turn on level 3

9 files changed, 111 insertions, 25 deletions

diff --git a/pyisda/cdsone.pxd b/pyisda/cdsone.pxd
index 0f446ba..d40a7f2 100644
--- a/pyisda/cdsone.pxd
+++ b/pyisda/cdsone.pxd
@@ -1,5 +1,5 @@
-from date cimport TDateInterval
-from curve cimport TCurve
+from .date cimport TDateInterval
+from .curve cimport TCurve
 
 cdef extern from "isda/stub.h" nogil:
     ctypedef struct TStubMethod:
diff --git a/pyisda/cdsone.pyx b/pyisda/cdsone.pyx
index e2f78a0..5dd8040 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 .curve cimport YieldCurve
+from .date cimport JpmcdsMakeDateInterval, pydate_to_TDate, dcc
 
 cdef int SUCCESS = 0
 
@@ -55,7 +55,7 @@ def upfront_charge(date, value_date, benchmark_start_date, stepin_date,
     if JpmcdsStringToStubMethod(b"f/s", &stub) != SUCCESS:
         raise ValueError("can't convert stub")
 
-    if JpmcdsMakeDateInterval(3, "M", &ivl) != SUCCESS:
+    if JpmcdsMakeDateInterval(3, b"M", &ivl) != SUCCESS:
         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,
@@ -116,7 +116,7 @@ def spread_from_upfront(date, value_date, benchmark_start_date, stepin_date,
 
     if JpmcdsStringToStubMethod(b"f/s", &stub) != SUCCESS:
         raise ValueError("can't convert stub")
-    if JpmcdsMakeDateInterval(3, "M", &ivl) != SUCCESS:
+    if JpmcdsMakeDateInterval(3, b"M", &ivl) != SUCCESS:
         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,
diff --git a/pyisda/curve.pxd b/pyisda/curve.pxd
index e0bb094..d996a68 100644
--- a/pyisda/curve.pxd
+++ b/pyisda/curve.pxd
@@ -1,5 +1,5 @@
-from cdsone cimport TStubMethod
-from legs cimport TContingentLeg, TFeeLeg
+from .cdsone cimport TStubMethod
+from .legs cimport TContingentLeg, TFeeLeg
 from libcpp.vector cimport vector
 from libcpp cimport bool
 from libcpp.string cimport string
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index 6aa54a7..b9cb886 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -1,12 +1,12 @@
 from libc.math cimport log1p, log, exp, isnan
-from date cimport (JpmcdsStringToDateInterval, pydate_to_TDate, dcc, TMonthDayYear,
+from .date cimport (JpmcdsStringToDateInterval, pydate_to_TDate, dcc, TMonthDayYear,
                    JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust, TDate_to_pydate,
                    JpmcdsDateFromBusDaysOffset, JpmcdsStringToDayCountConv, ACT_360,
                    BadDay, FOLLOW, MODIFIED, NONE)
-from date import dcc_tostring
-from date cimport _previous_twentieth, _roll_date
-from cdsone cimport JpmcdsStringToStubMethod, TStubMethod
-from legs cimport (JpmcdsCdsContingentLegMake, JpmcdsCdsFeeLegMake,
+from .date import dcc_tostring
+from .date cimport _previous_twentieth, _roll_date
+from .cdsone cimport JpmcdsStringToStubMethod
+from .legs cimport (JpmcdsCdsContingentLegMake, JpmcdsCdsFeeLegMake,
                    JpmcdsContingentLegPV, JpmcdsFeeLegPV, FeeLegAI, JpmcdsFeeLegFree)
 
 cimport cython
@@ -588,7 +588,7 @@ cdef class SpreadCurve(Curve):
                                                NULL,
                                                ACT_360,
                                                &stub_type,
-                                               <long>'M',
+                                               <long>b'M',
                                                b'NONE')
             else:
                 rates = vector[double](n_dates, JPMCDS_MAX_RATE)
@@ -826,7 +826,7 @@ cdef class SpreadCurve(Curve):
                                          NULL,
                                          &stub_type,
                                          ACT_360,
-                                         <long>'M',
+                                         <long>b'M',
                                          b'NONE',
                                          yc._thisptr.get(),
                                          self._thisptr.get(),
diff --git a/pyisda/date.pyx b/pyisda/date.pyx
index 6bd30de..fba523e 100644
--- a/pyisda/date.pyx
+++ b/pyisda/date.pyx
@@ -178,7 +178,7 @@ def default_accrual(trade_date, edd, start_date, end_date, double notional,
     if JpmcdsStringToStubMethod(b"f/s", &stub) != SUCCESS:
         raise ValueError("can't convert stub")
 
-    if JpmcdsMakeDateInterval(3, "M", &ivl) != SUCCESS:
+    if JpmcdsMakeDateInterval(3, b"M", &ivl) != SUCCESS:
         raise ValueError("can't convert to date interval")
 
     if JpmcdsDefaultAccrual(trade_date_c,
diff --git a/pyisda/legs.pxd b/pyisda/legs.pxd
index 0dd0e0e..77b4230 100644
--- a/pyisda/legs.pxd
+++ b/pyisda/legs.pxd
@@ -1,6 +1,6 @@
-from date cimport TDateInterval
-from cdsone cimport TStubMethod
-from curve cimport TCurve
+from .date cimport TDateInterval
+from .cdsone cimport TStubMethod
+from .curve cimport TCurve
 
 ctypedef int TBoolean
 ctypedef long TDate
diff --git a/pyisda/legs.pyx b/pyisda/legs.pyx
index 9f51d77..8a6d1e7 100644
--- a/pyisda/legs.pyx
+++ b/pyisda/legs.pyx
@@ -1,8 +1,8 @@
 from libc.stdlib cimport free
-from date cimport pydate_to_TDate, TDate_to_pydate, dcc
-from date import dcc_tostring
-from cdsone cimport JpmcdsStringToStubMethod, TStubMethod
-from curve cimport YieldCurve, SpreadCurve
+from .date cimport pydate_to_TDate, TDate_to_pydate, dcc
+from .date import dcc_tostring
+from .cdsone cimport JpmcdsStringToStubMethod, TStubMethod
+from .curve cimport YieldCurve, SpreadCurve
 
 cdef class ContingentLeg:
     """
@@ -113,7 +113,7 @@ cdef class FeeLeg:
                                             notional,
                                             coupon_rate,
                                             dcc(payment_dcc),
-                                            <long>'M',
+                                            <long>b'M',
                                             b'NONE',
                                             protect_start)
         if self._thisptr is NULL:
diff --git a/pyisda/optim_api.h b/pyisda/optim_api.h
new file mode 100644
index 0000000..9a7d8c3
--- /dev/null
+++ b/pyisda/optim_api.h
@@ -0,0 +1,86 @@
+/* Generated by Cython 0.29.1 */
+
+#ifndef __PYX_HAVE_API__pyisda__optim
+#define __PYX_HAVE_API__pyisda__optim
+#ifdef __MINGW64__
+#define MS_WIN64
+#endif
+#include "Python.h"
+
+static double (*__pyx_api_f_6pyisda_5optim_pv)(double, void *) = 0;
+#define pv __pyx_api_f_6pyisda_5optim_pv
+#if !defined(__Pyx_PyIdentifier_FromString)
+#if PY_MAJOR_VERSION < 3
+  #define __Pyx_PyIdentifier_FromString(s) PyString_FromString(s)
+#else
+  #define __Pyx_PyIdentifier_FromString(s) PyUnicode_FromString(s)
+#endif
+#endif
+
+#ifndef __PYX_HAVE_RT_ImportFunction
+#define __PYX_HAVE_RT_ImportFunction
+static int __Pyx_ImportFunction(PyObject *module, const char *funcname, void (**f)(void), const char *sig) {
+    PyObject *d = 0;
+    PyObject *cobj = 0;
+    union {
+        void (*fp)(void);
+        void *p;
+    } tmp;
+    d = PyObject_GetAttrString(module, (char *)"__pyx_capi__");
+    if (!d)
+        goto bad;
+    cobj = PyDict_GetItemString(d, funcname);
+    if (!cobj) {
+        PyErr_Format(PyExc_ImportError,
+            "%.200s does not export expected C function %.200s",
+                PyModule_GetName(module), funcname);
+        goto bad;
+    }
+#if PY_VERSION_HEX >= 0x02070000
+    if (!PyCapsule_IsValid(cobj, sig)) {
+        PyErr_Format(PyExc_TypeError,
+            "C function %.200s.%.200s has wrong signature (expected %.500s, got %.500s)",
+             PyModule_GetName(module), funcname, sig, PyCapsule_GetName(cobj));
+        goto bad;
+    }
+    tmp.p = PyCapsule_GetPointer(cobj, sig);
+#else
+    {const char *desc, *s1, *s2;
+    desc = (const char *)PyCObject_GetDesc(cobj);
+    if (!desc)
+        goto bad;
+    s1 = desc; s2 = sig;
+    while (*s1 != '\0' && *s1 == *s2) { s1++; s2++; }
+    if (*s1 != *s2) {
+        PyErr_Format(PyExc_TypeError,
+            "C function %.200s.%.200s has wrong signature (expected %.500s, got %.500s)",
+             PyModule_GetName(module), funcname, sig, desc);
+        goto bad;
+    }
+    tmp.p = PyCObject_AsVoidPtr(cobj);}
+#endif
+    *f = tmp.fp;
+    if (!(*f))
+        goto bad;
+    Py_DECREF(d);
+    return 0;
+bad:
+    Py_XDECREF(d);
+    return -1;
+}
+#endif
+
+
+static int import_pyisda__optim(void) {
+  PyObject *module = 0;
+  module = PyImport_ImportModule("pyisda.optim");
+  if (!module) goto bad;
+  if (__Pyx_ImportFunction(module, "pv", (void (**)(void))&__pyx_api_f_6pyisda_5optim_pv, "double (double, void *)") < 0) goto bad;
+  Py_DECREF(module); module = 0;
+  return 0;
+  bad:
+  Py_XDECREF(module);
+  return -1;
+}
+
+#endif /* !__PYX_HAVE_API__pyisda__optim */
diff --git a/setup.py b/setup.py
index 68e589c..35005d8 100644
--- a/setup.py
+++ b/setup.py
@@ -25,7 +25,7 @@ all_extensions = cythonize(
     [c_extension, all_extensions],
     nthreads=4,
     compiler_directives={"embedsignature": True,
-        "language_level": 2,
+        "language_level": 3,
         "c_string_type": "unicode",
         "c_string_encoding": "ascii"},
 )