speedups

1 files changed, 10 insertions, 9 deletions

diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx
index 0264272..017f9fe 100644
--- a/pyisda/credit_index.pyx
+++ b/pyisda/credit_index.pyx
@@ -630,7 +630,8 @@ cdef class CreditIndex(CurveList):
                 self._curves[i].reset(new_buf, char_free)
                 self.names[CurveName(new_buf + offset)] = i
 
-    def survival_matrix(self, const TDate[::1] schedule=None, double epsilon=0., bint logsp=False):
+    @cython.wraparound(False)
+    def survival_matrix(self, const TDate[::1] schedule=None, double epsilon=0., bint log_dp=False):
         cdef:
             TCurve* sc
             pair[CurveName, size_t] p
@@ -647,17 +648,17 @@ cdef class CreditIndex(CurveList):
         n[0] = self._curves.size()
 
         cdef:
-            np.ndarray sp = np.PyArray_EMPTY(2, n, np.NPY_DOUBLE, 1)
-            np.ndarray tickers = np.PyArray_EMPTY(1, n, np.NPY_OBJECT, 1)
-            double[::1,:] sp_view = sp
+            np.ndarray[object, ndim=1] tickers = np.PyArray_EMPTY(1, n, np.NPY_OBJECT, 1)
+            np.ndarray[np.float64_t, ndim=2] sp = np.PyArray_EMPTY(2, n, np.NPY_DOUBLE, 1)
+            double[::1, :] sp_view = sp
 
         j = 0
         for p in self.names:
             sc = <TCurve*>(self._curves[p.second].get())
-            tickers[j] = string(p.first.ticker.begin(), p.first.ticker.end())
+            tickers[j] = PyUnicode_FromStringAndSize(p.first.ticker.data(), p.first.ticker.size())
             for i in range(n[1]):
                 sp_view[j, i] = survival_prob(sc, self.base_date,
-                                              schedule_ptr[i], epsilon, logsp)
+                                              schedule_ptr[i], epsilon, log_dp)
             j += 1
         return sp, tickers
 
@@ -846,7 +847,7 @@ cdef unsigned long fill_mask(const TDate maturity, const vector[TDate]& maturiti
     mask |= 1 << i
     return mask
 
-cdef inline int get_maturity_index(TDate maturity, const vector[TDate]& maturities):
+cdef inline int get_maturity_index(TDate maturity, const vector[TDate]& maturities) noexcept nogil:
     cdef size_t i
     for i in range(maturities.size()):
         if maturities[i] == maturity:
@@ -856,7 +857,7 @@ cdef inline int get_maturity_index(TDate maturity, const vector[TDate]& maturiti
     return i
 
 cdef pair[TContingentLeg_ptr, TFeeLeg_ptr] get_legs(TDate maturity,
-                                                    TDate start_date, const char* cal) nogil:
+                                                    TDate start_date, const char* cal) noexcept nogil:
     cdef:
         pair[TContingentLeg_ptr, TFeeLeg_ptr] r
         TStubMethod stub_type
@@ -888,7 +889,7 @@ cdef double pv(const vector[shared_ptr[char]]& curves,
                double fixed_rate,
                const vector[double]& weights,
                double epsilon,
-               unsigned long mask) nogil:
+               unsigned long mask) noexcept nogil:
     cdef:
         double fl_pv, cl_pv, r = 0.0
         TCurve *tweaked_curve