more tests

1 files changed, 28 insertions, 10 deletions

diff --git a/unpack.py b/unpack.py
index 555e26f..8cdaa8c 100644
--- a/unpack.py
+++ b/unpack.py
@@ -1,7 +1,8 @@
 from serenitas.utils.db2 import dbconn
 from lz4.block import decompress
 import datetime
-from construct import Enum, CString, Struct, Int32ul, Int32sl, Int64ul, Int64sl, Float64l, this
+from construct import Enum, CString, Struct, Int8ul, Int32ul, Int32sl, Int64ul, Int64sl, Float64l, this
+from pyisda.curve import YieldCurve as CYieldCurve, SpreadCurve as CSpreadCurve
 
 TRatePt = Struct("fDate" / Int64sl,
                  "fRate" / Float64l)
@@ -16,18 +17,28 @@ YieldCurve = Struct("curve" / TCurve,
 CurveName = Struct("Seniority" / Enum(Int32ul, Senior=0, Subordinated=1),
                    "DocClause" / Enum(Int32ul, XR14=0, MR14=1, MM14=2, CR14=3),
                    "ticker" / CString("utf8"))
-
-SurvivalCurve = Struct("curve" / TCurve,
-                       "recovery" / Float64l[this.curve.fNumItems],
-                       "defaulted" / Int64sl,
-                       "name" / CurveName)
-
-NewTCurve = Struct("fNumItems" / Int32sl,
+SpreadCurve = Struct("curve" / TCurve,
+                     "recovery" / Float64l[this.curve.fNumItems],
+                     "defaulted" / Int64sl,
+                     "name" / CurveName)
+TCurve_v1 = Struct("fNumItems" / Int32sl,
                    "fDayCountConv" / Int32sl,
                    "fBaseDate" / Int64sl,
                    "fBasis" / Float64l,
                    "fArray" / TRatePt[this.fNumItems])
 
+YieldCurve_v1 = Struct("curve" / TCurve_v1)
+CurveName_v1 = Struct("Seniority" / Enum(Int8ul, Senior=0, Subordinated=1),
+                      "DocClause" / Enum(Int8ul, XR14=0, MR14=1, MM14=2, CR14=3),
+                      "ticker" / CString("utf8"))
+
+
+SpreadCurve_v1 = Struct("curve" / TCurve_v1,
+                        "recovery" / Float64l[this.curve.fNumItems],
+                        "defaulted" / Int64sl,
+                        "name" / CurveName_v1)
+
+
 serenitasdb = dbconn("serenitasdb")
 with serenitasdb.cursor(binary=True) as c:
     c.execute('SELECT curve FROM rate_curves WHERE effective_date=%s AND curve_type=%s',
@@ -35,11 +46,18 @@ with serenitasdb.cursor(binary=True) as c:
     (state,) = c.fetchone()
     curve = decompress(state, 500)
     yc = YieldCurve.parse(curve)
+    yc_prime = CYieldCurve.from_bytes(state)
+    curve_v1 = yc_prime.as_bytes(False)
+    yc_v1 = YieldCurve_v1.parse(curve_v1)
     c.execute('SELECT curve FROM cds_curves WHERE date=%s AND redcode=%s',
               (datetime.date(2023, 1, 9), 'EKFHAH'))
     (state,) = c.fetchone()
     curve = decompress(state, 600)
-    sc = SurvivalCurve.parse(curve)
+    sc = SpreadCurve.parse(curve)
+    breakpoint()
+    sc_prime = CSpreadCurve.from_bytes(state, compressed=True)
+    curve_v1 = sc_prime.as_bytes(False)
+    sc_v1 = SpreadCurve_v1.parse(curve_v1)
 
-new_yc = NewTCurve.build({"fNumItems":yc.curve.fNumItems, "fDayCountConv":yc.curve.fDayCountConv, "fBaseDate":yc.curve.fBaseDate,
+new_yc = TCurve_v1.build({"fNumItems":yc.curve.fNumItems, "fDayCountConv":yc.curve.fDayCountConv, "fBaseDate":yc.curve.fBaseDate,
                           "fBasis":yc.curve.fBasis, "fArray":yc.curve.fArray})