diff options
| -rw-r--r-- | pyisda/cdsone.pxd | 8 | ||||
| -rw-r--r-- | pyisda/curve.pxd | 2 | ||||
| -rw-r--r-- | pyisda/curve.pyx | 4 | ||||
| -rw-r--r-- | pyisda/date.pxd | 3 | ||||
| -rw-r--r-- | pyisda/legs.pxd | 3 | ||||
| -rw-r--r-- | pyisda/legs.pyx | 6 |
6 files changed, 10 insertions, 16 deletions
diff --git a/pyisda/cdsone.pxd b/pyisda/cdsone.pxd index d40a7f2..45d2fd3 100644 --- a/pyisda/cdsone.pxd +++ b/pyisda/cdsone.pxd @@ -1,12 +1,6 @@ -from .date cimport TDateInterval +from .date cimport TDateInterval TStubMethod, JpmcdsStringToStubMethod from .curve cimport TCurve -cdef extern from "isda/stub.h" nogil: - ctypedef struct TStubMethod: - pass - - int JpmcdsStringToStubMethod(char* name, TStubMethod* stub) - cdef extern from "isda/cdsone.h" nogil: ctypedef int TBoolean diff --git a/pyisda/curve.pxd b/pyisda/curve.pxd index 698674a..5297c48 100644 --- a/pyisda/curve.pxd +++ b/pyisda/curve.pxd @@ -1,4 +1,4 @@ -from .cdsone cimport TStubMethod +from .date cimport TStubMethod from .legs cimport TContingentLeg, TFeeLeg from libcpp.vector cimport vector from libcpp cimport bool diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx index f77ddfa..224ad1b 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -559,9 +559,9 @@ cdef class SpreadCurve(Curve): "or an array of tenors or TDates") cdef TStubMethod stub_type - if JpmcdsStringToStubMethod(b"f/s", &stub_type) != 0: - raise ValueError("can't convert stub") with nogil: + stub_type.stubAtEnd = False + stub_type.longStub = False if self.defaulted == -1: curve = JpmcdsCleanSpreadCurve(today_c, get_TCurve(yc), diff --git a/pyisda/date.pxd b/pyisda/date.pxd index 3c02d3d..0a081eb 100644 --- a/pyisda/date.pxd +++ b/pyisda/date.pxd @@ -19,7 +19,8 @@ cdef extern from "isda/mdydate.h": cdef extern from "isda/stub.h" nogil: ctypedef struct TStubMethod: - pass + bint stubAtEnd + bint longStub int JpmcdsStringToStubMethod(char* name, TStubMethod* stub) diff --git a/pyisda/legs.pxd b/pyisda/legs.pxd index 77b4230..a9e1ad7 100644 --- a/pyisda/legs.pxd +++ b/pyisda/legs.pxd @@ -1,5 +1,4 @@ -from .date cimport TDateInterval -from .cdsone cimport TStubMethod +from .date cimport TDateInterval, TStubMethod from .curve cimport TCurve ctypedef int TBoolean diff --git a/pyisda/legs.pyx b/pyisda/legs.pyx index 1b5a7f1..838ef7a 100644 --- a/pyisda/legs.pyx +++ b/pyisda/legs.pyx @@ -1,7 +1,7 @@ from libc.stdlib cimport free -from .date cimport pydate_to_TDate, TDate_to_pydate, dcc -from .date import dcc_tostring, MODIFIED -from .cdsone cimport JpmcdsStringToStubMethod, TStubMethod +from .date cimport (pydate_to_TDate, TDate_to_pydate, dcc, + JpmcdsStringToStubMethod, MODIFIED) +from .date import dcc_tostring from .curve cimport YieldCurve, SpreadCurve cdef class ContingentLeg: |