diff options
Diffstat (limited to 'zerocurve.pxd')
| -rw-r--r-- | zerocurve.pxd | 17 |
1 files changed, 17 insertions, 0 deletions
diff --git a/zerocurve.pxd b/zerocurve.pxd new file mode 100644 index 0000000..f3aaf57 --- /dev/null +++ b/zerocurve.pxd @@ -0,0 +1,17 @@ +cdef extern from "isda/zerocurve.h": + + ctypedef long int TDate + + ctypedef struct TCurve: + pass + + ctypedef struct TDateInterval: + pass + + TCurve* JpmcdsBuildIRZeroCurve(TDate valueDate, char* instrNames, TDate* dates, double* rates, long nInstr, long mmDCC, long fixedSwapFreq, long floatSwapFreq, long fixedSwapDCC, long floatSwapDCC, long badDayConv, char* holidayFile) + +cdef extern from "isda/tcurve.h": + void JpmcdsFreeTCurve(TCurve* curve) + +cdef extern from "isda/cxzerocurve.h": + double JpmcdsZeroPrice(TCurve* curve, TDate date) |