From 60e49a606ae270fb4d455da1b565e0ea656ffb3c Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date: Tue, 28 Jun 2016 15:30:16 -0400
Subject: initial import

---
 zerocurve.pxd | 17 +++++++++++++++++
 1 file changed, 17 insertions(+)
 create mode 100644 zerocurve.pxd

(limited to 'zerocurve.pxd')

diff --git a/zerocurve.pxd b/zerocurve.pxd
new file mode 100644
index 0000000..f3aaf57
--- /dev/null
+++ b/zerocurve.pxd
@@ -0,0 +1,17 @@
+cdef extern from "isda/zerocurve.h":
+
+    ctypedef long int TDate
+
+    ctypedef struct TCurve:
+        pass
+
+    ctypedef struct TDateInterval:
+        pass
+
+    TCurve* JpmcdsBuildIRZeroCurve(TDate valueDate, char* instrNames, TDate* dates, double* rates, long nInstr, long mmDCC, long fixedSwapFreq, long floatSwapFreq, long fixedSwapDCC, long floatSwapDCC, long badDayConv, char* holidayFile)
+
+cdef extern from "isda/tcurve.h":
+    void JpmcdsFreeTCurve(TCurve* curve)
+
+cdef extern from "isda/cxzerocurve.h":
+    double JpmcdsZeroPrice(TCurve* curve, TDate date)
-- 
cgit v1.2.3-70-g09d2