use openmp to compute pv

2 files changed, 69 insertions, 52 deletions

diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx
index f058839..45bcc54 100644
--- a/pyisda/credit_index.pyx
+++ b/pyisda/credit_index.pyx
@@ -6,6 +6,7 @@ from libcpp.pair cimport pair
 from libcpp.memory cimport unique_ptr
 from cython.operator cimport dereference as deref
 from cpython cimport PyObject, Py_INCREF
+from cython.parallel cimport prange
 
 cimport cython
 from legs cimport (JpmcdsCdsContingentLegMake, JpmcdsCdsFeeLegMake,
@@ -506,12 +507,13 @@ cdef class CreditIndex(CurveList):
         cdef:
             TDate maturity_c = pydate_to_TDate(maturity)
             unsigned long mask = fill_mask(maturity_c, self._maturities, self._curves[0])
-            shared_ptr[TCurve] sc
-            TCurve* sc_orig, *sc_copy
+            TCurve* sc_orig
+            TCurve *sc_copy
             size_t i
         if inplace:
-            for sc in self._curves:
-                tweak_curve(sc.get(), sc.get(), epsilon, mask)
+            for i in range(self._curves.size()):
+                sc_orig = self._curves[i].get()
+                tweak_curve(sc_orig, sc_orig, epsilon, mask)
         else:
             for i in range(self._curves.size()):
                 sc_orig = self._curves[i].get()
@@ -599,7 +601,7 @@ cdef pair[TContingentLeg_ptr, TFeeLeg_ptr] get_legs(TDate maturity,
                                    True)
     return r
 
-cdef double pv(vector[shared_ptr[TCurve]]& curves,
+cdef double pv(const vector[shared_ptr[TCurve]]& curves,
                TDate base_date,
                TDate step_in_date,
                TDate cash_settle_date,
@@ -612,40 +614,53 @@ cdef double pv(vector[shared_ptr[TCurve]]& curves,
                unsigned long mask) nogil:
     cdef:
         double fl_pv, cl_pv, r = 0
-        TCurve* tweaked_curve
-        shared_ptr[TCurve] c
+        TCurve *tweaked_curve
+        TCurve *orig_curve
         size_t i = 0
         double recovery_rate
 
-    if epsilon != 0.:
-         tweaked_curve = JpmcdsCopyCurve(curves[0].get())
-
-    for c in curves:
-        if epsilon != 0.:
-            tweak_curve(c.get(), tweaked_curve, epsilon, mask)
-        else:
-            tweaked_curve = c.get()
-        # TODO: pick the actual recovery on the curve
-        # this only works for flat recovery curve
-        recovery_rate = recovery_rates[i].get()[0]
-        JpmcdsContingentLegPV(legs.first,
-                              base_date,
-                              cash_settle_date,
-                              step_in_date,
-                              yc,
-                              tweaked_curve,
-                              recovery_rate,
-                              &cl_pv)
-
-        JpmcdsFeeLegPV(legs.second,
-                       base_date,
-                       step_in_date,
-                       cash_settle_date,
-                       yc,
-                       tweaked_curve,
-                       True,
-                       &fl_pv)
-
-        r += weights[i] * (cl_pv - fl_pv * fixed_rate)
-        i += 1
+    if epsilon == 0.:
+        for i in prange(curves.size()):
+            tweaked_curve = curves[i].get()
+            recovery_rate = recovery_rates[i].get()[0]
+            JpmcdsContingentLegPV(legs.first,
+                                  base_date,
+                                  cash_settle_date,
+                                  step_in_date,
+                                  yc,
+                                  tweaked_curve,
+                                  recovery_rate,
+                                  &cl_pv)
+            JpmcdsFeeLegPV(legs.second,
+                           base_date,
+                           step_in_date,
+                           cash_settle_date,
+                           yc,
+                           tweaked_curve,
+                           True,
+                           &fl_pv)
+            r += weights[i] * (cl_pv - fl_pv * fixed_rate)
+    else:
+        tweaked_curve = JpmcdsCopyCurve(curves[0].get())
+        for i in prange(curves.size()):
+            orig_curve = curves[i].get()
+            tweak_curve(orig_curve, tweaked_curve, epsilon, mask)
+            recovery_rate = recovery_rates[i].get()[0]
+            JpmcdsContingentLegPV(legs.first,
+                                  base_date,
+                                  cash_settle_date,
+                                  step_in_date,
+                                  yc,
+                                  tweaked_curve,
+                                  recovery_rate,
+                                  &cl_pv)
+            JpmcdsFeeLegPV(legs.second,
+                           base_date,
+                           step_in_date,
+                           cash_settle_date,
+                           yc,
+                           tweaked_curve,
+                           True,
+                           &fl_pv)
+            r += weights[i] * (cl_pv - fl_pv * fixed_rate)
     return r
diff --git a/setup.py b/setup.py
index 2254fe0..359540d 100644
--- a/setup.py
+++ b/setup.py
@@ -4,22 +4,24 @@ from Cython.Build import cythonize
 import numpy
 
 all_extensions = Extension("*", ["pyisda/*.pyx"],
-                           include_dirs = ['c_layer', numpy.get_include()],
-                           libraries = ["cds", "farmhash"],
-                           language = 'c++')
+                           include_dirs=['c_layer', numpy.get_include()],
+                           libraries=["cds", "farmhash"],
+                           language='c++',
+                           extra_compile_args=['-fopenmp'],
+                           extra_link_args=['-fopenmp', '-Wl,--strip-all'])
 
 c_extension = Extension("pyisda.flat_hazard",
-                        include_dirs = ['c_layer', numpy.get_include()],
-                        sources = ['pyisda/flat_hazard.pyx', 'c_layer/cdsbootstrap.c'],
-                        libraries = ['cds'],
-                        language = 'c++')
+                        include_dirs=['c_layer', numpy.get_include()],
+                        sources=['pyisda/flat_hazard.pyx', 'c_layer/cdsbootstrap.c'],
+                        libraries=['cds'],
+                        language='c++')
 
-all_extensions = cythonize([c_extension, all_extensions], nthreads = 4,
-                           compiler_directives={'embedsignature':True})
+all_extensions = cythonize([c_extension, all_extensions], nthreads=4,
+                           compiler_directives={'embedsignature': True})
 
 setup(
-    name = "pyisda",
-    version = '0.1',
-    author = 'Guillaume Horel',
-    ext_modules = all_extensions,
-    packages = ['pyisda'])
+    name="pyisda",
+    version='0.1',
+    author='Guillaume Horel',
+    ext_modules=all_extensions,
+    packages=['pyisda'])