add a consctructor for ZeroCurve and rename it to YieldCurve

1 files changed, 21 insertions, 4 deletions

diff --git a/curve.pyx b/curve.pyx
index 824c8ce..b8b710d 100644
--- a/curve.pyx
+++ b/curve.pyx
@@ -33,13 +33,13 @@ cdef fArray_to_list(TRatePt* fArray, int fNumItems):
         l.append((TDate_to_pydate(fArray[i].fDate), fArray[i].fRate))
     return l
 
-cdef class ZeroCurve(Curve):
+cdef class YieldCurve(Curve):
 
     def __init__(self, date, str types,
                  list periods, double[:] rates,
                  str mm_dcc, str fixed_swap_period, str float_swap_period,
                  str fixed_swap_dcc, str float_swap_dcc, BadDay bad_day_conv):
-        """ Initialize a zero coupon curve
+        """ Initialize a yield curve from a list of zero coupon rates
 
         instruments need to be sorted by tenor
         """
@@ -90,6 +90,23 @@ cdef class ZeroCurve(Curve):
         if self._dates is not NULL:
             free(self._dates)
 
+    @classmethod
+    def from_discount_factors(cls, base_date, list dates, double[:] dfs, str day_count_conv):
+        """ build a yield curve from a list of discount factors """
+        cdef TDate base_date_c = pydate_to_TDate(base_date)
+        cdef YieldCurve yc = cls.__new__(cls)
+        yc._dates = <TDate*>malloc(sizeof(TDate) * len(dates))
+        cdef size_t i
+        cdef double* rates = <double*>malloc(sizeof(double) * len(dfs))
+        for i, d in enumerate(dates):
+            yc._dates[i] = pydate_to_TDate(d)
+            JpmcdsDiscountToRateYearFrac(dfs[i], <double>(yc._dates[i]-base_date_c)/365.,
+                                         <double>1, &rates[i]);
+
+        yc._thisptr = JpmcdsMakeTCurve(base_date_c, yc._dates, rates, len(dfs),
+                                       <double>1, dcc(day_count_conv))
+        return yc
+
     def discount_factor(self, date):
         if self._thisptr is NULL:
             raise ValueError('curve is empty')
@@ -102,7 +119,7 @@ cdef class ZeroCurve(Curve):
 
 cdef class SpreadCurve(Curve):
 
-    def __init__(self, today, ZeroCurve zc, start_date, step_in_date,
+    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):
 
@@ -122,7 +139,7 @@ cdef class SpreadCurve(Curve):
             raise ValueError("can't convert stub")
 
         self._thisptr = JpmcdsCleanSpreadCurve(today_c,
-                                               zc._thisptr,
+                                               yc._thisptr,
                                                start_date_c,
                                                step_in_date_c,
                                                cash_settle_date_c,