diff options
| -rw-r--r-- | pyisda/curve.pxd | 35 | ||||
| -rw-r--r-- | pyisda/curve.pyx | 20 |
2 files changed, 23 insertions, 32 deletions
diff --git a/pyisda/curve.pxd b/pyisda/curve.pxd index 8226fe9..577961a 100644 --- a/pyisda/curve.pxd +++ b/pyisda/curve.pxd @@ -6,7 +6,7 @@ from libcpp cimport bool from libcpp.string cimport string from libc.string cimport memcpy, memmove from libc.stdlib cimport malloc, realloc, free -from libc.stdint cimport uint64_t, uint16_t +from libc.stdint cimport uint64_t, uint16_t, uint8_t cdef extern from "isda/zerocurve.h" nogil: ctypedef int TBoolean @@ -182,18 +182,20 @@ cdef extern from "<string_view>" namespace "std" nogil: string.iterator begin() string.iterator end() -cdef extern from "survival_curve.hpp" nogil: - cdef cppclass CurveName: - enum Seniority: - Senior - Subordinated +cdef extern from "survival_curve.hpp" namespace "CurveName" nogil: + cpdef enum class DocClause(uint8_t): + XR14 + MR14 + MM14 + CR14 - enum DocClause: - XR14 - MR14 - MM14 - CR14 + cpdef enum class Seniority(uint8_t): + Senior + Subordinated + SLA +cdef extern from "survival_curve.hpp" nogil: + cdef cppclass CurveName: string_view ticker Seniority seniority DocClause doc_clause @@ -204,17 +206,6 @@ cdef extern from "survival_curve.hpp" nogil: string full_ticker() size_t size() -cpdef enum DocClause: - XR14 - MR14 - MM14 - CR14 - -cpdef enum Seniority: - Senior - Subordinated - SLA - cdef inline const TCurve* get_TCurve(Curve c) nogil: return <TCurve*>c.buf.get() diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx index 9b42ba2..b5c2d5d 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -416,7 +416,7 @@ cdef class YieldCurve(Curve): @classmethod - def from_discount_factors(cls, base_date, list dates, double[:] dfs, str day_count_conv, Basis basis=CONTINUOUS): + def from_discount_factors(cls, base_date, list dates, double[:] dfs, str day_count_conv, Basis basis=Basis.CONTINUOUS): """ build a yield curve from a list of discount factors """ cdef YieldCurve yc = YieldCurve.__new__(YieldCurve) yc.buf_size = sizeof(TCurve) + len(dates) * sizeof(TRatePt) @@ -436,7 +436,7 @@ cdef class YieldCurve(Curve): return yc @classmethod - def from_zero_rates(cls, base_date, list dates, double[:] rates, str day_count_conv, Basis basis=CONTINUOUS): + def from_zero_rates(cls, base_date, list dates, double[:] rates, str day_count_conv, Basis basis=Basis.CONTINUOUS): """ build a yield curve from a list of discount factors """ cdef YieldCurve yc = YieldCurve.__new__(YieldCurve) yc.buf_size = sizeof(TCurve) + len(dates) * sizeof(TRatePt) @@ -568,9 +568,9 @@ cdef void tweak_curve(const TCurve* sc, TCurve* sc_tweaked, double epsilon, t1 = t2 cdef size_t buf_size(int n, int ticker_len) nogil: - return sizeof(TCurve) + n * sizeof(TRatePt) + n * sizeof(double) + sizeof(TDate) + sizeof(CurveName.DocClause) + sizeof(CurveName.Seniority) + ticker_len + 1 + return sizeof(TCurve) + n * sizeof(TRatePt) + n * sizeof(double) + sizeof(TDate) + sizeof(DocClause) + sizeof(Seniority) + ticker_len + 1 -cdef uint16_t name_offset_from_buf(char* buf) nogil: +cdef uint16_t name_offset_from_buf(const char* buf) nogil: cdef TCurve* curve = <TCurve*>buf cdef int n = curve.fNumItems return sizeof(TCurve) + n * (sizeof(TRatePt) + sizeof(double)) + sizeof(TDate) @@ -606,8 +606,8 @@ cdef class SpreadCurve(Curve): cash_settle_date, end_dates, const double[:] coupon_rates, const double[:] upfront_rates, const double[:] recovery_rates, bint pay_accrued_on_default=True, - str ticker="", Seniority seniority=Senior, - DocClause doc_clause=XR14, + str ticker="", Seniority seniority=Seniority.Senior, + DocClause doc_clause=DocClause.XR14, bint fill_curve=True, defaulted=None, str calendar="NONE"): @@ -729,7 +729,7 @@ cdef class SpreadCurve(Curve): curve = <TCurve*>buf curve.fNumItems = n_dates curve.fBaseDate = today_c - curve.fBasis = <double>CONTINUOUS + curve.fBasis = <double>Basis.CONTINUOUS curve.fDayCountConv = ACT_360 ptr = curve.fArray for i in range(n_dates): @@ -1000,11 +1000,11 @@ cdef class SpreadCurve(Curve): @property def seniority(self): - return Seniority(<int>self.name()[0]) + return <Seniority>self.name()[0] @property def doc_clause(self): - return DocClause(<int>self.name()[1]) + return <DocClause>self.name()[1] @cython.cdivision(True) @@ -1017,7 +1017,7 @@ cdef void _fill_curve(const TCurve* sc, const TDate* end_dates, int n_dates, cha TCurve* curve = <TCurve*>buf curve.fNumItems = n_dates curve.fBaseDate = base_date - curve.fBasis = <double>CONTINUOUS + curve.fBasis = <double>Basis.CONTINUOUS curve.fDayCountConv = ACT_365F cdef TRatePt* it = curve.fArray |