diff options
| -rw-r--r-- | pyisda/curve.pyx | 68 |
1 files changed, 65 insertions, 3 deletions
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx index d5bb5ff..7a7ce05 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -21,6 +21,14 @@ cdef class Curve: JpmcdsFreeTCurve(self._thisptr) def inspect(self): + """ method to inspect the content of the C struct + + Returns + ------- + dict + contains `base_date`, `basis`, `day_count_counvention` and `data` + """ + return {'base_date': TDate_to_pydate(self._thisptr.fBaseDate), 'basis': self._thisptr.fBasis, 'day_count_convention': dcc_tostring(self._thisptr.fDayCountConv), @@ -34,15 +42,38 @@ cdef fArray_to_list(TRatePt* fArray, int fNumItems): return l cdef class YieldCurve(Curve): + """ Initialize a yield curve from a list of zero coupon rates + + Parameters + ---------- + types : str + string containing only the letters 'M' (for Money Market ) and + 'S' (for swaps) to describe the type of quotes + periods : list of str + Describe the maturity of each instrument (Example: ['3M', '2Y']) + rates: array.array + Array of double containing the quotes + mm_dcc : str + Day count convention for the money market instrument. + fixed_swap_period : str + Period of the fixed leg of the swap. + float_swap_period : str + Period of the floating leg of the swap. + fixed_swap_dcc : str + Day count convention for the fixed leg of the swap. + float_swap_dcc : str + Day count convention for the floating leg of the swap. + bad_day_conv : int + Business day convention. + .. warning:: Instruments need to be sorted by tenor! + + """ def __init__(self, date, str types, list periods, double[:] rates, str mm_dcc, str fixed_swap_period, str float_swap_period, str fixed_swap_dcc, str float_swap_dcc, BadDay bad_day_conv): - """ Initialize a yield curve from a list of zero coupon rates - instruments need to be sorted by tenor - """ cdef: double fixed_freq double float_freq @@ -118,6 +149,22 @@ cdef class YieldCurve(Curve): return [TDate_to_pydate(self._dates[i]) for i in range(self._ninstr)] cdef class SpreadCurve(Curve): + """ + Initialize a SpreadCurve from a list of spreads and maturity. + + Parameters + ---------- + today : datetime.date + yc : :class:`~pyisda.curve.YieldCurve` + start_date : datetime.date + step_in_date : datetime.date + cash_settle_date: :class:`datetime.date` + end_dates : list of :class:`datetime.date` + coupon_rates : :class:`array.array` of double + recovery_rate : float + pay_accrued_on_default : bool, optional + + """ def __init__(self, today, YieldCurve yc, start_date, step_in_date, cash_settle_date, list end_dates, double[:] coupon_rates, @@ -158,6 +205,21 @@ cdef class SpreadCurve(Curve): @classmethod def from_flat_hazard(cls, base_date, double rate, Basis basis = CONTINUOUS, str day_count_conv = 'Actual/365F'): + """ + Alternative constructor for flat hazard rate Curve. + + Parameters + ---------- + base_date : datetime.date + Starting date of the curve + rate : float + Flat hazard rate. + basis : int, optional + Default to :data:`CONTINUOUS` + day_count_cont : str, optional + Default to 'Actual/365F' + + """ cdef TDate base_date_c = pydate_to_TDate(base_date) cdef SpreadCurve sc = cls.__new__(cls) cdef TDate max_date = 200000 # can go higher but this should be more than enough |