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-rw-r--r--pyisda/credit_index.pxd6
-rw-r--r--pyisda/credit_index.pyx126
2 files changed, 67 insertions, 65 deletions
diff --git a/pyisda/credit_index.pxd b/pyisda/credit_index.pxd
index 0cf8cf8..56267f9 100644
--- a/pyisda/credit_index.pxd
+++ b/pyisda/credit_index.pxd
@@ -7,14 +7,14 @@ from libcpp.string cimport string
cdef class CurveList:
cdef TDate base_date
- cdef vector[double] weights
+ cdef vector[double] _weights
cdef vector[double] T
- cdef vector[shared_ptr[TCurve]] curves
+ cdef vector[shared_ptr[TCurve]] _curves
cdef unordered_map[string, size_t] tickers
cdef vector[shared_ptr[double]] recovery_rates
cdef class CreditIndex(CurveList):
cdef TDate start_date
- cdef vector[TDate] maturities
+ cdef vector[TDate] _maturities
cdef TContingentLeg** contingent_legs
cdef TFeeLeg** fee_legs
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx
index d13a8e9..3238f2f 100644
--- a/pyisda/credit_index.pyx
+++ b/pyisda/credit_index.pyx
@@ -43,6 +43,7 @@ cdef TContingentLeg* copyContingentLeg(TContingentLeg* leg) nogil:
memcpy(new_leg, leg, sizeof(TContingentLeg))
return new_leg
+@cython.auto_pickle(False)
cdef class CurveList:
@cython.initializedcheck(False)
@@ -69,22 +70,22 @@ cdef class CurveList:
if it == self.tickers.end():
self.tickers[sc.ticker] = i
if sc is not None:
- self.curves.push_back(sc._thisptr)
+ self._curves.push_back(sc._thisptr)
self.recovery_rates.push_back(sc.recovery_rates)
else:
- self.curves.push_back(shared_ptr[TCurve]())
+ self._curves.push_back(shared_ptr[TCurve]())
self.recovery_rates.push_back(shared_ptr[double]())
- self.weights.push_back(1.)
+ self._weights.push_back(1.)
i += 1
else:
- self.weights[deref(it).second] += 1
+ self._weights[deref(it).second] += 1
if weights is not None:
for i in range(weights.shape[0]):
- self.weights[i] = weights[i]
+ self._weights[i] = weights[i]
else:
- for i in range(self.curves.size()):
- self.weights[i] /= n
+ for i in range(self._curves.size()):
+ self._weights[i] /= n
def __getitem__(self, str ticker):
cdef:
@@ -97,7 +98,7 @@ cdef class CurveList:
raise KeyError(ticker)
else:
sc = SpreadCurve.__new__(SpreadCurve)
- sc._thisptr = self.curves[deref(got).second]
+ sc._thisptr = self._curves[deref(got).second]
sc.recovery_rates = self.recovery_rates[deref(got).second]
sc.ticker = ticker_cpp
return sc
@@ -110,16 +111,16 @@ cdef class CurveList:
for p in self.tickers:
sc = SpreadCurve.__new__(SpreadCurve)
- sc._thisptr = self.curves[p.second]
+ sc._thisptr = self._curves[p.second]
sc.ticker = p.first
sc.recovery_rates = self.recovery_rates[p.second]
- yield (sc.ticker.decode(), self.weights[p.second], sc)
+ yield (sc.ticker.decode(), self._weights[p.second], sc)
@property
def weights(self):
- cdef np.npy_intp shape = self.weights.size()
+ cdef np.npy_intp shape = self._weights.size()
cdef np.ndarray out = \
- np.PyArray_SimpleNewFromData(1, &shape, np.NPY_DOUBLE, self.weights.data())
+ np.PyArray_SimpleNewFromData(1, &shape, np.NPY_DOUBLE, self._weights.data())
out.base = <PyObject*>self
Py_INCREF(self)
return out
@@ -136,7 +137,7 @@ cdef class CurveList:
for p in self.tickers:
sc = SpreadCurve.__new__(SpreadCurve)
- sc._thisptr = self.curves[p.second]
+ sc._thisptr = self._curves[p.second]
sc.ticker = p.first
sc.recovery_rates = self.recovery_rates[p.second]
r.append(sc)
@@ -150,9 +151,9 @@ cdef class CurveList:
SpreadCurve sc
unordered_map[string, size_t].iterator it
- self.curves.clear()
+ self._curves.clear()
self.tickers.clear()
- self.weights.clear()
+ self._weights.clear()
sc = l[0]
self.T.resize(sc._thisptr.get().fNumItems)
@@ -167,16 +168,16 @@ cdef class CurveList:
if it == self.tickers.end():
self.tickers[sc.ticker] = i
if sc is not None:
- self.curves.push_back(sc._thisptr)
+ self._curves.push_back(sc._thisptr)
else:
- self.curves.push_back(shared_ptr[TCurve]())
- self.weights.push_back(1.)
+ self._curves.push_back(shared_ptr[TCurve]())
+ self._weights.push_back(1.)
i += 1
else:
- self.weights[deref(it).second] += 1
+ self._weights[deref(it).second] += 1
- for i in range(self.curves.size()):
- self.weights[i] /= len_l
+ for i in range(self._curves.size()):
+ self._weights[i] /= len_l
def __deepcopy__(self, memo):
cdef:
@@ -185,13 +186,13 @@ cdef class CurveList:
size_t i = 0
TCurve* copy_sc
CurveList copy = CurveList.__new__(CurveList)
- copy.weights = self.weights
+ copy._weights = self._weights
copy.T = self.T
copy.base_date = self.base_date
- for sc in self.curves:
+ for sc in self._curves:
copy_sc = sc.get()
- copy.curves.push_back(make_shared(JpmcdsCopyCurve(copy_sc)))
+ copy._curves.push_back(make_shared(JpmcdsCopyCurve(copy_sc)))
temp = <double*>malloc(copy_sc.fNumItems * sizeof(double))
if temp != NULL:
memcpy(<void*>temp, self.recovery_rates[i].get(),
@@ -203,29 +204,30 @@ cdef class CurveList:
def __reduce__(self):
return (self.__class__, (self.curves, self.weights))
+@cython.auto_pickle(False)
cdef class CreditIndex(CurveList):
def __init__(self, start_date, maturities, list curves, double[:] weights=None):
CurveList.__init__(self, curves, weights)
self.start_date = pydate_to_TDate(start_date)
for d in maturities:
- self.maturities.push_back(pydate_to_TDate(d))
+ self._maturities.push_back(pydate_to_TDate(d))
- self.contingent_legs = <TContingentLeg**> malloc(self.maturities.size() *
+ self.contingent_legs = <TContingentLeg**> malloc(self._maturities.size() *
sizeof(TContingentLeg))
- self.fee_legs = <TFeeLeg**> malloc(self.maturities.size() *
+ self.fee_legs = <TFeeLeg**> malloc(self._maturities.size() *
sizeof(TFeeLeg))
cdef TStubMethod stub_type
if JpmcdsStringToStubMethod(b"f/s", &stub_type) != 0:
raise ValueError("can't convert stub")
cdef size_t i
- for i in range(self.maturities.size()):
+ for i in range(self._maturities.size()):
self.contingent_legs[i] = JpmcdsCdsContingentLegMake(self.start_date,
- self.maturities[i],
+ self._maturities[i],
1.,
True)
self.fee_legs[i] = JpmcdsCdsFeeLegMake(self.start_date,
- self.maturities[i],
+ self._maturities[i],
True,
NULL,
&stub_type,
@@ -238,10 +240,10 @@ cdef class CreditIndex(CurveList):
def __dealloc__(self):
if self.contingent_legs is not NULL:
- for i in range(self.maturities.size()):
+ for i in range(self._maturities.size()):
free(self.contingent_legs[i])
if self.fee_legs is not NULL:
- for i in range(self.maturities.size()):
+ for i in range(self._maturities.size()):
JpmcdsFeeLegFree(self.fee_legs[i])
def __deepcopy__(self, memo):
@@ -251,14 +253,14 @@ cdef class CreditIndex(CurveList):
size_t i = 0
TCurve* copy_sc
CreditIndex copy = CreditIndex.__new__(CreditIndex)
- copy.weights = self.weights
+ copy._weights = self._weights
copy.T = self.T
copy.base_date = self.base_date
copy.start_date = self.start_date
- copy.maturities = self.maturities
- for sc in self.curves:
+ copy._maturities = self._maturities
+ for sc in self._curves:
copy_sc = sc.get()
- copy.curves.push_back(make_shared(JpmcdsCopyCurve(copy_sc)))
+ copy._curves.push_back(make_shared(JpmcdsCopyCurve(copy_sc)))
temp = <double*>malloc(copy_sc.fNumItems * sizeof(double))
if temp != NULL:
memcpy(<void*>temp, self.recovery_rates[i].get(),
@@ -266,9 +268,9 @@ cdef class CreditIndex(CurveList):
copy.recovery_rates.push_back(shared_ptr[double](temp, double_free))
copy.tickers = self.tickers
- copy.contingent_legs = <TContingentLeg**>malloc(sizeof(TContingentLeg*) * self.maturities.size())
- copy.fee_legs = <TFeeLeg**>malloc(sizeof(TFeeLeg*) * self.maturities.size())
- for i in range(self.maturities.size()):
+ copy.contingent_legs = <TContingentLeg**>malloc(sizeof(TContingentLeg*) * self._maturities.size())
+ copy.fee_legs = <TFeeLeg**>malloc(sizeof(TFeeLeg*) * self._maturities.size())
+ for i in range(self._maturities.size()):
copy.fee_legs[i] = copyFeeLeg(self.fee_legs[i])
copy.contingent_legs[i] = copyContingentLeg(self.contingent_legs[i])
return copy
@@ -282,7 +284,7 @@ cdef class CreditIndex(CurveList):
cdef:
TDate step_in_date_c = pydate_to_TDate(step_in_date)
TDate value_date_c = pydate_to_TDate(value_date)
- np.npy_intp[2] n = [self.curves.size(), self.maturities.size()]
+ np.npy_intp[2] n = [self._curves.size(), self._maturities.size()]
size_t i = 0, j = 0
np.ndarray[np.float64_t,ndim=2] cl_pv = np.PyArray_EMPTY(2, n, np.NPY_DOUBLE, 0)
np.ndarray[np.float64_t,ndim=2] fl_pv = np.PyArray_EMPTY(2, n, np.NPY_DOUBLE, 0)
@@ -292,15 +294,15 @@ cdef class CreditIndex(CurveList):
TCurve* sc
pair[string, size_t] p
- for maturity in self.maturities:
+ for maturity in self._maturities:
d[j] = maturity - 134774
j += 1
j = 0
for p in self.tickers:
- sc = self.curves[p.second].get()
+ sc = self._curves[p.second].get()
tickers.append(p.first.decode())
- for j in range(self.maturities.size()):
+ for j in range(self._maturities.size()):
JpmcdsContingentLegPV(self.contingent_legs[j],
sc.fBaseDate,
value_date_c,
@@ -345,17 +347,17 @@ cdef class CreditIndex(CurveList):
self.start_date,
self.contingent_legs,
self.fee_legs,
- self.maturities)
+ self._maturities)
if epsilon != 0.:
- mask = fill_mask(maturity_c, self.maturities, self.curves[0])
+ mask = fill_mask(maturity_c, self._maturities, self._curves[0])
if mask == 0:
raise ValueError("maturity is not correct")
h = vector[double](self.T.size())
- r = pv(self.curves, self.base_date, step_in_date_c, value_date_c,
+ r = pv(self._curves, self.base_date, step_in_date_c, value_date_c,
yc._thisptr.get(), legs, recovery_rate, fixed_rate,
- self.weights, epsilon, h, self.T, mask)
+ self._weights, epsilon, h, self.T, mask)
return r
@@ -374,10 +376,10 @@ cdef class CreditIndex(CurveList):
self.start_date,
self.contingent_legs,
self.fee_legs,
- self.maturities)
- old_pv = pv(self.curves, self.base_date, step_in_date_c,
+ self._maturities)
+ old_pv = pv(self._curves, self.base_date, step_in_date_c,
value_date_c, yc._thisptr.get(), legs,
- recovery_rate, fixed_rate, self.weights,
+ recovery_rate, fixed_rate, self._weights,
0., h, self.T, 0)
maturity_c = pydate_to_TDate(maturity)
@@ -387,10 +389,10 @@ cdef class CreditIndex(CurveList):
self.start_date,
self.contingent_legs,
self.fee_legs,
- self.maturities)
- return old_pv - pv(self.curves, self.base_date, step_in_date_c, value_date_c,
+ self._maturities)
+ return old_pv - pv(self._curves, self.base_date, step_in_date_c, value_date_c,
yc._thisptr.get(), legs, recovery_rate, fixed_rate,
- self.weights, 0., h, self.T, 0) + fixed_rate
+ self._weights, 0., h, self.T, 0) + fixed_rate
def duration(self, step_in_date, value_date, maturity, YieldCurve yc not None):
@@ -401,8 +403,8 @@ cdef class CreditIndex(CurveList):
TFeeLeg* fl
size_t i
- for i in range(self.maturities.size()):
- if self.maturities[i] == maturity_c:
+ for i in range(self._maturities.size()):
+ if self._maturities[i] == maturity_c:
fl = self.fee_legs[i]
break
else:
@@ -413,7 +415,7 @@ cdef class CreditIndex(CurveList):
shared_ptr[TCurve] sc
i = 0
- for sc in self.curves:
+ for sc in self._curves:
JpmcdsFeeLegPV(fl,
self.base_date,
step_in_date_c,
@@ -422,7 +424,7 @@ cdef class CreditIndex(CurveList):
sc.get(),
True,
&fl_pv)
- r += self.weights[i] * fl_pv
+ r += self._weights[i] * fl_pv
i += 1
return r
@@ -432,18 +434,18 @@ cdef class CreditIndex(CurveList):
list r = []
TDate maturity
- for maturity in self.maturities:
+ for maturity in self._maturities:
r.append(TDate_to_pydate(maturity))
return r
def tweak_portfolio(self, double epsilon, maturity, bint inplace=True):
cdef:
TDate maturity_c = pydate_to_TDate(maturity)
- unsigned long mask = fill_mask(maturity_c, self.maturities, self.curves[0])
+ unsigned long mask = fill_mask(maturity_c, self._maturities, self._curves[0])
vector[double] h = vector[double](self.T.size())
shared_ptr[TCurve] sc
- for sc in self.curves:
+ for sc in self._curves:
tweak_curve(sc.get(), sc.get(), epsilon, h, self.T, mask)
def survival_matrix(self, TDate[:] schedule, d1=None):
@@ -451,10 +453,10 @@ cdef class CreditIndex(CurveList):
shared_ptr[TCurve] sc
TDate start_date
size_t i, j
- np.npy_intp[2] n = [self.curves.size(), schedule.shape[0]]
+ np.npy_intp[2] n = [self._curves.size(), schedule.shape[0]]
np.ndarray[np.float64_t,ndim=2] sp = np.PyArray_EMPTY(2, n, np.NPY_DOUBLE, 1)
j = 0
- for sc in self.curves:
+ for sc in self._curves:
start_date = sc.get().fBaseDate
for i in range(n[1]):
sp[j,i] = JpmcdsForwardZeroPrice(sc.get(), start_date, schedule[i])
generated by cgit v1.2.3-70-g09d2 (git 2.52.0) at 2025-12-21 14:43:25 +0000