try to release the gil

2 files changed, 25 insertions, 21 deletions

diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index 4c0a1d3..de64437 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -2,9 +2,10 @@ from libc.stdlib cimport malloc, free
 from libc.string cimport memcpy
 from date cimport (JpmcdsStringToDateInterval, pydate_to_TDate, dcc,
                    JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust, TDate_to_pydate,
-                   JpmcdsDateFromBusDaysOffset)
+                   JpmcdsDateFromBusDaysOffset, JpmcdsStringToDayCountConv)
 from date import dcc_tostring
 from cdsone cimport JpmcdsStringToStubMethod, TStubMethod
+cimport cython
 
 cdef int SUCCESS = 0
 
@@ -261,7 +262,8 @@ cdef class SpreadCurve(Curve):
         cdef TDate step_in_date_c = pydate_to_TDate(step_in_date)
         cdef TDate cash_settle_date_c = pydate_to_TDate(cash_settle_date)
         cdef TDate start_date_c = pydate_to_TDate(start_date)
-        cdef TDate* end_dates_c = <TDate*>malloc(len(end_dates) * sizeof(TDate))
+        cdef int n_dates = len(end_dates)
+        cdef TDate* end_dates_c = <TDate*>malloc(n_dates * sizeof(TDate))
         self._thisptr = NULL
         cdef size_t i
         if cash_settle_date < yc.inspect()['base_date']:
@@ -273,24 +275,26 @@ cdef class SpreadCurve(Curve):
         cdef TStubMethod stub_type
         if JpmcdsStringToStubMethod(b"f/s", &stub_type) != 0:
             raise ValueError("can't convert stub")
-
-        self._thisptr = JpmcdsCleanSpreadCurve(today_c,
-                                               yc._thisptr,
-                                               start_date_c,
-                                               step_in_date_c,
-                                               cash_settle_date_c,
-                                               len(end_dates),
-                                               end_dates_c,
-                                               &coupon_rates[0],
-                                               &upfront_rates[0],
-                                               NULL,
-                                               &recovery_rates[0],
-                                               pay_accrued_on_default,
-                                               NULL,
-                                               dcc('ACT/360'),
-                                               &stub_type,
-                                               <long>'M',
-                                               b'NONE')
+        cdef long dc
+        JpmcdsStringToDayCountConv('ACT/360', &dc)
+        with nogil, cython.boundscheck(False):
+            self._thisptr = JpmcdsCleanSpreadCurve(today_c,
+                                                   yc._thisptr,
+                                                   start_date_c,
+                                                   step_in_date_c,
+                                                   cash_settle_date_c,
+                                                   n_dates,
+                                                   end_dates_c,
+                                                   &coupon_rates[0],
+                                                   &upfront_rates[0],
+                                                   NULL,
+                                                   &recovery_rates[0],
+                                                   pay_accrued_on_default,
+                                                   NULL,
+                                                   dc,
+                                                   &stub_type,
+                                                   <long>'M',
+                                                   b'NONE')
         if self._thisptr == NULL:
             raise ValueError("something went wrong")
 
diff --git a/pyisda/date.pxd b/pyisda/date.pxd
index 755467f..0ba719a 100644
--- a/pyisda/date.pxd
+++ b/pyisda/date.pxd
@@ -1,6 +1,6 @@
 from cpython cimport datetime as c_datetime
 
-cdef extern from "isda/yearfrac.h":
+cdef extern from "isda/yearfrac.h" nogil:
     int JpmcdsStringToDayCountConv(char* day_count, long* type)
     char* JpmcdsFormatDayCountConv(long dayCountConv)