pyisda/cdsone.pxd


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from date cimport TDateInterval
from curve cimport TCurve

cdef extern from "isda/stub.h":
    ctypedef struct TStubMethod:
        pass

    int JpmcdsStringToStubMethod(char* name, TStubMethod* stub)

cdef extern from "isda/cdsone.h":

    ctypedef int TBoolean

    ctypedef long int TDate

    int JpmcdsCdsoneUpfrontCharge(TDate today,
                                  TDate valueDate,
                                  TDate benchmarkStartDate,
                                  TDate stepinDate,
                                  TDate startDate,
                                  TDate endDate,
                                  double couponRate,
                                  TBoolean payAccruedOnDefault,
                                  TDateInterval* dateInterval,
                                  TStubMethod* stubType,
                                  long accrueDCC,
                                  long badDayConv,
                                  char* calendar,
                                  TCurve* discCurve,
                                  double oneSpread,
                                  double recoveryRate,
                                  TBoolean payAccruedAtStart,
                                  double* upfrontCharge)

    int JpmcdsCdsoneSpread(TDate today,
                           TDate valueDate,
                           TDate benchmarkStartDate,
                           TDate stepinDate,
                           TDate startDate,
                           TDate endDate,
                           double couponRate,
                           TBoolean payAccruedOnDefault,
                           TDateInterval* dateInterval,
                           TStubMethod* stubType,
                           long accrueDCC,
                           long badDayConv,
                           char* calendar,
                           TCurve* discCurve,
                           double upfrontCharge,
                           double recoveryRate,
                           TBoolean payAccruedAtStart,
                           double* oneSpread)