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from legs cimport (JpmcdsCdsContingentLegMake,
JpmcdsCdsFeeLegMake, JpmcdsFeeLegFlows, TBoolean)
from libc.stdlib cimport free
from date cimport pydate_to_TDate, TDate_to_pydate, dcc
from cdsone cimport JpmcdsStringToStubMethod, TStubMethod
from curve cimport ZeroCurve, SpreadCurve
cdef class ContingentLeg:
def __cinit__(self, start_date, end_date, double notional,
TBoolean protect_start = True):
self._thisptr = JpmcdsCdsContingentLegMake(pydate_to_TDate(start_date),
pydate_to_TDate(end_date),
notional,
protect_start)
if self._thisptr is NULL:
raise ValueError
def __dealloc__(self):
if self._thisptr is not NULL:
free(self._thisptr)
def pv(self, today, step_in_date, value_date, ZeroCurve zc, SpreadCurve sc,
double recovery_rate):
cdef TDate today_c = pydate_to_TDate(today)
cdef TDate step_in_date_c = pydate_to_TDate(step_in_date)
cdef TDate value_date_c = pydate_to_TDate(value_date)
cdef double pv
if JpmcdsContingentLegPV(self._thisptr, today_c, value_date_c, step_in_date_c,
zc._thisptr, sc._thisptr, recovery_rate, &pv) == 0:
return pv
else:
raise ValueError
cdef class FeeLeg:
def __cinit__(self, start_date, end_date, TBoolean pay_accrued_on_default,
double notional, double coupon_rate, str payment_dcc = 'ACT/360',
TBoolean protect_start = True):
cdef TStubMethod stub_type
if JpmcdsStringToStubMethod(b"f/s", &stub_type) != 0:
raise ValueError("can't convert stub")
self._thisptr = JpmcdsCdsFeeLegMake(pydate_to_TDate(start_date),
pydate_to_TDate(end_date),
pay_accrued_on_default,
NULL,
&stub_type,
notional,
coupon_rate,
dcc(payment_dcc),
<long>'M',
b'NONE',
protect_start)
if self._thisptr is NULL:
raise ValueError
def inspect(self):
cdef list acc_start_dates = []
cdef list acc_end_dates = []
cdef list pay_dates = []
cdef size_t i
for i in range(self._thisptr.nbDates):
acc_start_dates.append(TDate_to_pydate(self._thisptr.accStartDates[i]))
acc_end_dates.append(TDate_to_pydate(self._thisptr.accEndDates[i]))
pay_dates.append(TDate_to_pydate(self._thisptr.payDates[i]))
return {'acc_start_dates': acc_start_dates,
'acc_end_dates': acc_end_dates,
'pay_dates': pay_dates}
@property
def cashflows(self):
cdef TCashFlowList* cfl = JpmcdsFeeLegFlows(self._thisptr)
cdef TCashFlow cf
result = []
for i in range(cfl.fNumItems):
cf = cfl.fArray[i]
result.append((TDate_to_pydate(cf.fDate), cf.fAmount))
return result
def pv(self, today, step_in_date, value_date, ZeroCurve zc, SpreadCurve sc,
TBoolean pay_accrued_at_start):
cdef TDate today_c = pydate_to_TDate(today)
cdef TDate step_in_date_c = pydate_to_TDate(step_in_date)
cdef TDate value_date_c = pydate_to_TDate(value_date)
cdef double pv
if JpmcdsFeeLegPV(self._thisptr, today_c, step_in_date_c, value_date_c,
zc._thisptr, sc._thisptr, pay_accrued_at_start, &pv) == 0:
return pv
else:
raise ValueError
def __dealloc__(self):
if self._thisptr is not NULL:
JpmcdsFeeLegFree(self._thisptr)
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