rename to pv_vec and small fixes

1 files changed, 17 insertions, 15 deletions

diff --git a/pyisda/flat_hazard.pyx b/pyisda/flat_hazard.pyx
index 2257098..daeac41 100644
--- a/pyisda/flat_hazard.pyx
+++ b/pyisda/flat_hazard.pyx
@@ -1,4 +1,5 @@
 from date cimport dcc, TDate
+import numpy as np
 cimport numpy as np
 
 from legs cimport (JpmcdsCdsContingentLegMake, JpmcdsCdsFeeLegMake,
@@ -11,7 +12,6 @@ from cdsone cimport JpmcdsStringToStubMethod, TStubMethod
 from libc.stdlib cimport free, malloc
 from libc.stdio cimport printf
 cimport cython
-import numpy as np
 
 np.import_array()
 
@@ -109,26 +109,26 @@ cdef extern from "isda/rtbrent.h" nogil:
 
 @cython.boundscheck(False)
 @cython.cdivision(True)
-def faster_strike_vec(double[:] spreads, YieldCurve yc, trade_date, value_date,
-                      start_date, end_date, double recovery_rate):
-    """Computes coupon and default leg for a vector of spreads"""
+def pv_vec(double[:] spreads, YieldCurve yc, trade_date, value_date,
+           start_date, end_date, double recovery_rate, double fixed_rate):
+    """Computes vector of cds clean pvs for a vector of spreads"""
 
     cdef TDate trade_date_c = pydate_to_TDate(trade_date)
     cdef TDate step_in_date_c = trade_date_c + 1
     cdef TDate value_date_c = pydate_to_TDate(value_date)
     cdef TDate start_date_c = pydate_to_TDate(start_date)
     cdef TDate end_date_c = pydate_to_TDate(end_date)
-    cdef np.ndarray[np.float_t] coupon_leg_pv = np.empty_like(spreads)
-    cdef np.ndarray[np.float_t] default_leg_pv = np.empty_like(spreads)
-    cdef int nspreads = spreads.shape[0]
-    cdef double h, guess
+    cdef np.npy_intp nspreads = spreads.shape[0]
+    cdef double h, guess, hi, lo, coupon_leg_pv
+    cdef np.ndarray[np.float_t] pv = np.empty_like(spreads)
     cdef TStubMethod stub_type
     cdef TCurve* sc
     cdef TContingentLeg* default_leg
     cdef TFeeLeg* fee_leg
     cdef cds_bootstrap_ctx* params
-    cdef size_t i
+    cdef Py_ssize_t i
     JpmcdsStringToStubMethod(b"f/s", &stub_type)
+    cdef double eta = 365./360.
 
     with nogil:
         h = spreads[0] / (1 - recovery_rate)
@@ -165,11 +165,13 @@ def faster_strike_vec(double[:] spreads, YieldCurve yc, trade_date, value_date,
 
         for i in range(nspreads):
             params.spread = spreads[i]
-            guess = spreads[i] / ( 1 - recovery_rate) * 365/360
+            lo = guess * 0.9
+            guess = spreads[i] / ( 1 - recovery_rate) * eta
+            hi = guess * 1.1
             if JpmcdsRootFindBrent(<TObjectFunc>cdsBootstrapPointFunction,
                                    <void*> params,
-                                   0.0,   # boundLo */
-                                   1e10,   # boundHi */
+                                   lo,   # boundLo */
+                                   hi,   # boundHi */
                                    100,    # numIterations */
                                    guess,
                                    0.0005, # initialXstep */
@@ -180,11 +182,11 @@ def faster_strike_vec(double[:] spreads, YieldCurve yc, trade_date, value_date,
                 printf("failed to find the root")
             sc.fArray[0].fRate = h
             if JpmcdsFeeLegPV(fee_leg, trade_date_c, step_in_date_c, value_date_c,
-                              yc._thisptr, sc, True, &coupon_leg_pv[i]) != 0:
+                              yc._thisptr, sc, True, &coupon_leg_pv) != 0:
                 printf("Something went wrong")
-            default_leg_pv[i] = coupon_leg_pv[i] * spreads[i]
+            pv[i] = coupon_leg_pv * (spreads[i] - fixed_rate)
         free(params)
         JpmcdsFeeLegFree(fee_leg)
         free(default_leg)
         JpmcdsFreeTCurve(sc)
-    return default_leg_pv, coupon_leg_pv
+    return pv