diff options
| -rw-r--r-- | Makefile | 4 | ||||
| -rw-r--r-- | date.pxd (renamed from convert.pxd) | 10 | ||||
| -rw-r--r-- | zerocurve.pyx | 21 |
3 files changed, 28 insertions, 7 deletions
@@ -1,2 +1,6 @@ build: python setup.py build_ext --inplace + +clean: + find -name \*.c -exec rm {} \; + rm -rf build @@ -13,3 +13,13 @@ cdef extern from "isda/date_sup.h": cdef extern from "isda/dateconv.h": TDate JpmcdsDate(long year, long month, long day) + +cdef extern from "isda/ldate.h": + int JpmcdsDateFwdThenAdjust(TDate date, TDateInterval* interval, long badDayMethod, + char* holidayFile, TDate *advAdjustedDate) + +cdef enum BadDay: + FOLLOW = <long>'F' + PREVIOUS = <long>'P' + NONE = <long>'N' + MODIFIED = <long>'M' diff --git a/zerocurve.pyx b/zerocurve.pyx index 2918bae..e56a38e 100644 --- a/zerocurve.pyx +++ b/zerocurve.pyx @@ -2,16 +2,17 @@ from cpython cimport datetime from libc.stdlib cimport malloc, free from pyisda.zerocurve cimport JpmcdsBuildIRZeroCurve from pyisda.yearfrac cimport dcc -from pyisda.convert cimport JpmcdsStringToDateInterval, JpmcdsDateIntervalToFreq, JpmcdsDate +from pyisda.date cimport (JpmcdsStringToDateInterval, JpmcdsDateIntervalToFreq, + JpmcdsDate, JpmcdsDateFwdThenAdjust, NONE) cdef int SUCCESS = 0 -cdef class Tcurve: +cdef class ZeroCurve: cdef TCurve* _thisptr cdef TDate* _dates def __cinit__(self, date, str types, - list dates, double[:] rates, + list periods, double[:] rates, str mm_dcc, str fixed_swap_period, str float_swap_period, str fixed_swap_dcc, str float_swap_dcc, char bad_day_conv, char* holidayFile): @@ -28,10 +29,16 @@ cdef class Tcurve: else: raise ValueError - cdef TDate* _dates = <TDate*>malloc(len(dates) * sizeof(TDate)) + cdef TDate* _dates = <TDate*>malloc(len(periods) * sizeof(TDate)) + cdef TDateInterval tmp - for i, d in enumerate(date): - _dates[i] = JpmcdsDate(d.year, d.month, d.day) + for i, p in enumerate(periods): + period_bytes = p.encode('utf-8') + if JpmcdsStringToDateInterval(p, routine, &tmp) != SUCCESS: + raise ValueError + if JpmcdsDateFwdThenAdjust(value_date, &tmp, NONE, + "None", &_dates[i]) != SUCCESS: + raise ValueError('Invalid interval') fixed_bytes = fixed_swap_period.encode('utf-8') float_bytes = float_swap_period.encode('utf-8') @@ -47,7 +54,7 @@ cdef class Tcurve: raise ValueError self._thisptr = JpmcdsBuildIRZeroCurve( value_date, types_bytes, _dates, - &rates[0], len(dates), dcc(mm_dcc), <long> fixed_freq, + &rates[0], len(periods), dcc(mm_dcc), <long> fixed_freq, <long> float_freq, dcc(fixed_swap_dcc), dcc(fixed_swap_dcc), <long>bad_day_conv, "None" ) |