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-rw-r--r--curve.pxd13
1 files changed, 13 insertions, 0 deletions
diff --git a/curve.pxd b/curve.pxd
index bd36e09..831baf7 100644
--- a/curve.pxd
+++ b/curve.pxd
@@ -77,10 +77,23 @@ cdef extern from "isda/cds.h":
cdef extern from "isda/tcurve.h":
void JpmcdsFreeTCurve(TCurve* curve)
+ TCurve* JpmcdsMakeTCurve(TDate baseDate,
+ TDate *dates,
+ double *rates,
+ int numPts,
+ double basis,
+ long dayCountConv);
cdef extern from "isda/cxzerocurve.h":
double JpmcdsZeroPrice(TCurve* curve, TDate date)
+cdef enum Basis:
+ CONTINUOUS = 5000
+ DISCOUNT_RATE = 512
+ SIMPLE_BASIS = 0
+ ANNUAL_BASIS = 1
+ DISCOUNT_FACTOR = -2
+
cdef class Curve:
cdef TCurve* _thisptr