From ed83c435dcb32b5afd7f58a0fde72b41dc0d09e6 Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date: Thu, 30 Jun 2016 15:03:44 -0400
Subject: legs functions

---
 curve.pxd | 52 +++++++++++++++++++++++++++++++++++++++++++++++++++-
 1 file changed, 51 insertions(+), 1 deletion(-)

(limited to 'curve.pxd')

diff --git a/curve.pxd b/curve.pxd
index d652ca0..b365b5a 100644
--- a/curve.pxd
+++ b/curve.pxd
@@ -1,4 +1,7 @@
+from cdsone cimport TStubMethod
+
 cdef extern from "isda/zerocurve.h":
+    ctypedef int TBoolean
 
     ctypedef long int TDate
 
@@ -20,6 +23,48 @@ cdef extern from "isda/zerocurve.h":
                                    long floatSwapDCC,
                                    long badDayConv,
                                    char* holidayFile)
+cdef extern from "isda/cds.h":
+
+     TCurve* JpmcdsCleanSpreadCurve(
+        # Risk starts at the end of today
+        TDate           today,
+        # Interest rate discount curve - assumes flat forward interpolation
+        TCurve         *discCurve,
+        # Effective date of the benchmark CDS
+        TDate           startDate,
+        # Step in date of the benchmark CDS
+        TDate           stepinDate,
+        # Date when payment should be make
+        TDate           cashSettleDate,
+        # Number of benchmark dates
+        long            nbDate,
+        # Dates when protection ends for each benchmark (end of day).
+        #    Array of size nbDate
+        TDate          *endDates,
+        # Coupon rates for each benchmark instrument. Array of size nbDate
+        double         *couponRates,
+        # Flags to denote that we include particular benchmarks. This makes it
+        # easy for the user to include or exclude benchmarks on a one-by-one
+        # basis. Can be NULL if all are included. Otherwise an array of size
+        # nbDate.
+        TBoolean       *includes,
+        # Recovery rate in case of default
+        double          recoveryRate,
+        # Should accrued interest be paid on default. Usually set to TRUE
+        TBoolean        payAccOnDefault,
+        # Interval between coupon payments. Can be NULL when 3M is assumed
+        TDateInterval  *couponInterval,
+        # Day count convention for coupon payment. Normal is ACT_360
+        long            paymentDcc,
+        # If the startDate and endDate are not on cycle, then this parameter
+        # determines location of coupon dates. */
+        TStubMethod    *stubType,
+        # Bad day convention for adjusting coupon payment dates. */
+        long            badDayConv,
+        # Calendar used when adjusting coupon dates. Can be NULL which equals
+        # a calendar with no holidays and including weekends. */
+        char           *calendar
+    )
 
 cdef extern from "isda/tcurve.h":
     void JpmcdsFreeTCurve(TCurve* curve)
@@ -27,7 +72,12 @@ cdef extern from "isda/tcurve.h":
 cdef extern from "isda/cxzerocurve.h":
     double JpmcdsZeroPrice(TCurve* curve, TDate date)
 
-cdef class ZeroCurve:
+cdef class Curve:
     cdef TCurve* _thisptr
+
+cdef class ZeroCurve(Curve):
     cdef TDate* _dates
     cdef size_t _ninstr
+
+cdef class SpreadCurve(Curve):
+    pass
-- 
cgit v1.2.3-70-g09d2