diff options
| -rw-r--r-- | pyisda/curve.pyx | 2 | ||||
| -rw-r--r-- | pyisda/date.pxd | 2 | ||||
| -rw-r--r-- | pyisda/date.pyx | 24 |
3 files changed, 14 insertions, 14 deletions
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx index 091ee6b..38ec250 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -615,7 +615,7 @@ cdef class SpreadCurve(Curve): cdef TRatePt* ptr = NULL if start_date is None: - start_date_c = _previous_twentieth(today_c, True) + start_date_c = _previous_twentieth(today_c, True, b"NONE") if start_date_c == -1: raise ValueError("incorrect today's date: " + today) else: diff --git a/pyisda/date.pxd b/pyisda/date.pxd index 0a081eb..0159ad8 100644 --- a/pyisda/date.pxd +++ b/pyisda/date.pxd @@ -91,4 +91,4 @@ cpdef TDate pydate_to_TDate(c_datetime.date d) cpdef c_datetime.date TDate_to_pydate(TDate d) cdef void _roll_date(TDate d, const double* tenors, int n_dates, TDate* output) nogil -cdef TDate _previous_twentieth(TDate d, bint roll) nogil +cdef TDate _previous_twentieth(TDate d, bint roll, char* cal) nogil diff --git a/pyisda/date.pyx b/pyisda/date.pyx index e3cc325..674413f 100644 --- a/pyisda/date.pyx +++ b/pyisda/date.pyx @@ -39,7 +39,7 @@ def dcc_tostring(long day_count): return c_string -cdef TDate _previous_twentieth(TDate d, bint roll) nogil: +cdef TDate _previous_twentieth(TDate d, bint roll, char* cal) nogil: cdef TMonthDayYear mdy if JpmcdsDateToMDY(d, &mdy) != SUCCESS: return -1 @@ -48,7 +48,7 @@ cdef TDate _previous_twentieth(TDate d, bint roll) nogil: if JpmcdsMDYToDate(&mdy, &r) != SUCCESS: return -1 if roll: - return next_business_day(r, FOLLOW) + return next_business_day(r, FOLLOW, cal) else: return r @@ -70,7 +70,7 @@ cdef inline void __previous_twentieth(TMonthDayYear* mdy) nogil: -def previous_twentieth(c_datetime.date d, bint roll=True): +def previous_twentieth(c_datetime.date d, bint roll=True, str cal="NONE"): cdef: TMonthDayYear mdy = [date_month(d), date_day(d), date_year(d)] TDate r @@ -79,12 +79,12 @@ def previous_twentieth(c_datetime.date d, bint roll=True): if JpmcdsMDYToDate(&mdy, &r) != SUCCESS: raise ValueError("Incorrect date") else: - return TDate_to_pydate(next_business_day(r, FOLLOW)) + return TDate_to_pydate(next_business_day(r, FOLLOW, cal)) else: return c_datetime.date_new(mdy.year, mdy.month, mdy.day) -def next_twentieth(d, bint roll=True): +def next_twentieth(d, bint roll=True, str cal="NONE"): cdef: TMonthDayYear mdy = [date_month(d), date_day(d), date_year(d)] TDate r @@ -93,20 +93,20 @@ def next_twentieth(d, bint roll=True): if JpmcdsMDYToDate(&mdy, &r) != SUCCESS: raise RuntimeError else: - return TDate_to_pydate(next_business_day(r, FOLLOW)) + return TDate_to_pydate(next_business_day(r, FOLLOW, cal)) else: return c_datetime.date_new(mdy.year, mdy.month, mdy.day) @cython.cdivision(True) -def cds_accrued(d, double coupon, bint include_cashflow=False): +def cds_accrued(d, double coupon, bint include_cashflow=False, str cal="NONE"): cdef: TDate date = pydate_to_TDate(d) + 1 - TDate date1 = next_business_day(date, PREVIOUS) - TDate date_prev = _previous_twentieth(date1, True) + TDate date1 = next_business_day(date, PREVIOUS, cal) + TDate date_prev = _previous_twentieth(date1, True, cal) if date_prev == date and include_cashflow: - date_prev = _previous_twentieth(date - 1, True) + date_prev = _previous_twentieth(date - 1, True, cal) return (date - date_prev)/360. * coupon @@ -126,9 +126,9 @@ cdef TMonthDayYear _next_twentieth(TMonthDayYear* mdy) nogil: mdy.year += 1 -cdef inline TDate next_business_day(TDate date, long method) nogil: +cdef inline TDate next_business_day(TDate date, long method, char* cal) nogil: cdef TDate r - if JpmcdsBusinessDay(date, method, "NONE", &r) != SUCCESS: + if JpmcdsBusinessDay(date, method, cal, &r) != SUCCESS: return -1 else: return r |