reorganize project

1 files changed, 0 insertions, 101 deletions

diff --git a/legs.pxd b/legs.pxd
deleted file mode 100644
index 3d8d5bd..0000000
--- a/legs.pxd
+++ /dev/null
@@ -1,101 +0,0 @@
-from date cimport TDate, TDateInterval
-from cdsone cimport TStubMethod
-from curve cimport TCurve
-
-ctypedef int TBoolean
-
-cdef extern from "isda/cx.h":
-    ctypedef struct TContingentLeg:
-        pass
-
-    ctypedef struct TFeeLeg:
-        int nbDates
-        TDate* accStartDates
-        TDate* accEndDates
-        TDate* payDates
-
-cdef extern from "isda/bastypes.h":
-    ctypedef struct TCashFlow:
-        TDate  fDate
-        double fAmount
-
-    ctypedef struct TCashFlowList:
-        int fNumItems
-        TCashFlow *fArray
-
-cdef extern from "isda/cds.h":
-
-    cdef TContingentLeg* JpmcdsCdsContingentLegMake(
-        # Date when protection begins. Either at start or end of day (depends
-        # on protectStart)
-        TDate     startDate,
-        # Date when protection ends (end of day)
-        TDate     endDate,
-        # Notional value protected
-        double    notional,
-        # Should protection include the start date
-        TBoolean  protectStart)
-
-    cdef TFeeLeg* JpmcdsCdsFeeLegMake(
-        # Date when protection begins. Either at start or end of day (depends
-        # on protectStart)
-        TDate           startDate,
-        # Date when protection ends (end of day)
-        TDate           endDate,
-        # Should accrued interest be paid on default. Usually set to TRUE
-        TBoolean        payAccOnDefault,
-        # Interval between coupon payments. Can be NULL when 3M is assumed
-        TDateInterval  *couponInterval,
-        # If the startDate and endDate are not on cycle, then this parameter
-        # determines location of coupon dates.
-        TStubMethod    *stubType,
-        # Notional value protected
-        double          notional,
-        # Fixed coupon rate (a.k.a. spread) for the fee leg
-        double          couponRate,
-        # Day count convention for coupon payment. Normal is ACT_360
-        long            paymentDcc,
-        # Bad day convention for adjusting coupon payment dates.
-        long            badDayConv,
-        # Calendar used when adjusting coupon dates. Can be NULL which equals
-        # a calendar with no holidays and including weekends.
-        char           *calendar,
-        # Should protection include the start date */
-        TBoolean        protectStart)
-
-
-
-cdef extern from "isda/contingentleg.h":
-    cdef int JpmcdsContingentLegPV(TContingentLeg *cl,    # Contingent leg
-                                   TDate today,           # No observations before today
-                                   TDate valueDate,       # Value date for discounting
-                                   TDate stepinDate,      # Step-in date
-                                   TCurve *discountCurve, # Risk-free curve
-                                   TCurve *spreadCurve,   # Spread curve
-                                   double recoveryRate,   # Recovery rate
-                                   double *pv)
-
-cdef extern from "isda/feeleg.h":
-   cdef int JpmcdsFeeLegPV(TFeeLeg *fl,
-                           TDate today,
-                           TDate stepinDate,
-                           TDate valueDate,
-                           TCurve *discCurve,
-                           TCurve *spreadCurve,
-                           TBoolean payAccruedAtStart,
-                           double *pv)
-
-   cdef TCashFlowList* JpmcdsFeeLegFlows(TFeeLeg *fl)
-
-   cdef void JpmcdsFeeLegFree(TFeeLeg *p)
-
-   cdef void FeeLegAI(TFeeLeg* fl,
-                      TDate today,
-                      double* ai)
-
-cdef class ContingentLeg:
-    cdef TContingentLeg* _thisptr
-
-
-cdef class FeeLeg:
-    cdef TFeeLeg* _thisptr