diff options
| -rw-r--r-- | pyisda/curve.pyx | 60 |
1 files changed, 37 insertions, 23 deletions
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx index dd9d66b..49e2522 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -314,22 +314,28 @@ cdef class YieldCurve(Curve): <double>1, self._thisptr.fDayCountConv) return yc +@cython.cdivision(True) cdef inline void tweak_curve(TCurve* sc, TCurve* sc_tweaked, double epsilon, double* h, double* T, bint* mask, int n): - cdef h1, h2, t1, t2 + ## We want to tweak in the forward space, so we convert the hazard rates + ## into forward rates and then back + cdef double h1, h2, t1, t2 h1 = t1 = 0 + cdef size_t i for i in range(n): h2 = sc.fArray[i].fRate t2 = T[i] h[i] = (h2 * t2 - h1 * t1) / (t2 - t1) - if mask[i]: + if mask is NULL or (mask is not NULL and mask[i]): h[i] *= (1 + epsilon) - h1, t1 = h2, t2 + h1 = h2 + t1 = t2 + t1 = 0 cdef double c = 0 for i in range(n): c += (T[i] - t1) * h[i] - sc_tweaked.fArray[i].fRate = c/T[i] + sc_tweaked.fArray[i].fRate = c / T[i] t1 = T[i] cdef class SpreadCurve(Curve): @@ -428,9 +434,9 @@ cdef class SpreadCurve(Curve): <double>basis, dcc(day_count_conv)) return sc - @cython.cdivision(True) + @cython.boundscheck(False) def tweak_curve(self, double epsilon, bint multiplicative=True, - bint[:] mask=None, bint inplace=False): + bint[::1] mask=None, bint inplace=False): """ Tweak the survival curve in place. @@ -444,30 +450,38 @@ cdef class SpreadCurve(Curve): If None (default), tweak everything, otherwise only tweak values in the mask. """ - ## We want to tweak in the forward space, so we convert the hazard rates - ## into forward rates and then back - cdef double t1, h1, t2, h2 - cdef TCurve* curve = self._thisptr - cdef TCurve* curve_tweaked - cdef SpreadCurve sc - cdef int num_items = curve.fNumItems + cdef: + TCurve* curve_tweaked + SpreadCurve sc + int num_items = self._thisptr.fNumItems + double *h + double *T + size_t i + bint* mask_ptr + if not inplace: sc = SpreadCurve.__new__(SpreadCurve) - sc._thisptr = curve_tweaked = JpmcdsCopyCurve(curve) + curve_tweaked = JpmcdsCopyCurve(self._thisptr) + sc._thisptr = curve_tweaked else: - curve_tweaked = curve - cdef double* h = <double*>malloc(num_items * sizeof(double)) - cdef double* T = <double*>malloc(num_items * sizeof(double)) + sc = self + curve_tweaked = self._thisptr + + h = <double*>malloc(num_items * sizeof(double)) + T = <double*>malloc(num_items * sizeof(double)) + for i in range(num_items): + T[i] = (curve_tweaked.fArray[i].fDate - curve_tweaked.fBaseDate) / 365. + if mask is not None: - if mask.size != curve.fNumItems: + if mask.shape[0] != self._thisptr.fNumItems: raise ValueError("mask size need to be the same as the number of Items") - tweak_curve(curve, curve_tweaked, epsilon, h, T, &mask[0], num_items) + mask_ptr = &mask[0] + else: + mask_ptr = NULL + tweak_curve(self._thisptr, curve_tweaked, epsilon, h, T, mask_ptr, num_items) free(h) free(T) - if inplace: - return self - else: - return sc + return sc cdef class CreditIndex: def __init__(self, base_date, start_date, end_date, end_dates, curves): |