diff options
| -rw-r--r-- | pyisda/credit_index.pyx | 36 | ||||
| -rw-r--r-- | pyisda/curve.pxd | 1 |
2 files changed, 35 insertions, 2 deletions
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx index 3238f2f..163f2f1 100644 --- a/pyisda/credit_index.pyx +++ b/pyisda/credit_index.pyx @@ -1,7 +1,7 @@ #cython: cdivision=True, boundscheck=False from libc.stdlib cimport malloc, free from libc.math cimport nan -from libc.string cimport memcpy +from libc.string cimport memcpy, memset from libcpp.pair cimport pair from cython.operator cimport dereference as deref from cpython cimport PyObject, Py_INCREF @@ -10,7 +10,8 @@ cimport cython from legs cimport (JpmcdsCdsContingentLegMake, JpmcdsCdsFeeLegMake, JpmcdsContingentLegPV, JpmcdsFeeLegPV, FeeLegAI, JpmcdsFeeLegFree) from curve cimport (SpreadCurve, JpmcdsCopyCurve, tweak_curve, YieldCurve, - JpmcdsFreeTCurve, JpmcdsForwardZeroPrice) + JpmcdsFreeTCurve, JpmcdsForwardZeroPrice, Hash64WithSeed, + Hash64, uint64_t, TCurve_size, serialize) from date cimport (pydate_to_TDate, TDate_to_pydate, ACT_365F, JpmcdsDtFwdAny, TDateInterval, JpmcdsMakeDateInterval) from cdsone cimport JpmcdsStringToStubMethod, TStubMethod @@ -279,6 +280,37 @@ cdef class CreditIndex(CurveList): return (self.__class__, (TDate_to_pydate(self.start_date), self.maturities, self.curves, self.weights)) + def __hash__(self): + cdef: + TCurve* curve = self._curves[0].get() + size_t size = TCurve_size(curve.fNumItems) + size_t buf_size = size + sizeof(size_t) + curve.fNumItems * sizeof(double) + 8 + unsigned char* buf = <unsigned char*>malloc(buf_size) + unsigned char* cursor + unsigned char* start = buf + size + size_t i + uint64_t h = 0 + pair[string, size_t] p + + for p in self.tickers: + cursor = start + curve = self._curves[p.second].get() + serialize(curve, buf) + p.first.copy(<char*>cursor, p.first.length(), 0) + #0 padding + if p.first.length() < 8: + memset(cursor + p.first.length(), 0, 8 - p.first.length()) + cursor += 8 + memcpy(cursor, self.recovery_rates[p.second].get(), curve.fNumItems * sizeof(double)) + h ^= Hash64(<char*>buf, buf_size) + + free(buf) + h = Hash64WithSeed(<char*>&self.start_date, sizeof(TDate), h) + h = Hash64WithSeed(<char*>self._maturities.data(), sizeof(TDate) * self._maturities.size(), h) + h = Hash64WithSeed(<char*>self._weights.data(), sizeof(double) * self._weights.size(), h) + return h + + #@cython.initializedcheck(False) def pv_vec(self, step_in_date, value_date, YieldCurve yc, double recovery_rate): cdef: diff --git a/pyisda/curve.pxd b/pyisda/curve.pxd index 269199c..8d62d65 100644 --- a/pyisda/curve.pxd +++ b/pyisda/curve.pxd @@ -41,6 +41,7 @@ cdef extern from "isda/bastypes.h": cdef extern from "farmhash.h" namespace 'util' nogil: uint64_t Hash64(const char *buff, size_t len) + uint64_t Hash64WithSeed(const char *buff, size_t len, uint64_t len) cdef inline size_t TCurve_size(int num_items) nogil: return sizeof(int) + sizeof(TDate) + sizeof(double) + \ |