allow to pass in calendar

3 files changed, 13 insertions, 10 deletions

diff --git a/pyisda/credit_index.pxd b/pyisda/credit_index.pxd
index 7722a9b..42a9e85 100644
--- a/pyisda/credit_index.pxd
+++ b/pyisda/credit_index.pxd
@@ -19,3 +19,4 @@ cdef class CreditIndex(CurveList):
     cdef vector[TDate] _maturities
     cdef TContingentLeg** contingent_legs
     cdef TFeeLeg** fee_legs
+    cdef char* calendar
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx
index 2d63306..b7ab396 100644
--- a/pyisda/credit_index.pyx
+++ b/pyisda/credit_index.pyx
@@ -229,7 +229,7 @@ cdef class CurveList:
 
 @cython.auto_pickle(False)
 cdef class CreditIndex(CurveList):
-    def __init__(self, start_date, maturities, list curves, value_date=None):
+    def __init__(self, start_date, maturities, list curves, value_date=None, str calendar="NONE"):
         super().__init__(curves, value_date)
         self._start_date = pydate_to_TDate(start_date)
         for d in maturities:
@@ -239,10 +239,11 @@ cdef class CreditIndex(CurveList):
                                                          sizeof(TContingentLeg))
         self.fee_legs = <TFeeLeg**> malloc(self._maturities.size() *
                                            sizeof(TFeeLeg))
+        self.calendar = calendar
         cdef size_t i
         cdef pair[TContingentLeg_ptr, TFeeLeg_ptr] r
         for i in range(self._maturities.size()):
-            r = get_legs(self._maturities[i], self._start_date)
+            r = get_legs(self._maturities[i], self._start_date, self.calendar)
             self.contingent_legs[i] = r.first
             self.fee_legs[i] = r.second
 
@@ -399,7 +400,7 @@ cdef class CreditIndex(CurveList):
             int i = get_maturity_index(maturity_c, self._maturities)
 
         if i == -1:
-            legs = get_legs(maturity_c, self._start_date)
+            legs = get_legs(maturity_c, self._start_date, self.calendar)
         else:
             legs.first = self.contingent_legs[i]
             legs.second = self.fee_legs[i]
@@ -445,7 +446,7 @@ cdef class CreditIndex(CurveList):
             i = get_maturity_index(maturity_c, self._maturities)
             if i == -1:
                 legs = get_legs(maturity_c,
-                                self._start_date)
+                                self._start_date, self.calendar)
             else:
                 legs.first = self.contingent_legs[i]
                 legs.second = self.fee_legs[i]
@@ -460,7 +461,7 @@ cdef class CreditIndex(CurveList):
         i = get_maturity_index(maturity_c, self._maturities)
         if i == -1:
             legs = get_legs(maturity_c,
-                            self._start_date)
+                            self._start_date, self.calendar)
         else:
             legs.first = self.contingent_legs[i]
             legs.second = self.fee_legs[i]
@@ -578,7 +579,7 @@ cdef class CreditIndex(CurveList):
             self._maturities[i] = pydate_to_TDate(val[i])
             free(self.contingent_legs[i])
             JpmcdsFeeLegFree(self.fee_legs[i])
-            r = get_legs(self._maturities[i], self._start_date)
+            r = get_legs(self._maturities[i], self._start_date, self.calendar)
             self.contingent_legs[i] = r.first
             self.fee_legs[i] = r.second
 
@@ -826,7 +827,7 @@ cdef inline int get_maturity_index(TDate maturity, const vector[TDate]& maturiti
     return i
 
 cdef pair[TContingentLeg_ptr, TFeeLeg_ptr] get_legs(TDate maturity,
-                                                    TDate start_date) nogil:
+                                                    TDate start_date, char* cal) nogil:
     cdef:
         pair[TContingentLeg_ptr, TFeeLeg_ptr] r
         TStubMethod stub_type
@@ -844,7 +845,7 @@ cdef pair[TContingentLeg_ptr, TFeeLeg_ptr] get_legs(TDate maturity,
                                    1.0,
                                    ACT_360,  # ACT_360
                                    MODIFIED,  # MODIFIED
-                                   b'NONE',
+                                   cal,
                                    True)
     return r
 
diff --git a/pyisda/legs.pyx b/pyisda/legs.pyx
index 06b9680..a04486c 100644
--- a/pyisda/legs.pyx
+++ b/pyisda/legs.pyx
@@ -97,10 +97,11 @@ cdef class FeeLeg:
        if True, protection starts at beginning of day. Default to True.
     stub : string, one of 'f/s', 'b/s', 'f/l', 'b/l', optional
        Default 'f/s'
+    cal : string, default NONE
     """
     def __cinit__(self, start_date, end_date, bint pay_accrued_on_default,
                   double notional, double coupon_rate, str payment_dcc='ACT/360',
-                  bint protect_start=True, str stub="f/s"):
+                  bint protect_start=True, str stub="f/s", str cal="NONE"):
 
         cdef TStubMethod stub_type
 
@@ -116,7 +117,7 @@ cdef class FeeLeg:
                                             coupon_rate,
                                             dcc(payment_dcc),
                                             MODIFIED,
-                                            b'NONE',
+                                            cal,
                                             protect_start)
         if self._thisptr is NULL:
             raise ValueError