add default_accrual function

2 files changed, 60 insertions, 2 deletions

diff --git a/pyisda/date.pxd b/pyisda/date.pxd
index 9755ced..c1f7dd5 100644
--- a/pyisda/date.pxd
+++ b/pyisda/date.pxd
@@ -1,4 +1,5 @@
 from cpython cimport datetime as c_datetime
+from cdsone cimport TStubMethod
 
 cdef extern from "isda/yearfrac.h" nogil:
     int JpmcdsStringToDayCountConv(char* day_count, long* type)
@@ -9,6 +10,7 @@ cdef long dcc(str day_count) except -1
 cdef extern from "isda/cdate.h":
     ctypedef struct TDateInterval:
         pass
+    ctypedef long TDate
 
 cdef extern from "isda/mdydate.h":
     ctypedef struct TMonthDayYear:
@@ -16,8 +18,6 @@ cdef extern from "isda/mdydate.h":
         long day
         long year
 
-ctypedef long TDate
-
 cdef extern from "isda/convert.h" nogil:
     int JpmcdsStringToDateInterval(char* input, char* label, TDateInterval* interval)
     int JpmcdsMakeDateInterval(int num_periods, char period_type, TDateInterval* interval)
@@ -58,6 +58,22 @@ cdef extern from "isda/busday.h" nogil:
         JPMCDS_BAD_DAY_NONE
         JPMCDS_BAD_DAY_MODIFIED
 
+cdef extern from "isda/defaulted.h" nogil:
+    int JpmcdsDefaultAccrual(
+        TDate           tradeDate,
+        TDate           edd,
+        TDate           startDate,
+        TDate           endDate,
+        TDateInterval  *couponInterval,
+        TStubMethod    *stubType,
+        double          notional,
+        double          couponRate,
+        long            paymentDcc,
+        long            badDayConv,
+        char           *calendar,
+        int            *accrualDays,
+        double         *defaultAccrual)
+
 cpdef enum BadDay:
     FOLLOW = JPMCDS_BAD_DAY_FOLLOW
     PREVIOUS = JPMCDS_BAD_DAY_PREVIOUS
diff --git a/pyisda/date.pyx b/pyisda/date.pyx
index 821d224..7e13ce1 100644
--- a/pyisda/date.pyx
+++ b/pyisda/date.pyx
@@ -2,6 +2,7 @@ import datetime
 from cpython cimport datetime as c_datetime
 from cpython.version cimport PY_MAJOR_VERSION
 from libc.stdlib cimport malloc, free
+from cdsone cimport JpmcdsStringToStubMethod
 cimport cython
 cimport numpy as np
 
@@ -20,6 +21,7 @@ cpdef c_datetime.date TDate_to_pydate(TDate d):
     else:
         raise ValueError("incorrect date")
 
+
 cdef long dcc(str day_count) except -1:
     cdef long r
     dc_bytes = day_count.encode('utf-8')
@@ -30,6 +32,7 @@ cdef long dcc(str day_count) except -1:
     else:
         raise ValueError('{0} is not a valid day count'.format(day_count))
 
+
 def dcc_tostring(long day_count):
     cdef char* c_string = JpmcdsFormatDayCountConv(day_count)
     if PY_MAJOR_VERSION >= 3:
@@ -38,6 +41,7 @@ def dcc_tostring(long day_count):
         s = c_string
     return s
 
+
 cdef TDate _previous_twentieth(TDate d, bint roll) nogil:
     cdef TMonthDayYear mdy
     if JpmcdsDateToMDY(d, &mdy) != SUCCESS:
@@ -64,15 +68,18 @@ cdef TDate _previous_twentieth(TDate d, bint roll) nogil:
         else:
             return r
 
+
 def previous_twentieth(d, bint roll=True):
     cdef TDate date = pydate_to_TDate(d)
     return TDate_to_pydate(_previous_twentieth(date, roll))
 
+
 @cython.cdivision(True)
 def cds_accrued(d, double coupon):
     cdef TDate date = pydate_to_TDate(d) + 1
     return (date - _previous_twentieth(date, True))/360. * coupon
 
+
 cdef TMonthDayYear next_twentieth(TDate d) nogil:
     cdef TMonthDayYear mdy
     JpmcdsDateToMDY(d, &mdy)
@@ -159,3 +166,38 @@ def roll_date(d, tenor):
         tenor_ = <double>tenor
         _roll_date(date_, &tenor_, 1, &output_date)
         return TDate_to_pydate(output_date)
+
+
+def default_accrual(trade_date, edd, start_date, end_date, double notional,
+                    double coupon_rate):
+    cdef:
+        TDate trade_date_c = pydate_to_TDate(trade_date)
+        TDate edd_c = pydate_to_TDate(edd)
+        TDate start_date_c = pydate_to_TDate(start_date)
+        TDate end_date_c = pydate_to_TDate(end_date)
+        TDateInterval ivl
+        TStubMethod stub
+        int accrual_days
+        double default_accrual
+
+    if JpmcdsStringToStubMethod(b"f/s", &stub) != SUCCESS:
+        raise ValueError("can't convert stub")
+
+    if JpmcdsMakeDateInterval(3, "M", &ivl) != SUCCESS:
+        raise ValueError("can't convert to date interval")
+
+    if JpmcdsDefaultAccrual(trade_date_c,
+                            edd_c,
+                            start_date_c,
+                            end_date_c,
+                            &ivl,
+                            &stub,
+                            notional,
+                            coupon_rate,
+                            ACT_360,
+                            FOLLOW,
+                            b"None",
+                            &accrual_days,
+                            &default_accrual) != SUCCESS:
+        raise ValueError("failed to compute default accrual")
+    return accrual_days, default_accrual