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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)
def __dealloc__(self):
if self._thisptr is not NULL:
free(self._thisptr)
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',
NULL,
protect_start)
@property
def cashflows(self):
cdef TCashFlowList* cfl = JpmcdsFeeLegFlows(self._thisptr)
cdef TCashFlow cf
result = []
for i in range(cf.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 today_c = pydate_to_TDate(today)
cdef step_in_date_c = pydate_to_TDate(step_in_date)
cdef value_date_c = pydate_to_TDate(value_date)
cdef double pv
if JpmcdsFeeLegPV(self._thisptr, today, step_in_date, value_date,
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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