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-rw-r--r--pyisda/cdsone.pxd4
-rw-r--r--pyisda/cdsone.pyx8
-rw-r--r--pyisda/credit_index.pxd6
-rw-r--r--pyisda/credit_index.pyx19
-rw-r--r--pyisda/curve.pxd4
-rw-r--r--pyisda/curve.pyx19
-rw-r--r--pyisda/date.pyx2
-rw-r--r--pyisda/legs.pxd6
-rw-r--r--pyisda/legs.pyx8
-rw-r--r--pyisda/optim.pyx10
-rw-r--r--setup.py2
11 files changed, 45 insertions, 43 deletions
diff --git a/pyisda/cdsone.pxd b/pyisda/cdsone.pxd
index 0f446ba..d40a7f2 100644
--- a/pyisda/cdsone.pxd
+++ b/pyisda/cdsone.pxd
@@ -1,5 +1,5 @@
-from date cimport TDateInterval
-from curve cimport TCurve
+from .date cimport TDateInterval
+from .curve cimport TCurve
cdef extern from "isda/stub.h" nogil:
ctypedef struct TStubMethod:
diff --git a/pyisda/cdsone.pyx b/pyisda/cdsone.pyx
index e2f78a0..5dd8040 100644
--- a/pyisda/cdsone.pyx
+++ b/pyisda/cdsone.pyx
@@ -1,5 +1,5 @@
-from curve cimport YieldCurve
-from date cimport JpmcdsMakeDateInterval, pydate_to_TDate, dcc
+from .curve cimport YieldCurve
+from .date cimport JpmcdsMakeDateInterval, pydate_to_TDate, dcc
cdef int SUCCESS = 0
@@ -55,7 +55,7 @@ def upfront_charge(date, value_date, benchmark_start_date, stepin_date,
if JpmcdsStringToStubMethod(b"f/s", &stub) != SUCCESS:
raise ValueError("can't convert stub")
- if JpmcdsMakeDateInterval(3, "M", &ivl) != SUCCESS:
+ if JpmcdsMakeDateInterval(3, b"M", &ivl) != SUCCESS:
raise ValueError("can't convert to date interval")
if JpmcdsCdsoneUpfrontCharge(today, value_date_c, benchmark_start_date_c, stepin_date_c,
start_date_c, end_date_c, coupon_rate, pay_accrued_on_default,
@@ -116,7 +116,7 @@ def spread_from_upfront(date, value_date, benchmark_start_date, stepin_date,
if JpmcdsStringToStubMethod(b"f/s", &stub) != SUCCESS:
raise ValueError("can't convert stub")
- if JpmcdsMakeDateInterval(3, "M", &ivl) != SUCCESS:
+ if JpmcdsMakeDateInterval(3, b"M", &ivl) != SUCCESS:
raise ValueError("can't convert to date interval")
if JpmcdsCdsoneSpread(today, value_date_c, benchmark_start_date_c, stepin_date_c,
start_date_c, end_date_c, coupon_rate, pay_accrued_on_default,
diff --git a/pyisda/credit_index.pxd b/pyisda/credit_index.pxd
index aa77883..4895ecf 100644
--- a/pyisda/credit_index.pxd
+++ b/pyisda/credit_index.pxd
@@ -1,6 +1,6 @@
-from legs cimport TContingentLeg, TFeeLeg
-from date cimport TDate
-from curve cimport TCurve, TRatePt, shared_ptr
+from .legs cimport TContingentLeg, TFeeLeg
+from .date cimport TDate
+from .curve cimport TCurve, shared_ptr
from libcpp.vector cimport vector
from libcpp.map cimport map
from libcpp.string cimport string
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx
index 5d8ee65..bec58e2 100644
--- a/pyisda/credit_index.pyx
+++ b/pyisda/credit_index.pyx
@@ -9,15 +9,14 @@ from cpython cimport PyObject, Py_INCREF
from cython.parallel cimport prange, parallel
cimport cython
-from legs cimport (JpmcdsCdsContingentLegMake, JpmcdsCdsFeeLegMake,
+from .legs cimport (JpmcdsCdsContingentLegMake, JpmcdsCdsFeeLegMake,
JpmcdsContingentLegPV, JpmcdsFeeLegPV, FeeLegAI, JpmcdsFeeLegFree)
-from curve cimport (SpreadCurve, JpmcdsCopyCurve, tweak_curve, YieldCurve,
- JpmcdsFreeTCurve, survival_prob, Hash64WithSeed,
- Hash64, uint64_t, TCurve_size, serialize)
-from date cimport (pydate_to_TDate, TDate_to_pydate, ACT_365F, JpmcdsDtFwdAny,
+from .curve cimport (SpreadCurve, JpmcdsCopyCurve, tweak_curve, YieldCurve,
+ JpmcdsFreeTCurve, Hash64WithSeed, Hash64, uint64_t, serialize, TRatePt, TCurve_size, survival_prob)
+from .date cimport (pydate_to_TDate, TDate_to_pydate, ACT_365F, JpmcdsDtFwdAny,
TDateInterval, JpmcdsMakeDateInterval)
-from cdsone cimport JpmcdsStringToStubMethod, TStubMethod
-from date cimport ACT_365F
+from .cdsone cimport JpmcdsStringToStubMethod, TStubMethod
+from .date cimport ACT_365F
cimport numpy as np
np.import_array()
import pandas as pd
@@ -402,7 +401,7 @@ cdef class CreditIndex(CurveList):
int i
double carry
if theta_date is None:
- JpmcdsMakeDateInterval(-1, "Y", &ivl)
+ JpmcdsMakeDateInterval(-1, b"Y", &ivl)
JpmcdsDtFwdAny(maturity_c, &ivl, &temp)
carry = fixed_rate * 365 / 360
else:
@@ -467,7 +466,7 @@ cdef class CreditIndex(CurveList):
1.,
1.0,
3, # ACT_360
- <long>'M', # MODIFIED
+ <long>b'M', # MODIFIED
b'NONE',
True)
else:
@@ -596,7 +595,7 @@ cdef pair[TContingentLeg_ptr, TFeeLeg_ptr] get_legs(TDate maturity,
1.,
1.0,
3, # ACT_360
- <long>'M', # MODIFIED
+ <long>b'M', # MODIFIED
b'NONE',
True)
return r
diff --git a/pyisda/curve.pxd b/pyisda/curve.pxd
index 16eab8a..cbf826a 100644
--- a/pyisda/curve.pxd
+++ b/pyisda/curve.pxd
@@ -1,5 +1,5 @@
-from cdsone cimport TStubMethod
-from legs cimport TContingentLeg, TFeeLeg
+from .cdsone cimport TStubMethod
+from .legs cimport TContingentLeg, TFeeLeg
from libcpp.vector cimport vector
from libcpp cimport bool
from libcpp.string cimport string
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index 4dddb14..1f76c69 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -1,12 +1,14 @@
+# cython: c_string_type=unicode, c_string_encoding=ascii
+from cython.operator cimport dereference as deref
from libc.math cimport log1p, log, exp, isnan
-from date cimport (JpmcdsStringToDateInterval, pydate_to_TDate, dcc, TMonthDayYear,
+from .date cimport (JpmcdsStringToDateInterval, pydate_to_TDate, dcc, TMonthDayYear,
JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust, TDate_to_pydate,
JpmcdsDateFromBusDaysOffset, JpmcdsStringToDayCountConv, ACT_360,
BadDay, FOLLOW, MODIFIED, NONE)
from date import dcc_tostring
-from date cimport _previous_twentieth, _roll_date
-from cdsone cimport JpmcdsStringToStubMethod, TStubMethod
-from legs cimport (JpmcdsCdsContingentLegMake, JpmcdsCdsFeeLegMake,
+from .date cimport _previous_twentieth, _roll_date
+from .cdsone cimport JpmcdsStringToStubMethod, TStubMethod
+from .legs cimport (JpmcdsCdsContingentLegMake, JpmcdsCdsFeeLegMake,
JpmcdsContingentLegPV, JpmcdsFeeLegPV, FeeLegAI, JpmcdsFeeLegFree)
cimport cython
@@ -477,7 +479,7 @@ cdef class SpreadCurve(Curve):
cash_settle_date, end_dates,
double[:] coupon_rates, double[:] upfront_rates,
double[:] recovery_rates, bint pay_accrued_on_default=True,
- str ticker=None, bint fill_curve=True):
+ str ticker="", bint fill_curve=True):
cdef TDate today_c = pydate_to_TDate(today)
cdef TDate step_in_date_c
@@ -557,7 +559,7 @@ cdef class SpreadCurve(Curve):
NULL,
ACT_360,
&stub_type,
- <long>'M',
+ <long>b'M',
b'NONE')
if curve is NULL:
if freeup:
@@ -666,7 +668,8 @@ cdef class SpreadCurve(Curve):
@classmethod
def from_flat_hazard(cls, base_date, double rate, Basis basis=CONTINUOUS,
- str day_count_conv='Actual/365F'):
+ str day_count_conv='Actual/365F', double recovery=0.4,
+ str ticker=""):
"""
Alternative constructor for flat hazard rate Curve.
@@ -760,7 +763,7 @@ cdef class SpreadCurve(Curve):
NULL,
&stub_type,
ACT_360,
- <long>'M',
+ <long>b'M',
b'NONE',
yc._thisptr.get(),
self._thisptr.get(),
diff --git a/pyisda/date.pyx b/pyisda/date.pyx
index 6bd30de..fba523e 100644
--- a/pyisda/date.pyx
+++ b/pyisda/date.pyx
@@ -178,7 +178,7 @@ def default_accrual(trade_date, edd, start_date, end_date, double notional,
if JpmcdsStringToStubMethod(b"f/s", &stub) != SUCCESS:
raise ValueError("can't convert stub")
- if JpmcdsMakeDateInterval(3, "M", &ivl) != SUCCESS:
+ if JpmcdsMakeDateInterval(3, b"M", &ivl) != SUCCESS:
raise ValueError("can't convert to date interval")
if JpmcdsDefaultAccrual(trade_date_c,
diff --git a/pyisda/legs.pxd b/pyisda/legs.pxd
index 0dd0e0e..77b4230 100644
--- a/pyisda/legs.pxd
+++ b/pyisda/legs.pxd
@@ -1,6 +1,6 @@
-from date cimport TDateInterval
-from cdsone cimport TStubMethod
-from curve cimport TCurve
+from .date cimport TDateInterval
+from .cdsone cimport TStubMethod
+from .curve cimport TCurve
ctypedef int TBoolean
ctypedef long TDate
diff --git a/pyisda/legs.pyx b/pyisda/legs.pyx
index fa82629..b5bf312 100644
--- a/pyisda/legs.pyx
+++ b/pyisda/legs.pyx
@@ -1,8 +1,8 @@
from libc.stdlib cimport free
-from date cimport pydate_to_TDate, TDate_to_pydate, dcc
+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
+from .cdsone cimport JpmcdsStringToStubMethod, TStubMethod
+from .curve cimport YieldCurve, SpreadCurve
cdef class ContingentLeg:
"""
@@ -113,7 +113,7 @@ cdef class FeeLeg:
notional,
coupon_rate,
dcc(payment_dcc),
- <long>'M',
+ <long>b'M',
b'NONE',
protect_start)
if self._thisptr is NULL:
diff --git a/pyisda/optim.pyx b/pyisda/optim.pyx
index 540a10b..a3a4143 100644
--- a/pyisda/optim.pyx
+++ b/pyisda/optim.pyx
@@ -2,11 +2,11 @@ from libc.stdlib cimport abort
from libc.stdlib cimport free, malloc
from libc.stdio cimport printf
from libc.math cimport exp, sqrt
-from cdsone cimport JpmcdsStringToStubMethod, TStubMethod
-from curve cimport (TCurve, YieldCurve, JpmcdsFreeTCurve, JpmcdsNewTCurve,
+from .cdsone cimport JpmcdsStringToStubMethod, TStubMethod
+from .curve cimport (TCurve, YieldCurve, JpmcdsFreeTCurve, JpmcdsNewTCurve,
CONTINUOUS)
-from date cimport TDate, pydate_to_TDate, ACT_360, ACT_365F
-from legs cimport (JpmcdsCdsContingentLegMake, JpmcdsCdsFeeLegMake,
+from .date cimport TDate, pydate_to_TDate, ACT_360, ACT_365F
+from .legs cimport (JpmcdsCdsContingentLegMake, JpmcdsCdsFeeLegMake,
TContingentLeg, JpmcdsFeeLegPV, JpmcdsFeeLegFree, TFeeLeg)
cimport cython
@@ -88,7 +88,7 @@ def init_context(YieldCurve yc not None, trade_date, value_date, start_date,
1., # notional
1., # coupon_rate
ACT_360, # JPMCDS_ACT_360
- <long>'M',
+ <long>b'M',
b'NONE',
1) # protect_start = True
params.stepinDate = step_in_date_c
diff --git a/setup.py b/setup.py
index 68e589c..35005d8 100644
--- a/setup.py
+++ b/setup.py
@@ -25,7 +25,7 @@ all_extensions = cythonize(
[c_extension, all_extensions],
nthreads=4,
compiler_directives={"embedsignature": True,
- "language_level": 2,
+ "language_level": 3,
"c_string_type": "unicode",
"c_string_encoding": "ascii"},
)
generated by cgit v1.2.3-70-g09d2 (git 2.52.0) at 2025-12-21 13:05:08 +0000