rename zerocurve to curve, and merge yearfrac with date

1 files changed, 33 insertions, 0 deletions

diff --git a/curve.pxd b/curve.pxd
new file mode 100644
index 0000000..d652ca0
--- /dev/null
+++ b/curve.pxd
@@ -0,0 +1,33 @@
+cdef extern from "isda/zerocurve.h":
+
+    ctypedef long int TDate
+
+    ctypedef struct TCurve:
+        pass
+
+    ctypedef struct TDateInterval:
+        pass
+
+    TCurve* JpmcdsBuildIRZeroCurve(TDate valueDate,
+                                   char* instrNames,
+                                   TDate* dates,
+                                   double* rates,
+                                   long nInstr,
+                                   long mmDCC,
+                                   long fixedSwapFreq,
+                                   long floatSwapFreq,
+                                   long fixedSwapDCC,
+                                   long floatSwapDCC,
+                                   long badDayConv,
+                                   char* holidayFile)
+
+cdef extern from "isda/tcurve.h":
+    void JpmcdsFreeTCurve(TCurve* curve)
+
+cdef extern from "isda/cxzerocurve.h":
+    double JpmcdsZeroPrice(TCurve* curve, TDate date)
+
+cdef class ZeroCurve:
+    cdef TCurve* _thisptr
+    cdef TDate* _dates
+    cdef size_t _ninstr