diff options
| -rw-r--r-- | pyisda/curve.pyx | 19 | ||||
| -rw-r--r-- | pyisda/legs.pxd | 11 | ||||
| -rw-r--r-- | pyisda/legs.pyx | 16 | ||||
| -rw-r--r-- | tests/test_pickle.py | 15 |
4 files changed, 61 insertions, 0 deletions
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx index bee364c..ef11a42 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -1,4 +1,5 @@ from libc.stdlib cimport malloc, free +from libc.string cimport memcpy from date cimport (JpmcdsStringToDateInterval, pydate_to_TDate, dcc, JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust, TDate_to_pydate, JpmcdsDateFromBusDaysOffset) @@ -18,6 +19,24 @@ cdef class Curve: if self._thisptr is not NULL: JpmcdsFreeTCurve(self._thisptr) + def __getstate__(self): + cdef int num_items = self._thisptr.fNumItems + return (num_items, + <bytes>(<char*>self._thisptr.fArray)[:sizeof(TRatePt)*num_items], + self._thisptr.fBaseDate, + self._thisptr.fBasis, + self._thisptr.fDayCountConv) + + def __setstate__(self, state): + num_items, rates, base_date, basis, dcc = state + self._thisptr = <TCurve*>malloc(sizeof(TCurve)) + self._thisptr.fNumItems = num_items + self._thisptr.fArray = <TRatePt*>malloc(sizeof(TRatePt) * num_items) + memcpy(self._thisptr.fArray, <char*> rates, sizeof(TRatePt) * num_items) + self._thisptr.fBaseDate = base_date + self._thisptr.fBasis = basis + self._thisptr.fDayCountConv = dcc + def inspect(self): """ method to inspect the content of the C struct diff --git a/pyisda/legs.pxd b/pyisda/legs.pxd index 5c96f62..d711205 100644 --- a/pyisda/legs.pxd +++ b/pyisda/legs.pxd @@ -6,6 +6,12 @@ ctypedef int TBoolean cdef extern from "isda/cx.h": ctypedef struct TContingentLeg: + TDate startDate + TDate endDate + double notional + TBoolean protectStart + + ctypedef enum TAccrualPayConv: pass ctypedef struct TFeeLeg: @@ -13,6 +19,11 @@ cdef extern from "isda/cx.h": TDate* accStartDates TDate* accEndDates TDate* payDates + double notional + double couponRate + long dcc + TAccrualPayConv accrualPayConv + TBoolean obsStartOfDay cdef extern from "isda/bastypes.h": ctypedef struct TCashFlow: diff --git a/pyisda/legs.pyx b/pyisda/legs.pyx index ea19b72..a2d9d0d 100644 --- a/pyisda/legs.pyx +++ b/pyisda/legs.pyx @@ -1,5 +1,6 @@ from libc.stdlib cimport free from date cimport pydate_to_TDate, TDate_to_pydate, dcc +from date import dcc_tostring from cdsone cimport JpmcdsStringToStubMethod, TStubMethod from curve cimport YieldCurve, SpreadCurve @@ -30,6 +31,12 @@ cdef class ContingentLeg: if self._thisptr is not NULL: free(self._thisptr) + def __reduce__(self): + return (self.__class__, (TDate_to_pydate(self._thisptr.startDate), + TDate_to_pydate(self._thisptr.endDate), + self._thisptr.notional, + self._thisptr.protectStart)) + def pv(self, today, step_in_date, value_date, YieldCurve yc, SpreadCurve sc, double recovery_rate): """ @@ -100,6 +107,15 @@ cdef class FeeLeg: if self._thisptr is NULL: raise ValueError + def __reduce__(self): + return (self.__class__, (TDate_to_pydate(self._thisptr.accStartDates[0]), + TDate_to_pydate(self._thisptr.accEndDates[self._thisptr.nbDates-1]), + <int>self._thisptr.accrualPayConv, + self._thisptr.notional, + self._thisptr.couponRate, + dcc_tostring(self._thisptr.dcc), + self._thisptr.obsStartOfDay)) + def inspect(self): """convenience method to study the C struct""" cdef list acc_start_dates = [] diff --git a/tests/test_pickle.py b/tests/test_pickle.py new file mode 100644 index 0000000..cdb698d --- /dev/null +++ b/tests/test_pickle.py @@ -0,0 +1,15 @@ +import unittest +from pyisda.legs import ContingentLeg +from pickle import dumps, loads +import datetime + +class TestPickle(unittest.TestCase): + + def test_contingentleg(self): + cl = ContingentLeg(datetime.date(2016, 11, 3), + datetime.date(2021, 12, 20), + 12, + True) + pickle = dumps(cl) + import pdb; pdb.set_trace() + cl2 = loads(pickle) |