diff options
Diffstat (limited to 'cdsone.pxd')
| -rw-r--r-- | cdsone.pxd | 52 |
1 files changed, 52 insertions, 0 deletions
diff --git a/cdsone.pxd b/cdsone.pxd new file mode 100644 index 0000000..0f76c50 --- /dev/null +++ b/cdsone.pxd @@ -0,0 +1,52 @@ +from date cimport TDateInterval +from pyisda.zerocurve cimport TCurve + +cdef extern from "isda/stub.h": + ctypedef struct TStubMethod: + pass + + int JpmcdsStringToStubMethod(char* name, TStubMethod* stub) + +cdef extern from "isda/cdsone.h": + + ctypedef int TBoolean + + ctypedef long int TDate + + int JpmcdsCdsoneUpfrontCharge(TDate today, + TDate valueDate, + TDate benchmarkStartDate, + TDate stepinDate, + TDate startDate, + TDate endDate, + double couponRate, + TBoolean payAccruedOnDefault, + TDateInterval* dateInterval, + TStubMethod* stubType, + long accrueDCC, + long badDayConv, + char* calendar, + TCurve* discCurve, + double oneSpread, + double recoveryRate, + TBoolean payAccruedAtStart, + double* upfrontCharge) + + int JpmcdsCdsoneSpread(TDate today, + TDate valueDate, + TDate benchmarkStartDate, + TDate stepinDate, + TDate startDate, + TDate endDate, + double couponRate, + TBoolean payAccruedOnDefault, + TDateInterval* dateInterval, + TStubMethod* stubType, + long accrueDCC, + long badDayConv, + char* calendar, + TCurve* discCurve, + double upfrontCharge, + double recoveryRate, + TBoolean payAccruedAtStart, + double* oneSpread) |