initial import

1 files changed, 68 insertions, 0 deletions

diff --git a/zerocurve.pyx b/zerocurve.pyx
new file mode 100644
index 0000000..2918bae
--- /dev/null
+++ b/zerocurve.pyx
@@ -0,0 +1,68 @@
+from cpython cimport datetime
+from libc.stdlib cimport malloc, free
+from pyisda.zerocurve cimport JpmcdsBuildIRZeroCurve
+from pyisda.yearfrac cimport dcc
+from pyisda.convert cimport JpmcdsStringToDateInterval, JpmcdsDateIntervalToFreq, JpmcdsDate
+
+cdef int SUCCESS = 0
+
+cdef class Tcurve:
+    cdef TCurve* _thisptr
+    cdef TDate* _dates
+
+    def __cinit__(self, date, str types,
+                  list dates, double[:] rates,
+                  str mm_dcc, str fixed_swap_period, str float_swap_period,
+                  str fixed_swap_dcc, str float_swap_dcc, char bad_day_conv,
+                  char* holidayFile):
+
+        cdef:
+           double fixed_freq
+           double float_freq
+           TDateInterval ivl
+           char* routine = 'zerocurve'
+           TDate value_date
+
+        if isinstance(date, datetime.date):
+            value_date = JpmcdsDate(date.year, date.month, date.day)
+        else:
+            raise ValueError
+
+        cdef TDate* _dates = <TDate*>malloc(len(dates) * sizeof(TDate))
+
+        for i, d in enumerate(date):
+            _dates[i] = JpmcdsDate(d.year, d.month, d.day)
+
+        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, _dates,
+            &rates[0], len(dates), dcc(mm_dcc), <long> fixed_freq,
+            <long> float_freq,
+            dcc(fixed_swap_dcc), dcc(fixed_swap_dcc), <long>bad_day_conv, "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):
+        cdef TDate discount_date
+        if isinstance(date, datetime.date):
+            discount_date = JpmcdsDate(date.year, date.month, date.day)
+        else:
+            raise ValueError
+
+        return JpmcdsZeroPrice(self._thisptr, discount_date)