legs functions

1 files changed, 49 insertions, 9 deletions

diff --git a/curve.pyx b/curve.pyx
index a5eb2d2..88b1098 100644
--- a/curve.pyx
+++ b/curve.pyx
@@ -1,11 +1,10 @@
 from cpython cimport datetime
 from libc.stdlib cimport malloc, free
-from pyisda.zerocurve cimport JpmcdsBuildIRZeroCurve, JpmcdsZeroPrice
-from pyisda.yearfrac cimport dcc
-from pyisda.date cimport (JpmcdsStringToDateInterval, pydate_to_TDate,
-                          JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust, TDate_to_pydate,
-                          JpmcdsDateFromBusDaysOffset)
-
+from curve cimport JpmcdsBuildIRZeroCurve, JpmcdsZeroPrice,
+from date cimport (JpmcdsStringToDateInterval, pydate_to_TDate, dcc,
+                   JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust, TDate_to_pydate,
+                   JpmcdsDateFromBusDaysOffset)
+from cdsone cimport JpmcdsStringToStubMethod, TStubMethod
 cdef int SUCCESS = 0
 
 cpdef public enum BadDay:
@@ -14,7 +13,12 @@ cpdef public enum BadDay:
     NONE = <long>'N'
     MODIFIED = <long>'M'
 
-cdef class ZeroCurve:
+cdef class Curve:
+  def __dealloc__(self):
+        if self._thisptr is not NULL:
+            JpmcdsFreeTCurve(self._thisptr)
+
+cdef class ZeroCurve(Curve):
 
     def __init__(self, date, str types,
                  list periods, double[:] rates,
@@ -68,8 +72,6 @@ cdef class ZeroCurve:
         )
 
     def __dealloc__(self):
-        if self._thisptr is not NULL:
-            JpmcdsFreeTCurve(self._thisptr)
         if self._dates is not NULL:
             free(self._dates)
 
@@ -82,3 +84,41 @@ cdef class ZeroCurve:
     def list_dates(self):
         cdef size_t i
         return [TDate_to_pydate(self._dates[i]) for i in range(self._ninstr)]
+
+cdef class SpreadCurve(Curve):
+
+    def __init__(self, today, ZeroCurve zc, start_date, step_in_date, cash_settle_date,
+                 list end_dates, double[:] coupon_rates, double recovery_rate,
+                 TBoolean pay_accrued_on_default):
+
+        cdef today_c = pydate_to_TDate(today)
+        cdef step_in_date_c = pydate_to_TDate(step_in_date)
+        cdef cash_settle_date_c = pydate_to_TDate(cash_settle_date)
+        cdef start_date_c = pydate_to_TDate(start_date)
+        cdef TDate* end_dates_c = <TDate*>malloc(len(end_dates) * sizeof(TDate))
+
+        cdef size_t i
+
+        for i, d in enumerate(end_dates):
+            end_dates_c[i] = pydate_to_TDate(end_dates)
+        cdef TStubMethod stub_type
+
+        if JpmcdsStringToStubMethod(b"f/s", &stub_type) != 0:
+            raise ValueError("can't convert stub")
+
+        self._thisptr = JpmcdsCleanSpreadCurve(today_c,
+                                               zc._thisptr,
+                                               start_date_c,
+                                               step_in_date_c,
+                                               cash_settle_date,
+                                               len(end_dates),
+                                               end_dates_c,
+                                               &coupon_rates[0],
+                                               NULL,
+                                               recovery_rate,
+                                               pay_accrued_on_default,
+                                               NULL,
+                                               dcc('ACT/360'),
+                                               &stub_type,
+                                               <long>'M',
+                                               NULL)