1 files changed, 67 insertions, 0 deletions
diff --git a/legs.pyx b/legs.pyx
new file mode 100644
index 0000000..5db39d3
--- /dev/null
+++ b/legs.pyx
@@ -0,0 +1,67 @@
+from legs cimport (JpmcdsCdsContingentLegMake,
+                   JpmcdsCdsFeeLegMake, JpmcdsFeeLegFlows, TBoolean)
+from libc.stdlib cimport free
+from date cimport pydate_to_TDate, TDate_to_pydate, dcc
+from cdsone cimport JpmcdsStringToStubMethod, TStubMethod
+from curve cimport ZeroCurve, SpreadCurve
+
+cdef class ContingentLeg:
+
+    def __cinit__(self, start_date, end_date, double notional,
+                  TBoolean protect_start = True):
+
+        self._thisptr = JpmcdsCdsContingentLegMake(pydate_to_TDate(start_date),
+                                                   pydate_to_TDate(end_date),
+                                                   notional,
+                                                   protect_start)
+    def __dealloc__(self):
+        if self._thisptr is not NULL:
+            free(self._thisptr)
+
+cdef class FeeLeg:
+
+    def __cinit__(self, start_date, end_date, TBoolean pay_accrued_on_default,
+                  double notional, double coupon_rate, str payment_dcc = 'ACT/360',
+                  TBoolean protect_start = True):
+
+        cdef TStubMethod stub_type
+
+        if JpmcdsStringToStubMethod(b"f/s", &stub_type) != 0:
+            raise ValueError("can't convert stub")
+
+        self._thisptr = JpmcdsCdsFeeLegMake(pydate_to_TDate(start_date),
+                                            pydate_to_TDate(end_date),
+                                            pay_accrued_on_default,
+                                            NULL,
+                                            &stub_type,
+                                            notional,
+                                            coupon_rate,
+                                            dcc(payment_dcc),
+                                            <long>'M',
+                                            NULL,
+                                            protect_start)
+    @property
+    def cashflows(self):
+        cdef TCashFlowList* cfl = JpmcdsFeeLegFlows(self._thisptr)
+        cdef TCashFlow cf
+        result = []
+        for i in range(cf.fNumItems):
+            cf = cfl.fArray[i]
+            result.append((TDate_to_pydate(cf.fDate), cf.fAmount))
+        return result
+
+    def pv(self, today, step_in_date, value_date, ZeroCurve zc, SpreadCurve sc,
+           TBoolean pay_accrued_at_start):
+        cdef today_c = pydate_to_TDate(today)
+        cdef step_in_date_c = pydate_to_TDate(step_in_date)
+        cdef value_date_c = pydate_to_TDate(value_date)
+        cdef double pv
+        if JpmcdsFeeLegPV(self._thisptr, today, step_in_date, value_date,
+                          zc._thisptr, sc._thisptr, pay_accrued_at_start, &pv) == 0:
+            return pv
+        else:
+            raise ValueError
+
+    def __dealloc__(self):
+        if self._thisptr is not NULL:
+            JpmcdsFeeLegFree(self._thisptr)