recompute T vector on the fly

4 files changed, 17 insertions, 42 deletions

diff --git a/pyisda/credit_index.pxd b/pyisda/credit_index.pxd
index e3e1de1..aa77883 100644
--- a/pyisda/credit_index.pxd
+++ b/pyisda/credit_index.pxd
@@ -8,7 +8,6 @@ from libcpp.string cimport string
 cdef class CurveList:
     cdef TDate base_date
     cdef vector[double] _weights
-    cdef vector[double] T
     cdef vector[shared_ptr[TCurve]] _curves
     cdef map[string, size_t] tickers
     cdef vector[shared_ptr[double]] recovery_rates
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx
index e6c541b..4cc3cbf 100644
--- a/pyisda/credit_index.pyx
+++ b/pyisda/credit_index.pyx
@@ -61,15 +61,11 @@ cdef class CurveList:
         else:
             raise TypeError("curves need to be a list of SpreadCurve")
 
-        self.T = vector[double](sc._thisptr.get().fNumItems)
         if value_date is not None:
             self.base_date = pydate_to_TDate(value_date)
         else:
             self.base_date = sc._thisptr.get().fBaseDate
 
-        for i in range(self.T.size()):
-            self.T[i] = (sc._thisptr.get().fArray[i].fDate - self.base_date) / 365.
-
         i = 0
         cdef int n_skipped = 0
         for sc in curves:
@@ -149,11 +145,6 @@ cdef class CurveList:
     @value_date.setter
     def value_date(self, d):
         self.base_date = pydate_to_TDate(d)
-        cdef:
-            TCurve* sc = self._curves[0].get()
-            size_t i
-        for i in range(self.T.size()):
-            self.T[i] = (sc.fArray[i].fDate - self.base_date) / 365.
 
     @property
     def curves(self):
@@ -372,7 +363,6 @@ cdef class CreditIndex(CurveList):
             TDate cash_settle_date_c =  pydate_to_TDate(cash_settle_date)
             TDate maturity_c = pydate_to_TDate(maturity)
             unsigned long mask = 0
-            vector[double] h
             pair[TContingentLeg_ptr,TFeeLeg_ptr] legs
             int i = get_maturity_index(maturity_c, self._maturities)
 
@@ -386,11 +376,10 @@ cdef class CreditIndex(CurveList):
             mask = fill_mask(maturity_c, self._maturities, self._curves[0])
             if mask == 0:
                 raise ValueError("maturity is not correct")
-            h = vector[double](self.T.size())
         with nogil:
             r = pv(self._curves, self.base_date, step_in_date_c, cash_settle_date_c,
                    yc._thisptr.get(), legs, self.recovery_rates, fixed_rate,
-                   self._weights, epsilon, h, self.T, mask)
+                   self._weights, epsilon, mask)
         if i == -1:
             free(legs.first)
             JpmcdsFeeLegFree(legs.second)
@@ -405,7 +394,6 @@ cdef class CreditIndex(CurveList):
             TDate cash_settle_date_c = pydate_to_TDate(cash_settle_date)
             TDate maturity_c = pydate_to_TDate(maturity)
             TDate theta_date_c, temp
-            vector[double] h
             pair[TContingentLeg_ptr, TFeeLeg_ptr] legs
             TDateInterval ivl
             int i
@@ -432,7 +420,7 @@ cdef class CreditIndex(CurveList):
             old_pv = pv(self._curves, self.base_date, step_in_date_c,
                         cash_settle_date_c, yc._thisptr.get(), legs,
                         self.recovery_rates, fixed_rate, self._weights,
-                        0., h, self.T, 0)
+                        0., 0)
             if i == -1:
                 free(legs.first)
                 JpmcdsFeeLegFree(legs.second)
@@ -448,7 +436,7 @@ cdef class CreditIndex(CurveList):
         cdef r = old_pv - pv(self._curves, self.base_date, step_in_date_c,
                              cash_settle_date_c,
                              yc._thisptr.get(), legs, self.recovery_rates, fixed_rate,
-                             self._weights, 0., h, self.T, 0) + carry
+                             self._weights, 0., 0) + carry
         if i == -1:
             free(legs.first)
             JpmcdsFeeLegFree(legs.second)
@@ -516,11 +504,10 @@ cdef class CreditIndex(CurveList):
         cdef:
             TDate maturity_c = pydate_to_TDate(maturity)
             unsigned long mask = fill_mask(maturity_c, self._maturities, self._curves[0])
-            vector[double] h = vector[double](self.T.size())
             shared_ptr[TCurve] sc
 
         for sc in self._curves:
-            tweak_curve(sc.get(), sc.get(), epsilon, h, self.T, mask)
+            tweak_curve(sc.get(), sc.get(), epsilon, mask)
 
     def survival_matrix(self, TDate[:] schedule):
         cdef:
@@ -610,8 +597,6 @@ cdef double pv(vector[shared_ptr[TCurve]]& curves,
                double fixed_rate,
                vector[double]& weights,
                double epsilon,
-               vector[double]& h,
-               vector[double]& T,
                unsigned long mask) nogil:
     cdef:
         double fl_pv, cl_pv, r = 0
@@ -625,7 +610,7 @@ cdef double pv(vector[shared_ptr[TCurve]]& curves,
 
     for c in curves:
         if epsilon != 0.:
-            tweak_curve(c.get(), tweaked_curve, epsilon, h, T, mask)
+            tweak_curve(c.get(), tweaked_curve, epsilon, mask)
         else:
             tweaked_curve = c.get()
         # TODO: pick the actual recovery on the curve
diff --git a/pyisda/curve.pxd b/pyisda/curve.pxd
index 76a0a4e..6064c75 100644
--- a/pyisda/curve.pxd
+++ b/pyisda/curve.pxd
@@ -218,4 +218,4 @@ cdef class SpreadCurve(Curve):
 cdef fArray_to_list(TRatePt* fArray, int fNumItems)
 
 cdef void tweak_curve(const TCurve* sc, TCurve* sc_tweaked, double epsilon,
-                      vector[double]& h, const vector[double]& T, unsigned long mask) nogil
+                      unsigned long mask) nogil
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index 8dc79a5..e6c64c7 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -412,28 +412,24 @@ cdef class YieldCurve(Curve):
 
 @cython.cdivision(True)
 cdef void tweak_curve(const TCurve* sc, TCurve* sc_tweaked, double epsilon,
-                      vector[double]& h, const vector[double]& T, unsigned long mask) nogil:
+                      unsigned long mask) nogil:
     ## We want to tweak in the forward space, so we convert the hazard rates
     ## into forward rates and then back
-    cdef double h1, h2, t1, t2
-    h1 = t1 = 0
+    cdef double h1, h2, t1, t2, c
+    h1 = t1 = c = 0
     cdef size_t i
-    for i in range(T.size()):
+
+    for i in range(sc.fNumItems):
         h2 = sc.fArray[i].fRate
-        t2 = T[i]
-        h[i] = (h2 * t2 - h1 * t1) / (t2 - t1)
+        t2 = (sc.fArray[i].fDate - sc.fBaseDate) / 365.
+        h = (h2 * t2 - h1 * t1) / (t2 - t1)
         if mask == 0 or (mask >> i) & 1:
-            h[i] *= (1 + epsilon)
+            h *= (1 + epsilon)
+        c += (t2 - t1) * h
+        sc_tweaked.fArray[i].fRate = c / t2
         h1 = h2
         t1 = t2
 
-    t1 = 0
-    cdef double c = 0
-    for i in range(T.size()):
-        c += (T[i] - t1) * h[i]
-        sc_tweaked.fArray[i].fRate = c / T[i]
-        t1 = T[i]
-
 cdef class SpreadCurve(Curve):
     """
     Initialize a SpreadCurve from a list of spreads and maturity.
@@ -709,13 +705,8 @@ cdef class SpreadCurve(Curve):
             sc = self
             curve_tweaked = self._thisptr.get()
 
-        h = vector[double](num_items)
-        T = vector[double](num_items)
-        for i in range(num_items):
-            T[i] = (curve_tweaked.fArray[i].fDate - curve_tweaked.fBaseDate) / 365.
-
         if mask != 0:
-            tweak_curve(self._thisptr.get(), curve_tweaked, epsilon, h, T, mask)
+            tweak_curve(self._thisptr.get(), curve_tweaked, epsilon, mask)
         return sc
 
     @cython.boundscheck(False)