diff options
| -rw-r--r-- | date.pxd | 2 | ||||
| -rw-r--r-- | date.pyx | 6 | ||||
| -rw-r--r-- | zerocurve.pyx | 17 |
3 files changed, 12 insertions, 13 deletions
@@ -18,3 +18,5 @@ cdef extern from "isda/dateconv.h": cdef extern from "isda/ldate.h": int JpmcdsDateFwdThenAdjust(TDate date, TDateInterval* interval, long badDayMethod, char* holidayFile, TDate *advAdjustedDate) + +cdef TDate pydate_to_TDate(d) diff --git a/date.pyx b/date.pyx new file mode 100644 index 0000000..2852f1b --- /dev/null +++ b/date.pyx @@ -0,0 +1,6 @@ +import datetime +from date cimport JpmcdsDate + +cdef TDate pydate_to_TDate(d): + assert isinstance(d, datetime.date) + return JpmcdsDate(d.year, d.month, d.day) diff --git a/zerocurve.pyx b/zerocurve.pyx index d86c0bd..6760d41 100644 --- a/zerocurve.pyx +++ b/zerocurve.pyx @@ -2,8 +2,8 @@ from cpython cimport datetime from libc.stdlib cimport malloc, free from pyisda.zerocurve cimport JpmcdsBuildIRZeroCurve from pyisda.yearfrac cimport dcc -from pyisda.date cimport (JpmcdsStringToDateInterval, JpmcdsDateIntervalToFreq, - JpmcdsDate, JpmcdsDateFwdThenAdjust) +from pyisda.date cimport (JpmcdsStringToDateInterval, pydate_to_TDate, + JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust) cdef int SUCCESS = 0 @@ -30,12 +30,7 @@ cdef class ZeroCurve: 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 + TDate value_date = pydate_to_TDate(date) self._dates = <TDate*>malloc(len(periods) * sizeof(TDate)) cdef TDateInterval tmp @@ -77,9 +72,5 @@ cdef class ZeroCurve: def discount_factor(self, date): if self._thisptr is NULL: raise ValueError('curve is empty') - cdef TDate discount_date - if isinstance(date, datetime.date): - discount_date = JpmcdsDate(date.year, date.month, date.day) - else: - raise ValueError + cdef TDate discount_date = pydate_to_TDate(date) return JpmcdsZeroPrice(self._thisptr, discount_date) |