pyisda/cdsone.pxd


1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46

from .date cimport TDateInterval, TStubMethod, JpmcdsStringToStubMethod
from .curve cimport TCurve

cdef extern from "isda/cdsone.h" nogil:

    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,
                                  const char* calendar,
                                  const 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)