allow to create curve from zero rates

2 files changed, 19 insertions, 1 deletions

diff --git a/pyisda/curve.pxd b/pyisda/curve.pxd
index a91a290..937a8f5 100644
--- a/pyisda/curve.pxd
+++ b/pyisda/curve.pxd
@@ -192,7 +192,7 @@ cdef extern from "isda/cfinanci.h" nogil:
 cdef extern from "isda/macros.h" nogil:
     cdef double JPMCDS_MAX_RATE
 
-cdef enum Basis:
+cpdef enum Basis:
     CONTINUOUS = 5000
     DISCOUNT_RATE = 512
     SIMPLE_BASIS = 0
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index 7fff52b..91b8c48 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -208,6 +208,10 @@ cdef class Curve(object):
     def base_date(self):
         return TDate_to_pydate(get_TCurve(self).fBaseDate)
 
+    @property
+    def basis(self):
+        return <Basis>get_TCurve(self).fBasis
+
     def __forward_zero_price(self, d2, d1=None):
         """ computes the forward zero price at a given date.
 
@@ -465,6 +469,20 @@ cdef class YieldCurve(Curve):
                              <double>basis, dcc(day_count_conv)), JpmcdsFreeTCurve)
         return yc
 
+    @classmethod
+    def from_zero_rates(cls, base_date, list dates, double[:] rates, str day_count_conv, Basis basis=CONTINUOUS):
+        """ build a yield curve from a list of discount factors """
+        cdef TDate base_date_c = pydate_to_TDate(base_date)
+        cdef YieldCurve yc = YieldCurve.__new__(YieldCurve)
+        yc.dates = vector[TDate](len(dates))
+        cdef size_t i
+        for i, d in enumerate(dates):
+            yc.dates[i] = pydate_to_TDate(d)
+        yc._thisptr.reset(
+            JpmcdsMakeTCurve(base_date_c, yc.dates.data(), &rates[0], rates.shape[0],
+                             <double>basis, dcc(day_count_conv)), JpmcdsFreeTCurve)
+        return yc
+
     discount_factor = Curve.__forward_zero_price
 
     @property