move to date file and fixes

3 files changed, 129 insertions, 99 deletions

diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index d4a34c1..0d35aa5 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -1,12 +1,9 @@
-from libc.math cimport log1p, log, nearbyint
-from libc.stdio cimport printf
-
+from libc.math cimport log1p, log
 from date cimport (JpmcdsStringToDateInterval, pydate_to_TDate, dcc, TMonthDayYear,
                    JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust, TDate_to_pydate,
-                   JpmcdsDateFromBusDaysOffset, JpmcdsStringToDayCountConv, ACT_360,
-                   JpmcdsDateToMDY, JpmcdsMDYToDate, JpmcdsMakeDateInterval,
-                   JpmcdsDtFwdAny, JpmcdsFormatDate, JpmcdsFormatDateInterval)
+                   JpmcdsDateFromBusDaysOffset, JpmcdsStringToDayCountConv, ACT_360)
 from date import dcc_tostring
+from date cimport _previous_twentieth, _roll_date
 from cdsone cimport JpmcdsStringToStubMethod, TStubMethod
 from legs cimport (JpmcdsCdsContingentLegMake, JpmcdsCdsFeeLegMake,
                    JpmcdsContingentLegPV, JpmcdsFeeLegPV, FeeLegAI, JpmcdsFeeLegFree)
@@ -17,7 +14,6 @@ import numpy as np
 np.import_array()
 import pandas as pd
 from cpython cimport Py_buffer
-from numpy cimport npy_intp
 
 cdef extern from "Python.h":
     int PyMemoryView_Check(object)
@@ -28,7 +24,7 @@ cdef extern from "numpy/arrayobject.h":
     int PyArray_CheckExact(object)
     void* PyArray_DATA(object)
     int PyArray_TYPE(object)
-    npy_intp PyArray_Size(object)
+    np.npy_intp PyArray_Size(object)
 
 cdef int SUCCESS = 0
 
@@ -44,87 +40,6 @@ cdef inline shared_ptr[TCurve] make_shared(TCurve* ptr) nogil:
 cdef inline void double_free(double* ptr) nogil:
     free(ptr)
 
-cdef TDate previous_twentieth(TDate d) nogil:
-    cdef TMonthDayYear mdy
-    if JpmcdsDateToMDY(d, &mdy) != SUCCESS:
-        return -1
-    if mdy.day < 20:
-        if mdy.month == 1:
-            mdy.month = 12
-            mdy.year -= 1
-        else:
-            mdy.month -= 1
-    mdy.day = 20
-    cdef int mod = mdy.month % 3
-    if mod != 0:
-        mdy.month -= mod
-        if mdy.month <= 0:
-            mdy.month += 12
-            mdy.year -= 1
-    cdef TDate r
-    if JpmcdsMDYToDate(&mdy, &r) != SUCCESS:
-        return -1
-    else:
-        return r
-
-cdef TDate next_twentieth(TDate d) nogil:
-    cdef TMonthDayYear mdy
-    if JpmcdsDateToMDY(d, &mdy) != SUCCESS:
-        return -1
-    if mdy.day > 20:
-        if mdy.month == 12:
-            mdy.month = 1
-            mdy.year += 1
-        else:
-            mdy.month += 1
-    mdy.day = 20
-    cdef int mod = mdy.month % 3
-    if mod != 0:
-        mdy.month += 3 - mod
-        if mdy.month > 12:
-            mdy.month -= 12
-            mdy.year += 1
-    cdef TDate r
-    if JpmcdsMDYToDate(&mdy, &r) != SUCCESS:
-        return -1
-    else:
-        return r
-
-cpdef TDate roll_date(TDate d, double tenor):
-    cdef TDate cutoff = 151472
-    cdef TDateInterval ivl
-    cdef TDate d_rolled
-    cdef TMonthDayYear d1
-    if tenor < 1:
-        if JpmcdsMakeDateInterval(<int>nearbyint(tenor * 12), "M", &ivl) != SUCCESS:
-            return -1
-    else:
-        if JpmcdsMakeDateInterval(<int>nearbyint(tenor), "A", &ivl) != SUCCESS:
-            return -1
-    if JpmcdsDtFwdAny(d, &ivl, &d_rolled) != SUCCESS:
-        return -1
-    if d <= cutoff:
-        return next_twentieth(d_rolled + 1)
-    else:
-        if JpmcdsDateToMDY(d, &d1) != SUCCESS:
-            return -1
-        if ((d1.month > 9) or ((d1.month == 9) and (d1.day >= 20))) or \
-           ((d1.month < 3) or ((d1.month == 3) and (d1.day < 20))):
-            if JpmcdsDateToMDY(d_rolled, &d1) != SUCCESS:
-                return -1
-            if d1.month <= 3:
-                d1.year -= 1
-            d1.month = 12
-            d1.day = 20
-        else:
-            if JpmcdsDateToMDY(d_rolled, &d1) != SUCCESS:
-                return -1
-            d1.month = 6
-            d1.day = 20
-        if JpmcdsMDYToDate(&d1, &d_rolled) != SUCCESS:
-            return -1
-        else:
-            return d_rolled
 
 cdef class Curve(object):
 
@@ -558,7 +473,7 @@ cdef class SpreadCurve(Curve):
         cdef TDate start_date_c
 
         if start_date is None:
-            start_date_c = previous_twentieth(today_c)
+            start_date_c = _previous_twentieth(today_c)
             if start_date_c == -1:
                 raise ValueError("incorrect today's date: " + today)
         else:
@@ -596,20 +511,19 @@ cdef class SpreadCurve(Curve):
                 i += 1
         elif PyArray_CheckExact(end_dates):
             n_dates = PyArray_Size(end_dates)
-            if PyArray_TYPE(end_dates) == np.NPY_INT:
+            if PyArray_TYPE(end_dates) == np.NPY_INT64:
                 end_dates_c = <TDate*>PyArray_DATA(end_dates)
-                for i in range(upfront_rates.shape[0]):
-                    if upfront_rates[i] == upfront_rates[i]:
-                        includes |= 1 << i
             elif PyArray_TYPE(end_dates) == np.NPY_DOUBLE:
                 end_dates_c = <TDate*>malloc(n_dates * sizeof(TDate))
                 tenors_c = <double*>PyArray_DATA(end_dates)
                 freeup = True
-                for i in range(n_dates):
-                    end_dates_c[i] = roll_date(today_c, tenors_c[i])
-                    if upfront_rates[i] == upfront_rates[i]:
-                        includes |= 1 << i
-
+                _roll_date(today_c, tenors_c, n_dates, end_dates_c)
+            for i in range(upfront_rates.shape[0]):
+                if upfront_rates[i] == upfront_rates[i]:
+                    includes |= 1 << i
+        else:
+            raise ValueError("end_dates need to be a list of dates, "
+                             "or an array of tenors or TDates")
 
         cdef TStubMethod stub_type
         if JpmcdsStringToStubMethod(b"f/s", &stub_type) != 0:
diff --git a/pyisda/date.pxd b/pyisda/date.pxd
index 10693fc..b3ed150 100644
--- a/pyisda/date.pxd
+++ b/pyisda/date.pxd
@@ -50,3 +50,6 @@ cdef extern from "isda/busday.h":
 cpdef TDate pydate_to_TDate(c_datetime.date d)
 
 cpdef c_datetime.date TDate_to_pydate(TDate d)
+
+cdef void _roll_date(TDate d, double* tenors, int n_dates, TDate* output) nogil
+cdef TDate _previous_twentieth(TDate d) nogil
diff --git a/pyisda/date.pyx b/pyisda/date.pyx
index 50cff66..5cca9d1 100644
--- a/pyisda/date.pyx
+++ b/pyisda/date.pyx
@@ -1,9 +1,15 @@
 import datetime
 from cpython cimport datetime as c_datetime
 from cpython.version cimport PY_MAJOR_VERSION
+from libc.stdlib cimport malloc, free
+cimport cython
+cimport numpy as np
 
+np.import_array()
 c_datetime.import_datetime()
 
+cdef int SUCCESS = 0
+
 cpdef TDate pydate_to_TDate(c_datetime.date d):
     return JpmcdsDate(<long>d.year, <long>d.month, <long>d.day)
 
@@ -31,3 +37,110 @@ def dcc_tostring(long day_count):
     else:
         s = c_string
     return s
+
+cdef TDate _previous_twentieth(TDate d) nogil:
+    cdef TMonthDayYear mdy
+    if JpmcdsDateToMDY(d, &mdy) != SUCCESS:
+        return -1
+    if mdy.day < 20:
+        if mdy.month == 1:
+            mdy.month = 12
+            mdy.year -= 1
+        else:
+            mdy.month -= 1
+    mdy.day = 20
+    cdef int mod = mdy.month % 3
+    if mod != 0:
+        mdy.month -= mod
+        if mdy.month <= 0:
+            mdy.month += 12
+            mdy.year -= 1
+    cdef TDate r
+    if JpmcdsMDYToDate(&mdy, &r) != SUCCESS:
+        return -1
+    else:
+        return r
+
+def previous_twentieth(d):
+    cdef TDate date = pydate_to_TDate(d)
+    return TDate_to_pydate(_previous_twentieth(date))
+
+cdef TMonthDayYear next_twentieth(TDate d) nogil:
+    cdef TMonthDayYear mdy
+    JpmcdsDateToMDY(d, &mdy)
+    if mdy.day > 20:
+        if mdy.month == 12:
+            mdy.month = 1
+            mdy.year += 1
+        else:
+            mdy.month += 1
+    mdy.day = 20
+    cdef int mod = mdy.month % 3
+    if mod != 0:
+        mdy.month += 3 - mod
+        if mdy.month > 12:
+            mdy.month -= 12
+            mdy.year += 1
+    return mdy
+
+cdef void _roll_date(TDate d, double* tenors, int n_dates, TDate* output) nogil:
+    cdef:
+        TDate cutoff = 151472 # 2015-09-20
+        TMonthDayYear d_rolled
+        TMonthDayYear r
+        int months
+        size_t i
+
+    if d <= cutoff:
+        d_rolled = next_twentieth(d + 1)
+    else:
+        JpmcdsDateToMDY(d, &d_rolled)
+        if ((d_rolled.month > 9) or ((d_rolled.month == 9) and (d_rolled.day >= 20))) or \
+           ((d_rolled.month < 3) or ((d_rolled.month == 3) and (d_rolled.day < 20))):
+            if d_rolled.month <= 3:
+                d_rolled.year -= 1
+            d_rolled.month = 12
+            d_rolled.day = 20
+        else:
+            d_rolled.month = 6
+            d_rolled.day = 20
+
+    for i in range(n_dates):
+        r = d_rolled
+        if tenors[i] < 1:
+            months = <int>(tenors[i] * 12)
+            r.month += months
+            if r.month > 12:
+                r.month -= 12
+                r.year += 1
+        else:
+            r.year += <int>(tenors[i])
+        if JpmcdsMDYToDate(&r, &output[i]) != SUCCESS:
+            output[i] = -1
+
+@cython.boundscheck(False)
+def roll_date(d, tenor):
+    cdef:
+        TDate date_ = pydate_to_TDate(d)
+        np.npy_intp n_dates
+        double* tenors_arr
+        double tenor_
+        object output
+        long[:] output_view
+        size_t i
+        TDate output_date
+
+    if isinstance(tenor, list):
+        n_dates = len(tenor)
+        tenors_arr = <double*>malloc(n_dates * sizeof(double))
+        output = np.PyArray_EMPTY(1, &n_dates, np.NPY_INT64, 0)
+        output_view = output
+        for i in range(n_dates):
+            tenors_arr[i] = tenor[i]
+        _roll_date(date_, tenors_arr, n_dates, <TDate*>&output_view[0])
+        free(tenors_arr)
+        return output
+    elif isinstance(tenor, (int, float)):
+        tenor_ = <double>tenor
+        _roll_date(date_, &tenor_, 1, &output_date)
+        return TDate_to_pydate(output_date)