work in progress

wip

wip

wip2

fix C++

1 files changed, 61 insertions, 0 deletions

diff --git a/c_layer/curve.hpp b/c_layer/curve.hpp
new file mode 100644
index 0000000..5479e72
--- /dev/null
+++ b/c_layer/curve.hpp
@@ -0,0 +1,61 @@
+#pragma once
+
+#include <vector>
+#include <string>
+#include "isda/bastypes.h"
+#include "isda/cdate.h"
+#include "isda/tcurve.h"
+
+namespace pyisda {
+    class Curve {
+
+    public:
+        Curve(TCurve* const curve) : ptr(curve) {};
+        Curve(const Curve &curve2) :
+            ptr(JpmcdsCopyCurve(curve2.ptr)) {};
+
+        ~Curve() {
+            JpmcdsFreeTCurve(ptr);
+        }
+        explicit operator TCurve*() const { return ptr; }
+        unsigned char* serialize(unsigned char* buf);
+        double zeroPrice(const TDate date);
+        double zeroPrice(const TDate date1, const TDate date2);
+        double survivalProb(const TDate start_date, const TDate maturity_date);
+        double survivalProb(const TDate start_date, const TDate maturity_date, double eps);
+        static void tweak(TCurve* ptr, double epsilon);
+        static void tweak(TCurve* ptr, double epsilon, unsigned long mask);
+        void tweak(double epsilon);
+        void tweak(double epsilon, unsigned long mask);
+        size_t size();
+    private:
+        TCurve* ptr;
+    };
+
+    class YieldCurve : public Curve {
+    public:
+        YieldCurve(TCurve* const curve, const std::vector<TDate>& dates);
+        YieldCurve(const YieldCurve &curve2) :
+            Curve(curve2),
+            dates(curve2.dates) {};
+        size_t size();
+        unsigned char* serialize(unsigned char* buf);
+        std::vector<TDate> dates;
+    };
+
+    class SpreadCurve : public Curve {
+    public:
+        SpreadCurve(TCurve* const curve, const std::vector<double>& recovery_rates,
+                    std::string ticker);
+        SpreadCurve(const SpreadCurve &curve2) :
+            Curve(curve2),
+            recovery_rates(curve2.recovery_rates),
+            ticker(curve2.ticker) {};
+
+        std::vector<double> recovery_rates;
+        std::string ticker;
+        size_t size();
+        unsigned char* serialize(unsigned char* buf);
+    };
+
+}