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| author | Guillaume Horel <guillaume.horel@gmail.com> | 2017-02-03 15:29:41 -0500 |
|---|---|---|
| committer | Guillaume Horel <guillaume.horel@gmail.com> | 2017-02-03 15:29:41 -0500 |
| commit | ee458862e860d87f8388c753f45f6240e45ebbc6 (patch) | |
| tree | 4ae83d58c73b20180d1e006b40fe5c8bb97746cd | |
| parent | e45cc3840ca5acff08dc2c266b705a098fdac0c8 (diff) | |
| download | pyisda-ee458862e860d87f8388c753f45f6240e45ebbc6.tar.gz | |
try to calibrate with upfronts
| -rw-r--r-- | pyisda/curve.pxd | 16 | ||||
| -rw-r--r-- | pyisda/curve.pyx | 8 | ||||
| -rw-r--r-- | pyisda/flat_hazard.pyx | 4 |
3 files changed, 16 insertions, 12 deletions
diff --git a/pyisda/curve.pxd b/pyisda/curve.pxd index dadd87b..2ca1030 100644 --- a/pyisda/curve.pxd +++ b/pyisda/curve.pxd @@ -33,12 +33,11 @@ cdef extern from "isda/bastypes.h": double fRate cdef extern from "isda/cds.h" nogil: - - TCurve* JpmcdsCleanSpreadCurve( + TCurve* JpmcdsCleanSpreadCurve( # Risk starts at the end of today TDate today, # Interest rate discount curve - assumes flat forward interpolation - TCurve *discCurve, + const TCurve *discCurve, # Effective date of the benchmark CDS TDate startDate, # Step in date of the benchmark CDS @@ -51,14 +50,15 @@ cdef extern from "isda/cds.h" nogil: # Array of size nbDate TDate *endDates, # Coupon rates for each benchmark instrument. Array of size nbDate - double *couponRates, + const double *couponRates, + const double *upfrontRates, # Flags to denote that we include particular benchmarks. This makes it # easy for the user to include or exclude benchmarks on a one-by-one # basis. Can be NULL if all are included. Otherwise an array of size # nbDate. - TBoolean *includes, + const TBoolean *includes, # Recovery rate in case of default - double recoveryRate, + const double* recoveryRate, # Should accrued interest be paid on default. Usually set to TRUE TBoolean payAccOnDefault, # Interval between coupon payments. Can be NULL when 3M is assumed @@ -67,12 +67,12 @@ cdef extern from "isda/cds.h" nogil: long paymentDcc, # If the startDate and endDate are not on cycle, then this parameter # determines location of coupon dates. */ - TStubMethod *stubType, + const TStubMethod *stubType, # Bad day convention for adjusting coupon payment dates. */ long badDayConv, # Calendar used when adjusting coupon dates. Can be NULL which equals # a calendar with no holidays and including weekends. */ - char *calendar + const char *calendar ) cdef extern from "isda/tcurve.h" nogil: diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx index 82d214b..61b12d6 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -253,8 +253,9 @@ cdef class SpreadCurve(Curve): """ def __init__(self, today, YieldCurve yc, start_date, step_in_date, - cash_settle_date, list end_dates, double[:] coupon_rates, - double recovery_rate, int pay_accrued_on_default = True): + cash_settle_date, list end_dates, + double[:] coupon_rates, double[:] upfront_rates, + double[:] recovery_rates, int pay_accrued_on_default = True): cdef TDate today_c = pydate_to_TDate(today) cdef TDate step_in_date_c = pydate_to_TDate(step_in_date) @@ -281,8 +282,9 @@ cdef class SpreadCurve(Curve): len(end_dates), end_dates_c, &coupon_rates[0], + &upfront_rates[0], NULL, - recovery_rate, + &recovery_rates[0], pay_accrued_on_default, NULL, dcc('ACT/360'), diff --git a/pyisda/flat_hazard.pyx b/pyisda/flat_hazard.pyx index 01a1748..fc93b1d 100644 --- a/pyisda/flat_hazard.pyx +++ b/pyisda/flat_hazard.pyx @@ -49,6 +49,7 @@ def strike_vec(double[:] spreads, YieldCurve yc, trade_date, value_date, b'NONE', 1) # protect_start = True cdef size_t i + cdef double zero_upfront = 0 for i in range(spreads.shape[0]): sc = JpmcdsCleanSpreadCurve(trade_date_c, yc._thisptr, @@ -58,8 +59,9 @@ def strike_vec(double[:] spreads, YieldCurve yc, trade_date, value_date, 1, # length of end_dates_c &end_date_c, &spreads[i], + &zero_upfront, NULL, - recovery_rate, + &recovery_rate, 1, # pay_accrued_on_default True NULL, ACT_360, # JPMCDS_ACT_360 |