diff options
| -rw-r--r-- | pyisda/credit_index.pyx | 83 |
1 files changed, 82 insertions, 1 deletions
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx index e2bd58b..dbb9a6d 100644 --- a/pyisda/credit_index.pyx +++ b/pyisda/credit_index.pyx @@ -1,6 +1,6 @@ #cython: cdivision=True, boundscheck=False, c_string_type=unicode, c_string_encoding=ascii from libc.stdlib cimport malloc, free -from libc.math cimport nan, isnan +from libc.math cimport nan, isnan, log from libc.string cimport memcpy, memset from libcpp.pair cimport pair from libcpp.memory cimport make_shared @@ -667,6 +667,87 @@ cdef class CreditIndex(CurveList): &spreads_view[p.second, 0]) return spreads + def dispersion(self, YieldCurve yc not None, const TDate[::1] schedule=None, const bint use_log=True): + cdef: + shared_ptr[TCurve] sc + pair[CurveName, size_t] p + np.npy_intp n + const TDate* schedule_ptr + size_t i + + if schedule is None: + schedule_ptr = self._maturities.const_data() + n = self._maturities.size() + else: + schedule_ptr = &schedule[0] + n = schedule.shape[0] + + cdef: + np.ndarray std_spreads = np.PyArray_ZEROS(1, &n, np.NPY_DOUBLE, 0) + double[::1] std_spreads_view = std_spreads + TStubMethod stub_type + double Mk, w + double* spreads = <double*>malloc(n * sizeof(double)) + double* M = <double*>malloc(n * sizeof(double)) + double w_sum, w_sum2 + bint first_time = True + + JpmcdsStringToStubMethod(b"f/s", &stub_type) + + with nogil: + + for p in self.names: + if self.defaulted[p.second] != -1: + continue + sc = self._curves[p.second] + w = self._weights[p.second] + JpmcdsCdsParSpreads( + self.base_date, + self.base_date + 1, + self._start_date, + n, + schedule_ptr, + True, + NULL, + &stub_type, + ACT_360, + MODIFIED, + b'NONE', + get_TCurve(yc), + sc.get(), + self.recovery_rates[p.second].get(), + spreads) + + if first_time: + if use_log: + for i in range(n): + M[i] = log(spreads[i]) + else: + memcpy(M, spreads, n * sizeof(double)) + w_sum = w + w_sum2 = w * w + first_time = False + continue + w_sum += w + w_sum2 += w * w + if use_log: + for i in range(n): + S = log(spreads[i]) + Mk = M[i] + (w / w_sum) * (S - M[i]) + std_spreads_view[i] += w * (S - M[i]) * (S - Mk) + M[i] = Mk + else: + for i in range(n): + S = spreads[i] + Mk = M[i] + (w / w_sum) * (S - M[i]) + std_spreads_view[i] += w * (S - M[i]) * (S - Mk) + M[i] = Mk + for i in range(n): + std_spreads_view[i] /= (w_sum - w_sum2 / w_sum) + free(M) + free(spreads) + return std_spreads + cdef unsigned long fill_mask(const TDate maturity, const vector[TDate]& maturities, const shared_ptr[TCurve]& sc) nogil: cdef: |