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| -rw-r--r-- | pyisda/date.pyx | 5 |
1 files changed, 5 insertions, 0 deletions
diff --git a/pyisda/date.pyx b/pyisda/date.pyx index f858d1a..034a3e3 100644 --- a/pyisda/date.pyx +++ b/pyisda/date.pyx @@ -68,6 +68,11 @@ def previous_twentieth(d, bint roll=True): cdef TDate date = pydate_to_TDate(d) return TDate_to_pydate(_previous_twentieth(date, roll)) +@cython.cdivision(True) +def cds_accrued(d, double coupon): + cdef TDate date = pydate_to_TDate(d) + 1 + return (date - _previous_twentieth(date, True))/360. * coupon + cdef TMonthDayYear next_twentieth(TDate d) nogil: cdef TMonthDayYear mdy JpmcdsDateToMDY(d, &mdy) |