diff options
| -rw-r--r-- | pyisda/curve.pxd | 7 | ||||
| -rw-r--r-- | pyisda/curve.pyx | 98 |
2 files changed, 62 insertions, 43 deletions
diff --git a/pyisda/curve.pxd b/pyisda/curve.pxd index 2e5e999..503727d 100644 --- a/pyisda/curve.pxd +++ b/pyisda/curve.pxd @@ -117,11 +117,12 @@ cdef class YieldCurve(Curve): cdef class SpreadCurve(Curve): pass -cdef class BasketIndex: - cdef TCurve* _sc +cdef class CreditIndex: + cdef TCurve** _curves cdef TContingentLeg* _contingent_leg cdef TFeeLeg* _fee_leg cdef double* _T - cdef double[:,::1] _hazard_rates + cdef int _ncurves + cdef int _ndates cdef fArray_to_list(TRatePt* fArray, int fNumItems) diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx index cd38398..eb3d40e 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -1,6 +1,6 @@ from libc.stdlib cimport malloc, free from libc.string cimport memcpy -from libc.math cimport log1p, expm1 +from libc.math cimport log1p from date cimport (JpmcdsStringToDateInterval, pydate_to_TDate, dcc, JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust, TDate_to_pydate, JpmcdsDateFromBusDaysOffset, JpmcdsStringToDayCountConv) @@ -45,14 +45,16 @@ cdef class Curve(object): TDate base_date double basis long dcc + TCurve* new_curve 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, rates, sizeof(TRatePt) * num_items) - self._thisptr.fBaseDate = base_date - self._thisptr.fBasis = basis - self._thisptr.fDayCountConv = dcc + new_curve = <TCurve*>malloc(sizeof(TCurve)) + new_curve.fNumItems = num_items + new_curve.fArray = <TRatePt*>malloc(sizeof(TRatePt) * num_items) + memcpy(new_curve.fArray, rates, sizeof(TRatePt) * num_items) + new_curve.fBaseDate = base_date + new_curve.fBasis = basis + new_curve.fDayCountConv = dcc + self._thisptr = new_curve def inspect(self): """ method to inspect the content of the C struct @@ -402,23 +404,23 @@ cdef class SpreadCurve(Curve): ## We want to tweak in the forward space, so we convert the hazard rates ## into forward rates and then back cdef double t1, h1, t2, h2 - cdef TCurve* newcurve = NULL + cdef TCurve* curve = self._thisptr cdef SpreadCurve sc - cdef int num_items = self._thisptr.fNumItems + cdef int num_items = curve.fNumItems if not inplace: sc = SpreadCurve.__new__(SpreadCurve) - sc._thisptr = JpmcdsCopyCurve(self._thisptr) + sc._thisptr = JpmcdsCopyCurve(curve) t1 = 0 h1 = 0 cdef double* h = <double*>malloc(num_items * sizeof(double)) cdef double* T = <double*>malloc(num_items * sizeof(double)) if mask is not None: - if mask.size != self._thisptr.fNumItems: + if mask.size != curve.fNumItems: raise ValueError("mask size need to be the same as the number of Items") for i in range(num_items): - h2 = self._thisptr.fArray[i].fRate - t2 = T[i] = (self._thisptr.fArray[i].fDate - self._thisptr.fBaseDate)/365. + h2 = curve.fArray[i].fRate + t2 = T[i] = (curve.fArray[i].fDate - curve.fBaseDate)/365. h[i] = (h2 * t2 - h1 * t1) / (t2 - t1) if mask is None or mask[i]: h[i] *= (1+epsilon) @@ -428,11 +430,11 @@ cdef class SpreadCurve(Curve): cdef double c = 0 cdef TRatePt* update if inplace: - update = self._thisptr.fArray + update = curve.fArray else: - update = sc._thisptr.fArray + update = curve.fArray - for i in range(self._thisptr.fNumItems): + for i in range(curve.fNumItems): c += (T[i] - t1) * h[i] update[i].fRate = c/T[i] t1 = T[i] @@ -443,24 +445,25 @@ cdef class SpreadCurve(Curve): else: return sc -cdef class BasketIndex: - def __init__(self, base_date, start_date, end_date, - list end_dates, double[:,::1] hazard_rates): - cdef int n_dates = len(end_dates) - if n_dates != hazard_rates.shape[1]: - raise ValueError("Number of dates must equal the number of columns in rates") +cdef class CreditIndex: + def __init__(self, base_date, start_date, end_date, end_dates, curves): + self._ndates = len(end_dates) cdef TDate base_date_c = pydate_to_TDate(base_date) - cdef TDate* end_dates_c = <TDate*>malloc(n_dates * sizeof(TDate)) cdef TDate start_date_c = pydate_to_TDate(start_date) cdef TDate end_date_c = pydate_to_TDate(end_date) - self._sc = JpmcdsNewTCurve(base_date_c, n_dates, 5000., 2L) cdef TDate date - self._T = <double*>malloc(sizeof(double)*n_dates) + self._T = <double*>malloc(sizeof(double) * self._ndates) + self._ncurves = len(curves) + self._curves = <TCurve**>malloc(sizeof(TCurve*) * self._ncurves) + cdef size_t i + for i, d in enumerate(end_dates): date = pydate_to_TDate(d) self._T[i] = (date - base_date_c) / 365. - self._sc.fArray[i].fDate = date - self._hazard_rates = hazard_rates + + for i, c in enumerate(curves): + self._curves[i] = JpmcdsCopyCurve((<SpreadCurve?>c)._thisptr) + self._contingent_leg = JpmcdsCdsContingentLegMake(start_date_c, end_date_c, 1., @@ -483,39 +486,54 @@ cdef class BasketIndex: def __dealloc__(self): if self._T is not NULL: free(self._T) - JpmcdsFreeTCurve(self._sc) if self._contingent_leg is not NULL: free(self._contingent_leg) JpmcdsFeeLegFree(self._fee_leg) + for i in range(self._ncurves): + JpmcdsFreeTCurve(self._curves[i]) + free(self._curves) - @cython.initializedcheck(False) + #@cython.initializedcheck(False) @cython.boundscheck(False) def pv(self, step_in_date, value_date, YieldCurve yc, double recovery_rate): cdef TDate step_in_date_c = pydate_to_TDate(step_in_date) cdef TDate value_date_c = pydate_to_TDate(value_date) - cdef np.npy_intp n = self._hazard_rates.shape[0] + cdef np.npy_intp n = self._ncurves cdef double accrued - FeeLegAI(self._fee_leg, self._sc.fBaseDate, &accrued) - cdef size_t i, j + FeeLegAI(self._fee_leg, yc._thisptr.fBaseDate, &accrued) + cdef size_t i cdef np.ndarray[np.float64_t,ndim=1] cl_pv = np.PyArray_EMPTY(1, &n, np.NPY_DOUBLE, 0) cdef np.ndarray[np.float64_t,ndim=1] fl_pv = np.PyArray_EMPTY(1, &n, np.NPY_DOUBLE, 0) - for i in range(n): - for j in range(self._sc.fNumItems): - self._sc.fArray[j].fRate = self._hazard_rates[i,j] + cdef TCurve* sc + for i in range(self._ncurves): + sc = self._curves[i] JpmcdsContingentLegPV(self._contingent_leg, - self._sc.fBaseDate, + sc.fBaseDate, value_date_c, step_in_date_c, yc._thisptr, - self._sc, + sc, recovery_rate, &cl_pv[i]) JpmcdsFeeLegPV(self._fee_leg, - self._sc.fBaseDate, + sc.fBaseDate, step_in_date_c, value_date_c, yc._thisptr, - self._sc, + sc, True, &fl_pv[i]) return (fl_pv-accrued, cl_pv) + + @property + def curves(self): + """returns the list of curves inside the porfolio. + + This is returning the curves by reference so don't delete them.""" + cdef list r = [] + cdef SpreadCurve sc + for i in range(self._ncurves): + c = self._curves[i] + sc = SpreadCurve.__new__(SpreadCurve) + sc._thisptr = c + r.append(sc) |