no need for cpp_layer

5 files changed, 17 insertions, 98 deletions

diff --git a/cpp_layer/curve.hpp b/cpp_layer/curve.hpp
deleted file mode 100644
index 5d1720d..0000000
--- a/cpp_layer/curve.hpp
+++ /dev/null
@@ -1,77 +0,0 @@
-#include <isda/tcurve.h>
-#include <isda/cxzerocurve.h>
-#include <vector>
-#include <memory>
-
-typedef long TDate;
-
-class CurveObject {
-public:
-    CurveObject(TDate baseDate, std::vector<TDate> dates, std::vector<double> rates,
-          double basis, long dayCountConv) {
-        _ptr = JpmcdsMakeTCurve(baseDate, dates.data(), rates.data(), dates.size(),
-                                basis, dayCountConv);
-    }
-    CurveObject(TCurve* ptr) {
-        _ptr = ptr;
-    }
-    CurveObject(const CurveObject& other) {
-        _ptr = JpmcdsCopyCurve(other._ptr);
-    }
-    CurveObject(CurveObject&& other) : _ptr(other._ptr) {
-        other._ptr = nullptr;
-    }
-    CurveObject& operator=(const CurveObject& other) {
-        if( this != &other) {
-            JpmcdsFreeTCurve(_ptr);
-            _ptr = JpmcdsCopyCurve(other._ptr);
-        }
-        return *this;
-    }
-    CurveObject& operator=(CurveObject&& other) {
-        if( this != &other) {
-            JpmcdsFreeTCurve(_ptr);
-            _ptr = other._ptr;
-            other._ptr = nullptr;
-        }
-        return *this;
-    }
-
-    TCurve* data() {
-        return _ptr;
-    }
-    typedef TRatePt* iterator;
-    typedef const TRatePt* const_iterator;
-    iterator begin() { return _ptr->fArray; }
-    iterator end() {return &_ptr->fArray[_ptr->fNumItems];}
-    int size() {
-        return _ptr->fNumItems;
-    }
-    TDate BaseDate() {
-        return _ptr->fBaseDate;
-    }
-    double Basis() {
-        return _ptr->fBasis;
-    }
-    double ForwardZeroPrice(TDate d2, TDate d1);
-    double ForwardZeroPrice(TDate d2);
-    ~CurveObject() {
-        if(_ptr != nullptr) {
-            JpmcdsFreeTCurve(_ptr);
-        }
-    }
-private:
-    TCurve* _ptr;
-};
-
-double CurveObject::ForwardZeroPrice(TDate d2, TDate d1) {
-    return JpmcdsForwardZeroPrice(_ptr, d1, d2);
-}
-
-double CurveObject::ForwardZeroPrice(TDate d2) {
-    return JpmcdsForwardZeroPrice(_ptr, _ptr->fBaseDate, d2);
-}
-
-std::shared_ptr<TCurve>& make_shared(TCurve* ptr) {
-    return std::shared_ptr<TCurve>(ptr, jpmcdsFreeTCurve);
-}
diff --git a/pyisda/credit_index.pxd b/pyisda/credit_index.pxd
index e4391e9..ed0d0b1 100644
--- a/pyisda/credit_index.pxd
+++ b/pyisda/credit_index.pxd
@@ -1,7 +1,6 @@
 from legs cimport TContingentLeg, TFeeLeg
 from date cimport TDate
-from curve cimport CurveObject, TCurve, TRatePt
-from libcpp.memory cimport shared_ptr
+from curve cimport TCurve, TRatePt, shared_ptr
 from libcpp.vector cimport vector
 
 cdef class CurveList:
diff --git a/pyisda/curve.pxd b/pyisda/curve.pxd
index d76a2af..50d9784 100644
--- a/pyisda/curve.pxd
+++ b/pyisda/curve.pxd
@@ -1,7 +1,7 @@
 from cdsone cimport TStubMethod
 from legs cimport TContingentLeg, TFeeLeg
-from libcpp.memory cimport shared_ptr
 from libcpp.vector cimport vector
+from libcpp cimport bool
 
 cdef extern from "isda/zerocurve.h" nogil:
     ctypedef int TBoolean
@@ -93,20 +93,6 @@ cdef extern from "isda/tcurve.h" nogil:
                             double basis,              # (I) Compounding periods/year
                             long   dayCountConv)
 
-cdef extern from "../cpp_layer/curve.hpp" nogil:
-    cdef cppclass CurveObject:
-        CurveObject(TDate baseDate, vector[TDate] dates, vector[double] rates,
-                    double basis, long dayCountConv)
-        TCurve* data()
-        double ForwardZeroPrice(TDate d2)
-        double ForwardZeroPrice(TDate d2, TDate d1)
-        int size()
-        TDate BaseDate()
-        ctypedef TRatePt* iterator
-        iterator begin()
-        iterator end()
-    shared_ptr[TCurve]& make_shared(TCurve* ptr)
-
 cdef extern from "isda/cxzerocurve.h" nogil:
     double JpmcdsZeroPrice(TCurve* curve, TDate date)
     double JpmcdsForwardZeroPrice(TCurve* curve, TDate startDate, TDate maturityDate)
@@ -123,6 +109,15 @@ cdef enum Basis:
     ANNUAL_BASIS = 1
     DISCOUNT_FACTOR = -2
 
+cdef extern from "<memory>" namespace "std" nogil:
+    cdef cppclass shared_ptr[T]:
+        ctypedef void (*D)(T*)
+        shared_ptr()
+        shared_ptr(T*, D)
+        T* get()
+        bool operator!()
+        long use_count()
+
 cdef class Curve:
     cdef shared_ptr[TCurve] _thisptr
 
@@ -136,4 +131,4 @@ cdef class SpreadCurve(Curve):
 cdef fArray_to_list(TRatePt* fArray, int fNumItems)
 
 cdef void tweak_curve(TCurve* sc, TCurve* sc_tweaked, double epsilon,
-                      const vector[double]& h, const vector[double]& T, bint* mask)
+                      vector[double]& h, const vector[double]& T, bint* mask)
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index ab498bd..48298d1 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -1,7 +1,6 @@
 from libc.stdlib cimport malloc, free
 from libc.string cimport memcpy
 from libc.math cimport log1p
-from libcpp.memory cimport shared_ptr
 from libcpp.vector cimport vector
 from cython.operator cimport preincrement as preinc
 
@@ -29,6 +28,9 @@ cpdef public enum BadDay:
     NONE = <long>'N'
     MODIFIED = <long>'M'
 
+cdef inline shared_ptr[TCurve] make_shared(TCurve* ptr):
+    return shared_ptr[TCurve](ptr, JpmcdsFreeTCurve)
+
 cdef class Curve(object):
 
     def __getstate__(self):
@@ -320,7 +322,7 @@ cdef class YieldCurve(Curve):
 
 @cython.cdivision(True)
 cdef void tweak_curve(TCurve* sc, TCurve* sc_tweaked, double epsilon,
-                      vector[double] h, const vector[double]& T, bint* mask):
+                      vector[double]& h, const vector[double]& T, bint* mask):
     ## We want to tweak in the forward space, so we convert the hazard rates
     ## into forward rates and then back
     cdef double h1, h2, t1, t2
diff --git a/setup.py b/setup.py
index da9a315..6f22f1a 100644
--- a/setup.py
+++ b/setup.py
@@ -4,7 +4,7 @@ from Cython.Build import cythonize
 import numpy
 
 all_extensions = Extension("*", ["pyisda/*.pyx"],
-                           include_dirs = ['cpp_layer', 'c_layer', numpy.get_include()],
+                           include_dirs = ['c_layer', numpy.get_include()],
                            libraries = ["cds"],
                            language = 'c++')