From 0059feac1aa6d44be9e0f9fdcb7fdf03779eddbc Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date: Mon, 11 Jul 2016 10:41:44 -0400
Subject: add a consctructor for ZeroCurve and rename it to YieldCurve

---
 curve.pxd | 7 ++++++-
 1 file changed, 6 insertions(+), 1 deletion(-)

(limited to 'curve.pxd')

diff --git a/curve.pxd b/curve.pxd
index 831baf7..50de68f 100644
--- a/curve.pxd
+++ b/curve.pxd
@@ -87,6 +87,11 @@ cdef extern from "isda/tcurve.h":
 cdef extern from "isda/cxzerocurve.h":
     double JpmcdsZeroPrice(TCurve* curve, TDate date)
 
+cdef extern from "isda/cfinanci.h":
+    int JpmcdsDiscountToRateYearFrac(double discount,          # (I) Discount factor
+                                     double yearFraction,      # (I) See JpmcdsDayCountFraction
+                                     double basis,             # (I) Basis for the rate
+                                     double *rate);
 cdef enum Basis:
     CONTINUOUS = 5000
     DISCOUNT_RATE = 512
@@ -97,7 +102,7 @@ cdef enum Basis:
 cdef class Curve:
     cdef TCurve* _thisptr
 
-cdef class ZeroCurve(Curve):
+cdef class YieldCurve(Curve):
     cdef TDate* _dates
     cdef size_t _ninstr
 
-- 
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