diff options
| -rw-r--r-- | pyisda/credit_index.pyx | 19 |
1 files changed, 10 insertions, 9 deletions
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx index 0264272..017f9fe 100644 --- a/pyisda/credit_index.pyx +++ b/pyisda/credit_index.pyx @@ -630,7 +630,8 @@ cdef class CreditIndex(CurveList): self._curves[i].reset(new_buf, char_free) self.names[CurveName(new_buf + offset)] = i - def survival_matrix(self, const TDate[::1] schedule=None, double epsilon=0., bint logsp=False): + @cython.wraparound(False) + def survival_matrix(self, const TDate[::1] schedule=None, double epsilon=0., bint log_dp=False): cdef: TCurve* sc pair[CurveName, size_t] p @@ -647,17 +648,17 @@ cdef class CreditIndex(CurveList): n[0] = self._curves.size() cdef: - 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 + np.ndarray[object, ndim=1] tickers = np.PyArray_EMPTY(1, n, np.NPY_OBJECT, 1) + np.ndarray[np.float64_t, ndim=2] sp = np.PyArray_EMPTY(2, n, np.NPY_DOUBLE, 1) + double[::1, :] sp_view = sp j = 0 for p in self.names: sc = <TCurve*>(self._curves[p.second].get()) - tickers[j] = string(p.first.ticker.begin(), p.first.ticker.end()) + tickers[j] = PyUnicode_FromStringAndSize(p.first.ticker.data(), p.first.ticker.size()) for i in range(n[1]): sp_view[j, i] = survival_prob(sc, self.base_date, - schedule_ptr[i], epsilon, logsp) + schedule_ptr[i], epsilon, log_dp) j += 1 return sp, tickers @@ -846,7 +847,7 @@ cdef unsigned long fill_mask(const TDate maturity, const vector[TDate]& maturiti mask |= 1 << i return mask -cdef inline int get_maturity_index(TDate maturity, const vector[TDate]& maturities): +cdef inline int get_maturity_index(TDate maturity, const vector[TDate]& maturities) noexcept nogil: cdef size_t i for i in range(maturities.size()): if maturities[i] == maturity: @@ -856,7 +857,7 @@ cdef inline int get_maturity_index(TDate maturity, const vector[TDate]& maturiti return i cdef pair[TContingentLeg_ptr, TFeeLeg_ptr] get_legs(TDate maturity, - TDate start_date, const char* cal) nogil: + TDate start_date, const char* cal) noexcept nogil: cdef: pair[TContingentLeg_ptr, TFeeLeg_ptr] r TStubMethod stub_type @@ -888,7 +889,7 @@ cdef double pv(const vector[shared_ptr[char]]& curves, double fixed_rate, const vector[double]& weights, double epsilon, - unsigned long mask) nogil: + unsigned long mask) noexcept nogil: cdef: double fl_pv, cl_pv, r = 0.0 TCurve *tweaked_curve |