add duration

1 files changed, 40 insertions, 3 deletions

diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx
index f65bedb..2fa88bf 100644
--- a/pyisda/credit_index.pyx
+++ b/pyisda/credit_index.pyx
@@ -234,11 +234,48 @@ cdef class CreditIndex(CurveList):
                            tweaked_curve,
                            True,
                            &fl_pv)
-            r += cl_pv - fl_pv * fixed_rate
+            r += self._weights[i] * (cl_pv - (fl_pv - accrued) * fixed_rate)
         if epsilon != 0:
             JpmcdsFreeTCurve(tweaked_curve)
             free(mask)
-        return r / <double>self._curves.size()
+        return r
+
+    @cython.boundscheck(False)
+    @cython.cdivision(True)
+    def duration(self, step_in_date, value_date, maturity, YieldCurve yc not None):
+
+        cdef:
+            TDate step_in_date_c = pydate_to_TDate(step_in_date)
+            TDate value_date_c =  pydate_to_TDate(value_date)
+            TDate maturity_c = pydate_to_TDate(maturity)
+
+        cdef double accrued
+        FeeLegAI(self._fee_legs[0], self._base_date, &accrued)
+        cdef:
+            TFeeLeg* fl
+
+        for i in range(self._maturities.size()):
+            if self._maturities[i] == maturity_c:
+                fl = self._fee_legs[i]
+                break
+        else:
+            raise ValueError("maturity is not correct")
+
+
+        cdef:
+            double fl_pv, r = 0
+
+        for i in range(self._curves.size()):
+            JpmcdsFeeLegPV(fl,
+                           self._base_date,
+                           step_in_date_c,
+                           value_date_c,
+                           yc._thisptr.get(),
+                           self._curves[i].get(),
+                           True,
+                           &fl_pv)
+            r += self._weights[i] * fl_pv
+        return r
 
     @property
     def maturities(self):
@@ -247,7 +284,7 @@ cdef class CreditIndex(CurveList):
             r.append(TDate_to_pydate(self._maturities[i]))
         return r
 
-    def tweak_portfolio(self, double epsilon, maturity, bint inplace=True):
+    def tweak_portfolio(self, double epsilon, maturity):
         cdef TDate maturity_c = pydate_to_TDate(maturity)
         cdef bint* mask = fill_mask(maturity_c, self._maturities, self._curves[0])
         cdef vector[double] h = vector[double](self._T.size())