diff options
| author | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2016-07-11 10:41:44 -0400 |
|---|---|---|
| committer | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2016-07-11 16:21:24 -0400 |
| commit | 0059feac1aa6d44be9e0f9fdcb7fdf03779eddbc (patch) | |
| tree | 1574d7263af3271f8cb0b31ac0ab690ea7ad6eb3 /cdsone.pyx | |
| parent | 36f6bec51667a7df7606eba7d53879dca54a1575 (diff) | |
| download | pyisda-0059feac1aa6d44be9e0f9fdcb7fdf03779eddbc.tar.gz | |
add a consctructor for ZeroCurve and rename it to YieldCurve
Diffstat (limited to 'cdsone.pyx')
| -rw-r--r-- | cdsone.pyx | 10 |
1 files changed, 5 insertions, 5 deletions
@@ -1,13 +1,13 @@ from cdsone cimport (JpmcdsCdsoneUpfrontCharge, JpmcdsCdsoneSpread, JpmcdsStringToStubMethod) -from curve cimport ZeroCurve +from curve cimport YieldCurve from date cimport JpmcdsStringToDateInterval, pydate_to_TDate, dcc cdef int SUCCESS = 0 def upfront_charge(date, value_date, benchmark_start_date, stepin_date, start_date, end_date, double coupon_rate, - ZeroCurve zc, + YieldCurve yc, double spread, double recovery_rate, TBoolean pay_accrued_at_start = True, @@ -32,7 +32,7 @@ def upfront_charge(date, value_date, benchmark_start_date, stepin_date, if JpmcdsCdsoneUpfrontCharge(today, value_date_c, benchmark_start_date_c, stepin_date_c, start_date_c, end_date_c, coupon_rate, pay_accrued_on_default, &ivl, &stub, - dcc("ACT/360"), b'F', b"None", zc._thisptr, spread, recovery_rate, + dcc("ACT/360"), b'F', b"None", yc._thisptr, spread, recovery_rate, pay_accrued_at_start, &result) == SUCCESS: return result else: @@ -40,7 +40,7 @@ def upfront_charge(date, value_date, benchmark_start_date, stepin_date, def spread_from_upfront(date, value_date, benchmark_start_date, stepin_date, start_date, end_date, double coupon_rate, - ZeroCurve zc, + YieldCurve yc, double upfront, double recovery_rate, TBoolean pay_accrued_at_start = True, @@ -64,7 +64,7 @@ def spread_from_upfront(date, value_date, benchmark_start_date, stepin_date, if JpmcdsCdsoneSpread(today, value_date_c, benchmark_start_date_c, stepin_date_c, start_date_c, end_date_c, coupon_rate, pay_accrued_on_default, &ivl, &stub, - dcc("ACT/360"), b'F', b"None", zc._thisptr, upfront, recovery_rate, + dcc("ACT/360"), b'F', b"None", yc._thisptr, upfront, recovery_rate, pay_accrued_at_start, &result) == SUCCESS: return result else: |