diff options
| -rw-r--r-- | pyisda/curve.pyx | 47 |
1 files changed, 23 insertions, 24 deletions
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx index eb3d40e..d721666 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -289,6 +289,24 @@ cdef class YieldCurve(Curve): <double>1, self._thisptr.fDayCountConv) return yc +cdef inline void tweak_curve(TCurve* sc, TCurve* sc_tweaked, double epsilon, + double* h, double* T, bint* mask, int n): + cdef h1, h2, t1, t2 + h1 = t1 = 0 + for i in range(n): + h2 = sc.fArray[i].fRate + t2 = T[i] + h[i] = (h2 * t2 - h1 * t1) / (t2 - t1) + if mask[i]: + h[i] *= (1 + epsilon) + h1, t1 = h2, t2 + t1 = 0 + cdef double c = 0 + for i in range(n): + c += (T[i] - t1) * h[i] + sc_tweaked.fArray[i].fRate = c/T[i] + t1 = T[i] + cdef class SpreadCurve(Curve): """ Initialize a SpreadCurve from a list of spreads and maturity. @@ -405,39 +423,20 @@ cdef class SpreadCurve(Curve): ## into forward rates and then back cdef double t1, h1, t2, h2 cdef TCurve* curve = self._thisptr + cdef TCurve* curve_tweaked cdef SpreadCurve sc cdef int num_items = curve.fNumItems if not inplace: sc = SpreadCurve.__new__(SpreadCurve) - sc._thisptr = JpmcdsCopyCurve(curve) - - t1 = 0 - h1 = 0 + sc._thisptr = curve_tweaked = JpmcdsCopyCurve(curve) + else: + curve_tweaked = curve 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 != curve.fNumItems: raise ValueError("mask size need to be the same as the number of Items") - for i in range(num_items): - 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) - h1 = h2 - t1 = t2 - t1 = 0 - cdef double c = 0 - cdef TRatePt* update - if inplace: - update = curve.fArray - else: - update = curve.fArray - - for i in range(curve.fNumItems): - c += (T[i] - t1) * h[i] - update[i].fRate = c/T[i] - t1 = T[i] + tweak_curve(curve, curve_tweaked, epsilon, h, T, &mask[0], num_items) free(h) free(T) if inplace: |