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| author | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2016-06-28 15:30:16 -0400 |
|---|---|---|
| committer | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2016-06-28 15:30:16 -0400 |
| commit | 60e49a606ae270fb4d455da1b565e0ea656ffb3c (patch) | |
| tree | ada0b2e8bfa6b5bb4dc8180f7d83ca57572378e5 /zerocurve.pxd | |
| download | pyisda-60e49a606ae270fb4d455da1b565e0ea656ffb3c.tar.gz | |
initial import
Diffstat (limited to 'zerocurve.pxd')
| -rw-r--r-- | zerocurve.pxd | 17 |
1 files changed, 17 insertions, 0 deletions
diff --git a/zerocurve.pxd b/zerocurve.pxd new file mode 100644 index 0000000..f3aaf57 --- /dev/null +++ b/zerocurve.pxd @@ -0,0 +1,17 @@ +cdef extern from "isda/zerocurve.h": + + ctypedef long int TDate + + ctypedef struct TCurve: + pass + + ctypedef struct TDateInterval: + pass + + TCurve* JpmcdsBuildIRZeroCurve(TDate valueDate, char* instrNames, TDate* dates, double* rates, long nInstr, long mmDCC, long fixedSwapFreq, long floatSwapFreq, long fixedSwapDCC, long floatSwapDCC, long badDayConv, char* holidayFile) + +cdef extern from "isda/tcurve.h": + void JpmcdsFreeTCurve(TCurve* curve) + +cdef extern from "isda/cxzerocurve.h": + double JpmcdsZeroPrice(TCurve* curve, TDate date) |