add theta vec function

1 files changed, 68 insertions, 0 deletions

diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx
index 4401e21..1d7db78 100644
--- a/pyisda/credit_index.pyx
+++ b/pyisda/credit_index.pyx
@@ -491,6 +491,74 @@ cdef class CreditIndex(CurveList):
             JpmcdsFeeLegFree(legs.second)
         return r
 
+    def theta_vec(self, step_in_date, cash_settle_date, maturity, YieldCurve yc not None,
+                  double fixed_rate):
+        cdef:
+            TDate step_in_date_c = pydate_to_TDate(step_in_date)
+            TDate cash_settle_date_c = pydate_to_TDate(cash_settle_date)
+            TDate maturity_c = pydate_to_TDate(maturity)
+            TDate maturity_short_c
+            pair[TContingentLeg_ptr, TFeeLeg_ptr] legs_short
+            pair[TContingentLeg_ptr, TFeeLeg_ptr] legs_long
+            TDateInterval ivl
+            int i
+            double carry
+            double cl_pv_long, cl_pv_short, fl_pv_long, fl_pv_short
+            np.npy_intp n = self._curves.size()
+            np.ndarray arr = np.PyArray_EMPTY(1, &n, np.NPY_DOUBLE, 1)
+
+        cdef double[::1] r = arr
+        JpmcdsMakeDateInterval(-1, b"Y", &ivl)
+        JpmcdsDtFwdAny(maturity_c, &ivl, &maturity_short_c)
+        carry = (1 - self.defaulted_weight) * fixed_rate * 365 / 360
+        if maturity_short_c < step_in_date_c:
+            return nan("")
+        legs_long = get_legs(maturity_c,
+                             self._start_date, self.cal_file.c_str())
+        legs_short = get_legs(maturity_short_c, self._start_date, self.cal_file.c_str())
+
+        with nogil:
+            for i in prange(self._curves.size()):
+                curve = <TCurve*>(self._curves[i].get())
+                recovery_rate = <double*>(self._curves[i].get() + self.offset_recovery_rates[i])
+                JpmcdsContingentLegPV(legs_long.first,
+                                      self.base_date,
+                                      cash_settle_date_c,
+                                      step_in_date_c,
+                                      yc.get_TCurve(),
+                                      curve,
+                                      deref(recovery_rate),
+                                      &cl_pv_long)
+                JpmcdsContingentLegPV(legs_short.first,
+                                      self.base_date,
+                                      cash_settle_date_c,
+                                      step_in_date_c,
+                                      yc.get_TCurve(),
+                                      curve,
+                                      deref(recovery_rate),
+                                      &cl_pv_short)
+                JpmcdsFeeLegPV(legs_long.second,
+                               self.base_date,
+                               step_in_date_c,
+                               cash_settle_date_c,
+                               yc.get_TCurve(),
+                               curve,
+                               True,
+                               &fl_pv_long)
+                JpmcdsFeeLegPV(legs_short.second,
+                               self.base_date,
+                               step_in_date_c,
+                               cash_settle_date_c,
+                               yc.get_TCurve(),
+                               curve,
+                               True,
+                               &fl_pv_short)
+                r[i] = self._weights[i] * (cl_pv_long - cl_pv_short - (fl_pv_long - fl_pv_short) * fixed_rate)
+
+        return arr
+
+
+
     def protection_leg(self, step_in_date, cash_settle_date, maturity, YieldCurve yc not None):
         cdef:
             TDate step_in_date_c = pydate_to_TDate(step_in_date)