From 6cbe0d8aef93bbd8be02e42b2959b4d6ece625ba Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@gmail.com>
Date: Fri, 12 May 2017 10:34:09 -0400
Subject: small speedups and bugfix

---
 pyisda/curve.pyx | 27 ++++++++++++++++-----------
 1 file changed, 16 insertions(+), 11 deletions(-)

diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index 3f9ece2..a9528f7 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -260,7 +260,7 @@ cdef class YieldCurve(Curve):
 
     def __dealloc__(self):
         ## __dealloc__ of superclass is called by cython so no need to call here
-        if self._dates is not NULL:
+        if self._dates:
             free(self._dates)
 
     def __getstate__(self):
@@ -516,6 +516,7 @@ cdef class SpreadCurve(Curve):
         cdef TDate start_date_c = pydate_to_TDate(start_date)
         cdef int n_dates = len(end_dates)
         cdef TDate* end_dates_c = <TDate*>malloc(n_dates * sizeof(TDate))
+        cdef size_t i
         for i, d in enumerate(end_dates):
             end_dates_c[i] = pydate_to_TDate(d)
         cdef double* par_spreads
@@ -549,29 +550,33 @@ cdef class SpreadCurve(Curve):
         else:
             for i in range(n_dates):
                 r.append(par_spreads[i])
-                free(par_spreads)
+            free(par_spreads)
             return r
 
-def fill_curve(SpreadCurve sc, list end_dates):
-    cdef int n_dates = len(end_dates)
-    cdef TDate* end_dates_c = <TDate*>malloc(n_dates * sizeof(TDate))
+@cython.boundscheck(False)
+@cython.wraparound(False)
+@cython.initializedcheck(False)
+@cython.cdivision(True)
+def fill_curve(SpreadCurve sc, TDate[:] end_dates):
+
+    cdef size_t n_dates = end_dates.shape[0]
     cdef double* rates = <double*>malloc(n_dates * sizeof(TDate))
 
     cdef size_t i
     cdef TDate base_date = sc._thisptr.get().fBaseDate
-
-    for i, d in enumerate(end_dates):
-        end_dates_c[i] = pydate_to_TDate(d)
-        t = (end_dates_c[i] - base_date)/365.
+    cdef double t
+    for i in range(n_dates):
+        t = (end_dates[i] - base_date)/365.
         rates[i] = -log(JpmcdsForwardZeroPrice(sc._thisptr.get(), base_date,
-                                               end_dates_c[i])) / t
+                                               end_dates[i])) / t
 
     cdef TCurve* curve = JpmcdsMakeTCurve(sc._thisptr.get().fBaseDate,
-                                          end_dates_c,
+                                          &end_dates[0],
                                           rates,
                                           n_dates,
                                           5000.,
                                           2)
     cdef SpreadCurve sc_new = SpreadCurve.__new__(SpreadCurve)
     sc_new._thisptr = make_shared(curve)
+    free(rates)
     return sc_new
-- 
cgit v1.2.3-70-g09d2