diff options
Diffstat (limited to 'curve.pyx')
| -rw-r--r-- | curve.pyx | 172 |
1 files changed, 0 insertions, 172 deletions
diff --git a/curve.pyx b/curve.pyx deleted file mode 100644 index d5bb5ff..0000000 --- a/curve.pyx +++ /dev/null @@ -1,172 +0,0 @@ -from libc.stdlib cimport malloc, free -from curve cimport (JpmcdsBuildIRZeroCurve, JpmcdsZeroPrice, JpmcdsMakeTCurve, - Basis, CONTINUOUS, JpmcdsCleanSpreadCurve) -from date cimport (JpmcdsStringToDateInterval, pydate_to_TDate, dcc, - JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust, TDate_to_pydate, - JpmcdsDateFromBusDaysOffset) -from date import dcc_tostring -from cdsone cimport JpmcdsStringToStubMethod, TStubMethod - -cdef int SUCCESS = 0 - -cpdef public enum BadDay: - FOLLOW = <long>'F' - PREVIOUS = <long>'P' - NONE = <long>'N' - MODIFIED = <long>'M' - -cdef class Curve: - def __dealloc__(self): - if self._thisptr is not NULL: - JpmcdsFreeTCurve(self._thisptr) - - def inspect(self): - return {'base_date': TDate_to_pydate(self._thisptr.fBaseDate), - 'basis': self._thisptr.fBasis, - 'day_count_convention': dcc_tostring(self._thisptr.fDayCountConv), - 'data': fArray_to_list(self._thisptr.fArray, self._thisptr.fNumItems)} - -cdef fArray_to_list(TRatePt* fArray, int fNumItems): - cdef size_t i - cdef list l = [] - for i in range(fNumItems): - l.append((TDate_to_pydate(fArray[i].fDate), fArray[i].fRate)) - return l - -cdef class YieldCurve(Curve): - - def __init__(self, date, str types, - list periods, double[:] rates, - str mm_dcc, str fixed_swap_period, str float_swap_period, - str fixed_swap_dcc, str float_swap_dcc, BadDay bad_day_conv): - """ Initialize a yield curve from a list of zero coupon rates - - instruments need to be sorted by tenor - """ - cdef: - double fixed_freq - double float_freq - TDateInterval ivl - char* routine = 'zerocurve' - TDate value_date = pydate_to_TDate(date) - - self._dates = <TDate*>malloc(len(periods) * sizeof(TDate)) - self._ninstr = len(periods) - - cdef TDate settle_date - if JpmcdsDateFromBusDaysOffset(value_date, 2, "None", &settle_date)!= SUCCESS: - raise ValueError - - cdef TDateInterval tmp - for i, p in enumerate(periods): - period_bytes = p.encode('utf-8') - if JpmcdsStringToDateInterval(period_bytes, routine, &tmp) != SUCCESS: - raise ValueError - if JpmcdsDateFwdThenAdjust(settle_date, &tmp, MODIFIED, - "None", &self._dates[i]) != SUCCESS: - raise ValueError('Invalid interval') - - fixed_bytes = fixed_swap_period.encode('utf-8') - float_bytes = float_swap_period.encode('utf-8') - types_bytes = types.encode('utf-8') - - if JpmcdsStringToDateInterval(fixed_bytes, routine, &ivl) != SUCCESS: - raise ValueError - if JpmcdsDateIntervalToFreq(&ivl, &fixed_freq) != SUCCESS: - raise ValueError - if JpmcdsStringToDateInterval(float_bytes, routine, &ivl) != SUCCESS: - raise ValueError - if JpmcdsDateIntervalToFreq(&ivl, &float_freq) != SUCCESS: - raise ValueError - - self._thisptr = JpmcdsBuildIRZeroCurve( - value_date, types_bytes, self._dates, - &rates[0], len(periods), dcc(mm_dcc), <long> fixed_freq, - <long> float_freq, dcc(fixed_swap_dcc), dcc(float_swap_dcc), - bad_day_conv, b"None" - ) - - def __dealloc__(self): - if self._dates is not NULL: - free(self._dates) - - @classmethod - def from_discount_factors(cls, base_date, list dates, double[:] dfs, str day_count_conv): - """ build a yield curve from a list of discount factors """ - cdef TDate base_date_c = pydate_to_TDate(base_date) - cdef YieldCurve yc = cls.__new__(cls) - yc._dates = <TDate*>malloc(sizeof(TDate) * len(dates)) - cdef size_t i - cdef double* rates = <double*>malloc(sizeof(double) * len(dfs)) - for i, d in enumerate(dates): - yc._dates[i] = pydate_to_TDate(d) - JpmcdsDiscountToRateYearFrac(dfs[i], <double>(yc._dates[i]-base_date_c)/365., - <double>1, &rates[i]); - - yc._thisptr = JpmcdsMakeTCurve(base_date_c, yc._dates, rates, len(dfs), - <double>1, dcc(day_count_conv)) - return yc - - def discount_factor(self, date): - if self._thisptr is NULL: - raise ValueError('curve is empty') - cdef TDate discount_date = pydate_to_TDate(date) - return JpmcdsZeroPrice(self._thisptr, discount_date) - - def list_dates(self): - cdef size_t i - return [TDate_to_pydate(self._dates[i]) for i in range(self._ninstr)] - -cdef class SpreadCurve(Curve): - - def __init__(self, today, YieldCurve yc, start_date, step_in_date, - cash_settle_date, list end_dates, double[:] coupon_rates, - double recovery_rate, int pay_accrued_on_default = True): - - cdef TDate today_c = pydate_to_TDate(today) - cdef TDate step_in_date_c = pydate_to_TDate(step_in_date) - cdef TDate cash_settle_date_c = pydate_to_TDate(cash_settle_date) - cdef TDate start_date_c = pydate_to_TDate(start_date) - cdef TDate* end_dates_c = <TDate*>malloc(len(end_dates) * sizeof(TDate)) - self._thisptr = NULL - cdef size_t i - - for i, d in enumerate(end_dates): - end_dates_c[i] = pydate_to_TDate(d) - cdef TStubMethod stub_type - - if JpmcdsStringToStubMethod(b"f/s", &stub_type) != 0: - raise ValueError("can't convert stub") - - self._thisptr = JpmcdsCleanSpreadCurve(today_c, - yc._thisptr, - start_date_c, - step_in_date_c, - cash_settle_date_c, - len(end_dates), - end_dates_c, - &coupon_rates[0], - NULL, - recovery_rate, - pay_accrued_on_default, - NULL, - dcc('ACT/360'), - &stub_type, - <long>'M', - b'NONE') - - @classmethod - def from_flat_hazard(cls, base_date, double rate, Basis basis = CONTINUOUS, - str day_count_conv = 'Actual/365F'): - cdef TDate base_date_c = pydate_to_TDate(base_date) - cdef SpreadCurve sc = cls.__new__(cls) - cdef TDate max_date = 200000 # can go higher but this should be more than enough - cdef TDate* dates = <TDate*>malloc(sizeof(TDate)) - - cdef double* rates = <double*>malloc(sizeof(double)) - dates[0] = max_date - rates[0] = rate - - sc._thisptr = JpmcdsMakeTCurve(base_date_c, dates, rates, 1, - <double>basis, dcc(day_count_conv)) - return sc |