work in progress

4 files changed, 26 insertions, 14 deletions

diff --git a/date.pxd b/date.pxd
index 22ea9f6..c17a786 100644
--- a/date.pxd
+++ b/date.pxd
@@ -7,6 +7,7 @@ ctypedef long TDate
 cdef extern from "isda/convert.h":
     int JpmcdsStringToDateInterval(char* input, char* label, TDateInterval* interval)
     int JpmcdsMakeDateInterval(int num_periods, char period_type, TDateInterval* interval)
+    char* JpmcdsFormatDate(TDate date)
 
 cdef extern from "isda/date_sup.h":
     int JpmcdsDateIntervalToFreq(TDateInterval* interval, double* freq)
@@ -18,7 +19,7 @@ cdef extern from "isda/ldate.h":
     int JpmcdsDateFwdThenAdjust(TDate date, TDateInterval* interval, long badDayMethod,
                                 char* holidayFile, TDate *advAdjustedDate)
 
-cdef enum BadDay:
+cpdef public enum BadDay:
     FOLLOW = <long>'F'
     PREVIOUS = <long>'P'
     NONE = <long>'N'
diff --git a/setup.py b/setup.py
index 54d65cc..9162d58 100644
--- a/setup.py
+++ b/setup.py
@@ -1,6 +1,9 @@
 from distutils.core import setup
+from distutils.extension import Extension
 from Cython.Build import cythonize
 
+extensions = Extension("*", ["*.pyx"],
+        libraries = ["cds"])
 setup(
-    ext_modules = cythonize("*.pyx")
-)
+    name = "pyisda",
+    ext_modules = cythonize(extensions))
diff --git a/zerocurve.pxd b/zerocurve.pxd
index f3aaf57..cc3063e 100644
--- a/zerocurve.pxd
+++ b/zerocurve.pxd
@@ -8,7 +8,11 @@ cdef extern from "isda/zerocurve.h":
     ctypedef struct TDateInterval:
         pass
 
-    TCurve* JpmcdsBuildIRZeroCurve(TDate valueDate, char* instrNames, TDate* dates, double* rates, long nInstr, long mmDCC, long fixedSwapFreq, long floatSwapFreq, long fixedSwapDCC, long floatSwapDCC, long badDayConv, char* holidayFile)
+    TCurve* JpmcdsBuildIRZeroCurve(TDate valueDate, char* instrNames,
+                                   TDate* dates, double* rates, long nInstr,
+                                   long mmDCC, long fixedSwapFreq, long floatSwapFreq,
+                                   long fixedSwapDCC, long floatSwapDCC,
+                                   long badDayConv, char* holidayFile)
 
 cdef extern from "isda/tcurve.h":
     void JpmcdsFreeTCurve(TCurve* curve)
diff --git a/zerocurve.pyx b/zerocurve.pyx
index e56a38e..96e7036 100644
--- a/zerocurve.pyx
+++ b/zerocurve.pyx
@@ -3,7 +3,7 @@ from libc.stdlib cimport malloc, free
 from pyisda.zerocurve cimport JpmcdsBuildIRZeroCurve
 from pyisda.yearfrac cimport dcc
 from pyisda.date cimport (JpmcdsStringToDateInterval, JpmcdsDateIntervalToFreq,
-                          JpmcdsDate, JpmcdsDateFwdThenAdjust, NONE)
+                          JpmcdsDate, JpmcdsDateFwdThenAdjust, BadDay)
 
 cdef int SUCCESS = 0
 
@@ -11,12 +11,14 @@ cdef class ZeroCurve:
     cdef TCurve* _thisptr
     cdef TDate* _dates
 
-    def __cinit__(self, date, str types,
+    def __init__(self, date, str types,
                   list periods, double[:] rates,
                   str mm_dcc, str fixed_swap_period, str float_swap_period,
-                  str fixed_swap_dcc, str float_swap_dcc, char bad_day_conv,
-                  char* holidayFile):
+                  str fixed_swap_dcc, str float_swap_dcc, BadDay bad_day_conv):
+        """ Initialize a zero coupon curve
 
+        instruments need to be sorted by tenor
+        """
         cdef:
            double fixed_freq
            double float_freq
@@ -29,15 +31,15 @@ cdef class ZeroCurve:
         else:
             raise ValueError
 
-        cdef TDate* _dates = <TDate*>malloc(len(periods) * sizeof(TDate))
+        self._dates = <TDate*>malloc(len(periods) * sizeof(TDate))
         cdef TDateInterval tmp
 
         for i, p in enumerate(periods):
             period_bytes = p.encode('utf-8')
-            if JpmcdsStringToDateInterval(p, routine, &tmp) != SUCCESS:
+            if JpmcdsStringToDateInterval(period_bytes, routine, &tmp) != SUCCESS:
                 raise ValueError
             if JpmcdsDateFwdThenAdjust(value_date, &tmp, NONE,
-                                       "None", &_dates[i]) != SUCCESS:
+                                       "None", &self._dates[i]) != SUCCESS:
                 raise ValueError('Invalid interval')
 
         fixed_bytes = fixed_swap_period.encode('utf-8')
@@ -52,11 +54,12 @@ cdef class ZeroCurve:
             raise ValueError
         if JpmcdsDateIntervalToFreq(&ivl, &float_freq) != SUCCESS:
             raise ValueError
+
         self._thisptr = JpmcdsBuildIRZeroCurve(
-            value_date, types_bytes, _dates,
+            value_date, types_bytes, self._dates,
             &rates[0], len(periods), dcc(mm_dcc), <long> fixed_freq,
             <long> float_freq,
-            dcc(fixed_swap_dcc), dcc(fixed_swap_dcc), <long>bad_day_conv, "None"
+            dcc(fixed_swap_dcc), dcc(float_swap_dcc), bad_day_conv, b"None"
         )
 
     def __dealloc__(self):
@@ -66,10 +69,11 @@ cdef class ZeroCurve:
             free(self._dates)
 
     def discount_factor(self, date):
+        if self._thisptr is NULL:
+            raise ValueError('curve is empty')
         cdef TDate discount_date
         if isinstance(date, datetime.date):
             discount_date = JpmcdsDate(date.year, date.month, date.day)
         else:
             raise ValueError
-
         return JpmcdsZeroPrice(self._thisptr, discount_date)