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#include <cstring>
#include "curve.hpp"
#include "isda/cxzerocurve.h"
#include <cmath>
namespace pyisda {
size_t Curve::size() {
return sizeof(int) + sizeof(TDate) + sizeof(double) +
sizeof(long) + sizeof(TRatePt) * ptr->fNumItems;
}
unsigned char* Curve::serialize(unsigned char* const buf) {
unsigned char* cur = buf;
int num_items = ptr->fNumItems;
std::memcpy(cur, &num_items, sizeof(int));
cur += sizeof(int);
memcpy(cur, ptr->fArray, sizeof(TRatePt) * num_items);
cur += sizeof(TRatePt) * num_items;
memcpy(cur, &(ptr->fBaseDate), sizeof(TDate));
cur += sizeof(TDate);
memcpy(cur, &(ptr->fBasis), sizeof(double));
cur += sizeof(double);
memcpy(cur, &(ptr->fDayCountConv), sizeof(long));
return cur + sizeof(long);
}
double Curve::zeroPrice(const TDate date) {
return JpmcdsZeroPrice(ptr, date);
}
double Curve::zeroPrice(const TDate date1, const TDate date2) {
return JpmcdsForwardZeroPrice(ptr, date1, date2);
}
double Curve::survivalProb(const TDate start_date, const TDate maturity_date, double eps) {
double lambda1, lambda2;
double t1, t2;
if(start_date == ptr->fBaseDate) {
lambda2 = JpmcdsZeroRate(ptr, maturity_date) * (1 + eps);
t2 = (maturity_date - ptr->fBaseDate) / 365.;
return std::exp(-lambda2 * t2);
} else {
lambda1 = JpmcdsZeroRate(ptr, start_date);
lambda2 = JpmcdsZeroRate(ptr, maturity_date);
t1 = start_date - ptr->fBaseDate;
t2 = maturity_date - ptr->fBaseDate;
return std::exp((lambda1 * t1 - lambda2 * t2) * (1 + eps) / 365.);
}
}
double Curve::survivalProb(const TDate start_date, const TDate maturity_date) {
double lambda1, lambda2;
double t1, t2;
if(start_date == ptr->fBaseDate) {
lambda2 = JpmcdsZeroRate(ptr, maturity_date);
t2 = (maturity_date - ptr->fBaseDate) / 365.;
return std::exp(-lambda2 * t2);
} else {
lambda1 = JpmcdsZeroRate(ptr, start_date);
lambda2 = JpmcdsZeroRate(ptr, maturity_date);
t1 = start_date - ptr->fBaseDate;
t2 = maturity_date - ptr->fBaseDate;
return std::exp((lambda1 * t1 - lambda2 * t2) / 365.);
}
}
void Curve::tweak(TCurve* const ptr, double epsilon) {
double h1, h2, t1, t2, c;
h1 = t1 = c = 0;
TRatePt cur;
for(int i = 0; i < ptr->fNumItems; i++) {
cur = ptr->fArray[i];
h2 = cur.fRate;
t2 = (cur.fDate - ptr->fBaseDate) / 365.;
c += (h2 * t2 - h1 * t1 ) * (1 + epsilon);
cur.fRate = c / t2;
h1 = h2;
t1 = t2;
}
}
void Curve::tweak(TCurve* const ptr, double epsilon, unsigned long mask) {
double h1, h2, t1, t2, c;
h1 = t1 = c = 0;
TRatePt cur;
for(int i = 0;i < ptr->fNumItems; i++) {
cur = ptr->fArray[i];
h2 = cur.fRate;
t2 = (cur.fDate - ptr->fBaseDate) / 365.;
c += (h2 * t2 - h1 * t1 ) * (1 + epsilon * (( mask >> i) & 1));
cur.fRate = c / t2;
h1 = h2;
t1 = t2;
}
}
void Curve::tweak(double epsilon) {
Curve::tweak(ptr, epsilon);
}
void Curve::tweak(double epsilon, unsigned long mask) {
Curve::tweak(ptr, epsilon, mask);
}
size_t YieldCurve::size() {
return Curve::size() + sizeof(TDate) * dates.size();
}
unsigned char* YieldCurve::serialize(unsigned char* const buf) {
unsigned char* cur = buf;
cur = Curve::serialize(buf);
size_t size = dates.size();
memcpy(cur, &size, sizeof(size_t));
cur += sizeof(size_t);
memcpy(cur, dates.data(), sizeof(TDate) * size);
return cur + sizeof(TDate) * size;
}
size_t SpreadCurve::size() {
return Curve::size() + recovery_rates.size() * sizeof(double) + 8;
}
unsigned char* SpreadCurve::serialize(unsigned char* const buf) {
unsigned char* cur = buf;
cur = Curve::serialize(buf);
memcpy(cur, recovery_rates.data(), recovery_rates.size() * sizeof(double));
cur += recovery_rates.size() * sizeof(double);
if (ticker.length() < 8) {
ticker.copy((char*)cur, ticker.length(), 0);
memset(cur + ticker.length(), 0, 8 - ticker.length());
} else {
ticker.copy((char*)cur, 8, 0);
}
return cur + 8;
}
}
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