diff options
| -rw-r--r-- | pyisda/credit_index.pyx | 11 |
1 files changed, 5 insertions, 6 deletions
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx index 4e4c0c9..6e9664f 100644 --- a/pyisda/credit_index.pyx +++ b/pyisda/credit_index.pyx @@ -18,16 +18,12 @@ from cdsone cimport JpmcdsStringToStubMethod, TStubMethod from date cimport ACT_365F cimport numpy as np np.import_array() -import numpy as np import pandas as pd import warnings cdef inline shared_ptr[TCurve] make_shared(TCurve* ptr) nogil: return shared_ptr[TCurve](ptr, JpmcdsFreeTCurve) -cdef inline void double_free(double* ptr) nogil: - free(ptr) - cdef TFeeLeg* copyFeeLeg(TFeeLeg* leg) nogil: cdef TFeeLeg* new_leg = <TFeeLeg*>malloc(sizeof(TFeeLeg)) cdef size_t size = leg.nbDates * sizeof(TDate) @@ -467,13 +463,16 @@ cdef class CreditIndex(CurveList): for sc in self._curves: tweak_curve(sc.get(), sc.get(), epsilon, h, self.T, mask) - def survival_matrix(self, TDate[:] schedule, d1=None): + def survival_matrix(self, TDate[:] schedule): cdef: shared_ptr[TCurve] sc pair[string, size_t] p TDate start_date size_t i - np.npy_intp[2] n = [self._curves.size(), schedule.shape[0]] + np.npy_intp[2] n + n[0] = self._curves.size() + n[1] = schedule.shape[0] + cdef: np.ndarray[np.float64_t, ndim=2] sp = np.PyArray_EMPTY(2, n, np.NPY_DOUBLE, 1) np.ndarray tickers = np.PyArray_EMPTY(1, n, np.NPY_OBJECT, 1) |