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| author | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2016-06-28 15:59:05 -0400 |
|---|---|---|
| committer | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2016-06-28 15:59:05 -0400 |
| commit | ed43f3874ccbe7782595b225821230cfca02ceb7 (patch) | |
| tree | afb9304c0946c54fe7002ac6a5d000fbb1d8518e /date.pxd | |
| parent | 60e49a606ae270fb4d455da1b565e0ea656ffb3c (diff) | |
| download | pyisda-ed43f3874ccbe7782595b225821230cfca02ceb7.tar.gz | |
cleanups
Diffstat (limited to 'date.pxd')
| -rw-r--r-- | date.pxd | 25 |
1 files changed, 25 insertions, 0 deletions
diff --git a/date.pxd b/date.pxd new file mode 100644 index 0000000..22ea9f6 --- /dev/null +++ b/date.pxd @@ -0,0 +1,25 @@ +cdef extern from "isda/cdate.h": + ctypedef struct TDateInterval: + pass + +ctypedef long TDate + +cdef extern from "isda/convert.h": + int JpmcdsStringToDateInterval(char* input, char* label, TDateInterval* interval) + int JpmcdsMakeDateInterval(int num_periods, char period_type, TDateInterval* interval) + +cdef extern from "isda/date_sup.h": + int JpmcdsDateIntervalToFreq(TDateInterval* interval, double* freq) + +cdef extern from "isda/dateconv.h": + TDate JpmcdsDate(long year, long month, long day) + +cdef extern from "isda/ldate.h": + int JpmcdsDateFwdThenAdjust(TDate date, TDateInterval* interval, long badDayMethod, + char* holidayFile, TDate *advAdjustedDate) + +cdef enum BadDay: + FOLLOW = <long>'F' + PREVIOUS = <long>'P' + NONE = <long>'N' + MODIFIED = <long>'M' |