add theta method

2 files changed, 60 insertions, 4 deletions

diff --git a/pyisda/credit_index.pxd b/pyisda/credit_index.pxd
index 787cd15..bb9f7ba 100644
--- a/pyisda/credit_index.pxd
+++ b/pyisda/credit_index.pxd
@@ -12,6 +12,7 @@ cdef class CurveList:
     cdef dict _tickersdict
 
 cdef class CreditIndex(CurveList):
+    cdef _start_date
     cdef vector[TDate] _maturities
     cdef TContingentLeg** _contingent_legs
     cdef TFeeLeg** _fee_legs
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx
index 2fa88bf..ad49a58 100644
--- a/pyisda/credit_index.pyx
+++ b/pyisda/credit_index.pyx
@@ -98,7 +98,7 @@ cdef class CurveList:
 cdef class CreditIndex(CurveList):
     def __init__(self, start_date, maturities, curves, double[:] weights=None):
         CurveList.__init__(self, curves, weights)
-        cdef TDate start_date_c = pydate_to_TDate(start_date)
+        self._start_date = pydate_to_TDate(start_date)
         for d in maturities:
             self._maturities.push_back(pydate_to_TDate(d))
 
@@ -111,12 +111,12 @@ cdef class CreditIndex(CurveList):
             raise ValueError("can't convert stub")
         cdef size_t i
         for i in range(self._maturities.size()):
-            self._contingent_legs[i] = JpmcdsCdsContingentLegMake(start_date_c,
+            self._contingent_legs[i] = JpmcdsCdsContingentLegMake(self._start_date,
                                                                   self._maturities[i],
                                                                   1.,
                                                                   True)
 
-            self._fee_legs[i] = JpmcdsCdsFeeLegMake(start_date_c,
+            self._fee_legs[i] = JpmcdsCdsFeeLegMake(self._start_date,
                                                     self._maturities[i],
                                                     True,
                                                     NULL,
@@ -240,8 +240,63 @@ cdef class CreditIndex(CurveList):
             free(mask)
         return r
 
+    def theta(self, step_in_date, value_date, maturity, YieldCurve yc not None,
+              double recovery_rate, double fixed_rate):
+        cdef:
+            TDate step_in_date_c = pydate_to_TDate(step_in_date)
+            TDate value_date_c =  pydate_to_TDate(value_date)
+            TDate maturity_c = pydate_to_TDate(maturity)
+            TStubMethod stub_type
+            double accrued
+
+        FeeLegAI(self._fee_legs[0], self._base_date, &accrued)
+        if JpmcdsStringToStubMethod(b"f/s", &stub_type) != 0:
+            raise ValueError("can't convert stub")
+        cdef:
+            TContingentLeg* cl = JpmcdsCdsContingentLegMake(self._start_date,
+                                                           maturity_c,
+                                                           1.,
+                                                           True)
+
+            TFeeLeg* fl = JpmcdsCdsFeeLegMake(self._start_date,
+                                             maturity_c,
+                                             True,
+                                             NULL,
+                                             &stub_type,
+                                             1.,
+                                             1.0,
+                                             3, #ACT_360
+                                             <long>'M', # MODIFIED
+                                             b'NONE',
+                                             True)
+
+            vector[shared_ptr[TCurve]].iterator it = self._curves.begin()
+            vector[double].iterator w = self._weights.begin()
+            double fl_pv, cl_pv, r = 0
+
+        while it != self._curves.end():
+            JpmcdsContingentLegPV(cl,
+                                  self._base_date,
+                                  value_date_c,
+                                  step_in_date_c,
+                                  yc._thisptr.get(),
+                                  deref(it).get(),
+                                  recovery_rate,
+                                  &cl_pv)
+            JpmcdsFeeLegPV(fl,
+                           self._base_date,
+                           step_in_date_c,
+                           value_date_c,
+                           yc._thisptr.get(),
+                           deref(it).get(),
+                           True,
+                           &fl_pv)
+            r += deref(w) * (cl_pv - (fl_pv - accrued) * fixed_rate)
+            preinc(it)
+            preinc(w)
+        return r
+
     @cython.boundscheck(False)
-    @cython.cdivision(True)
     def duration(self, step_in_date, value_date, maturity, YieldCurve yc not None):
 
         cdef: