Add forward_hazard_rates property

this is also an example of returning a numpy array allocated
with malloc on the C side.

2 files changed, 26 insertions, 1 deletions

diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index 489c8e4..0864019 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -1,11 +1,17 @@
 from libc.stdlib cimport malloc, free
 from libc.string cimport memcpy
+from libc.math cimport log1p, expm1
 from date cimport (JpmcdsStringToDateInterval, pydate_to_TDate, dcc,
                    JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust, TDate_to_pydate,
                    JpmcdsDateFromBusDaysOffset, JpmcdsStringToDayCountConv)
 from date import dcc_tostring
 from cdsone cimport JpmcdsStringToStubMethod, TStubMethod
 cimport cython
+cimport numpy as np
+np.import_array()
+
+cdef extern from "numpy/arrayobject.h":
+    void PyArray_ENABLEFLAGS(np.ndarray arr, int flags)
 
 cdef int SUCCESS = 0
 
@@ -51,6 +57,25 @@ cdef class Curve(object):
                 'basis': self._thisptr.fBasis,
                 'day_count_convention': dcc_tostring(self._thisptr.fDayCountConv),
                 'data': fArray_to_list(self._thisptr.fArray, self._thisptr.fNumItems)}
+
+    @property
+    def forward_hazard_rates(self):
+        cdef double t1, h1, t2, h2
+        cdef np.npy_intp shape = self._thisptr.fNumItems
+        t1 = 0
+        h1 = 0
+        cdef double* data = <double*>malloc(self._thisptr.fNumItems * sizeof(double))
+        for i in range(self._thisptr.fNumItems):
+            h2 = log1p(self._thisptr.fArray[i].fRate)
+            t2 = (self._thisptr.fArray[i].fDate - self._thisptr.fBaseDate)/365.
+            data[i] = (h2 * t2 - h1 * t1) / (t2 - t1)
+            h1 = h2
+            t1 = t2
+        cdef np.ndarray[np.float64_t] out = \
+            np.PyArray_SimpleNewFromData(1, &shape, np.NPY_DOUBLE, data)
+        PyArray_ENABLEFLAGS(out, np.NPY_OWNDATA)
+        return out
+
     @property
     def base_date(self):
         return TDate_to_pydate(self._thisptr.fBaseDate)
diff --git a/setup.py b/setup.py
index da5894c..dd76e0d 100644
--- a/setup.py
+++ b/setup.py
@@ -4,7 +4,7 @@ from Cython.Build import cythonize
 import numpy
 
 all_extensions = Extension("*", ["pyisda/*.pyx"],
-                           include_dirs = ['c_layer'],
+                           include_dirs = ['c_layer', numpy.get_include()],
                            libraries = ["cds"])
 
 c_extension = Extension("pyisda.flat_hazard",