add roll_date function

3 files changed, 67 insertions, 2 deletions

diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index 7fbc151..6748f92 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -1,8 +1,11 @@
-from libc.math cimport log1p, log
+from libc.math cimport log1p, log, nearbyint
+from libc.stdio cimport printf
+
 from date cimport (JpmcdsStringToDateInterval, pydate_to_TDate, dcc, TMonthDayYear,
                    JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust, TDate_to_pydate,
                    JpmcdsDateFromBusDaysOffset, JpmcdsStringToDayCountConv, ACT_360,
-                   JpmcdsDateToMDY, JpmcdsMDYToDate, JpmcdsFormatDate)
+                   JpmcdsDateToMDY, JpmcdsMDYToDate, JpmcdsMakeDateInterval,
+                   JpmcdsDtFwdAny, JpmcdsFormatDate, JpmcdsFormatDateInterval)
 from date import dcc_tostring
 from cdsone cimport JpmcdsStringToStubMethod, TStubMethod
 from legs cimport (JpmcdsCdsContingentLegMake, JpmcdsCdsFeeLegMake,
@@ -63,6 +66,65 @@ cdef TDate previous_twentieth(TDate d) nogil:
     else:
         return r
 
+cdef TDate next_twentieth(TDate d) nogil:
+    cdef TMonthDayYear mdy
+    if JpmcdsDateToMDY(d, &mdy) != SUCCESS:
+        return -1
+    if mdy.day > 20:
+        if mdy.month == 12:
+            mdy.month = 1
+            mdy.year += 1
+        else:
+            mdy.month += 1
+    mdy.day = 20
+    cdef int mod = mdy.month % 3
+    if mod != 0:
+        mdy.month += 3 - mod
+        if mdy.month > 12:
+            mdy.month -= 12
+            mdy.year += 1
+    cdef TDate r
+    if JpmcdsMDYToDate(&mdy, &r) != SUCCESS:
+        return -1
+    else:
+        return r
+
+cpdef TDate roll_date(TDate d, double tenor):
+    cdef TDate cutoff = 151472
+    cdef TDateInterval ivl
+    cdef TDate d_rolled
+    cdef TMonthDayYear d1
+    if tenor < 1:
+        if JpmcdsMakeDateInterval(<int>nearbyint(tenor * 12), "M", &ivl) != SUCCESS:
+            return -1
+    else:
+        if JpmcdsMakeDateInterval(<int>nearbyint(tenor), "A", &ivl) != SUCCESS:
+            return -1
+    if JpmcdsDtFwdAny(d, &ivl, &d_rolled) != SUCCESS:
+        return -1
+    if d <= cutoff:
+        return next_twentieth(d_rolled + 1)
+    else:
+        if JpmcdsDateToMDY(d, &d1) != SUCCESS:
+            return -1
+        if ((d1.month > 9) or ((d1.month == 9) and (d1.day >= 20))) or \
+           ((d1.month < 3) or ((d1.month == 3) and (d1.day < 20))):
+            if JpmcdsDateToMDY(d_rolled, &d1) != SUCCESS:
+                return -1
+            if d1.month <= 3:
+                d1.year -= 1
+            d1.month = 12
+            d1.day = 20
+        else:
+            if JpmcdsDateToMDY(d_rolled, &d1) != SUCCESS:
+                return -1
+            d1.month = 6
+            d1.day = 20
+        if JpmcdsMDYToDate(&d1, &d_rolled) != SUCCESS:
+            return -1
+        else:
+            return d_rolled
+
 cdef class Curve(object):
 
     def __getstate__(self):
diff --git a/pyisda/date.pxd b/pyisda/date.pxd
index 56d1e45..10693fc 100644
--- a/pyisda/date.pxd
+++ b/pyisda/date.pxd
@@ -22,6 +22,7 @@ cdef extern from "isda/convert.h" nogil:
     int JpmcdsStringToDateInterval(char* input, char* label, TDateInterval* interval)
     int JpmcdsMakeDateInterval(int num_periods, char period_type, TDateInterval* interval)
     char* JpmcdsFormatDate(TDate date)
+    char* JpmcdsFormatDateInterval(TDateInterval*)
 
 cdef extern from "isda/date_sup.h" nogil:
     int JpmcdsDateIntervalToFreq(TDateInterval* interval, double* freq)
diff --git a/pyisda/date.pyx b/pyisda/date.pyx
index 5854e70..50cff66 100644
--- a/pyisda/date.pyx
+++ b/pyisda/date.pyx
@@ -11,6 +11,8 @@ cpdef c_datetime.date TDate_to_pydate(TDate d):
     cdef TMonthDayYear date
     if JpmcdsDateToMDY(d, &date) == 0:
         return c_datetime.date_new(date.year, date.month, date.day)
+    else:
+        raise ValueError("incorrect date")
 
 cdef long dcc(str day_count) except -1:
     cdef long r