From bdd6f0f5b70a75e929ce9365773b849236455f30 Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@gmail.com>
Date: Thu, 16 Feb 2017 18:17:24 -0500
Subject: refactoring

---
 pyisda/curve.pyx | 47 +++++++++++++++++++++++------------------------
 1 file changed, 23 insertions(+), 24 deletions(-)

diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index eb3d40e..d721666 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -289,6 +289,24 @@ cdef class YieldCurve(Curve):
                                        <double>1, self._thisptr.fDayCountConv)
         return yc
 
+cdef inline void tweak_curve(TCurve* sc, TCurve* sc_tweaked, double epsilon,
+                             double* h, double* T, bint* mask, int n):
+    cdef h1, h2, t1, t2
+    h1 = t1 = 0
+    for i in range(n):
+        h2 = sc.fArray[i].fRate
+        t2 = T[i]
+        h[i] = (h2 * t2 - h1 * t1) / (t2 - t1)
+        if mask[i]:
+            h[i] *= (1 + epsilon)
+        h1, t1 = h2, t2
+    t1 = 0
+    cdef double c = 0
+    for i in range(n):
+        c += (T[i] - t1) * h[i]
+        sc_tweaked.fArray[i].fRate = c/T[i]
+        t1 = T[i]
+
 cdef class SpreadCurve(Curve):
     """
     Initialize a SpreadCurve from a list of spreads and maturity.
@@ -405,39 +423,20 @@ cdef class SpreadCurve(Curve):
         ## into forward rates and then back
         cdef double t1, h1, t2, h2
         cdef TCurve* curve = self._thisptr
+        cdef TCurve* curve_tweaked
         cdef SpreadCurve sc
         cdef int num_items = curve.fNumItems
         if not inplace:
             sc = SpreadCurve.__new__(SpreadCurve)
-            sc._thisptr = JpmcdsCopyCurve(curve)
-
-        t1 = 0
-        h1 = 0
+            sc._thisptr = curve_tweaked = JpmcdsCopyCurve(curve)
+        else:
+            curve_tweaked = curve
         cdef double* h = <double*>malloc(num_items * sizeof(double))
         cdef double* T = <double*>malloc(num_items * sizeof(double))
         if mask is not None:
             if mask.size != curve.fNumItems:
                 raise ValueError("mask size need to be the same as the number of Items")
-        for i in range(num_items):
-            h2 = curve.fArray[i].fRate
-            t2 = T[i] = (curve.fArray[i].fDate - curve.fBaseDate)/365.
-            h[i] = (h2 * t2 - h1 * t1) / (t2 - t1)
-            if mask is None or mask[i]:
-                h[i] *= (1+epsilon)
-            h1 = h2
-            t1 = t2
-        t1 = 0
-        cdef double c = 0
-        cdef TRatePt* update
-        if inplace:
-            update = curve.fArray
-        else:
-            update = curve.fArray
-
-        for i in range(curve.fNumItems):
-            c += (T[i] - t1) * h[i]
-            update[i].fRate = c/T[i]
-            t1 = T[i]
+        tweak_curve(curve, curve_tweaked, epsilon, h, T, &mask[0], num_items)
         free(h)
         free(T)
         if inplace:
-- 
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