From 07d18d03d2f2eb8bd4bb4df844ce2e16e7e581d1 Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@gmail.com>
Date: Tue, 28 Aug 2018 16:01:03 -0400
Subject: write our own survival_prob function

---
 pyisda/credit_index.pyx |  6 +++---
 pyisda/curve.pxd        |  3 +++
 pyisda/curve.pyx        | 22 +++++++++++++++++++++-
 3 files changed, 27 insertions(+), 4 deletions(-)

diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx
index 1d7ae43..1f0bca5 100644
--- a/pyisda/credit_index.pyx
+++ b/pyisda/credit_index.pyx
@@ -12,7 +12,7 @@ cimport cython
 from legs cimport (JpmcdsCdsContingentLegMake, JpmcdsCdsFeeLegMake,
                    JpmcdsContingentLegPV, JpmcdsFeeLegPV, FeeLegAI, JpmcdsFeeLegFree)
 from curve cimport (SpreadCurve, JpmcdsCopyCurve, tweak_curve, YieldCurve,
-                    JpmcdsFreeTCurve, JpmcdsForwardZeroPrice, Hash64WithSeed,
+                    JpmcdsFreeTCurve, survival_prob, Hash64WithSeed,
                     Hash64, uint64_t, TCurve_size, serialize)
 from date cimport (pydate_to_TDate, TDate_to_pydate, ACT_365F, JpmcdsDtFwdAny,
                    TDateInterval, JpmcdsMakeDateInterval)
@@ -523,7 +523,7 @@ cdef class CreditIndex(CurveList):
 
 
 
-    def survival_matrix(self, TDate[:] schedule):
+    def survival_matrix(self, TDate[:] schedule, double epsilon=0.):
         cdef:
             shared_ptr[TCurve] sc
             pair[string, size_t] p
@@ -539,7 +539,7 @@ cdef class CreditIndex(CurveList):
             sc = self._curves[p.second]
             tickers[p.second] = p.first
             for i in range(n[1]):
-                sp[p.second, i] = JpmcdsForwardZeroPrice(sc.get(), self.base_date, schedule[i])
+                sp[p.second, i] = survival_prob(sc.get(), self.base_date, schedule[i], epsilon)
         return sp, tickers
 
 cdef unsigned long fill_mask(const TDate maturity, const vector[TDate]& maturities,
diff --git a/pyisda/curve.pxd b/pyisda/curve.pxd
index c30f502..f89d892 100644
--- a/pyisda/curve.pxd
+++ b/pyisda/curve.pxd
@@ -183,6 +183,9 @@ cdef extern from "isda/tcurve.h" nogil:
 cdef extern from "isda/cxzerocurve.h" nogil:
     double JpmcdsZeroPrice(TCurve* curve, TDate date)
     double JpmcdsForwardZeroPrice(TCurve* curve, TDate startDate, TDate maturityDate)
+    double JpmcdsZeroRate(TCurve* curve, TDate date)
+
+cdef double survival_prob(TCurve* curve, TDate start_date, TDate maturity_date, double eps) nogil
 
 cdef extern from "isda/cfinanci.h":
     int JpmcdsDiscountToRateYearFrac(double discount,          # (I) Discount factor
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index e6c64c7..65c37b5 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -1,4 +1,4 @@
-from libc.math cimport log1p, log
+from libc.math cimport log1p, log, exp
 from date cimport (JpmcdsStringToDateInterval, pydate_to_TDate, dcc, TMonthDayYear,
                    JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust, TDate_to_pydate,
                    JpmcdsDateFromBusDaysOffset, JpmcdsStringToDayCountConv, ACT_360,
@@ -36,6 +36,26 @@ cdef inline void double_free(double* ptr) nogil:
     free(ptr)
 
 
+cdef double survival_prob(TCurve* curve, TDate start_date, TDate maturity_date, double eps) nogil:
+    cdef:
+        double lambda1, lambda2
+        double t1, t2, u
+    if start_date == curve.fBaseDate:
+        lambda2 = JpmcdsZeroRate(curve, maturity_date)
+        t2 = (maturity_date - curve.fBaseDate) / 365.
+        if eps != 0.:
+            lambda2 *= (1 + eps)
+        return exp(-lambda2 * t2)
+    else:
+        lambda1 = JpmcdsZeroRate(curve, start_date)
+        lambda2 = JpmcdsZeroRate(curve, maturity_date)
+        t1 = (start_date - curve.fBaseDate) / 365.
+        t2 = (maturity_date - curve.fBaseDate) / 365.
+        u = lambda1 * t1 - lambda2 * t2
+        if eps != 0.:
+            u *= (1 + eps)
+        return exp(u)
+
 cdef class Curve(object):
 
     def __getstate__(self):
-- 
cgit v1.2.3-70-g09d2