diff options
| -rw-r--r-- | pyisda/credit_index.pxd | 2 | ||||
| -rw-r--r-- | pyisda/credit_index.pyx | 59 |
2 files changed, 51 insertions, 10 deletions
diff --git a/pyisda/credit_index.pxd b/pyisda/credit_index.pxd index 24ccf6f..cb7c944 100644 --- a/pyisda/credit_index.pxd +++ b/pyisda/credit_index.pxd @@ -8,6 +8,8 @@ cdef class CurveList: cdef int _len_curves cdef double* _T cdef int _len_T + cdef list _tickers + cdef dict _tickersdict cdef class CreditIndex(CurveList): cdef TDate* _maturities diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx index 0ea469c..c7cd4e9 100644 --- a/pyisda/credit_index.pyx +++ b/pyisda/credit_index.pyx @@ -3,7 +3,7 @@ cimport cython from legs cimport (JpmcdsCdsContingentLegMake, JpmcdsCdsFeeLegMake, JpmcdsContingentLegPV, JpmcdsFeeLegPV, FeeLegAI, JpmcdsFeeLegFree) from curve cimport (SpreadCurve, JpmcdsCopyCurve, tweak_curve, YieldCurve, - JpmcdsFreeTCurve, JpmcdsNewTCurve) + JpmcdsFreeTCurve) from date cimport pydate_to_TDate, TDate_to_pydate, ACT_365F from cdsone cimport JpmcdsStringToStubMethod, TStubMethod from date cimport ACT_365F @@ -11,8 +11,15 @@ cimport numpy as np np.import_array() cdef class CurveList: - def __init__(self, curves): - cdef SpreadCurve sc = <SpreadCurve?>curves[0] + def __init__(self, curves, tickers=None): + cdef SpreadCurve sc + if isinstance(curves[0], tuple): + sc = <SpreadCurve?>(curves[0][1]) + elif isinstance(curves[0], SpreadCurve): + sc = <SpreadCurve>curves[0] + else: + raise TypeError("curves need to be a list of SpreadCurve "\ + "or a list of tuple (SpreadCurve, ticker)") self._len_T = sc._thisptr.fNumItems self._base_date = sc._thisptr.fBaseDate self._T = <double*>malloc(sizeof(double) * self._len_T) @@ -21,8 +28,24 @@ cdef class CurveList: self._T[i] = (sc._thisptr.fArray[i].fDate - self._base_date) / 365. self._len_curves = len(curves) self._curves = <TCurve**>malloc(sizeof(TCurve*) * self._len_curves) - for i, c in enumerate(curves): - self._curves[i] = JpmcdsCopyCurve((<SpreadCurve?>c)._thisptr) + + self._tickers = [] + self._tickersdict = {} + if isinstance(curves[0], tuple): + for i, (t, c) in enumerate(curves): + self._curves[i] = JpmcdsCopyCurve((<SpreadCurve?>c)._thisptr) + self._tickers.append(t) + self._tickersdict[t] = i + else: + for i, c in enumerate(curves): + self._curves[i] = JpmcdsCopyCurve((<SpreadCurve?>c)._thisptr) + + if tickers and not self._tickers: + if len(tickers) != self._len_curves: + raise ValueError("tickers must have the same length as curves") + else: + self._tickers = tickers + self._tickersdict = {t: i for i, t in enumerate(tickers)} def __dealloc__(self): if self._T is not NULL: @@ -32,6 +55,24 @@ cdef class CurveList: JpmcdsFreeTCurve(self._curves[i]) free(self._curves) + def __getitem__(self, str ticker): + ## would need to use a shared pointer to avoid a copy + cdef SpreadCurve sc + if ticker in self._tickers: + sc = SpreadCurve.__new__(SpreadCurve) + sc._thisptr = JpmcdsCopyCurve(self._curves[self._tickersdict[ticker]]) + return sc + else: + raise KeyError(ticker) + + def iteritems(self): + ## would need to use a shared pointer to avoid a copy + cdef SpreadCurve sc + for i in range(self._len_curves): + sc = SpreadCurve.__new__(SpreadCurve) + sc._thisptr = self._curves[i] + yield (self._tickers[i], sc) + @property def curves(self): """returns the list of curves inside the porfolio. @@ -166,13 +207,10 @@ cdef class CreditIndex(CurveList): if mask == NULL: raise ValueError("maturity is not correct") h = <double*>malloc(sizeof(double) * self._len_T) - tweaked_curve = JpmcdsNewTCurve(self._base_date, - self._len_T, - 5000., - ACT_365F) + tweaked_curve = JpmcdsCopyCurve(self._curves[0]) cdef: - double fl_pv, cl_pv, r=0 + double fl_pv, cl_pv, r = 0 for i in range(self._len_curves): if epsilon != 0: @@ -207,6 +245,7 @@ cdef class CreditIndex(CurveList): cdef list r = [] for i in range(self._len_maturities): r.append(TDate_to_pydate(self._maturities[i])) + return r def tweak_portfolio(self, double epsilon, maturity, bint inplace=True): cdef TDate maturity_c = pydate_to_TDate(maturity) |