diff options
Diffstat (limited to 'curve.pxd')
| -rw-r--r-- | curve.pxd | 13 |
1 files changed, 13 insertions, 0 deletions
@@ -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 |
