diff options
| -rw-r--r-- | pyisda/curve.pyx | 26 |
1 files changed, 25 insertions, 1 deletions
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx index c188b1a..6039616 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -1,6 +1,6 @@ from libc.stdlib cimport malloc, free, calloc from libc.string cimport memcpy -from libc.math cimport log1p +from libc.math cimport log1p, log from libcpp.vector cimport vector from date cimport (JpmcdsStringToDateInterval, pydate_to_TDate, dcc, @@ -539,3 +539,27 @@ cdef class SpreadCurve(Curve): r.append(par_spreads[i]) free(par_spreads) return r + +def fill_curve(SpreadCurve sc, list end_dates): + cdef int n_dates = len(end_dates) + cdef TDate* end_dates_c = <TDate*>malloc(n_dates * sizeof(TDate)) + cdef double* rates = <double*>malloc(n_dates * sizeof(TDate)) + + cdef size_t i + cdef TDate base_date = sc._thisptr.get().fBaseDate + + for i, d in enumerate(end_dates): + end_dates_c[i] = pydate_to_TDate(d) + t = (end_dates_c[i] - base_date)/365. + rates[i] = -log(JpmcdsForwardZeroPrice(sc._thisptr.get(), base_date, + end_dates_c[i])) / t + + cdef TCurve* curve = JpmcdsMakeTCurve(sc._thisptr.get().fBaseDate, + end_dates_c, + rates, + n_dates, + 5000., + 2) + cdef SpreadCurve sc_new = SpreadCurve.__new__(SpreadCurve) + sc_new._thisptr = make_shared(curve) + return sc_new |