diff options
| -rw-r--r-- | pyisda/curve.pyx | 26 |
1 files changed, 17 insertions, 9 deletions
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx index 24014c3..bc79413 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -16,6 +16,7 @@ import numpy as np np.import_array() import pandas as pd from cpython cimport Py_buffer +from numpy cimport npy_intp cdef extern from "Python.h": int PyMemoryView_Check(object) @@ -23,6 +24,9 @@ cdef extern from "Python.h": cdef extern from "numpy/arrayobject.h": void PyArray_ENABLEFLAGS(np.ndarray arr, int flags) + int PyArray_CheckExact(object) + void* PyArray_DATA(object) + npy_intp PyArray_Size(object) cdef int SUCCESS = 0 @@ -456,25 +460,29 @@ cdef class SpreadCurve(Curve): cdef TDate step_in_date_c = pydate_to_TDate(step_in_date) cdef TDate cash_settle_date_c = pydate_to_TDate(cash_settle_date) cdef TDate start_date_c = pydate_to_TDate(start_date) - cdef int n_dates = len(end_dates) + cdef int n_dates cdef TDate* end_dates_c = NULL - cdef TDate[:] end_dates_view cdef TCurve* curve = NULL cdef unsigned int includes = 0 cdef size_t i + cdef int freeup = 0 if cash_settle_date_c < yc._thisptr.get().fBaseDate: raise ValueError("cash_settle_date: {0} is anterior to yc's base_date: {1}". format(cash_settle_date, yc.base_date)) if isinstance(end_dates, list): + n_dates = len(end_dates) end_dates_c = <TDate*>malloc(n_dates * sizeof(TDate)) - end_dates_view = <TDate[:n_dates]>end_dates_c - for i, d in enumerate(end_dates): - end_dates_view[i] = pydate_to_TDate(d) + freeup = 1 + i = 0 + for d in end_dates: + end_dates_c[i] = pydate_to_TDate(d) if upfront_rates[i] == upfront_rates[i]: includes |= 1 << i - else: - end_dates_view = memoryview(end_dates) + i += 1 + elif PyArray_CheckExact(end_dates): + end_dates_c = <TDate*>PyArray_DATA(end_dates) + n_dates = PyArray_Size(end_dates) for i in range(n_dates): if upfront_rates[i] == upfront_rates[i]: includes |= 1 << i @@ -489,7 +497,7 @@ cdef class SpreadCurve(Curve): step_in_date_c, cash_settle_date_c, n_dates, - &end_dates_view[0], + end_dates_c, &coupon_rates[0], &upfront_rates[0], includes, @@ -500,7 +508,7 @@ cdef class SpreadCurve(Curve): &stub_type, <long>'M', b'NONE') - if end_dates_c: + if freeup: free(end_dates_c) if curve == NULL: raise ValueError("Didn't init the survival curve properly") |