bugfixesmore_cpp

6 files changed, 68 insertions, 53 deletions

diff --git a/c_layer/curve.cpp b/c_layer/curve.cpp
index 2f84d01..221f27c 100644
--- a/c_layer/curve.cpp
+++ b/c_layer/curve.cpp
@@ -64,7 +64,7 @@ namespace pyisda {
         }
     }
 
-    void Curve::tweak(TCurve* const ptr, double epsilon) {
+    void Curve::tweak(TCurve* ptr, double epsilon) {
         double h1, h2, t1, t2, c;
         h1 = t1 = c = 0;
         TRatePt cur;
@@ -79,18 +79,22 @@ namespace pyisda {
         }
     }
 
-    void Curve::tweak(TCurve* const ptr, double epsilon, unsigned long mask) {
-        double h1, h2, t1, t2, c;
-        h1 = t1 = c = 0;
-        TRatePt cur;
-        for(int i = 0;i < ptr->fNumItems; i++) {
-            cur = ptr->fArray[i];
-            h2 = cur.fRate;
-            t2 = (cur.fDate - ptr->fBaseDate) / 365.;
-            c += (h2 * t2 - h1 * t1 ) * (1 + epsilon * (( mask >> i) & 1));
-            cur.fRate = c / t2;
-            h1 = h2;
-            t1 = t2;
+    void Curve::tweak(TCurve* ptr, double epsilon, unsigned long mask) {
+        if (mask == 0) {
+            Curve::tweak(ptr, epsilon);
+        } else {
+            double h1, h2, t1, t2, c;
+            h1 = t1 = c = 0;
+            TRatePt cur;
+            for(int i = 0; i < ptr->fNumItems; i++) {
+                cur = ptr->fArray[i];
+                h2 = cur.fRate;
+                t2 = (cur.fDate - ptr->fBaseDate) / 365.;
+                c += (h2 * t2 - h1 * t1 ) * (1 + epsilon * (( mask >> i) & 1));
+                cur.fRate = c / t2;
+                h1 = h2;
+                t1 = t2;
+            };
         }
     }
 
@@ -117,7 +121,8 @@ namespace pyisda {
     }
 
     size_t SpreadCurve::size() {
-        return Curve::size() + recovery_rates.size() * sizeof(double) + 8;
+        return Curve::size() + recovery_rates.size() * sizeof(double) +
+            8 + sizeof(TDate) + sizeof(Seniority);
     }
 
     unsigned char* SpreadCurve::serialize(unsigned char* const buf) {
@@ -131,7 +136,12 @@ namespace pyisda {
         } else {
             ticker.copy((char*)cur, 8, 0);
         }
-        return cur + 8;
+        cur += 8;
+        memcpy(cur, &event_date, sizeof(TDate));
+        cur += sizeof(TDate);
+        memcpy(cur, &seniority, sizeof(Seniority));
+        cur += sizeof(Seniority);
+        return cur;
     }
 
 }
diff --git a/c_layer/curve.hpp b/c_layer/curve.hpp
index 5cc796a..39fdce9 100644
--- a/c_layer/curve.hpp
+++ b/c_layer/curve.hpp
@@ -5,6 +5,7 @@
 #include "isda/bastypes.h"
 #include "isda/cdate.h"
 #include "isda/tcurve.h"
+#include <iostream>
 
 namespace pyisda {
     class Curve {
@@ -17,7 +18,7 @@ namespace pyisda {
         ~Curve() {
             JpmcdsFreeTCurve(ptr);
         }
-        explicit operator TCurve*() const { return ptr; }
+        TCurve* get_TCurve() const {return ptr; }
         unsigned char* serialize(unsigned char* buf);
         double zeroPrice(const TDate date);
         double zeroPrice(const TDate date1, const TDate date2);
@@ -36,7 +37,7 @@ namespace pyisda {
     public:
         YieldCurve(TCurve* const curve, const std::vector<TDate>& dates) :
             Curve(curve),
-            dates(dates) {};
+            dates(std::move(dates)) {};
         YieldCurve(const YieldCurve &curve2) :
             Curve(curve2),
             dates(std::move(curve2.dates)) {};
@@ -47,18 +48,29 @@ namespace pyisda {
 
     class SpreadCurve : public Curve {
     public:
+        enum Seniority {
+            Senior,
+            Subordinated
+        };
+
         SpreadCurve(TCurve* const curve, const std::vector<double>& recovery_rates,
-                    const std::string& ticker) :
+                    const std::string& ticker, TDate event_date = -1,
+                    Seniority sen = Senior) :
             Curve(curve),
             recovery_rates(recovery_rates),
-            ticker(ticker) {};
+            ticker(ticker),
+            event_date(event_date),
+            seniority(sen) {};
         SpreadCurve(const SpreadCurve &curve2) :
             Curve(curve2),
             recovery_rates(std::move(curve2.recovery_rates)),
-            ticker(std::move(curve2.ticker)) {};
-
+            ticker(std::move(curve2.ticker)),
+            event_date(curve2.event_date),
+            seniority(curve2.seniority) {};
         std::vector<double> recovery_rates;
         std::string ticker;
+        TDate event_date;
+        SpreadCurve::Seniority seniority;
         size_t size();
         unsigned char* serialize(unsigned char* buf);
     };
diff --git a/pyisda/_curve.pxd b/pyisda/_curve.pxd
index 5d5a003..430a4ea 100644
--- a/pyisda/_curve.pxd
+++ b/pyisda/_curve.pxd
@@ -19,16 +19,13 @@ cdef extern from "curve.hpp" namespace "pyisda" nogil:
         Curve(TCurve*)
         Curve(const TCurve&)
         unsigned char* serialize(unsigned char*)
-        TCurve* operator()
+        TCurve* get_TCurve() const
         double zeroPrice(TDate d)
         double zeroPrice(TDate d1, TDate d2)
-        void tweak_mask "tweak" (double epsilon, unsigned long mask)
-        void tweak(double epsilon)
+        void tweak(double epsilon, unsigned long mask)
 
         @staticmethod
-        void tweak_mask_ "tweak" (const TCurve*, double epsilon, unsigned long mask)
-        @staticmethod
-        void tweak_ "tweak" (const TCurve*, double epsilon)
+        void tweak_static "tweak" (TCurve*, double epsilon, unsigned long mask)
         double survivalProb(const TDate, const TDate)
         double survivalProb(const TDate, const TDate, double eps)
         size_t size()
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx
index 76c77a1..7e93cd0 100644
--- a/pyisda/credit_index.pyx
+++ b/pyisda/credit_index.pyx
@@ -1,4 +1,5 @@
 #cython: cdivision=True, boundscheck=False, c_string_type=unicode, c_string_encoding=ascii
+# distutils: sources = c_layer/curve.cpp
 from libc.stdlib cimport malloc, free
 from libc.math cimport nan, isnan
 from libc.string cimport memcpy, memset
@@ -471,7 +472,7 @@ cdef class CreditIndex(CurveList):
                            step_in_date_c,
                            cash_settle_date_c,
                            yc.get_curve(),
-                           <TCurve*>deref(sc),
+                           sc.get().get_TCurve(),
                            True,
                            &fl_pv)
             r += self._weights[i] * fl_pv
@@ -498,12 +499,12 @@ cdef class CreditIndex(CurveList):
             size_t i
         if inplace:
             for i in range(self._curves.size()):
-                self._curves[i].get().tweak_mask(epsilon, mask)
+                self._curves[i].get().tweak(epsilon, mask)
         else:
             for i in range(self._curves.size()):
                 sc_copy = new _curve.SpreadCurve(
                     deref(<_curve.SpreadCurve*>(self._curves[i].get())))
-                sc_copy.tweak_mask(epsilon, mask)
+                sc_copy.tweak(epsilon, mask)
                 self._curves[i].reset(sc_copy)
 
 
@@ -627,7 +628,7 @@ cdef double pv(const vector[shared_ptr[Curve]]& curves,
                                       cash_settle_date,
                                       step_in_date,
                                       yc,
-                                      <TCurve*>deref(curve),
+                                      curve.get_TCurve(),
                                       recovery_rate,
                                       &cl_pv)
                 JpmcdsFeeLegPV(legs.second,
@@ -635,19 +636,20 @@ cdef double pv(const vector[shared_ptr[Curve]]& curves,
                                step_in_date,
                                cash_settle_date,
                                yc,
-                               <TCurve*>deref(curve),
+                               curve.get_TCurve(),
                                True,
                                &fl_pv)
                 r += weights[i] * (cl_pv - fl_pv * fixed_rate)
     else:
         with parallel():
-            tweaked_curve = JpmcdsCopyCurve(<TCurve*>deref(curves[0].get()))
+
             cl_pv = 0.
             fl_pv = 0.
             for i in prange(curves.size()):
                 curve = <_curve.SpreadCurve*>(curves[i].get())
+                tweaked_curve = JpmcdsCopyCurve(curve.get_TCurve())
                 recovery_rate = curve.recovery_rates[0]
-                _curve.Curve.tweak_mask_(tweaked_curve, epsilon, mask)
+                _curve.Curve.tweak_static(tweaked_curve, epsilon, mask)
                 # FIXME: do something better
                 if isnan(recovery_rate):
                     recovery_rate = curve.recovery_rates[1]
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index cd12213..40d596d 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -6,7 +6,7 @@ from .date cimport (JpmcdsStringToDateInterval, pydate_to_TDate, dcc, TMonthDayY
                    JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust, TDate_to_pydate,
                    JpmcdsDateFromBusDaysOffset, JpmcdsStringToDayCountConv, ACT_360,
                    BadDay, FOLLOW, MODIFIED, NONE)
-from date import dcc_tostring
+from .date import dcc_tostring
 from .date cimport _previous_twentieth, _roll_date
 from .cdsone cimport JpmcdsStringToStubMethod, TStubMethod
 from .legs cimport (JpmcdsCdsContingentLegMake, JpmcdsCdsFeeLegMake,
@@ -37,7 +37,7 @@ cdef int SUCCESS = 0
 cdef class Curve(object):
 
     cdef inline TCurve* get_curve(self) nogil:
-        return <TCurve*>(deref(self._thisptr))
+        return self._thisptr.get().get_TCurve()
 
     def __getstate__(self):
         cdef:
@@ -89,11 +89,11 @@ cdef class Curve(object):
         dict
            contains `base_date`, `basis`, `day_count_counvention` and `data`
         """
-        cdef TCurve* curve = <TCurve*>deref(self._thisptr)
+        cdef TCurve* curve = self.get_curve()
         return {'base_date': self.base_date,
-                'basis': self.get_curve().fBasis,
-                'day_count_convention': dcc_tostring(self.get_curve().fDayCountConv),
-                'data': fArray_to_list(self.get_curve().fArray, self.get_curve().fNumItems)}
+                'basis': curve.fBasis,
+                'day_count_convention': dcc_tostring(curve.fDayCountConv),
+                'data': fArray_to_list(curve.fArray, curve.fNumItems)}
 
     @cython.boundscheck(False)
     @cython.cdivision(True)
@@ -127,10 +127,10 @@ cdef class Curve(object):
 
     def __iter__(self):
         cdef:
-            TCurve* curve = <TCurve*>deref(self._thisptr)
+            TCurve* curve = self.get_curve()
             size_t i = 0
-            TRatePt* it = self.get_curve().fArray
-        for i in range(self.get_curve().fNumItems):
+            TRatePt* it = curve.fArray
+        for i in range(curve.fNumItems):
             yield (TDate_to_pydate(it[i].fDate), it[i].fRate)
 
     def __len__(self):
@@ -346,7 +346,6 @@ cdef class YieldCurve(Curve):
 
 
         cursor = deserialize(cursor, curve)
-        instance._thisptr = make_shared[_curve.Curve](curve)
         memcpy(&num_instr, cursor, sizeof(size_t))
         cdef vector[TDate] dates = vector[TDate](num_instr)
         memcpy(dates.data(), cursor, num_instr * sizeof(TDate))
@@ -456,7 +455,6 @@ cdef class SpreadCurve(Curve):
         cdef TDate step_in_date_c
         cdef TDate cash_settle_date_c
         cdef TDate start_date_c
-
         if start_date is None:
             start_date_c = _previous_twentieth(today_c, True)
             if start_date_c == -1:
@@ -481,7 +479,6 @@ cdef class SpreadCurve(Curve):
         cdef size_t i
         cdef bint freeup = False
         cdef vector[double] recov
-
         if cash_settle_date_c < yc.get_curve().fBaseDate:
             raise ValueError("cash_settle_date: {0} is anterior to yc's base_date: {1}".
                              format(cash_settle_date, yc.base_date))
@@ -679,10 +676,7 @@ cdef class SpreadCurve(Curve):
             )
         else:
             sc = self
-        if mask != 0:
-            sc._thisptr.get().tweak_mask(epsilon, mask)
-        else:
-            sc._thisptr.get().tweak(epsilon)
+        sc._thisptr.get().tweak(epsilon, mask)
         return sc
 
     @cython.boundscheck(False)
@@ -717,8 +711,8 @@ cdef class SpreadCurve(Curve):
                                          ACT_360,
                                          <long>b'M',
                                          b'NONE',
-                                         <TCurve*>deref(yc._thisptr),
-                                         <TCurve*>deref(self._thisptr),
+                                         yc.get_curve(),
+                                         self.get_curve(),
                                          &recovery_rates[0],
                                          par_spreads)
             free(end_dates_c)
diff --git a/pyisda/legs.pyx b/pyisda/legs.pyx
index 39e60e8..cce31ac 100644
--- a/pyisda/legs.pyx
+++ b/pyisda/legs.pyx
@@ -1,7 +1,7 @@
 from cython.operator cimport dereference as deref
 from libc.stdlib cimport free
 from .date cimport pydate_to_TDate, TDate_to_pydate, dcc
-from date import dcc_tostring
+from .date import dcc_tostring
 from .cdsone cimport JpmcdsStringToStubMethod, TStubMethod
 from .curve cimport YieldCurve, SpreadCurve