diff options
Diffstat (limited to 'curve.pxd')
| -rw-r--r-- | curve.pxd | 17 |
1 files changed, 14 insertions, 3 deletions
@@ -5,9 +5,6 @@ cdef extern from "isda/zerocurve.h": ctypedef long int TDate - ctypedef struct TCurve: - pass - ctypedef struct TDateInterval: pass @@ -23,6 +20,18 @@ cdef extern from "isda/zerocurve.h": long floatSwapDCC, long badDayConv, char* holidayFile) +cdef extern from "isda/bastypes.h": + ctypedef struct TCurve: + int fNumItems + TRatePt* fArray + TDate fBaseDate + double fBasis + long fDayCountConv + + ctypedef struct TRatePt: + TDate fDate + double fRate + cdef extern from "isda/cds.h": TCurve* JpmcdsCleanSpreadCurve( @@ -81,3 +90,5 @@ cdef class ZeroCurve(Curve): cdef class SpreadCurve(Curve): pass + +cdef fArray_to_list(TRatePt* fArray, int fNumItems) |
