From 6b0a14370d244d4ff3b6277c49a23b04b8957678 Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date: Thu, 30 Jun 2016 10:37:11 -0400
Subject: fix some maturities, still not matching :(

---
 zerocurve.pyx | 28 +++++++++++++++++++---------
 1 file changed, 19 insertions(+), 9 deletions(-)

(limited to 'zerocurve.pyx')

diff --git a/zerocurve.pyx b/zerocurve.pyx
index 93b505d..a5eb2d2 100644
--- a/zerocurve.pyx
+++ b/zerocurve.pyx
@@ -1,9 +1,10 @@
 from cpython cimport datetime
 from libc.stdlib cimport malloc, free
-from pyisda.zerocurve cimport JpmcdsBuildIRZeroCurve
+from pyisda.zerocurve cimport JpmcdsBuildIRZeroCurve, JpmcdsZeroPrice
 from pyisda.yearfrac cimport dcc
 from pyisda.date cimport (JpmcdsStringToDateInterval, pydate_to_TDate,
-                          JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust)
+                          JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust, TDate_to_pydate,
+                          JpmcdsDateFromBusDaysOffset)
 
 cdef int SUCCESS = 0
 
@@ -16,9 +17,9 @@ cpdef public enum BadDay:
 cdef class ZeroCurve:
 
     def __init__(self, date, str types,
-                  list periods, double[:] rates,
-                  str mm_dcc, str fixed_swap_period, str float_swap_period,
-                  str fixed_swap_dcc, str float_swap_dcc, BadDay bad_day_conv):
+                 list periods, double[:] rates,
+                 str mm_dcc, str fixed_swap_period, str float_swap_period,
+                 str fixed_swap_dcc, str float_swap_dcc, BadDay bad_day_conv):
         """ Initialize a zero coupon curve
 
         instruments need to be sorted by tenor
@@ -31,13 +32,18 @@ cdef class ZeroCurve:
            TDate value_date = pydate_to_TDate(date)
 
         self._dates = <TDate*>malloc(len(periods) * sizeof(TDate))
-        cdef TDateInterval tmp
+        self._ninstr = len(periods)
+
+        cdef TDate settle_date
+        if JpmcdsDateFromBusDaysOffset(value_date, 2, "None", &settle_date)!= SUCCESS:
+            raise ValueError
 
+        cdef TDateInterval tmp
         for i, p in enumerate(periods):
             period_bytes = p.encode('utf-8')
             if JpmcdsStringToDateInterval(period_bytes, routine, &tmp) != SUCCESS:
                 raise ValueError
-            if JpmcdsDateFwdThenAdjust(value_date, &tmp, NONE,
+            if JpmcdsDateFwdThenAdjust(settle_date, &tmp, NONE,
                                        "None", &self._dates[i]) != SUCCESS:
                 raise ValueError('Invalid interval')
 
@@ -57,8 +63,8 @@ cdef class ZeroCurve:
         self._thisptr = JpmcdsBuildIRZeroCurve(
             value_date, types_bytes, self._dates,
             &rates[0], len(periods), dcc(mm_dcc), <long> fixed_freq,
-            <long> float_freq,
-            dcc(fixed_swap_dcc), dcc(float_swap_dcc), bad_day_conv, b"None"
+            <long> float_freq, dcc(fixed_swap_dcc), dcc(float_swap_dcc),
+            bad_day_conv, b"None"
         )
 
     def __dealloc__(self):
@@ -72,3 +78,7 @@ cdef class ZeroCurve:
             raise ValueError('curve is empty')
         cdef TDate discount_date = pydate_to_TDate(date)
         return JpmcdsZeroPrice(self._thisptr, discount_date)
+
+    def list_dates(self):
+        cdef size_t i
+        return [TDate_to_pydate(self._dates[i]) for i in range(self._ninstr)]
-- 
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