small speedup

1 files changed, 19 insertions, 13 deletions

diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index 7235ce7..98c6044 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -49,9 +49,9 @@ cdef double survival_prob(TCurve* curve, TDate start_date, TDate maturity_date,
     else:
         lambda1 = JpmcdsZeroRate(curve, start_date)
         lambda2 = JpmcdsZeroRate(curve, maturity_date)
-        t1 = (start_date - curve.fBaseDate) / 365.
-        t2 = (maturity_date - curve.fBaseDate) / 365.
-        u = lambda1 * t1 - lambda2 * t2
+        t1 = start_date - curve.fBaseDate
+        t2 = maturity_date - curve.fBaseDate
+        u = (lambda1 * t1 - lambda2 * t2) / 365.
         if eps != 0.:
             u *= (1 + eps)
         return exp(u)
@@ -440,16 +440,22 @@ cdef void tweak_curve(const TCurve* sc, TCurve* sc_tweaked, double epsilon,
     h1 = t1 = c = 0
     cdef size_t i
 
-    for i in range(sc.fNumItems):
-        h2 = sc.fArray[i].fRate
-        t2 = (sc.fArray[i].fDate - sc.fBaseDate) / 365.
-        h = (h2 * t2 - h1 * t1) / (t2 - t1)
-        if mask == 0 or (mask >> i) & 1:
-            h *= (1 + epsilon)
-        c += (t2 - t1) * h
-        sc_tweaked.fArray[i].fRate = c / t2
-        h1 = h2
-        t1 = t2
+    if mask == 0:
+        for i in range(sc.fNumItems):
+            h2 = sc.fArray[i].fRate
+            t2 = (sc.fArray[i].fDate - sc.fBaseDate) / 365.
+            c += h2 * t2 - h1 * t1
+            sc_tweaked.fArray[i].fRate = c / t2
+            h1 = h2
+            t1 = t2
+    else:
+        for i in range(sc.fNumItems):
+            h2 = sc.fArray[i].fRate
+            t2 = (sc.fArray[i].fDate - sc.fBaseDate) / 365.
+            c += (h2 * t2 - h1 * t1) * ( 1 + epsilon * ((mask >> i) & 1))
+            sc_tweaked.fArray[i].fRate = c / t2
+            h1 = h2
+            t1 = t2
 
 cdef class SpreadCurve(Curve):
     """