rename zerocurve to curve, and merge yearfrac with date

1 files changed, 0 insertions, 84 deletions

diff --git a/zerocurve.pyx b/zerocurve.pyx
deleted file mode 100644
index a5eb2d2..0000000
--- a/zerocurve.pyx
+++ /dev/null
@@ -1,84 +0,0 @@
-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)
-
-cdef int SUCCESS = 0
-
-cpdef public enum BadDay:
-    FOLLOW = <long>'F'
-    PREVIOUS = <long>'P'
-    NONE = <long>'N'
-    MODIFIED = <long>'M'
-
-cdef class ZeroCurve:
-
-    def __init__(self, date, str types,
-                 list periods, double[:] rates,
-                 str mm_dcc, str fixed_swap_period, str float_swap_period,
-                 str fixed_swap_dcc, str float_swap_dcc, BadDay bad_day_conv):
-        """ Initialize a zero coupon curve
-
-        instruments need to be sorted by tenor
-        """
-        cdef:
-           double fixed_freq
-           double float_freq
-           TDateInterval ivl
-           char* routine = 'zerocurve'
-           TDate value_date = pydate_to_TDate(date)
-
-        self._dates = <TDate*>malloc(len(periods) * sizeof(TDate))
-        self._ninstr = len(periods)
-
-        cdef TDate settle_date
-        if JpmcdsDateFromBusDaysOffset(value_date, 2, "None", &settle_date)!= SUCCESS:
-            raise ValueError
-
-        cdef TDateInterval tmp
-        for i, p in enumerate(periods):
-            period_bytes = p.encode('utf-8')
-            if JpmcdsStringToDateInterval(period_bytes, routine, &tmp) != SUCCESS:
-                raise ValueError
-            if JpmcdsDateFwdThenAdjust(settle_date, &tmp, NONE,
-                                       "None", &self._dates[i]) != SUCCESS:
-                raise ValueError('Invalid interval')
-
-        fixed_bytes = fixed_swap_period.encode('utf-8')
-        float_bytes = float_swap_period.encode('utf-8')
-        types_bytes = types.encode('utf-8')
-
-        if JpmcdsStringToDateInterval(fixed_bytes, routine, &ivl) != SUCCESS:
-            raise ValueError
-        if JpmcdsDateIntervalToFreq(&ivl, &fixed_freq) != SUCCESS:
-            raise ValueError
-        if JpmcdsStringToDateInterval(float_bytes, routine, &ivl) != SUCCESS:
-            raise ValueError
-        if JpmcdsDateIntervalToFreq(&ivl, &float_freq) != SUCCESS:
-            raise ValueError
-
-        self._thisptr = JpmcdsBuildIRZeroCurve(
-            value_date, types_bytes, self._dates,
-            &rates[0], len(periods), dcc(mm_dcc), <long> fixed_freq,
-            <long> float_freq, dcc(fixed_swap_dcc), dcc(float_swap_dcc),
-            bad_day_conv, b"None"
-        )
-
-    def __dealloc__(self):
-        if self._thisptr is not NULL:
-            JpmcdsFreeTCurve(self._thisptr)
-        if self._dates is not NULL:
-            free(self._dates)
-
-    def discount_factor(self, date):
-        if self._thisptr is NULL:
-            raise ValueError('curve is empty')
-        cdef TDate discount_date = pydate_to_TDate(date)
-        return JpmcdsZeroPrice(self._thisptr, discount_date)
-
-    def list_dates(self):
-        cdef size_t i
-        return [TDate_to_pydate(self._dates[i]) for i in range(self._ninstr)]