From ed43f3874ccbe7782595b225821230cfca02ceb7 Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date: Tue, 28 Jun 2016 15:59:05 -0400
Subject: cleanups

---
 Makefile      |  4 ++++
 convert.pxd   | 15 ---------------
 date.pxd      | 25 +++++++++++++++++++++++++
 zerocurve.pyx | 21 ++++++++++++++-------
 4 files changed, 43 insertions(+), 22 deletions(-)
 delete mode 100644 convert.pxd
 create mode 100644 date.pxd

diff --git a/Makefile b/Makefile
index 1ea9bde..a2b0b14 100644
--- a/Makefile
+++ b/Makefile
@@ -1,2 +1,6 @@
 build:
 	python setup.py build_ext --inplace
+
+clean:
+	find -name \*.c -exec rm {} \;
+	rm -rf build
diff --git a/convert.pxd b/convert.pxd
deleted file mode 100644
index 0d02c8b..0000000
--- a/convert.pxd
+++ /dev/null
@@ -1,15 +0,0 @@
-cdef extern from "isda/cdate.h":
-    ctypedef struct TDateInterval:
-        pass
-
-ctypedef long TDate
-
-cdef extern from "isda/convert.h":
-    int JpmcdsStringToDateInterval(char* input, char* label, TDateInterval* interval)
-    int JpmcdsMakeDateInterval(int num_periods, char period_type, TDateInterval* interval)
-
-cdef extern from "isda/date_sup.h":
-    int JpmcdsDateIntervalToFreq(TDateInterval* interval, double* freq)
-
-cdef extern from "isda/dateconv.h":
-    TDate JpmcdsDate(long year, long month, long day)
diff --git a/date.pxd b/date.pxd
new file mode 100644
index 0000000..22ea9f6
--- /dev/null
+++ b/date.pxd
@@ -0,0 +1,25 @@
+cdef extern from "isda/cdate.h":
+    ctypedef struct TDateInterval:
+        pass
+
+ctypedef long TDate
+
+cdef extern from "isda/convert.h":
+    int JpmcdsStringToDateInterval(char* input, char* label, TDateInterval* interval)
+    int JpmcdsMakeDateInterval(int num_periods, char period_type, TDateInterval* interval)
+
+cdef extern from "isda/date_sup.h":
+    int JpmcdsDateIntervalToFreq(TDateInterval* interval, double* freq)
+
+cdef extern from "isda/dateconv.h":
+    TDate JpmcdsDate(long year, long month, long day)
+
+cdef extern from "isda/ldate.h":
+    int JpmcdsDateFwdThenAdjust(TDate date, TDateInterval* interval, long badDayMethod,
+                                char* holidayFile, TDate *advAdjustedDate)
+
+cdef enum BadDay:
+    FOLLOW = <long>'F'
+    PREVIOUS = <long>'P'
+    NONE = <long>'N'
+    MODIFIED = <long>'M'
diff --git a/zerocurve.pyx b/zerocurve.pyx
index 2918bae..e56a38e 100644
--- a/zerocurve.pyx
+++ b/zerocurve.pyx
@@ -2,16 +2,17 @@ from cpython cimport datetime
 from libc.stdlib cimport malloc, free
 from pyisda.zerocurve cimport JpmcdsBuildIRZeroCurve
 from pyisda.yearfrac cimport dcc
-from pyisda.convert cimport JpmcdsStringToDateInterval, JpmcdsDateIntervalToFreq, JpmcdsDate
+from pyisda.date cimport (JpmcdsStringToDateInterval, JpmcdsDateIntervalToFreq,
+                          JpmcdsDate, JpmcdsDateFwdThenAdjust, NONE)
 
 cdef int SUCCESS = 0
 
-cdef class Tcurve:
+cdef class ZeroCurve:
     cdef TCurve* _thisptr
     cdef TDate* _dates
 
     def __cinit__(self, date, str types,
-                  list dates, double[:] rates,
+                  list periods, double[:] rates,
                   str mm_dcc, str fixed_swap_period, str float_swap_period,
                   str fixed_swap_dcc, str float_swap_dcc, char bad_day_conv,
                   char* holidayFile):
@@ -28,10 +29,16 @@ cdef class Tcurve:
         else:
             raise ValueError
 
-        cdef TDate* _dates = <TDate*>malloc(len(dates) * sizeof(TDate))
+        cdef TDate* _dates = <TDate*>malloc(len(periods) * sizeof(TDate))
+        cdef TDateInterval tmp
 
-        for i, d in enumerate(date):
-            _dates[i] = JpmcdsDate(d.year, d.month, d.day)
+        for i, p in enumerate(periods):
+            period_bytes = p.encode('utf-8')
+            if JpmcdsStringToDateInterval(p, routine, &tmp) != SUCCESS:
+                raise ValueError
+            if JpmcdsDateFwdThenAdjust(value_date, &tmp, NONE,
+                                       "None", &_dates[i]) != SUCCESS:
+                raise ValueError('Invalid interval')
 
         fixed_bytes = fixed_swap_period.encode('utf-8')
         float_bytes = float_swap_period.encode('utf-8')
@@ -47,7 +54,7 @@ cdef class Tcurve:
             raise ValueError
         self._thisptr = JpmcdsBuildIRZeroCurve(
             value_date, types_bytes, _dates,
-            &rates[0], len(dates), dcc(mm_dcc), <long> fixed_freq,
+            &rates[0], len(periods), dcc(mm_dcc), <long> fixed_freq,
             <long> float_freq,
             dcc(fixed_swap_dcc), dcc(fixed_swap_dcc), <long>bad_day_conv, "None"
         )
-- 
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