diff options
| -rw-r--r-- | pyisda/curve.pyx | 24 |
1 files changed, 8 insertions, 16 deletions
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx index ccd83f7..312c7d6 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -1,6 +1,6 @@ from cython.operator import dereference as deref, preincrement as preinc -from cpython.bytes cimport PyBytes_FromStringAndSize, PyBytes_AS_STRING +from cpython.bytes cimport PyBytes_FromStringAndSize, PyBytes_AS_STRING, PyBytes_GET_SIZE from libc.math cimport log1p, log, exp, isnan from libc.string cimport strcpy, strncpy, strlen from .date cimport (JpmcdsStringToDateInterval, pydate_to_TDate, dcc, @@ -19,19 +19,11 @@ import numpy as np np.import_array() import pandas as pd from cpython cimport Py_buffer -from cpython.bytes cimport PyBytes_GET_SIZE cdef extern from "Python.h": int PyMemoryView_Check(object) Py_buffer *PyMemoryView_GET_BUFFER(object) -cdef extern from "numpy/arrayobject.h": - void PyArray_ENABLEFLAGS(np.ndarray arr, int flags) - int PyArray_CheckExact(object) - void* PyArray_DATA(object) - int PyArray_TYPE(object) - np.npy_intp PyArray_Size(object) - cdef extern from "lz4.h" nogil: int LZ4_compress_default(const char* src, char* dst, int srcSize, int dstCapacity) int LZ4_decompress_safe(const char* src, char* dst, int compressedSize, int dstCapacity) @@ -303,7 +295,7 @@ cdef class Curve(object): cdef np.ndarray[np.float64_t] out = \ np.PyArray_SimpleNewFromData(1, &shape, np.NPY_DOUBLE, data) - PyArray_ENABLEFLAGS(out, np.NPY_OWNDATA) + np.PyArray_ENABLEFLAGS(out, np.NPY_OWNDATA) return out @property @@ -841,13 +833,13 @@ cdef class SpreadCurve(Curve): if not isnan(upfront_rates[i]) and not isnan(coupon_rates[i]): includes |= 1 << i i += 1 - elif PyArray_CheckExact(end_dates): - n_dates = PyArray_Size(end_dates) - if PyArray_TYPE(end_dates) == np.NPY_INT64: - end_dates_c = <TDate*>PyArray_DATA(end_dates) - elif PyArray_TYPE(end_dates) == np.NPY_DOUBLE: + elif np.PyArray_CheckExact(end_dates): + n_dates = np.PyArray_Size(end_dates) + if np.PyArray_TYPE(end_dates) == np.NPY_INT64: + end_dates_c = <TDate*>np.PyArray_DATA(end_dates) + elif np.PyArray_TYPE(end_dates) == np.NPY_DOUBLE: end_dates_c = <TDate*>malloc(n_dates * sizeof(TDate)) - tenors_c = <double*>PyArray_DATA(end_dates) + tenors_c = <double*>np.PyArray_DATA(end_dates) freeup = True _roll_date(today_c, tenors_c, n_dates, end_dates_c) for i in range(upfront_rates.shape[0]): |