From 961963c48c1dcd7629247459cfa243c6d4da9746 Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@gmail.com>
Date: Tue, 17 Apr 2018 17:36:27 -0400
Subject: add next_business_day

---
 pyisda/date.pxd | 14 ++++++++++++--
 pyisda/date.pyx | 18 ++++++++++++++----
 2 files changed, 26 insertions(+), 6 deletions(-)

diff --git a/pyisda/date.pxd b/pyisda/date.pxd
index b3ed150..6da8e85 100644
--- a/pyisda/date.pxd
+++ b/pyisda/date.pxd
@@ -33,6 +33,7 @@ cdef extern from "isda/dateconv.h" nogil:
     int JpmcdsMDYToDate(TMonthDayYear*, TDate*)
 
 cdef extern from "isda/ldate.h" nogil:
+
     int JpmcdsDateFwdThenAdjust(TDate date, TDateInterval* interval, long badDayMethod,
                                 char* holidayFile, TDate *advAdjustedDate)
     int JpmcdsDtFwdAny(TDate date, TDateInterval* interval, TDate* sumDate)
@@ -42,11 +43,20 @@ cdef enum DCC:
     ACT_365F = 2L
     ACT_360 = 3L
 
-cdef extern from "isda/busday.h":
+cdef extern from "isda/busday.h" nogil:
     int  JpmcdsDateFromBusDaysOffset(TDate fromDate,    # (I) input date
                                      long offset,       # (I) number of business days
                                      char *holidayFile, # (I) holiday file specification
-                                     TDate *result) nogil
+                                     TDate *result)
+    int JpmcdsBusinessDay(TDate   date,                       # Input Date
+                          long    method,                     # See ldate.h
+                          char   *holidayFile,                # Filename w/ Holidays
+                          TDate  *outDate)
+    int JPMCDS_BAD_DAY_FOLLOW
+    int JPMCDS_BAD_DAY_PREVIOUS
+    int JPMCDS_BAD_DAY_NONE
+    int JPMCDS_BAD_DAY_MODIFIED
+
 cpdef TDate pydate_to_TDate(c_datetime.date d)
 
 cpdef c_datetime.date TDate_to_pydate(TDate d)
diff --git a/pyisda/date.pyx b/pyisda/date.pyx
index 5cca9d1..f858d1a 100644
--- a/pyisda/date.pyx
+++ b/pyisda/date.pyx
@@ -38,7 +38,7 @@ def dcc_tostring(long day_count):
         s = c_string
     return s
 
-cdef TDate _previous_twentieth(TDate d) nogil:
+cdef TDate _previous_twentieth(TDate d, bint roll=True) nogil:
     cdef TMonthDayYear mdy
     if JpmcdsDateToMDY(d, &mdy) != SUCCESS:
         return -1
@@ -59,11 +59,14 @@ cdef TDate _previous_twentieth(TDate d) nogil:
     if JpmcdsMDYToDate(&mdy, &r) != SUCCESS:
         return -1
     else:
-        return r
+        if roll:
+            return next_business_day(r)
+        else:
+            return r
 
-def previous_twentieth(d):
+def previous_twentieth(d, bint roll=True):
     cdef TDate date = pydate_to_TDate(d)
-    return TDate_to_pydate(_previous_twentieth(date))
+    return TDate_to_pydate(_previous_twentieth(date, roll))
 
 cdef TMonthDayYear next_twentieth(TDate d) nogil:
     cdef TMonthDayYear mdy
@@ -83,6 +86,13 @@ cdef TMonthDayYear next_twentieth(TDate d) nogil:
             mdy.year += 1
     return mdy
 
+cdef inline TDate next_business_day(TDate date) nogil:
+    cdef TDate r
+    if JpmcdsBusinessDay(date, JPMCDS_BAD_DAY_FOLLOW, "NONE", &r) != SUCCESS:
+        return -1
+    else:
+        return r
+
 cdef void _roll_date(TDate d, double* tenors, int n_dates, TDate* output) nogil:
     cdef:
         TDate cutoff = 151472 # 2015-09-20
-- 
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