add vectorized version of snac_pv

1 files changed, 69 insertions, 0 deletions

diff --git a/pyisda/flat_hazard.pyx b/pyisda/flat_hazard.pyx
new file mode 100644
index 0000000..ecd2c6a
--- /dev/null
+++ b/pyisda/flat_hazard.pyx
@@ -0,0 +1,69 @@
+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
+from cdsone cimport JpmcdsStringToStubMethod, TStubMethod
+from cython.parallel cimport parallel, prange
+cimport cython
+
+@cython.boundscheck(False)
+def snac_pv_vec(trade_date, cash_settle_date, exercise_date, YieldCurve yc,
+                start_date, end_date, double[:] spreads, double recovery_rate):
+    """vectorized and parallel version of snac_pv"""
+
+    cdef TDate trade_date_c = pydate_to_TDate(trade_date)
+    cdef TDate step_in_date_c = trade_date_c + 1
+    cdef TDate cash_settle_date_c = pydate_to_TDate(cash_settle_date)
+    cdef TDate start_date_c = pydate_to_TDate(start_date)
+    cdef TDate end_date_c = pydate_to_TDate(end_date)
+    cdef TCurve* sc
+    cdef double[:] coupon_leg_pv = np.empty_like(spreads)
+    cdef double[:] default_leg_pv = np.empty_like(spreads)
+    cdef TStubMethod stub_type
+
+    JpmcdsStringToStubMethod(b"f/s", &stub_type)
+
+    cdef TContingentLeg* default_leg = JpmcdsCdsContingentLegMake(
+        start_date_c,
+        end_date_c,
+        1, # notional
+        1) # protect_start = True
+    cdef TFeeLeg* fee_leg = JpmcdsCdsFeeLegMake(start_date_c,
+                                                end_date_c,
+                                                1,
+                                                NULL,
+                                                &stub_type,
+                                                1., # notional
+                                                1., # coupon_rate
+                                                3,  # JPMCDS_ACT_360
+                                                <long>'M',
+                                                b'NONE',
+                                                1) # protect_start = True
+    cdef int i
+    with nogil, parallel(num_threads=4):
+        for i in prange(spreads.shape[0]):
+            sc = JpmcdsCleanSpreadCurve(trade_date_c,
+                                        yc._thisptr,
+                                        start_date_c,
+                                        step_in_date_c,
+                                        cash_settle_date_c,
+                                        1, # length of end_dates_c
+                                        &end_date_c,
+                                        &spreads[i],
+                                        NULL,
+                                        recovery_rate,
+                                        1, # pay_accrued_on_default True
+                                        NULL,
+                                        3, # JPMCDS_ACT_360
+                                        &stub_type,
+                                        <long>'M',
+                                        b'NONE')
+            JpmcdsContingentLegPV(default_leg, trade_date_c, cash_settle_date_c,
+                                  step_in_date_c, yc._thisptr, sc,
+                                  recovery_rate, &default_leg_pv[i])
+            JpmcdsFeeLegPV(fee_leg, trade_date_c, step_in_date_c, cash_settle_date_c,
+                           yc._thisptr, sc, True, &coupon_leg_pv[i])
+    return coupon_leg_pv, default_leg_pv