diff options
| -rw-r--r-- | pyisda/credit_index.pyx | 27 |
1 files changed, 21 insertions, 6 deletions
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx index b545858..509b0de 100644 --- a/pyisda/credit_index.pyx +++ b/pyisda/credit_index.pyx @@ -5,7 +5,7 @@ from libc.string cimport memcpy, memset, strcpy from libcpp.pair cimport pair from libcpp.memory cimport make_shared from cython.operator cimport dereference as deref, preincrement as preinc -from cpython cimport PyObject, Py_INCREF +from cpython.unicode cimport PyUnicode_FromStringAndSize from cython.parallel cimport prange, parallel cimport cython @@ -154,11 +154,12 @@ cdef class CurveList: yield ((sc.ticker, sc.seniority, sc.doc_clause), self._weights[p.second], sc) @property + @cython.wraparound(False) def weights(self): cdef: np.npy_intp shape = self._weights.size() pair[CurveName, size_t] p - np.ndarray out = np.PyArray_EMPTY(1, &shape, np.NPY_DOUBLE, 1) + np.ndarray[np.float64_t, ndim=1] out = np.PyArray_EMPTY(1, &shape, np.NPY_DOUBLE, 1) int j = 0 for p in self.names: out[j] = self._weights[p.second] @@ -171,20 +172,34 @@ cdef class CurveList: raise ValueError("size mismatch") cdef size_t i - for i in range(self.weights.size()): - self.weights[i] = val[i] + for i in range(self._weights.size()): + self._weights[i] = val[i] + @property + @cython.wraparound(False) + def recovery_rates(self): + cdef: + np.npy_intp shape = self._weights.size() + pair[CurveName, size_t] p + np.ndarray[np.float64_t, ndim=1] out = np.PyArray_EMPTY(1, &shape, np.NPY_DOUBLE, 1) + int j = 0 + + for p in self.names: + out[j] = (<double*>(self._curves[p.second].get() + self.offset_recovery_rates[p.second]))[0] + j += 1 + return out @property + @cython.wraparound(False) def tickers(self): cdef: np.npy_intp shape = self.names.size() pair[CurveName, size_t] p - np.ndarray out = np.PyArray_EMPTY(1, &shape, np.NPY_OBJECT, 1) + np.ndarray[object, ndim=1] out = np.PyArray_EMPTY(1, &shape, np.NPY_OBJECT, 1) int j = 0 for p in self.names: - out[j] = string(p.first.ticker.begin(), p.first.ticker.end()) + out[j] = PyUnicode_FromStringAndSize(p.first.ticker.data(), p.first.ticker.size()) j += 1 return out |