diff options
| -rw-r--r-- | pyisda/credit_index.pyx | 27 |
1 files changed, 17 insertions, 10 deletions
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx index 6731ca9..2f156a8 100644 --- a/pyisda/credit_index.pyx +++ b/pyisda/credit_index.pyx @@ -20,6 +20,7 @@ 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) @@ -66,20 +67,20 @@ cdef class CurveList: self.T[i] = (sc._thisptr.get().fArray[i].fDate - self.base_date) / 365. i = 0 + cdef int n_skipped = 0 for sc in curves: - it = self.tickers.find(sc.ticker) - if it == self.tickers.end(): - self.tickers[sc.ticker] = i - if sc is not None: + if sc is not None: + it = self.tickers.find(sc.ticker) + if it == self.tickers.end(): + self.tickers[sc.ticker] = i self._curves.push_back(sc._thisptr) self.recovery_rates.push_back(sc.recovery_rates) + self._weights.push_back(1.) + i += 1 else: - self._curves.push_back(shared_ptr[TCurve]()) - self.recovery_rates.push_back(shared_ptr[double]()) - self._weights.push_back(1.) - i += 1 + self._weights[deref(it).second] += 1 else: - self._weights[deref(it).second] += 1 + n_skipped += 1 if weights is not None: for i in range(weights.shape[0]): @@ -88,6 +89,9 @@ cdef class CurveList: for i in range(self._curves.size()): self._weights[i] /= n + if n_skipped > 0: + warnings.warn(f"skipped {n_skipped} empty curves") + def __getitem__(self, str ticker): cdef: string ticker_cpp = ticker.encode() @@ -325,7 +329,10 @@ cdef class CreditIndex(CurveList): cdef: TDate step_in_date_c = pydate_to_TDate(step_in_date) TDate value_date_c = pydate_to_TDate(value_date) - np.npy_intp[2] n = [self._curves.size(), self._maturities.size()] + np.npy_intp[2] n + n[0] = self._curves.size() + n[1] = self._maturities.size() + cdef: size_t i = 0, j = 0 np.ndarray[np.float64_t,ndim=2] cl_pv = np.PyArray_EMPTY(2, n, np.NPY_DOUBLE, 0) np.ndarray[np.float64_t,ndim=2] fl_pv = np.PyArray_EMPTY(2, n, np.NPY_DOUBLE, 0) |