legs functions

1 files changed, 94 insertions, 0 deletions

diff --git a/legs.pxd b/legs.pxd
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+++ b/legs.pxd
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+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:
+        pass
+
+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 class ContingentLeg:
+    cdef TContingentLeg* _thisptr
+
+
+cdef class FeeLeg:
+    cdef TFeeLeg* _thisptr