From 6b0a14370d244d4ff3b6277c49a23b04b8957678 Mon Sep 17 00:00:00 2001 From: Guillaume Horel Date: Thu, 30 Jun 2016 10:37:11 -0400 Subject: fix some maturities, still not matching :( --- date.pxd | 15 +++++++++++++++ 1 file changed, 15 insertions(+) (limited to 'date.pxd') diff --git a/date.pxd b/date.pxd index 24af83f..16b2261 100644 --- a/date.pxd +++ b/date.pxd @@ -2,6 +2,12 @@ cdef extern from "isda/cdate.h": ctypedef struct TDateInterval: pass +cdef extern from "isda/mdydate.h": + ctypedef struct TMonthDayYear: + long month + long day + long year + ctypedef long TDate cdef extern from "isda/convert.h": @@ -14,9 +20,18 @@ cdef extern from "isda/date_sup.h": cdef extern from "isda/dateconv.h": TDate JpmcdsDate(long year, long month, long day) + int JpmcdsDateToMDY(TDate date, TMonthDayYear *mdyDate) cdef extern from "isda/ldate.h": int JpmcdsDateFwdThenAdjust(TDate date, TDateInterval* interval, long badDayMethod, char* holidayFile, TDate *advAdjustedDate) + +cdef extern from "isda/busday.h": + int JpmcdsDateFromBusDaysOffset(TDate fromDate, # (I) input date + long offset, # (I) number of business days + char *holidayFile, # (I) holiday file specification + TDate *result); cdef TDate pydate_to_TDate(d) + +cpdef object TDate_to_pydate(TDate d) -- cgit v1.2.3-70-g09d2