diff options
| -rw-r--r-- | pyisda/credit_index.pxd | 4 | ||||
| -rw-r--r-- | pyisda/credit_index.pyx | 36 |
2 files changed, 26 insertions, 14 deletions
diff --git a/pyisda/credit_index.pxd b/pyisda/credit_index.pxd index 56267f9..e3e1de1 100644 --- a/pyisda/credit_index.pxd +++ b/pyisda/credit_index.pxd @@ -2,7 +2,7 @@ from legs cimport TContingentLeg, TFeeLeg from date cimport TDate from curve cimport TCurve, TRatePt, shared_ptr from libcpp.vector cimport vector -from libcpp.unordered_map cimport unordered_map +from libcpp.map cimport map from libcpp.string cimport string cdef class CurveList: @@ -10,7 +10,7 @@ cdef class CurveList: cdef vector[double] _weights cdef vector[double] T cdef vector[shared_ptr[TCurve]] _curves - cdef unordered_map[string, size_t] tickers + cdef map[string, size_t] tickers cdef vector[shared_ptr[double]] recovery_rates cdef class CreditIndex(CurveList): diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx index d25e05a..6731ca9 100644 --- a/pyisda/credit_index.pyx +++ b/pyisda/credit_index.pyx @@ -52,7 +52,7 @@ cdef class CurveList: cdef: SpreadCurve sc size_t i - unordered_map[string, size_t].iterator it + map[string, size_t].iterator it size_t n = len(curves) if isinstance(curves[0], SpreadCurve): @@ -91,7 +91,7 @@ cdef class CurveList: def __getitem__(self, str ticker): cdef: string ticker_cpp = ticker.encode() - unordered_map[string, size_t].iterator got = \ + map[string, size_t].iterator got = \ self.tickers.find(ticker_cpp) SpreadCurve sc @@ -120,13 +120,23 @@ cdef class CurveList: @property def weights(self): cdef np.npy_intp shape = self._weights.size() - cdef np.ndarray out = \ + cdef np.ndarray[np.float64_t, ndim=1] out = \ np.PyArray_SimpleNewFromData(1, &shape, np.NPY_DOUBLE, self._weights.data()) out.base = <PyObject*>self Py_INCREF(self) return out @property + def tickers(self): + cdef np.npy_intp shape = self.tickers.size() + cdef pair[string, size_t] p + cdef np.ndarray out = np.PyArray_EMPTY(1, &shape, np.NPY_OBJECT, 1) + for p in self.tickers: + out[p.second] = p.first.decode('utf-8') + return out + + + @property def curves(self): """returns the list of curves inside the porfolio. @@ -150,7 +160,7 @@ cdef class CurveList: size_t len_l = len(l) size_t i SpreadCurve sc - unordered_map[string, size_t].iterator it + map[string, size_t].iterator it self._curves.clear() self.tickers.clear() @@ -310,7 +320,6 @@ cdef class CreditIndex(CurveList): h = Hash64WithSeed(<char*>self._weights.data(), sizeof(double) * self._weights.size(), h) return h - #@cython.initializedcheck(False) def pv_vec(self, step_in_date, value_date, YieldCurve yc, double recovery_rate): cdef: @@ -483,17 +492,20 @@ cdef class CreditIndex(CurveList): def survival_matrix(self, TDate[:] schedule, d1=None): cdef: shared_ptr[TCurve] sc + pair[string, size_t] p TDate start_date - size_t i, j + size_t i np.npy_intp[2] n = [self._curves.size(), schedule.shape[0]] - np.ndarray[np.float64_t,ndim=2] sp = np.PyArray_EMPTY(2, n, np.NPY_DOUBLE, 1) - j = 0 - for sc in self._curves: + np.ndarray[np.float64_t, ndim=2] sp = np.PyArray_EMPTY(2, n, np.NPY_DOUBLE, 1) + np.ndarray tickers = np.PyArray_EMPTY(1, n, np.NPY_OBJECT, 1) + + for p in self.tickers: + sc = self._curves[p.second] + tickers[p.second] = p.first.decode('utf-8') start_date = sc.get().fBaseDate for i in range(n[1]): - sp[j,i] = JpmcdsForwardZeroPrice(sc.get(), start_date, schedule[i]) - j += 1 - return sp + sp[p.second, i] = JpmcdsForwardZeroPrice(sc.get(), start_date, schedule[i]) + return sp, tickers cdef unsigned long fill_mask(const TDate maturity, const vector[TDate]& maturities, const shared_ptr[TCurve]& sc) nogil: |