diff options
| -rw-r--r-- | pyisda/curve.pxd | 5 | ||||
| -rw-r--r-- | pyisda/curve.pyx | 71 |
2 files changed, 43 insertions, 33 deletions
diff --git a/pyisda/curve.pxd b/pyisda/curve.pxd index 29dabf4..52cfbed 100644 --- a/pyisda/curve.pxd +++ b/pyisda/curve.pxd @@ -82,16 +82,17 @@ cdef extern from "isda/tcurve.h": double *rates, int numPts, double basis, - long dayCountConv); + long dayCountConv) cdef extern from "isda/cxzerocurve.h": double JpmcdsZeroPrice(TCurve* curve, TDate date) + double JpmcdsForwardZeroPrice(TCurve* curve, TDate startDate, TDate maturityDate) cdef extern from "isda/cfinanci.h": int JpmcdsDiscountToRateYearFrac(double discount, # (I) Discount factor double yearFraction, # (I) See JpmcdsDayCountFraction double basis, # (I) Basis for the rate - double *rate); + double *rate) cdef enum Basis: CONTINUOUS = 5000 DISCOUNT_RATE = 512 diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx index 9e2f2e9..ec75cf6 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -14,27 +14,48 @@ cpdef public enum BadDay: MODIFIED = <long>'M' cdef class Curve: - def __dealloc__(self): - if self._thisptr is not NULL: - JpmcdsFreeTCurve(self._thisptr) + def __dealloc__(self): + if self._thisptr is not NULL: + JpmcdsFreeTCurve(self._thisptr) - def inspect(self): - """ method to inspect the content of the C struct + def inspect(self): + """ method to inspect the content of the C struct - Returns - ------- - dict + Returns + ------- + dict contains `base_date`, `basis`, `day_count_counvention` and `data` - """ + """ - return {'base_date': TDate_to_pydate(self._thisptr.fBaseDate), - 'basis': self._thisptr.fBasis, - 'day_count_convention': dcc_tostring(self._thisptr.fDayCountConv), - 'data': fArray_to_list(self._thisptr.fArray, self._thisptr.fNumItems)} - @property - def base_date(self): - return TDate_to_pydate(self._thisptr.fBaseDate) + return {'base_date': TDate_to_pydate(self._thisptr.fBaseDate), + 'basis': self._thisptr.fBasis, + 'day_count_convention': dcc_tostring(self._thisptr.fDayCountConv), + 'data': fArray_to_list(self._thisptr.fArray, self._thisptr.fNumItems)} + @property + def base_date(self): + return TDate_to_pydate(self._thisptr.fBaseDate) + def __forward_zero_price(self, d2, d1 = None): + """ computes the forward zero price at a given date. + + Parameters + ---------- + date : :class:`datetime.date` + + Returns + ------- + float + """ + if self._thisptr is NULL: + raise ValueError('curve is empty') + cdef TDate start_date + if d1 is None: + start_date = self._thisptr.fBaseDate + else: + start_date = pydate_to_TDate(d1) + return JpmcdsForwardZeroPrice(self._thisptr, + start_date, + pydate_to_TDate(d2)) cdef fArray_to_list(TRatePt* fArray, int fNumItems): cdef size_t i @@ -147,21 +168,7 @@ cdef class YieldCurve(Curve): <double>1, dcc(day_count_conv)) return yc - def discount_factor(self, date): - """ computes the discount factor at a given date. - - Parameters - ---------- - date : :class:`datetime.date` - - Returns - ------- - float - """ - if self._thisptr is NULL: - raise ValueError('curve is empty') - cdef TDate discount_date = pydate_to_TDate(date) - return JpmcdsZeroPrice(self._thisptr, discount_date) + discount_factor = Curve.__forward_zero_price def list_dates(self): """ returns the list of instrument dates @@ -254,6 +261,8 @@ cdef class SpreadCurve(Curve): if self._thisptr == NULL: raise ValueError("something went wrong") + survival_probability = Curve.__forward_zero_price + @classmethod def from_flat_hazard(cls, base_date, double rate, Basis basis = CONTINUOUS, str day_count_conv = 'Actual/365F'): |