diff options
| -rw-r--r-- | c_layer/cdsbootstrap.c | 50 | ||||
| -rw-r--r-- | c_layer/cdsbootstrap.h | 26 | ||||
| -rw-r--r-- | pyisda/flat_hazard.pyx | 114 | ||||
| -rw-r--r-- | setup.py | 16 |
4 files changed, 200 insertions, 6 deletions
diff --git a/c_layer/cdsbootstrap.c b/c_layer/cdsbootstrap.c new file mode 100644 index 0000000..f3ae975 --- /dev/null +++ b/c_layer/cdsbootstrap.c @@ -0,0 +1,50 @@ +#include "cdsbootstrap.h" + +int cdsBootstrapPointFunction +(double hazardRate, + void *data, + double *pv) +{ + int status = FAILURE; + + cds_bootstrap_ctx *context = (cds_bootstrap_ctx*)data; + + TCurve *discountCurve = context->discountCurve; + TCurve *cdsCurve = context->cdsCurve; + TDate cdsBaseDate = cdsCurve->fBaseDate; + TDate stepinDate = context->stepinDate; + TDate cashSettleDate = context->cashSettleDate; + + double pvC; /* PV of contingent leg */ + double pvF; /* PV of fee leg */ + cdsCurve->fArray[0].fRate = hazardRate; + + if (JpmcdsContingentLegPV (context->cl, + cdsBaseDate, + cashSettleDate, + stepinDate, + discountCurve, + cdsCurve, + context->recoveryRate, + &pvC) != SUCCESS) + goto done; + + if (JpmcdsFeeLegPV(context->fl, + cdsBaseDate, + stepinDate, + cashSettleDate, + discountCurve, + cdsCurve, + 1, + &pvF) != SUCCESS) + goto done; + /* Note: price is discounted to cdsBaseDate */ + *pv = pvC - context->spread * pvF; + status = SUCCESS; + + done: + + if (status != SUCCESS) + printf("Something went wrong"); + return status; +} diff --git a/c_layer/cdsbootstrap.h b/c_layer/cdsbootstrap.h new file mode 100644 index 0000000..2e19189 --- /dev/null +++ b/c_layer/cdsbootstrap.h @@ -0,0 +1,26 @@ +#include "isda/ldate.h" +#include "isda/cxzerocurve.h" +#include "isda/feeleg.h" +#include "isda/contingentleg.h" +#include "stdio.h" + + +#define SUCCESS 0 +#define FAILURE -1 + +typedef struct +{ + TDate stepinDate; + TDate cashSettleDate; + TCurve *discountCurve; + TCurve *cdsCurve; + double recoveryRate; + double spread; + TContingentLeg *cl; + TFeeLeg *fl; +} cds_bootstrap_ctx; + + +int cdsBootstrapPointFunction(double hazardRate, + void *data, + double *pv); diff --git a/pyisda/flat_hazard.pyx b/pyisda/flat_hazard.pyx index 7549a38..2257098 100644 --- a/pyisda/flat_hazard.pyx +++ b/pyisda/flat_hazard.pyx @@ -8,8 +8,8 @@ from curve cimport (TCurve, YieldCurve, SpreadCurve, JpmcdsCleanSpreadCurve, JpmcdsFreeTCurve, JpmcdsMakeTCurve, CONTINUOUS) from date cimport pydate_to_TDate, ACT_360, ACT_365F from cdsone cimport JpmcdsStringToStubMethod, TStubMethod -from cpython.mem cimport PyMem_Malloc, PyMem_Free -from libc.stdlib cimport free +from libc.stdlib cimport free, malloc +from libc.stdio cimport printf cimport cython import numpy as np @@ -78,3 +78,113 @@ def strike_vec(double[:] spreads, YieldCurve yc, trade_date, value_date, if sc is not NULL: JpmcdsFreeTCurve(sc) return default_leg_pv, coupon_leg_pv + +cdef extern from "cdsbootstrap.h": + ctypedef struct cds_bootstrap_ctx: + TDate stepinDate + TDate cashSettleDate + TCurve *discountCurve + TCurve *cdsCurve; + double recoveryRate + double spread + TContingentLeg *cl + TFeeLeg *fl + int cdsBootstrapPointFunction(...) nogil + +cdef extern from "isda/rtbrent.h" nogil: + ctypedef int (*TObjectFunc) (double x, void * para, double *f) + + int JpmcdsRootFindBrent( + TObjectFunc funcd, # (I) function to be solved */ + void *data, # (I) data to pass into funcd */ + double boundLo, # (I) lower bound on legal X */ + double boundHi, # (I) upper bound on legal X */ + int numIterations, # (I) Maximum number of iterations */ + double guess, # (I) Initial guess */ + double initalXStep, # (I) Size of step in x */ + double initialFDeriv, # (I) Derivative, defaults to 0 */ + double xacc, # (I) X accuracy tolerance */ + double facc, # (I) function accuracy tolerance */ + double *solution) # (O) root found */ + +@cython.boundscheck(False) +@cython.cdivision(True) +def faster_strike_vec(double[:] spreads, YieldCurve yc, trade_date, value_date, + start_date, end_date, double recovery_rate): + """Computes coupon and default leg for a vector of spreads""" + + cdef TDate trade_date_c = pydate_to_TDate(trade_date) + cdef TDate step_in_date_c = trade_date_c + 1 + cdef TDate value_date_c = pydate_to_TDate(value_date) + cdef TDate start_date_c = pydate_to_TDate(start_date) + cdef TDate end_date_c = pydate_to_TDate(end_date) + cdef np.ndarray[np.float_t] coupon_leg_pv = np.empty_like(spreads) + cdef np.ndarray[np.float_t] default_leg_pv = np.empty_like(spreads) + cdef int nspreads = spreads.shape[0] + cdef double h, guess + cdef TStubMethod stub_type + cdef TCurve* sc + cdef TContingentLeg* default_leg + cdef TFeeLeg* fee_leg + cdef cds_bootstrap_ctx* params + cdef size_t i + JpmcdsStringToStubMethod(b"f/s", &stub_type) + + with nogil: + h = spreads[0] / (1 - recovery_rate) + sc = JpmcdsMakeTCurve(trade_date_c, + &end_date_c, + &h, + 1, + <double>CONTINUOUS, + ACT_365F) # JPMCDS_ACT_365F + + default_leg = JpmcdsCdsContingentLegMake(start_date_c, + end_date_c, + 1., # notional + 1) # protect_start = True + fee_leg = JpmcdsCdsFeeLegMake(start_date_c, + end_date_c, + 1, # payAccOnDefault = True + NULL, + &stub_type, + 1., # notional + 1., # coupon_rate + ACT_360, # JPMCDS_ACT_360 + <long>'M', + b'NONE', + 1) # protect_start = True + params = <cds_bootstrap_ctx*>malloc(sizeof(cds_bootstrap_ctx)) + params.stepinDate = step_in_date_c + params.cashSettleDate = value_date_c + params.discountCurve = yc._thisptr + params.cdsCurve = sc + params.recoveryRate = recovery_rate + params.cl = default_leg + params.fl = fee_leg + + for i in range(nspreads): + params.spread = spreads[i] + guess = spreads[i] / ( 1 - recovery_rate) * 365/360 + if JpmcdsRootFindBrent(<TObjectFunc>cdsBootstrapPointFunction, + <void*> params, + 0.0, # boundLo */ + 1e10, # boundHi */ + 100, # numIterations */ + guess, + 0.0005, # initialXstep */ + 0, # initialFDeriv */ + 1e-10, # xacc */ + 1e-10, # facc */ + &h) != 0: + printf("failed to find the root") + sc.fArray[0].fRate = h + if JpmcdsFeeLegPV(fee_leg, trade_date_c, step_in_date_c, value_date_c, + yc._thisptr, sc, True, &coupon_leg_pv[i]) != 0: + printf("Something went wrong") + default_leg_pv[i] = coupon_leg_pv[i] * spreads[i] + free(params) + JpmcdsFeeLegFree(fee_leg) + free(default_leg) + JpmcdsFreeTCurve(sc) + return default_leg_pv, coupon_leg_pv @@ -2,12 +2,20 @@ from distutils.core import setup from distutils.extension import Extension from Cython.Build import cythonize -extensions = Extension("*", ["pyisda/*.pyx"], - libraries = ["cds"]) +all_extensions = Extension("*", ["pyisda/*.pyx"], + include_dirs = ['c_layer'], + libraries = ["cds"]) + +c_extension = Extension("pyisda.flat_hazard", + include_dirs = ['c_layer'], + sources = ['pyisda/flat_hazard.pyx', 'c_layer/cdsbootstrap.c'], + libraries = ['cds']) +all_extensions = cythonize([c_extension, all_extensions], nthreads = 4, + compiler_directives={'embedsignature':True}) + setup( name = "pyisda", version = '0.1', author = 'Guillaume Horel', - ext_modules = cythonize(extensions, nthreads = 4, - compiler_directives={'embedsignature':True}), + ext_modules = all_extensions, packages = ['pyisda']) |