Optionally fill in the curve

if some upfronts are NaN, fill in the curve with implied values.

1 files changed, 19 insertions, 24 deletions

diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index 0d35aa5..b903281 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -465,7 +465,7 @@ cdef class SpreadCurve(Curve):
                  cash_settle_date, end_dates,
                  double[:] coupon_rates, double[:] upfront_rates,
                  double[:] recovery_rates, bint pay_accrued_on_default=True,
-                 str ticker=None):
+                 str ticker=None, bint fill_curve=True):
 
         cdef TDate today_c = pydate_to_TDate(today)
         cdef TDate step_in_date_c
@@ -491,6 +491,7 @@ cdef class SpreadCurve(Curve):
         cdef TDate* end_dates_c = NULL
         cdef double* tenors_c = NULL
         cdef TCurve* curve = NULL
+        cdef TCurve* new_curve = NULL
         cdef unsigned int includes = 0
         cdef size_t i
         cdef bint freeup = False
@@ -551,7 +552,13 @@ cdef class SpreadCurve(Curve):
         if curve is NULL:
             raise ValueError("Didn't init the survival curve properly")
         else:
-            self._thisptr = make_shared(curve)
+            if fill_curve and curve.fNumItems != n_dates:
+                new_curve = _fill_curve(curve, end_dates_c, n_dates)
+                self._thisptr = make_shared(new_curve)
+                JpmcdsFreeTCurve(curve)
+                curve = new_curve
+            else:
+                self._thisptr = make_shared(curve)
             self.recovery_rates = shared_ptr[double](
                 <double*>malloc(curve.fNumItems * sizeof(double)),
                 double_free)
@@ -774,30 +781,18 @@ cdef class SpreadCurve(Curve):
                                          self.recovery_rates.get())
         return out
 
-@cython.boundscheck(False)
-@cython.wraparound(False)
-@cython.initializedcheck(False)
 @cython.cdivision(True)
-def fill_curve(SpreadCurve sc, TDate[:] end_dates):
-
-    cdef size_t n_dates = end_dates.shape[0]
-    cdef size_t i
-    cdef TDate base_date = sc._thisptr.get().fBaseDate
-    cdef double t
-    cdef TCurve* curve = JpmcdsNewTCurve(sc._thisptr.get().fBaseDate,
-                                         n_dates,
-                                         5000.,
-                                         2)
-    cdef TRatePt* it = curve.fArray
+@cython.boundscheck(False)
+cdef TCurve* _fill_curve(TCurve* sc, TDate* end_dates, int n_dates):
+    cdef:
+        size_t i
+        TDate base_date = sc.fBaseDate
+        double t
+        TCurve* curve = JpmcdsNewTCurve(base_date, n_dates, 5000., 2)
+        TRatePt* it = curve.fArray
 
     for i in range(n_dates):
         t = (end_dates[i] - base_date)/365.
         it[i].fDate = end_dates[i]
-        it[i].fRate = -log(JpmcdsForwardZeroPrice(sc._thisptr.get(), base_date,
-                                                  end_dates[i])) / t
-
-    cdef SpreadCurve sc_new = SpreadCurve.__new__(SpreadCurve)
-    sc_new._thisptr = make_shared(curve)
-    sc_new.ticker = sc.ticker
-    sc_new.recovery_rates =  sc.recovery_rates
-    return sc_new
+        it[i].fRate = -log(JpmcdsForwardZeroPrice(sc, base_date, end_dates[i])) / t
+    return curve