legs functions

4 files changed, 261 insertions, 10 deletions

diff --git a/curve.pxd b/curve.pxd
index d652ca0..b365b5a 100644
--- a/curve.pxd
+++ b/curve.pxd
@@ -1,4 +1,7 @@
+from cdsone cimport TStubMethod
+
 cdef extern from "isda/zerocurve.h":
+    ctypedef int TBoolean
 
     ctypedef long int TDate
 
@@ -20,6 +23,48 @@ cdef extern from "isda/zerocurve.h":
                                    long floatSwapDCC,
                                    long badDayConv,
                                    char* holidayFile)
+cdef extern from "isda/cds.h":
+
+     TCurve* JpmcdsCleanSpreadCurve(
+        # Risk starts at the end of today
+        TDate           today,
+        # Interest rate discount curve - assumes flat forward interpolation
+        TCurve         *discCurve,
+        # Effective date of the benchmark CDS
+        TDate           startDate,
+        # Step in date of the benchmark CDS
+        TDate           stepinDate,
+        # Date when payment should be make
+        TDate           cashSettleDate,
+        # Number of benchmark dates
+        long            nbDate,
+        # Dates when protection ends for each benchmark (end of day).
+        #    Array of size nbDate
+        TDate          *endDates,
+        # Coupon rates for each benchmark instrument. Array of size nbDate
+        double         *couponRates,
+        # Flags to denote that we include particular benchmarks. This makes it
+        # easy for the user to include or exclude benchmarks on a one-by-one
+        # basis. Can be NULL if all are included. Otherwise an array of size
+        # nbDate.
+        TBoolean       *includes,
+        # Recovery rate in case of default
+        double          recoveryRate,
+        # Should accrued interest be paid on default. Usually set to TRUE
+        TBoolean        payAccOnDefault,
+        # Interval between coupon payments. Can be NULL when 3M is assumed
+        TDateInterval  *couponInterval,
+        # Day count convention for coupon payment. Normal is ACT_360
+        long            paymentDcc,
+        # If the startDate and endDate are not on cycle, then this parameter
+        # determines location of coupon dates. */
+        TStubMethod    *stubType,
+        # Bad day convention for adjusting coupon payment dates. */
+        long            badDayConv,
+        # Calendar used when adjusting coupon dates. Can be NULL which equals
+        # a calendar with no holidays and including weekends. */
+        char           *calendar
+    )
 
 cdef extern from "isda/tcurve.h":
     void JpmcdsFreeTCurve(TCurve* curve)
@@ -27,7 +72,12 @@ cdef extern from "isda/tcurve.h":
 cdef extern from "isda/cxzerocurve.h":
     double JpmcdsZeroPrice(TCurve* curve, TDate date)
 
-cdef class ZeroCurve:
+cdef class Curve:
     cdef TCurve* _thisptr
+
+cdef class ZeroCurve(Curve):
     cdef TDate* _dates
     cdef size_t _ninstr
+
+cdef class SpreadCurve(Curve):
+    pass
diff --git a/curve.pyx b/curve.pyx
index a5eb2d2..88b1098 100644
--- a/curve.pyx
+++ b/curve.pyx
@@ -1,11 +1,10 @@
 from cpython cimport datetime
 from libc.stdlib cimport malloc, free
-from pyisda.zerocurve cimport JpmcdsBuildIRZeroCurve, JpmcdsZeroPrice
-from pyisda.yearfrac cimport dcc
-from pyisda.date cimport (JpmcdsStringToDateInterval, pydate_to_TDate,
-                          JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust, TDate_to_pydate,
-                          JpmcdsDateFromBusDaysOffset)
-
+from curve cimport JpmcdsBuildIRZeroCurve, JpmcdsZeroPrice,
+from date cimport (JpmcdsStringToDateInterval, pydate_to_TDate, dcc,
+                   JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust, TDate_to_pydate,
+                   JpmcdsDateFromBusDaysOffset)
+from cdsone cimport JpmcdsStringToStubMethod, TStubMethod
 cdef int SUCCESS = 0
 
 cpdef public enum BadDay:
@@ -14,7 +13,12 @@ cpdef public enum BadDay:
     NONE = <long>'N'
     MODIFIED = <long>'M'
 
-cdef class ZeroCurve:
+cdef class Curve:
+  def __dealloc__(self):
+        if self._thisptr is not NULL:
+            JpmcdsFreeTCurve(self._thisptr)
+
+cdef class ZeroCurve(Curve):
 
     def __init__(self, date, str types,
                  list periods, double[:] rates,
@@ -68,8 +72,6 @@ cdef class ZeroCurve:
         )
 
     def __dealloc__(self):
-        if self._thisptr is not NULL:
-            JpmcdsFreeTCurve(self._thisptr)
         if self._dates is not NULL:
             free(self._dates)
 
@@ -82,3 +84,41 @@ cdef class ZeroCurve:
     def list_dates(self):
         cdef size_t i
         return [TDate_to_pydate(self._dates[i]) for i in range(self._ninstr)]
+
+cdef class SpreadCurve(Curve):
+
+    def __init__(self, today, ZeroCurve zc, start_date, step_in_date, cash_settle_date,
+                 list end_dates, double[:] coupon_rates, double recovery_rate,
+                 TBoolean pay_accrued_on_default):
+
+        cdef today_c = pydate_to_TDate(today)
+        cdef step_in_date_c = pydate_to_TDate(step_in_date)
+        cdef cash_settle_date_c = pydate_to_TDate(cash_settle_date)
+        cdef start_date_c = pydate_to_TDate(start_date)
+        cdef TDate* end_dates_c = <TDate*>malloc(len(end_dates) * sizeof(TDate))
+
+        cdef size_t i
+
+        for i, d in enumerate(end_dates):
+            end_dates_c[i] = pydate_to_TDate(end_dates)
+        cdef TStubMethod stub_type
+
+        if JpmcdsStringToStubMethod(b"f/s", &stub_type) != 0:
+            raise ValueError("can't convert stub")
+
+        self._thisptr = JpmcdsCleanSpreadCurve(today_c,
+                                               zc._thisptr,
+                                               start_date_c,
+                                               step_in_date_c,
+                                               cash_settle_date,
+                                               len(end_dates),
+                                               end_dates_c,
+                                               &coupon_rates[0],
+                                               NULL,
+                                               recovery_rate,
+                                               pay_accrued_on_default,
+                                               NULL,
+                                               dcc('ACT/360'),
+                                               &stub_type,
+                                               <long>'M',
+                                               NULL)
diff --git a/legs.pxd b/legs.pxd
new file mode 100644
index 0000000..0b1ded3
--- /dev/null
+++ b/legs.pxd
@@ -0,0 +1,94 @@
+from date cimport TDate, TDateInterval
+from cdsone cimport TStubMethod
+from curve cimport TCurve
+
+ctypedef int TBoolean
+
+cdef extern from "isda/cx.h":
+    ctypedef struct TContingentLeg:
+        pass
+
+    ctypedef struct TFeeLeg:
+        pass
+
+cdef extern from "isda/bastypes.h":
+    ctypedef struct TCashFlow:
+        TDate  fDate
+        double fAmount
+
+    ctypedef struct TCashFlowList:
+        int fNumItems
+        TCashFlow *fArray
+
+cdef extern from "isda/cds.h":
+
+    cdef TContingentLeg* JpmcdsCdsContingentLegMake(
+        # Date when protection begins. Either at start or end of day (depends
+        # on protectStart)
+        TDate     startDate,
+        # Date when protection ends (end of day)
+        TDate     endDate,
+        # Notional value protected
+        double    notional,
+        # Should protection include the start date
+        TBoolean  protectStart)
+
+    cdef TFeeLeg* JpmcdsCdsFeeLegMake(
+        # Date when protection begins. Either at start or end of day (depends
+        # on protectStart)
+        TDate           startDate,
+        # Date when protection ends (end of day)
+        TDate           endDate,
+        # Should accrued interest be paid on default. Usually set to TRUE
+        TBoolean        payAccOnDefault,
+        # Interval between coupon payments. Can be NULL when 3M is assumed
+        TDateInterval  *couponInterval,
+        # If the startDate and endDate are not on cycle, then this parameter
+        # determines location of coupon dates.
+        TStubMethod    *stubType,
+        # Notional value protected
+        double          notional,
+        # Fixed coupon rate (a.k.a. spread) for the fee leg
+        double          couponRate,
+        # Day count convention for coupon payment. Normal is ACT_360
+        long            paymentDcc,
+        # Bad day convention for adjusting coupon payment dates.
+        long            badDayConv,
+        # Calendar used when adjusting coupon dates. Can be NULL which equals
+        # a calendar with no holidays and including weekends.
+        char           *calendar,
+        # Should protection include the start date */
+        TBoolean        protectStart)
+
+
+
+cdef extern from "isda/contingentleg.h":
+    cdef int JpmcdsContingentLegPV(TContingentLeg *cl,    # Contingent leg
+                                   TDate today,           # No observations before today
+                                   TDate valueDate,       # Value date for discounting
+                                   TDate stepinDate,      # Step-in date
+                                   TCurve *discountCurve, # Risk-free curve
+                                   TCurve *spreadCurve,   # Spread curve
+                                   double recoveryRate,   # Recovery rate
+                                   double *pv)
+
+cdef extern from "isda/feeleg.h":
+   cdef int JpmcdsFeeLegPV(TFeeLeg *fl,
+                           TDate today,
+                           TDate stepinDate,
+                           TDate valueDate,
+                           TCurve *discCurve,
+                           TCurve *spreadCurve,
+                           TBoolean payAccruedAtStart,
+                           double *pv)
+
+   cdef TCashFlowList* JpmcdsFeeLegFlows(TFeeLeg *fl)
+
+   cdef void JpmcdsFeeLegFree(TFeeLeg *p)
+
+cdef class ContingentLeg:
+    cdef TContingentLeg* _thisptr
+
+
+cdef class FeeLeg:
+    cdef TFeeLeg* _thisptr
diff --git a/legs.pyx b/legs.pyx
new file mode 100644
index 0000000..5db39d3
--- /dev/null
+++ b/legs.pyx
@@ -0,0 +1,67 @@
+from legs cimport (JpmcdsCdsContingentLegMake,
+                   JpmcdsCdsFeeLegMake, JpmcdsFeeLegFlows, TBoolean)
+from libc.stdlib cimport free
+from date cimport pydate_to_TDate, TDate_to_pydate, dcc
+from cdsone cimport JpmcdsStringToStubMethod, TStubMethod
+from curve cimport ZeroCurve, SpreadCurve
+
+cdef class ContingentLeg:
+
+    def __cinit__(self, start_date, end_date, double notional,
+                  TBoolean protect_start = True):
+
+        self._thisptr = JpmcdsCdsContingentLegMake(pydate_to_TDate(start_date),
+                                                   pydate_to_TDate(end_date),
+                                                   notional,
+                                                   protect_start)
+    def __dealloc__(self):
+        if self._thisptr is not NULL:
+            free(self._thisptr)
+
+cdef class FeeLeg:
+
+    def __cinit__(self, start_date, end_date, TBoolean pay_accrued_on_default,
+                  double notional, double coupon_rate, str payment_dcc = 'ACT/360',
+                  TBoolean protect_start = True):
+
+        cdef TStubMethod stub_type
+
+        if JpmcdsStringToStubMethod(b"f/s", &stub_type) != 0:
+            raise ValueError("can't convert stub")
+
+        self._thisptr = JpmcdsCdsFeeLegMake(pydate_to_TDate(start_date),
+                                            pydate_to_TDate(end_date),
+                                            pay_accrued_on_default,
+                                            NULL,
+                                            &stub_type,
+                                            notional,
+                                            coupon_rate,
+                                            dcc(payment_dcc),
+                                            <long>'M',
+                                            NULL,
+                                            protect_start)
+    @property
+    def cashflows(self):
+        cdef TCashFlowList* cfl = JpmcdsFeeLegFlows(self._thisptr)
+        cdef TCashFlow cf
+        result = []
+        for i in range(cf.fNumItems):
+            cf = cfl.fArray[i]
+            result.append((TDate_to_pydate(cf.fDate), cf.fAmount))
+        return result
+
+    def pv(self, today, step_in_date, value_date, ZeroCurve zc, SpreadCurve sc,
+           TBoolean pay_accrued_at_start):
+        cdef today_c = pydate_to_TDate(today)
+        cdef step_in_date_c = pydate_to_TDate(step_in_date)
+        cdef value_date_c = pydate_to_TDate(value_date)
+        cdef double pv
+        if JpmcdsFeeLegPV(self._thisptr, today, step_in_date, value_date,
+                          zc._thisptr, sc._thisptr, pay_accrued_at_start, &pv) == 0:
+            return pv
+        else:
+            raise ValueError
+
+    def __dealloc__(self):
+        if self._thisptr is not NULL:
+            JpmcdsFeeLegFree(self._thisptr)