fix some maturities, still not matching :(

4 files changed, 52 insertions, 14 deletions

diff --git a/date.pxd b/date.pxd
index 24af83f..16b2261 100644
--- a/date.pxd
+++ b/date.pxd
@@ -2,6 +2,12 @@ cdef extern from "isda/cdate.h":
     ctypedef struct TDateInterval:
         pass
 
+cdef extern from "isda/mdydate.h":
+    ctypedef struct TMonthDayYear:
+        long month
+        long day
+        long year
+
 ctypedef long TDate
 
 cdef extern from "isda/convert.h":
@@ -14,9 +20,18 @@ cdef extern from "isda/date_sup.h":
 
 cdef extern from "isda/dateconv.h":
     TDate JpmcdsDate(long year, long month, long day)
+    int JpmcdsDateToMDY(TDate date, TMonthDayYear *mdyDate)
 
 cdef extern from "isda/ldate.h":
     int JpmcdsDateFwdThenAdjust(TDate date, TDateInterval* interval, long badDayMethod,
                                 char* holidayFile, TDate *advAdjustedDate)
 
+
+cdef extern from "isda/busday.h":
+    int  JpmcdsDateFromBusDaysOffset(TDate fromDate,    # (I) input date
+                                     long offset,       # (I) number of business days
+                                     char *holidayFile, # (I) holiday file specification
+                                     TDate *result);
 cdef TDate pydate_to_TDate(d)
+
+cpdef object TDate_to_pydate(TDate d)
diff --git a/date.pyx b/date.pyx
index 2852f1b..8df0df8 100644
--- a/date.pyx
+++ b/date.pyx
@@ -4,3 +4,8 @@ from date cimport JpmcdsDate
 cdef TDate pydate_to_TDate(d):
     assert isinstance(d, datetime.date)
     return JpmcdsDate(d.year, d.month, d.day)
+
+cpdef object TDate_to_pydate(TDate d):
+    cdef TMonthDayYear date
+    if JpmcdsDateToMDY(d, &date) == 0:
+        return datetime.date(date.year, date.month, date.day)
diff --git a/zerocurve.pxd b/zerocurve.pxd
index c2c2359..d652ca0 100644
--- a/zerocurve.pxd
+++ b/zerocurve.pxd
@@ -8,11 +8,18 @@ cdef extern from "isda/zerocurve.h":
     ctypedef struct TDateInterval:
         pass
 
-    TCurve* JpmcdsBuildIRZeroCurve(TDate valueDate, char* instrNames,
-                                   TDate* dates, double* rates, long nInstr,
-                                   long mmDCC, long fixedSwapFreq, long floatSwapFreq,
-                                   long fixedSwapDCC, long floatSwapDCC,
-                                   long badDayConv, char* holidayFile)
+    TCurve* JpmcdsBuildIRZeroCurve(TDate valueDate,
+                                   char* instrNames,
+                                   TDate* dates,
+                                   double* rates,
+                                   long nInstr,
+                                   long mmDCC,
+                                   long fixedSwapFreq,
+                                   long floatSwapFreq,
+                                   long fixedSwapDCC,
+                                   long floatSwapDCC,
+                                   long badDayConv,
+                                   char* holidayFile)
 
 cdef extern from "isda/tcurve.h":
     void JpmcdsFreeTCurve(TCurve* curve)
@@ -23,3 +30,4 @@ cdef extern from "isda/cxzerocurve.h":
 cdef class ZeroCurve:
     cdef TCurve* _thisptr
     cdef TDate* _dates
+    cdef size_t _ninstr
diff --git a/zerocurve.pyx b/zerocurve.pyx
index 93b505d..a5eb2d2 100644
--- a/zerocurve.pyx
+++ b/zerocurve.pyx
@@ -1,9 +1,10 @@
 from cpython cimport datetime
 from libc.stdlib cimport malloc, free
-from pyisda.zerocurve cimport JpmcdsBuildIRZeroCurve
+from pyisda.zerocurve cimport JpmcdsBuildIRZeroCurve, JpmcdsZeroPrice
 from pyisda.yearfrac cimport dcc
 from pyisda.date cimport (JpmcdsStringToDateInterval, pydate_to_TDate,
-                          JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust)
+                          JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust, TDate_to_pydate,
+                          JpmcdsDateFromBusDaysOffset)
 
 cdef int SUCCESS = 0
 
@@ -16,9 +17,9 @@ cpdef public enum BadDay:
 cdef class ZeroCurve:
 
     def __init__(self, date, str types,
-                  list periods, double[:] rates,
-                  str mm_dcc, str fixed_swap_period, str float_swap_period,
-                  str fixed_swap_dcc, str float_swap_dcc, BadDay bad_day_conv):
+                 list periods, double[:] rates,
+                 str mm_dcc, str fixed_swap_period, str float_swap_period,
+                 str fixed_swap_dcc, str float_swap_dcc, BadDay bad_day_conv):
         """ Initialize a zero coupon curve
 
         instruments need to be sorted by tenor
@@ -31,13 +32,18 @@ cdef class ZeroCurve:
            TDate value_date = pydate_to_TDate(date)
 
         self._dates = <TDate*>malloc(len(periods) * sizeof(TDate))
-        cdef TDateInterval tmp
+        self._ninstr = len(periods)
+
+        cdef TDate settle_date
+        if JpmcdsDateFromBusDaysOffset(value_date, 2, "None", &settle_date)!= SUCCESS:
+            raise ValueError
 
+        cdef TDateInterval tmp
         for i, p in enumerate(periods):
             period_bytes = p.encode('utf-8')
             if JpmcdsStringToDateInterval(period_bytes, routine, &tmp) != SUCCESS:
                 raise ValueError
-            if JpmcdsDateFwdThenAdjust(value_date, &tmp, NONE,
+            if JpmcdsDateFwdThenAdjust(settle_date, &tmp, NONE,
                                        "None", &self._dates[i]) != SUCCESS:
                 raise ValueError('Invalid interval')
 
@@ -57,8 +63,8 @@ cdef class ZeroCurve:
         self._thisptr = JpmcdsBuildIRZeroCurve(
             value_date, types_bytes, self._dates,
             &rates[0], len(periods), dcc(mm_dcc), <long> fixed_freq,
-            <long> float_freq,
-            dcc(fixed_swap_dcc), dcc(float_swap_dcc), bad_day_conv, b"None"
+            <long> float_freq, dcc(fixed_swap_dcc), dcc(float_swap_dcc),
+            bad_day_conv, b"None"
         )
 
     def __dealloc__(self):
@@ -72,3 +78,7 @@ cdef class ZeroCurve:
             raise ValueError('curve is empty')
         cdef TDate discount_date = pydate_to_TDate(date)
         return JpmcdsZeroPrice(self._thisptr, discount_date)
+
+    def list_dates(self):
+        cdef size_t i
+        return [TDate_to_pydate(self._dates[i]) for i in range(self._ninstr)]