fix bugsmore_enum

11 files changed, 90 insertions, 82 deletions

diff --git a/pyisda/cdsone.pxd b/pyisda/cdsone.pxd
index d40a7f2..e1e4eea 100644
--- a/pyisda/cdsone.pxd
+++ b/pyisda/cdsone.pxd
@@ -1,4 +1,4 @@
-from .date cimport TDateInterval
+from .date cimport TDateInterval, _BadDayConvention, DayCountConvention
 from .curve cimport TCurve
 
 cdef extern from "isda/stub.h" nogil:
@@ -23,8 +23,8 @@ cdef extern from "isda/cdsone.h" nogil:
                                   TBoolean payAccruedOnDefault,
                                   TDateInterval* dateInterval,
                                   TStubMethod* stubType,
-                                  long accrueDCC,
-                                  long badDayConv,
+                                  DayCountConvention accrueDCC,
+                                  _BadDayConvention badDayConv,
                                   char* calendar,
                                   TCurve* discCurve,
                                   double oneSpread,
@@ -42,8 +42,8 @@ cdef extern from "isda/cdsone.h" nogil:
                            TBoolean payAccruedOnDefault,
                            TDateInterval* dateInterval,
                            TStubMethod* stubType,
-                           long accrueDCC,
-                           long badDayConv,
+                           DayCountConvention accrueDCC,
+                           _BadDayConvention badDayConv,
                            char* calendar,
                            TCurve* discCurve,
                            double upfrontCharge,
diff --git a/pyisda/cdsone.pyx b/pyisda/cdsone.pyx
index 5dd8040..f80fc1d 100644
--- a/pyisda/cdsone.pyx
+++ b/pyisda/cdsone.pyx
@@ -1,5 +1,5 @@
 from .curve cimport YieldCurve
-from .date cimport JpmcdsMakeDateInterval, pydate_to_TDate, dcc
+from .date cimport JpmcdsMakeDateInterval, pydate_to_TDate, ACT_360, _FOLLOW
 
 cdef int SUCCESS = 0
 
@@ -59,7 +59,7 @@ def upfront_charge(date, value_date, benchmark_start_date, stepin_date,
         raise ValueError("can't convert to date interval")
     if JpmcdsCdsoneUpfrontCharge(today, value_date_c, benchmark_start_date_c, stepin_date_c,
                                  start_date_c, end_date_c, coupon_rate, pay_accrued_on_default,
-                                 &ivl, &stub, dcc("ACT/360"), b'F', b"None",
+                                 &ivl, &stub, ACT_360, _FOLLOW, b"None",
                                  yc._thisptr.get(), spread, recovery_rate,
                                  pay_accrued_at_start, &result) == SUCCESS:
         return result
@@ -120,7 +120,7 @@ def spread_from_upfront(date, value_date, benchmark_start_date, stepin_date,
         raise ValueError("can't convert to date interval")
     if JpmcdsCdsoneSpread(today, value_date_c, benchmark_start_date_c, stepin_date_c,
                           start_date_c, end_date_c, coupon_rate, pay_accrued_on_default,
-                          &ivl, &stub, dcc("ACT/360"), b'F', b"None",
+                          &ivl, &stub, ACT_360, _FOLLOW, b"None",
                           yc._thisptr.get(), upfront, recovery_rate,
                           pay_accrued_at_start, &result) == SUCCESS:
         return result
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx
index 8d2bf34..5885866 100644
--- a/pyisda/credit_index.pyx
+++ b/pyisda/credit_index.pyx
@@ -17,7 +17,7 @@ from .curve cimport (SpreadCurve, JpmcdsCopyCurve, tweak_curve, YieldCurve,
 from .date cimport (pydate_to_TDate, TDate_to_pydate, ACT_365F, JpmcdsDtFwdAny,
                    TDateInterval, JpmcdsMakeDateInterval)
 from .cdsone cimport JpmcdsStringToStubMethod, TStubMethod
-from .date cimport ACT_365F
+from .date cimport ACT_365F, ACT_360, _MODIFIED
 cimport numpy as np
 np.import_array()
 import pandas as pd
@@ -503,8 +503,8 @@ cdef class CreditIndex(CurveList):
                                      &stub_type,
                                      1.,
                                      1.0,
-                                     3,  # ACT_360
-                                     <long>b'M',  # MODIFIED
+                                     ACT_360,  # ACT_360
+                                     _MODIFIED,  # MODIFIED
                                      b'NONE',
                                      True)
         else:
@@ -632,8 +632,8 @@ cdef pair[TContingentLeg_ptr, TFeeLeg_ptr] get_legs(TDate maturity,
                                    &stub_type,
                                    1.,
                                    1.0,
-                                   3,  # ACT_360
-                                   <long>b'M',  # MODIFIED
+                                   ACT_360,  # ACT_360
+                                   _MODIFIED,  # MODIFIED
                                    b'NONE',
                                    True)
     return r
diff --git a/pyisda/curve.pxd b/pyisda/curve.pxd
index 05a5995..04e85d6 100644
--- a/pyisda/curve.pxd
+++ b/pyisda/curve.pxd
@@ -1,4 +1,5 @@
 from .cdsone cimport TStubMethod
+from .date cimport DayCountConvention, _BadDayConvention
 from .legs cimport TContingentLeg, TFeeLeg
 from libcpp.vector cimport vector
 from libcpp cimport bool
@@ -32,8 +33,8 @@ cdef extern from "isda/bastypes.h":
         int fNumItems
         TRatePt* fArray
         TDate fBaseDate
-        double fBasis
-        long fDayCountConv
+        Compounding fBasis
+        DayCountConvention fDayCountConv
 
     ctypedef struct TRatePt:
         TDate fDate
@@ -119,12 +120,12 @@ cdef extern from "isda/cds.h" nogil:
         # Interval between coupon payments. Can be NULL when 3M is assumed
         TDateInterval  *couponInterval,
         # Day count convention for coupon payment. Normal is ACT_360
-        long            paymentDcc,
+        DayCountConvention            paymentDcc,
         # If the startDate and endDate are not on cycle, then this parameter
         # determines location of coupon dates. */
         const TStubMethod    *stubType,
         # Bad day convention for adjusting coupon payment dates. */
-        long            badDayConv,
+        _BadDayConvention            badDayConv,
         # Calendar used when adjusting coupon dates. Can be NULL which equals
         # a calendar with no holidays and including weekends. */
         const char           *calendar
@@ -150,9 +151,9 @@ cdef extern from "isda/cds.h" nogil:
         # determines location of coupon dates.
         TStubMethod    *stubType,
         # Day count convention for coupon payment. Normal is ACT_360
-        long            paymentDcc,
+        DayCountConvention            paymentDcc,
         # Bad day convention for adjusting coupon payment dates.
-        long            badDayConv,
+        _BadDayConvention            badDayConv,
         # Calendar used when adjusting coupon dates. Can be NULL which equals
         # a calendar with no holidays and including weekends.
         char           *calendar,
@@ -172,14 +173,14 @@ cdef extern from "isda/tcurve.h" nogil:
                              TDate  *dates,
                              double *rates,
                              int     numPts,
-                             double  basis,
-                             long    dayCountConv)
+                             Compounding  basis,
+                             DayCountConvention    dayCountConv)
     TCurve* JpmcdsCopyCurve(TCurve* curve)
     TDate* JpmcdsDatesFromCurve(TCurve* curve)
     TCurve* JpmcdsNewTCurve(TDate  baseDate,           # (I) Base date
                             int    numPts,             # (I) Length of dates & rates
-                            double basis,              # (I) Compounding periods/year
-                            long   dayCountConv)
+                            Compounding basis,              # (I) Compounding periods/year
+                            DayCountConvention   dayCountConv)
 
 cdef extern from "isda/cxzerocurve.h" nogil:
     double JpmcdsZeroPrice(TCurve* curve, TDate date)
@@ -189,7 +190,7 @@ cdef extern from "isda/cxzerocurve.h" nogil:
 cdef double survival_prob(TCurve* curve, TDate start_date, TDate maturity_date, double eps) nogil
 
 cdef extern from "isda/cfinanci.h":
-    cdef enum Compounding:
+    ctypedef enum Compounding:
         CONTINUOUS "JPMCDS_CONTINUOUS_BASIS"
         DISCOUNT_RATE "JPMCDS_DISCOUNT_RATE"
         SIMPLE_RATE "JPMCDS_SIMPLE_RATE"
@@ -199,7 +200,7 @@ cdef extern from "isda/cfinanci.h":
 
     int JpmcdsDiscountToRateYearFrac(double discount,          # (I) Discount factor
                                      double yearFraction,      # (I) See JpmcdsDayCountFraction
-                                     double basis,             # (I) Basis for the rate
+                                     Compounding basis,             # (I) Basis for the rate
                                      double *rate) nogil
 cdef extern from "isda/macros.h":
     cdef double JPMCDS_MAX_RATE
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index ade1de1..5de3859 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -2,7 +2,8 @@ from libc.math cimport log1p, log, exp, isnan
 from .date cimport (JpmcdsStringToDateInterval, pydate_to_TDate, dcc, TMonthDayYear,
                    JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust, TDate_to_pydate,
                    JpmcdsDateFromBusDaysOffset, JpmcdsStringToDayCountConv, ACT_360,
-                   BadDay, FOLLOW, MODIFIED, NONE)
+                    ACT_365F, BadDayConvention, _BadDayConvention,
+                    _FOLLOW, _MODIFIED, _NONE)
 from .date import dcc_tostring
 from .date cimport _previous_twentieth, _roll_date
 from .cdsone cimport JpmcdsStringToStubMethod
@@ -183,14 +184,14 @@ cdef class Curve(object):
 
         cdef double* data = <double*>malloc(shape * sizeof(double))
         cdef size_t i
-        if <Basis>curve.fBasis == Basis.CONTINUOUS:
+        if curve.fBasis == CONTINUOUS:
             for i in range(shape):
                 h2 = curve.fArray[i].fRate
                 t2 = (curve.fArray[i].fDate - curve.fBaseDate)/365.
                 data[i] = (h2 * t2 - h1 * t1) / (t2 - t1)
                 h1 = h2
                 t1 = t2
-        elif <Basis>curve.fBasis == Basis.ANNUAL_BASIS:
+        elif curve.fBasis == ANNUAL_BASIS:
             for i in range(shape):
                 h2 = log1p(curve.fArray[i].fRate)
                 t2 = (curve.fArray[i].fDate - curve.fBaseDate)/365.
@@ -267,7 +268,7 @@ cdef class YieldCurve(Curve):
     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, BadDay bad_day_conv):
+                 str fixed_swap_dcc, str float_swap_dcc, BadDayConvention bad_day_conv):
 
         cdef:
            double fixed_freq
@@ -285,7 +286,7 @@ cdef class YieldCurve(Curve):
 
         cdef:
             TDateInterval tmp
-            long period_adjust
+            _BadDayConvention period_adjust
             size_t i
             char* period_bytes
 
@@ -294,9 +295,9 @@ cdef class YieldCurve(Curve):
             if JpmcdsStringToDateInterval(period_bytes, routine, &tmp) != SUCCESS:
                 raise ValueError
             if types[i] == 'M':
-                period_adjust = MODIFIED
+                period_adjust = _MODIFIED
             else:
-                period_adjust = NONE
+                period_adjust = _NONE
             if JpmcdsDateFwdThenAdjust(settle_date, &tmp, period_adjust,
                                        "None", &self.dates[i]) != SUCCESS:
                 raise ValueError('Invalid interval')
@@ -318,7 +319,7 @@ cdef class YieldCurve(Curve):
             value_date, types_bytes, self.dates.data(),
             &rates[0], self.dates.size(), dcc(mm_dcc), <long> fixed_freq,
             <long> float_freq, dcc(fixed_swap_dcc), dcc(float_swap_dcc),
-            bad_day_conv, b"None"
+            <_BadDayConvention>bad_day_conv, b"None"
         ))
 
     cdef size_t size(self):
@@ -407,11 +408,11 @@ cdef class YieldCurve(Curve):
         for i, d in enumerate(dates):
             yc.dates[i] = pydate_to_TDate(d)
             JpmcdsDiscountToRateYearFrac(dfs[i], <double>(yc.dates[i]-base_date_c)/365.,
-                                         <double>1, &rates[i])
+                                         ANNUAL_BASIS, &rates[i])
 
         yc._thisptr = make_shared(
             JpmcdsMakeTCurve(base_date_c, yc.dates.data(), rates, dfs.shape[0],
-                             <double>1, dcc(day_count_conv)))
+                             ANNUAL_BASIS, dcc(day_count_conv)))
         return yc
 
     discount_factor = Curve.__forward_zero_price
@@ -439,11 +440,11 @@ cdef class YieldCurve(Curve):
             df = JpmcdsForwardZeroPrice(self._thisptr.get(), forward_date_c, self.dates[i])
             JpmcdsDiscountToRateYearFrac(
                 df, <double>(self.dates[i] - forward_date_c)/365.,
-                <double>1, &rates[k])
+                ANNUAL_BASIS, &rates[k])
             i += 1
         yc._thisptr = make_shared(JpmcdsMakeTCurve(
             forward_date_c, yc.dates.data(), rates, yc.dates.size(),
-            <double>1, self._thisptr.get().fDayCountConv))
+            ANNUAL_BASIS, self._thisptr.get().fDayCountConv))
         return yc
 
 @cython.cdivision(True)
@@ -588,7 +589,7 @@ cdef class SpreadCurve(Curve):
                                                NULL,
                                                ACT_360,
                                                &stub_type,
-                                               <long>b'M',
+                                               _MODIFIED,
                                                b'NONE')
             else:
                 rates = vector[double](n_dates, JPMCDS_MAX_RATE)
@@ -596,7 +597,7 @@ cdef class SpreadCurve(Curve):
                                          end_dates_c,
                                          rates.data(),
                                          n_dates,
-                                         5000.,
+                                         CONTINUOUS,
                                          ACT_360)
             if curve is not NULL:
                 if fill_curve and curve.fNumItems != n_dates:
@@ -753,7 +754,7 @@ cdef class SpreadCurve(Curve):
         cdef TDate max_date = 200000 # can go higher but this should be more than enough
 
         sc._thisptr = make_shared(JpmcdsMakeTCurve(base_date_c, &max_date, &rate, 1,
-                                                   <double>basis, dcc(day_count_conv)))
+                                                   basis, dcc(day_count_conv)))
         return sc
 
     @cython.boundscheck(False)
@@ -832,7 +833,7 @@ cdef class SpreadCurve(Curve):
                                          NULL,
                                          &stub_type,
                                          ACT_360,
-                                         <long>b'M',
+                                         _MODIFIED,
                                          b'NONE',
                                          yc._thisptr.get(),
                                          self._thisptr.get(),
@@ -864,7 +865,7 @@ cdef TCurve* _fill_curve(TCurve* sc, TDate* end_dates, int n_dates) nogil:
         size_t i
         TDate base_date = sc.fBaseDate
         double t
-        TCurve* curve = JpmcdsNewTCurve(base_date, n_dates, 5000., 2)
+        TCurve* curve = JpmcdsNewTCurve(base_date, n_dates, CONTINUOUS, ACT_365F)
         TRatePt* it = curve.fArray
 
     for i in range(n_dates):
diff --git a/pyisda/date.pxd b/pyisda/date.pxd
index 364792a..8322551 100644
--- a/pyisda/date.pxd
+++ b/pyisda/date.pxd
@@ -1,10 +1,10 @@
 from cpython cimport datetime as c_datetime
 
 cdef extern from "isda/yearfrac.h" nogil:
-    int JpmcdsStringToDayCountConv(char* day_count, long* type)
-    char* JpmcdsFormatDayCountConv(long dayCountConv)
+    int JpmcdsStringToDayCountConv(char* day_count, DayCountConvention* type)
+    char* JpmcdsFormatDayCountConv(DayCountConvention dayCountConv)
 
-cdef long dcc(str day_count) except -1
+cdef DayCountConvention dcc(str day_count)
 
 cdef extern from "isda/cdate.h":
     ctypedef struct TDateInterval:
@@ -39,14 +39,19 @@ cdef extern from "isda/dateconv.h" nogil:
 
 cdef extern from "isda/ldate.h" nogil:
 
-    int JpmcdsDateFwdThenAdjust(TDate date, TDateInterval* interval, long badDayMethod,
+    int JpmcdsDateFwdThenAdjust(TDate date, TDateInterval* interval, _BadDayConvention badDayMethod,
                                 char* holidayFile, TDate *advAdjustedDate)
     int JpmcdsDtFwdAny(TDate date, TDateInterval* interval, TDate* sumDate)
 
-cdef enum DCC:
-    ACT_365 = 1L
-    ACT_365F = 2L
-    ACT_360 = 3L
+    ctypedef enum DayCountConvention:
+        BAD_DCC "JPMCDS_BAD_DCC"
+        ACT_365 "JPMCDS_ACT_365"
+        ACT_ACT "JPMCDS_ACT_ACT"
+        ACT_365F "JPMCDS_ACT_365F"
+        ACT_360 "JPMCDS_ACT_360"
+        B30_360 "JPMCDS_B30_360"
+        B30E_360 "JPMCDS_B30E_360"
+        EFFECTIVE_RATE "JPMCDS_EFFECTIVE_RATE"
 
 cdef extern from "isda/busday.h" nogil:
     int  JpmcdsDateFromBusDaysOffset(TDate fromDate,    # (I) input date
@@ -54,14 +59,21 @@ cdef extern from "isda/busday.h" nogil:
                                      char *holidayFile, # (I) holiday file specification
                                      TDate *result)
     int JpmcdsBusinessDay(TDate   date,                       # Input Date
-                          long    method,                     # See ldate.h
+                          _BadDayConvention    method,                     # See ldate.h
                           char   *holidayFile,                # Filename w/ Holidays
                           TDate  *outDate)
-    cdef enum:
-        JPMCDS_BAD_DAY_FOLLOW
-        JPMCDS_BAD_DAY_PREVIOUS
-        JPMCDS_BAD_DAY_NONE
-        JPMCDS_BAD_DAY_MODIFIED
+    ctypedef enum _BadDayConvention "BadDayConvention":
+        _FOLLOW "JPMCDS_BAD_DAY_FOLLOW"
+        _PREVIOUS "JPMCDS_BAD_DAY_PREVIOUS"
+        _NONE "JPMCDS_BAD_DAY_NONE"
+        _MODIFIED "JPMCDS_BAD_DAY_MODIFIED"
+
+cpdef enum BadDayConvention:
+    FOLLOW = _FOLLOW
+    PREVIOUS = _PREVIOUS
+    NONE = _NONE
+    MODIFIED = _MODIFIED
+
 
 cdef extern from "isda/defaulted.h" nogil:
     int JpmcdsDefaultAccrual(
@@ -73,18 +85,12 @@ cdef extern from "isda/defaulted.h" nogil:
         TStubMethod    *stubType,
         double          notional,
         double          couponRate,
-        long            paymentDcc,
-        long            badDayConv,
+        DayCountConvention            paymentDcc,
+        _BadDayConvention            badDayConv,
         char           *calendar,
         int            *accrualDays,
         double         *defaultAccrual)
 
-cpdef enum BadDay:
-    FOLLOW = JPMCDS_BAD_DAY_FOLLOW
-    PREVIOUS = JPMCDS_BAD_DAY_PREVIOUS
-    NONE = JPMCDS_BAD_DAY_NONE
-    MODIFIED = JPMCDS_BAD_DAY_MODIFIED
-
 cpdef TDate pydate_to_TDate(c_datetime.date d)
 
 cpdef c_datetime.date TDate_to_pydate(TDate d)
diff --git a/pyisda/date.pyx b/pyisda/date.pyx
index fba523e..9899c5a 100644
--- a/pyisda/date.pyx
+++ b/pyisda/date.pyx
@@ -21,8 +21,8 @@ cpdef c_datetime.date TDate_to_pydate(TDate d):
         raise ValueError("incorrect date")
 
 
-cdef long dcc(str day_count) except -1:
-    cdef long r
+cdef DayCountConvention dcc(str day_count):
+    cdef DayCountConvention r
     cdef char* dc = day_count
     cdef int err = JpmcdsStringToDayCountConv(dc, &r)
     if err == 0:
@@ -31,7 +31,7 @@ cdef long dcc(str day_count) except -1:
         raise ValueError('{0} is not a valid day count'.format(day_count))
 
 
-def dcc_tostring(long day_count):
+def dcc_tostring(DayCountConvention day_count):
     cdef char* c_string = JpmcdsFormatDayCountConv(day_count)
     return c_string
 
@@ -58,7 +58,7 @@ cdef TDate _previous_twentieth(TDate d, bint roll) nogil:
         return -1
     else:
         if roll:
-            return next_business_day(r, FOLLOW)
+            return next_business_day(r, _FOLLOW)
         else:
             return r
 
@@ -71,7 +71,7 @@ def previous_twentieth(d, bint roll=True):
 @cython.cdivision(True)
 def cds_accrued(d, double coupon):
     cdef TDate date = pydate_to_TDate(d) + 1
-    cdef TDate date1 = next_business_day(date, PREVIOUS)
+    cdef TDate date1 = next_business_day(date, _PREVIOUS)
     return (date - _previous_twentieth(date1, True))/360. * coupon
 
 
@@ -93,7 +93,7 @@ cdef TMonthDayYear next_twentieth(TDate d) nogil:
             mdy.year += 1
     return mdy
 
-cdef inline TDate next_business_day(TDate date, long method) nogil:
+cdef inline TDate next_business_day(TDate date, _BadDayConvention method) nogil:
     cdef TDate r
     if JpmcdsBusinessDay(date, method, "NONE", &r) != SUCCESS:
         return -1
@@ -190,7 +190,7 @@ def default_accrual(trade_date, edd, start_date, end_date, double notional,
                             notional,
                             coupon_rate,
                             ACT_360,
-                            FOLLOW,
+                            _FOLLOW,
                             b"None",
                             &accrual_days,
                             &default_accrual) != SUCCESS:
diff --git a/pyisda/legs.pxd b/pyisda/legs.pxd
index 77b4230..3304134 100644
--- a/pyisda/legs.pxd
+++ b/pyisda/legs.pxd
@@ -1,4 +1,4 @@
-from .date cimport TDateInterval
+from .date cimport TDateInterval, _BadDayConvention, DayCountConvention
 from .cdsone cimport TStubMethod
 from .curve cimport TCurve
 
@@ -22,7 +22,7 @@ cdef extern from "isda/cx.h":
         TDate* payDates
         double notional
         double couponRate
-        long dcc
+        DayCountConvention dcc
         TAccrualPayConv accrualPayConv
         TBoolean obsStartOfDay
 
@@ -66,9 +66,9 @@ cdef extern from "isda/cds.h" nogil:
         # Fixed coupon rate (a.k.a. spread) for the fee leg
         double          couponRate,
         # Day count convention for coupon payment. Normal is ACT_360
-        long            paymentDcc,
+        DayCountConvention           paymentDcc,
         # Bad day convention for adjusting coupon payment dates.
-        long            badDayConv,
+        _BadDayConvention            badDayConv,
         # Calendar used when adjusting coupon dates. Can be NULL which equals
         # a calendar with no holidays and including weekends.
         char           *calendar,
diff --git a/pyisda/legs.pyx b/pyisda/legs.pyx
index 8a6d1e7..07f9cd6 100644
--- a/pyisda/legs.pyx
+++ b/pyisda/legs.pyx
@@ -1,5 +1,5 @@
 from libc.stdlib cimport free
-from .date cimport pydate_to_TDate, TDate_to_pydate, dcc
+from .date cimport pydate_to_TDate, TDate_to_pydate, dcc, _MODIFIED
 from .date import dcc_tostring
 from .cdsone cimport JpmcdsStringToStubMethod, TStubMethod
 from .curve cimport YieldCurve, SpreadCurve
@@ -113,7 +113,7 @@ cdef class FeeLeg:
                                             notional,
                                             coupon_rate,
                                             dcc(payment_dcc),
-                                            <long>b'M',
+                                            _MODIFIED,
                                             b'NONE',
                                             protect_start)
         if self._thisptr is NULL:
diff --git a/pyisda/optim.pyx b/pyisda/optim.pyx
index b82a0d9..f24ba2d 100644
--- a/pyisda/optim.pyx
+++ b/pyisda/optim.pyx
@@ -5,7 +5,7 @@ from libc.math cimport exp, sqrt
 from .cdsone cimport JpmcdsStringToStubMethod, TStubMethod
 from .curve cimport (TCurve, YieldCurve, JpmcdsFreeTCurve, JpmcdsNewTCurve,
                     CONTINUOUS)
-from .date cimport TDate, pydate_to_TDate, ACT_360, ACT_365F
+from .date cimport TDate, pydate_to_TDate, ACT_360, ACT_365F, _MODIFIED
 from .legs cimport (JpmcdsCdsContingentLegMake, JpmcdsCdsFeeLegMake,
                    TContingentLeg, JpmcdsFeeLegPV, JpmcdsFeeLegFree, TFeeLeg)
 
@@ -88,7 +88,7 @@ def init_context(YieldCurve yc not None, trade_date, value_date, start_date,
                                   1., # notional
                                   1., # coupon_rate
                                   ACT_360,  # JPMCDS_ACT_360
-                                  <long>b'M',
+                                  _MODIFIED,
                                   b'NONE',
                                   1) # protect_start = True
     params.stepinDate = step_in_date_c
@@ -96,7 +96,7 @@ def init_context(YieldCurve yc not None, trade_date, value_date, start_date,
     params.discountCurve = yc._thisptr.get()
     params.cdsCurve = JpmcdsNewTCurve(trade_date_c,
                                       1,
-                                      <double>CONTINUOUS,
+                                      CONTINUOUS,
                                       ACT_365F) # JPMCDS_ACT_365F
     params.cdsCurve.fArray[0].fDate = end_date_c
     params.recoveryRate = recovery_rate
diff --git a/pyisda/utils.py b/pyisda/utils.py
index 4e3b024..8d3f6ba 100644
--- a/pyisda/utils.py
+++ b/pyisda/utils.py
@@ -26,7 +26,7 @@ import zipfile
 from io import BytesIO
 import xml.etree.ElementTree as ET
 from pyisda.curve import YieldCurve
-from pyisda.date import BadDay
+from pyisda.date import BadDayConvention
 
 
 def getMarkitIRData(
@@ -151,6 +151,6 @@ def build_yc(trade_date, ql_curve=False):
             "3M",
             "30/360",
             "ACT/360",
-            BadDay.MODIFIED,
+            BadDayConvention.MODIFIED,
         )
     return yc