bring back par_spread method

1 files changed, 50 insertions, 50 deletions

diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index a3821c2..924eeb8 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -950,58 +950,58 @@ cdef class SpreadCurve(Curve):
 #             tweak_curve(curve_orig, curve_tweaked, epsilon, mask)
 #         return sc
 
-#     @cython.boundscheck(False)
-#     def par_spread(self, today, step_in_date, start_date, end_dates,
-#                    const double[:] recovery_rates, YieldCurve yc not None,
-#                    bint pay_accrued_on_default=True):
-#         """
-#         Parameters
-#         ----------
-#         recovery_rates : should be same length as end_dates
-#         """
-#         cdef TDate today_c = pydate_to_TDate(today)
-#         cdef TDate step_in_date_c = pydate_to_TDate(step_in_date)
-#         cdef TDate start_date_c = pydate_to_TDate(start_date)
-#         cdef int n_dates = len(end_dates)
-#         cdef TDate* end_dates_c = <TDate*>malloc(n_dates * sizeof(TDate))
-#         cdef size_t i
-#         for i, d in enumerate(end_dates):
-#             end_dates_c[i] = pydate_to_TDate(d)
-#         cdef double* par_spreads
+    @cython.boundscheck(False)
+    def par_spread(self, today, step_in_date, start_date, end_dates,
+                   const double[:] recovery_rates, YieldCurve yc not None,
+                   bint pay_accrued_on_default=True):
+        """
+        Parameters
+        ----------
+        recovery_rates : should be same length as end_dates
+        """
+        cdef TDate today_c = pydate_to_TDate(today)
+        cdef TDate step_in_date_c = pydate_to_TDate(step_in_date)
+        cdef TDate start_date_c = pydate_to_TDate(start_date)
+        cdef int n_dates = len(end_dates)
+        cdef TDate* end_dates_c = <TDate*>malloc(n_dates * sizeof(TDate))
+        cdef size_t i
+        for i, d in enumerate(end_dates):
+            end_dates_c[i] = pydate_to_TDate(d)
+        cdef double* par_spreads
 
-#         cdef TStubMethod stub_type
-#         if JpmcdsStringToStubMethod(b"f/s", &stub_type) != 0:
-#             free(end_dates_c)
-#             raise ValueError("can't convert stub")
+        cdef TStubMethod stub_type
+        if JpmcdsStringToStubMethod(b"f/s", &stub_type) != 0:
+            free(end_dates_c)
+            raise ValueError("can't convert stub")
 
-#         cdef int result
-#         with nogil:
-#             par_spreads = <double*>malloc(n_dates * sizeof(double))
-#             result = JpmcdsCdsParSpreads(today_c,
-#                                          step_in_date_c,
-#                                          start_date_c,
-#                                          n_dates,
-#                                          end_dates_c,
-#                                          pay_accrued_on_default,
-#                                          NULL,
-#                                          &stub_type,
-#                                          ACT_360,
-#                                          MODIFIED,
-#                                          b'NONE',
-#                                          get_TCurve(yc),
-#                                          get_TCurve(self),
-#                                          &recovery_rates[0],
-#                                          par_spreads)
-#             free(end_dates_c)
-#         cdef list r = []
-#         if result != SUCCESS:
-#             free(par_spreads)
-#             raise ValueError("can't compute par spread")
-#         else:
-#             for i in range(n_dates):
-#                 r.append(par_spreads[i])
-#             free(par_spreads)
-#             return r
+        cdef int result
+        with nogil:
+            par_spreads = <double*>malloc(n_dates * sizeof(double))
+            result = JpmcdsCdsParSpreads(today_c,
+                                         step_in_date_c,
+                                         start_date_c,
+                                         n_dates,
+                                         end_dates_c,
+                                         pay_accrued_on_default,
+                                         NULL,
+                                         &stub_type,
+                                         ACT_360,
+                                         MODIFIED,
+                                         b'NONE',
+                                         yc.get_TCurve(),
+                                         self.get_TCurve(),
+                                         &recovery_rates[0],
+                                         par_spreads)
+            free(end_dates_c)
+        cdef list r = []
+        if result != SUCCESS:
+            free(par_spreads)
+            raise ValueError("can't compute par spread")
+        else:
+            for i in range(n_dates):
+                r.append(par_spreads[i])
+            free(par_spreads)
+            return r
 
     @property
     def recovery_rates(self):