include is a bitset

3 files changed, 25 insertions, 13 deletions

diff --git a/pyisda/curve.pxd b/pyisda/curve.pxd
index 698e6cf..532a530 100644
--- a/pyisda/curve.pxd
+++ b/pyisda/curve.pxd
@@ -53,13 +53,13 @@ cdef extern from "isda/cds.h" nogil:
         #    Array of size nbDate
         TDate          *endDates,
         # Coupon rates for each benchmark instrument. Array of size nbDate
-        const double         *couponRates,
-        const double         *upfrontRates,
+        const double   *couponRates,
+        const double   *upfrontRates,
         # Flags to denote that we include particular benchmarks. This makes it
         # easy for the user to include or exclude benchmarks on a one-by-one
         # basis. Can be NULL if all are included. Otherwise an array of size
         # nbDate.
-        const TBoolean       *includes,
+        const unsigned int includes,
         # Recovery rate in case of default
         const double*          recoveryRate,
         # Should accrued interest be paid on default. Usually set to TRUE
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index 6039616..3f9ece2 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -372,8 +372,9 @@ cdef class SpreadCurve(Curve):
     """
     @cython.boundscheck(False)
     @cython.wraparound(False)
+    @cython.initializedcheck(False)
     def __init__(self, today, YieldCurve yc, start_date, step_in_date,
-                 cash_settle_date, list end_dates,
+                 cash_settle_date, end_dates,
                  double[:] coupon_rates, double[:] upfront_rates,
                  double[:] recovery_rates, bint pay_accrued_on_default=True):
 
@@ -382,17 +383,27 @@ cdef class SpreadCurve(Curve):
         cdef TDate cash_settle_date_c = pydate_to_TDate(cash_settle_date)
         cdef TDate start_date_c = pydate_to_TDate(start_date)
         cdef int n_dates = len(end_dates)
-        cdef TDate* end_dates_c = <TDate*>malloc(n_dates * sizeof(TDate))
+        cdef TDate* end_dates_c = NULL
+        cdef TDate[:] end_dates_view
         cdef TCurve* curve = NULL
-        cdef TBoolean* includes = <TBoolean*>calloc(n_dates, sizeof(TBoolean))
+        cdef unsigned int includes = 0
         cdef size_t i
         if cash_settle_date_c < yc._thisptr.get().fBaseDate:
             raise ValueError("cash_settle_date: {0} is anterior to yc's base_date: {1}".
                              format(cash_settle_date, yc.base_date))
-        for i, d in enumerate(end_dates):
-            end_dates_c[i] = pydate_to_TDate(d)
-            if upfront_rates[i] == upfront_rates[i]:
-                includes[i] = 1
+
+        if isinstance(end_dates, list):
+            end_dates_c = <TDate*>malloc(n_dates * sizeof(TDate))
+            end_dates_view = <TDate[:n_dates]>end_dates_c
+            for i, d in enumerate(end_dates):
+                end_dates_view[i] = pydate_to_TDate(d)
+                if upfront_rates[i] == upfront_rates[i]:
+                    includes |= 1 << i
+        else:
+            end_dates_view = memoryview(end_dates)
+            for i in range(n_dates):
+                if upfront_rates[i] == upfront_rates[i]:
+                    includes |= 1 << i
 
         cdef TStubMethod stub_type
         if JpmcdsStringToStubMethod(b"f/s", &stub_type) != 0:
@@ -404,7 +415,7 @@ cdef class SpreadCurve(Curve):
                                            step_in_date_c,
                                            cash_settle_date_c,
                                            n_dates,
-                                           end_dates_c,
+                                           &end_dates_view[0],
                                            &coupon_rates[0],
                                            &upfront_rates[0],
                                            includes,
@@ -415,7 +426,8 @@ cdef class SpreadCurve(Curve):
                                            &stub_type,
                                            <long>'M',
                                            b'NONE')
-            free(end_dates_c)
+            if end_dates_c:
+                free(end_dates_c)
         if curve == NULL:
             raise ValueError("Didn't init the survival curve properly")
         else:
diff --git a/pyisda/flat_hazard.pyx b/pyisda/flat_hazard.pyx
index 363ef95..88cd82a 100644
--- a/pyisda/flat_hazard.pyx
+++ b/pyisda/flat_hazard.pyx
@@ -60,7 +60,7 @@ def strike_vec(double[:] spreads, YieldCurve yc, trade_date, value_date,
                                     &end_date_c,
                                     &spreads[i],
                                     &zero_upfront,
-                                    NULL,
+                                    0,
                                     &recovery_rate,
                                     1, # pay_accrued_on_default True
                                     NULL,