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-rw-r--r--curve.pxd17
1 files changed, 14 insertions, 3 deletions
diff --git a/curve.pxd b/curve.pxd
index b365b5a..bd36e09 100644
--- a/curve.pxd
+++ b/curve.pxd
@@ -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)