diff options
| -rw-r--r-- | pyisda/curve.pyx | 43 |
1 files changed, 19 insertions, 24 deletions
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx index 0d35aa5..b903281 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -465,7 +465,7 @@ 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): + str ticker=None, bint fill_curve=True): cdef TDate today_c = pydate_to_TDate(today) cdef TDate step_in_date_c @@ -491,6 +491,7 @@ cdef class SpreadCurve(Curve): cdef TDate* end_dates_c = NULL cdef double* tenors_c = NULL cdef TCurve* curve = NULL + cdef TCurve* new_curve = NULL cdef unsigned int includes = 0 cdef size_t i cdef bint freeup = False @@ -551,7 +552,13 @@ cdef class SpreadCurve(Curve): if curve is NULL: raise ValueError("Didn't init the survival curve properly") else: - self._thisptr = make_shared(curve) + if fill_curve and curve.fNumItems != n_dates: + new_curve = _fill_curve(curve, end_dates_c, n_dates) + self._thisptr = make_shared(new_curve) + JpmcdsFreeTCurve(curve) + curve = new_curve + else: + self._thisptr = make_shared(curve) self.recovery_rates = shared_ptr[double]( <double*>malloc(curve.fNumItems * sizeof(double)), double_free) @@ -774,30 +781,18 @@ cdef class SpreadCurve(Curve): self.recovery_rates.get()) return out -@cython.boundscheck(False) -@cython.wraparound(False) -@cython.initializedcheck(False) @cython.cdivision(True) -def fill_curve(SpreadCurve sc, TDate[:] end_dates): - - cdef size_t n_dates = end_dates.shape[0] - cdef size_t i - cdef TDate base_date = sc._thisptr.get().fBaseDate - cdef double t - cdef TCurve* curve = JpmcdsNewTCurve(sc._thisptr.get().fBaseDate, - n_dates, - 5000., - 2) - cdef TRatePt* it = curve.fArray +@cython.boundscheck(False) +cdef TCurve* _fill_curve(TCurve* sc, TDate* end_dates, int n_dates): + cdef: + size_t i + TDate base_date = sc.fBaseDate + double t + TCurve* curve = JpmcdsNewTCurve(base_date, n_dates, 5000., 2) + TRatePt* it = curve.fArray for i in range(n_dates): t = (end_dates[i] - base_date)/365. it[i].fDate = end_dates[i] - it[i].fRate = -log(JpmcdsForwardZeroPrice(sc._thisptr.get(), base_date, - end_dates[i])) / t - - cdef SpreadCurve sc_new = SpreadCurve.__new__(SpreadCurve) - sc_new._thisptr = make_shared(curve) - sc_new.ticker = sc.ticker - sc_new.recovery_rates = sc.recovery_rates - return sc_new + it[i].fRate = -log(JpmcdsForwardZeroPrice(sc, base_date, end_dates[i])) / t + return curve |