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from cpython cimport datetime
from libc.stdlib cimport malloc, free
from pyisda.zerocurve cimport JpmcdsBuildIRZeroCurve, JpmcdsZeroPrice
from pyisda.yearfrac cimport dcc
from pyisda.date cimport (JpmcdsStringToDateInterval, pydate_to_TDate,
JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust, TDate_to_pydate,
JpmcdsDateFromBusDaysOffset)
cdef int SUCCESS = 0
cpdef public enum BadDay:
FOLLOW = <long>'F'
PREVIOUS = <long>'P'
NONE = <long>'N'
MODIFIED = <long>'M'
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):
""" Initialize a zero coupon curve
instruments need to be sorted by tenor
"""
cdef:
double fixed_freq
double float_freq
TDateInterval ivl
char* routine = 'zerocurve'
TDate value_date = pydate_to_TDate(date)
self._dates = <TDate*>malloc(len(periods) * sizeof(TDate))
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(settle_date, &tmp, NONE,
"None", &self._dates[i]) != SUCCESS:
raise ValueError('Invalid interval')
fixed_bytes = fixed_swap_period.encode('utf-8')
float_bytes = float_swap_period.encode('utf-8')
types_bytes = types.encode('utf-8')
if JpmcdsStringToDateInterval(fixed_bytes, routine, &ivl) != SUCCESS:
raise ValueError
if JpmcdsDateIntervalToFreq(&ivl, &fixed_freq) != SUCCESS:
raise ValueError
if JpmcdsStringToDateInterval(float_bytes, routine, &ivl) != SUCCESS:
raise ValueError
if JpmcdsDateIntervalToFreq(&ivl, &float_freq) != SUCCESS:
raise ValueError
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"
)
def __dealloc__(self):
if self._thisptr is not NULL:
JpmcdsFreeTCurve(self._thisptr)
if self._dates is not NULL:
free(self._dates)
def discount_factor(self, date):
if self._thisptr is NULL:
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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