fixes for python 3.10

1 files changed, 61 insertions, 2 deletions

diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index 91b8c48..f333e92 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -1,3 +1,4 @@
+
 from cython.operator import dereference as deref, preincrement as preinc
 from libc.math cimport log1p, log, exp, isnan
 from .date cimport (JpmcdsStringToDateInterval, pydate_to_TDate, dcc, TMonthDayYear,
@@ -483,7 +484,36 @@ cdef class YieldCurve(Curve):
                              <double>basis, dcc(day_count_conv)), JpmcdsFreeTCurve)
         return yc
 
-    discount_factor = Curve.__forward_zero_price
+    def discount_factor(self, d2, d1=None):
+        """ computes the discount factor at a given date.
+
+        Parameters
+        ----------
+        date : :class:`datetime.date`
+
+        Returns
+        -------
+        float
+        """
+        cdef:
+            const TCurve* curve = get_TCurve(self)
+            np.ndarray r
+            c_datetime.date d
+            size_t i
+
+        if d1 is None:
+            if isinstance(d2, np.ndarray):
+                r = np.zeros_like(d2)
+                for i, e in enumerate(d2):
+                    r[i] = JpmcdsForwardZeroPrice(curve, curve.fBaseDate,
+                                                  pydate_to_TDate(d2[i]))
+                return r
+            else:
+                return JpmcdsForwardZeroPrice(curve, curve.fBaseDate,
+                                              pydate_to_TDate(d2))
+        else:
+            return JpmcdsForwardZeroPrice(curve, pydate_to_TDate(d1),
+                                          pydate_to_TDate(d2))
 
     @property
     def dates(self):
@@ -693,7 +723,36 @@ cdef class SpreadCurve(Curve):
             raise ValueError("Didn't init the survival curve properly")
 
 
-    survival_probability = Curve.__forward_zero_price
+    def survival_probability(self, d2, d1=None):
+        """ computes the survival probability at a given date.
+
+        Parameters
+        ----------
+        date : :class:`datetime.date`
+
+        Returns
+        -------
+        float
+        """
+        cdef:
+            const TCurve* curve = get_TCurve(self)
+            np.ndarray r
+            c_datetime.date d
+            size_t i
+
+        if d1 is None:
+            if isinstance(d2, np.ndarray):
+                r = np.zeros_like(d2)
+                for i, e in enumerate(d2):
+                    r[i] = JpmcdsForwardZeroPrice(curve, curve.fBaseDate,
+                                                  pydate_to_TDate(d2[i]))
+                return r
+            else:
+                return JpmcdsForwardZeroPrice(curve, curve.fBaseDate,
+                                              pydate_to_TDate(d2))
+        else:
+            return JpmcdsForwardZeroPrice(curve, pydate_to_TDate(d1),
+                                          pydate_to_TDate(d2))
 
     cdef size_t size(self) nogil:
         cdef const TCurve* curve = get_TCurve(self)