "isda/bastypes.h": TDate fDate double fRate -cdef extern from "isda/cds.h": +cdef extern from "isda/cds.h" nogil: TCurve* JpmcdsCleanSpreadCurve( # Risk starts at the end of today @@ -73,9 +73,9 @@ cdef extern from "isda/cds.h": # Calendar used when adjusting coupon dates. Can be NULL which equals # a calendar with no holidays and including weekends. */ char *calendar - ) nogil + ) -cdef extern from "isda/tcurve.h": +cdef extern from "isda/tcurve.h" nogil: void JpmcdsFreeTCurve(TCurve* curve) TCurve* JpmcdsMakeTCurve(TDate baseDate, TDate *dates, @@ -84,9 +84,9 @@ cdef extern from "isda/tcurve.h": double basis, long dayCountConv) -cdef extern from "isda/cxzerocurve.h": +cdef extern from "isda/cxzerocurve.h" nogil: double JpmcdsZeroPrice(TCurve* curve, TDate date) - double JpmcdsForwardZeroPrice(TCurve* curve, TDate startDate, TDate maturityDate) nogil + double JpmcdsForwardZeroPrice(TCurve* curve, TDate startDate, TDate maturityDate) cdef extern from "isda/cfinanci.h": int JpmcdsDiscountToRateYearFrac(double discount, # (I) Discount factor diff --git a/pyisda/legs.pxd b/pyisda/legs.pxd index d711205..c703f3b 100644 --- a/pyisda/legs.pxd +++ b/pyisda/legs.pxd @@ -34,7 +34,7 @@ cdef extern from "isda/bastypes.h": int fNumItems TCashFlow *fArray -cdef extern from "isda/cds.h": +cdef extern from "isda/cds.h" nogil: cdef TContingentLeg* JpmcdsCdsContingentLegMake( # Date when protection begins. Either at start or end of day (depends @@ -76,7 +76,7 @@ cdef extern from "isda/cds.h": -cdef extern from "isda/contingentleg.h": +cdef extern from "isda/contingentleg.h" nogil: cdef int JpmcdsContingentLegPV(TContingentLeg *cl, # Contingent leg TDate today, # No observations before today TDate valueDate, # Value date for discounting @@ -84,9 +84,9 @@ cdef extern from "isda/contingentleg.h": TCurve *discountCurve, # Risk-free curve TCurve *spreadCurve, # Spread curve double recoveryRate, # Recovery rate - double *pv) nogil + double *pv) -cdef extern from "isda/feeleg.h": +cdef extern from "isda/feeleg.h" nogil: cdef int JpmcdsFeeLegPV(TFeeLeg *fl, TDate today, TDate stepinDate, @@ -94,7 +94,7 @@ cdef extern from "isda/feeleg.h": TCurve *discCurve, TCurve *spreadCurve, TBoolean payAccruedAtStart, - double *pv) nogil + double *pv) cdef TCashFlowList* JpmcdsFeeLegFlows(TFeeLeg *fl) |