diff options
| -rw-r--r-- | pyisda/credit_index.pyx | 20 |
1 files changed, 15 insertions, 5 deletions
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx index 27511f9..b59e19c 100644 --- a/pyisda/credit_index.pyx +++ b/pyisda/credit_index.pyx @@ -23,7 +23,7 @@ cimport numpy as np np.import_array() import pandas as pd import warnings - +cimport cython ctypedef TFeeLeg* TFeeLeg_ptr ctypedef TContingentLeg* TContingentLeg_ptr @@ -570,23 +570,33 @@ cdef class CreditIndex(CurveList): - def survival_matrix(self, TDate[:] schedule, double epsilon=0.): + def survival_matrix(self, const TDate[::1] schedule=None, double epsilon=0.): cdef: shared_ptr[TCurve] sc pair[CurveName, size_t] p size_t i np.npy_intp[2] n + const TDate* schedule_ptr + + if schedule is None: + schedule_ptr = self._maturities.const_data() + n[1] = self._maturities.size() + else: + schedule_ptr = &schedule[0] + n[1] = schedule.shape[0] 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 sp = np.PyArray_EMPTY(2, n, np.NPY_DOUBLE, 1) np.ndarray tickers = np.PyArray_EMPTY(1, n, np.NPY_OBJECT, 1) + double[::1,:] sp_view = sp for p in self.names: sc = self._curves[p.second] tickers[p.second] = p.first.ticker for i in range(n[1]): - sp[p.second, i] = survival_prob(sc.get(), self.base_date, schedule[i], epsilon) + sp_view[p.second, i] = survival_prob(sc.get(), self.base_date, + schedule_ptr[i], epsilon) return sp, tickers cdef unsigned long fill_mask(const TDate maturity, const vector[TDate]& maturities, |