use recovery curves

1 files changed, 16 insertions, 9 deletions

diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx
index 89d8802..c20ab84 100644
--- a/pyisda/credit_index.pyx
+++ b/pyisda/credit_index.pyx
@@ -297,10 +297,10 @@ cdef class CreditIndex(CurveList):
         return h
 
     #@cython.initializedcheck(False)
-    def pv_vec(self, step_in_date, cash_settle_date, YieldCurve yc, double recovery_rate):
+    def pv_vec(self, step_in_date, cash_settle_date, YieldCurve yc):
         cdef:
             TDate step_in_date_c = pydate_to_TDate(step_in_date)
-            TDate cash_settle_date_c =  pydate_to_TDate(cash_settle_date)
+            TDate cash_settle_date_c = pydate_to_TDate(cash_settle_date)
             np.npy_intp[2] n
         n[0] = self._curves.size()
         n[1] = self._maturities.size()
@@ -313,6 +313,7 @@ cdef class CreditIndex(CurveList):
             TDate maturity
             TCurve* sc
             pair[string, size_t] p
+            double recovery_rate
 
         for maturity in self._maturities:
             d[j] = maturity - 134774
@@ -322,6 +323,9 @@ cdef class CreditIndex(CurveList):
         for p in self.tickers:
             sc = self._curves[p.second].get()
             tickers.append(p.first)
+            # TODO: pick the actual recovery on the curve
+            # this only works for flat recovery curve
+            recovery_rate = self.recovery_rates[p.second].get()[0]
             for j in range(self._maturities.size()):
                 JpmcdsContingentLegPV(self.contingent_legs[j],
                                       sc.fBaseDate,
@@ -355,7 +359,7 @@ cdef class CreditIndex(CurveList):
         return accrued
 
     def pv(self, step_in_date, cash_settle_date, maturity, YieldCurve yc not None,
-           double recovery_rate, double fixed_rate, double epsilon=0.):
+           double fixed_rate, double epsilon=0.):
 
         cdef:
             TDate step_in_date_c = pydate_to_TDate(step_in_date)
@@ -379,7 +383,7 @@ cdef class CreditIndex(CurveList):
             h = vector[double](self.T.size())
         with nogil:
             r = pv(self._curves, self.base_date, step_in_date_c, cash_settle_date_c,
-                   yc._thisptr.get(), legs, recovery_rate, fixed_rate,
+                   yc._thisptr.get(), legs, self.recovery_rates, fixed_rate,
                    self._weights, epsilon, h, self.T, mask)
         if i == -1:
             free(legs.first)
@@ -387,8 +391,7 @@ cdef class CreditIndex(CurveList):
         return r
 
     def theta(self, step_in_date, cash_settle_date, maturity, YieldCurve yc not None,
-              double recovery_rate, double fixed_rate, double old_pv=nan(""),
-              theta_date=None):
+              double fixed_rate, double old_pv=nan(""), theta_date=None):
         """ computes the theta (carry net of roll down)
         if theta_date is None, this is 1 year theta, otherwise theta to that date"""
         cdef:
@@ -422,7 +425,7 @@ cdef class CreditIndex(CurveList):
                 legs.second = self.fee_legs[i]
             old_pv = pv(self._curves, self.base_date, step_in_date_c,
                         cash_settle_date_c, yc._thisptr.get(), legs,
-                        recovery_rate, fixed_rate, self._weights,
+                        self.recovery_rates, fixed_rate, self._weights,
                         0., h, self.T, 0)
             if i == -1:
                 free(legs.first)
@@ -438,7 +441,7 @@ cdef class CreditIndex(CurveList):
 
         cdef r = old_pv - pv(self._curves, self.base_date, step_in_date_c,
                              cash_settle_date_c,
-                             yc._thisptr.get(), legs, recovery_rate, fixed_rate,
+                             yc._thisptr.get(), legs, self.recovery_rates, fixed_rate,
                              self._weights, 0., h, self.T, 0) + carry
         if i == -1:
             free(legs.first)
@@ -597,7 +600,7 @@ cdef double pv(vector[shared_ptr[TCurve]]& curves,
                TDate cash_settle_date,
                TCurve* yc,
                pair[TContingentLeg_ptr, TFeeLeg_ptr]& legs,
-               double recovery_rate,
+               const vector[shared_ptr[double]] &recovery_rates,
                double fixed_rate,
                vector[double]& weights,
                double epsilon,
@@ -609,6 +612,7 @@ cdef double pv(vector[shared_ptr[TCurve]]& curves,
         TCurve* tweaked_curve
         shared_ptr[TCurve] c
         size_t i = 0
+        double recovery_rate
 
     if epsilon != 0.:
          tweaked_curve = JpmcdsCopyCurve(curves[0].get())
@@ -618,6 +622,9 @@ cdef double pv(vector[shared_ptr[TCurve]]& curves,
             tweak_curve(c.get(), tweaked_curve, epsilon, h, T, mask)
         else:
             tweaked_curve = c.get()
+        # TODO: pick the actual recovery on the curve
+        # this only works for flat recovery curve
+        recovery_rate = recovery_rates[i].get()[0]
         JpmcdsContingentLegPV(legs.first,
                               base_date,
                               cash_settle_date,