From e61c2ea1409c9579f6a2020f382db480f58be538 Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date: Wed, 6 Jul 2016 11:05:46 -0400
Subject: add new constructor

---
 curve.pxd | 13 +++++++++++++
 curve.pyx | 23 ++++++++++++++++++++++-
 2 files changed, 35 insertions(+), 1 deletion(-)

diff --git a/curve.pxd b/curve.pxd
index bd36e09..831baf7 100644
--- a/curve.pxd
+++ b/curve.pxd
@@ -77,10 +77,23 @@ cdef extern from "isda/cds.h":
 
 cdef extern from "isda/tcurve.h":
     void JpmcdsFreeTCurve(TCurve* curve)
+    TCurve* JpmcdsMakeTCurve(TDate   baseDate,
+                             TDate  *dates,
+                             double *rates,
+                             int     numPts,
+                             double  basis,
+                             long    dayCountConv);
 
 cdef extern from "isda/cxzerocurve.h":
     double JpmcdsZeroPrice(TCurve* curve, TDate date)
 
+cdef enum Basis:
+    CONTINUOUS = 5000
+    DISCOUNT_RATE = 512
+    SIMPLE_BASIS = 0
+    ANNUAL_BASIS = 1
+    DISCOUNT_FACTOR = -2
+
 cdef class Curve:
     cdef TCurve* _thisptr
 
diff --git a/curve.pyx b/curve.pyx
index c956295..b4b61ad 100644
--- a/curve.pyx
+++ b/curve.pyx
@@ -1,12 +1,17 @@
 from libc.stdlib cimport malloc, free
-from curve cimport JpmcdsBuildIRZeroCurve, JpmcdsZeroPrice
+from curve cimport (JpmcdsBuildIRZeroCurve, JpmcdsZeroPrice, JpmcdsMakeTCurve,
+                    Basis, CONTINUOUS)
 from date cimport (JpmcdsStringToDateInterval, pydate_to_TDate, dcc,
                    JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust, TDate_to_pydate,
                    JpmcdsDateFromBusDaysOffset)
 from date import dcc_tostring
 from cdsone cimport JpmcdsStringToStubMethod, TStubMethod
+
 cdef int SUCCESS = 0
 
+cdef extern from "limits.h":
+    long LONG_MAX
+
 cpdef public enum BadDay:
     FOLLOW = <long>'F'
     PREVIOUS = <long>'P'
@@ -135,3 +140,19 @@ cdef class SpreadCurve(Curve):
                                                &stub_type,
                                                <long>'M',
                                                b'NONE')
+
+        @classmethod
+        def from_flat_hazard(cls, base_date, double rate, Basis basis = CONTINUOUS,
+                             str day_count_conv = 'Actual/365F'):
+            cdef TDate base_date_c = pydate_to_TDate(base_date)
+            cdef SpreadCurve sc = cls.__new__(cls)
+            cdef TDate max_date = LONG_MAX
+            cdef TDate* dates = <TDate*>malloc(sizeof(TDate))
+
+            cdef double* rates = <double*>malloc(sizeof(double))
+            dates[0] = max_date
+            rates[0] = rate
+
+            sc._thisptr = JpmcdsMakeTCurve(base_date_c, dates, rates, 1,
+                                    <double>basis, dcc(day_count_conv))
+            return sc
-- 
cgit v1.2.3-70-g09d2