speed up expected_forward_curve

1 files changed, 19 insertions, 13 deletions

diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index 3f2fda5..1f5076d 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -566,29 +566,35 @@ cdef class YieldCurve(Curve):
         """
         return [TDate_to_pydate(self.get_TCurve().fArray[i].fDate) for i in range(self.get_TCurve().fNumItems)]
 
+    @cython.cdivision(True)
     def expected_forward_curve(self, forward_date):
         """ returns the expected forward curve """
-        cdef TDate forward_date_c = pydate_to_TDate(forward_date)
-        cdef YieldCurve yc = YieldCurve.__new__(YieldCurve)
-        cdef const TCurve* curve = self.get_TCurve()
-        cdef size_t i = 0
-        cdef int n = curve.fNumItems
+        cdef:
+            TDate forward_date_c = pydate_to_TDate(forward_date)
+            YieldCurve yc = YieldCurve.__new__(YieldCurve)
+            const TCurve* curve = self.get_TCurve()
+            size_t i = 0
+            int n = curve.fNumItems
+            double r0
+            int t1, t0
+            TCurve* forward_curve
+            TRatePt* arr
+
         while curve.fArray[i].fDate < forward_date_c:
             i += 1
         yc.buf_size = sizeof(TCurve) + (n - i) * sizeof(TRatePt)
-        cdef TCurve* forward_curve = <TCurve*>malloc(yc.buf_size)
+        forward_curve = <TCurve*>malloc(yc.buf_size)
         forward_curve.fNumItems = n - i
         forward_curve.fDayCountConv = curve.fDayCountConv
         forward_curve.fBaseDate = forward_date_c
-        forward_curve.fBasis = 1.0
-        cdef double df
-        cdef TRatePt* arr = forward_curve.fArray
+        forward_curve.fBasis = <double>Basis.CONTINUOUS
+        arr = forward_curve.fArray
+        r0 = JpmcdsZeroRate(curve, forward_date_c)
+        t0 = forward_date_c - curve.fBaseDate
         while i < n:
             arr.fDate = curve.fArray[i].fDate
-            df = JpmcdsForwardZeroPrice(curve, forward_date_c, arr.fDate)
-            JpmcdsDiscountToRateYearFrac(
-                df, <double>(arr.fDate - forward_date_c)/365.,
-                <double>1, &arr.fRate)
+            t1 = arr.fDate - curve.fBaseDate
+            arr.fRate = (t1 * curve.fArray[i].fRate - t0 * r0) / (t1 - t0)
             i += 1
             preinc(arr)
         yc.buf.reset(<char*>forward_curve, char_free)