diff options
| -rw-r--r-- | pyisda/credit_index.pyx | 45 |
1 files changed, 44 insertions, 1 deletions
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx index 31044b9..75e1067 100644 --- a/pyisda/credit_index.pyx +++ b/pyisda/credit_index.pyx @@ -14,7 +14,7 @@ from .legs cimport (JpmcdsCdsContingentLegMake, JpmcdsCdsFeeLegMake, from .curve cimport (SpreadCurve, JpmcdsCopyCurve, tweak_curve, YieldCurve, JpmcdsFreeTCurve, survival_prob, Hash64WithSeed, Hash64, uint64_t, TCurve_size, serialize, CurveName, - Seniority, DocClause, get_TCurve) + Seniority, DocClause, get_TCurve, JpmcdsCdsParSpreads) from .date cimport (pydate_to_TDate, TDate_to_pydate, JpmcdsDtFwdAny, TDateInterval, JpmcdsMakeDateInterval) from .cdsone cimport JpmcdsStringToStubMethod, TStubMethod @@ -601,6 +601,49 @@ cdef class CreditIndex(CurveList): schedule_ptr[i], epsilon) return sp, tickers + def spreads(self, YieldCurve yc not None, const TDate[::1] schedule=None): + cdef: + shared_ptr[TCurve] sc + pair[CurveName, size_t] p + np.npy_intp[2] n + const TDate* schedule_ptr + + if schedule is None: + schedule_ptr = self._maturities.const_data() + n[1] = self._maturities.size() + else: + schedule_ptr = &schedule[0] + n[1] = schedule.shape[0] + n[0] = self._curves.size() + + cdef: + np.ndarray spreads = np.PyArray_EMPTY(2, n, np.NPY_DOUBLE, 0) + double[:, ::1] spreads_view = spreads + TStubMethod stub_type + + JpmcdsStringToStubMethod(b"f/s", &stub_type) + + with nogil: + for p in self.names: + sc = self._curves[p.second] + JpmcdsCdsParSpreads( + self.base_date, + self.base_date + 1, + self.start_date, + n[1], + schedule_ptr, + True, + NULL, + &stub_type, + ACT_360, + MODIFIED, + b'NONE', + get_TCurve(yc), + sc.get(), + self.recovery_rates[p.second].get(), + &spreads_view[p.second, 0]) + return spreads + cdef unsigned long fill_mask(const TDate maturity, const vector[TDate]& maturities, const shared_ptr[TCurve]& sc) nogil: cdef: |