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
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
|
from .date cimport TDateInterval
from .cdsone cimport TStubMethod
from ._curve cimport TCurve
ctypedef int TBoolean
ctypedef long TDate
cdef extern from "isda/cx.h":
ctypedef struct TContingentLeg:
TDate startDate
TDate endDate
double notional
TBoolean protectStart
ctypedef enum TAccrualPayConv:
pass
ctypedef struct TFeeLeg:
int nbDates
TDate* accStartDates
TDate* accEndDates
TDate* payDates
double notional
double couponRate
long dcc
TAccrualPayConv accrualPayConv
TBoolean obsStartOfDay
cdef extern from "isda/bastypes.h":
ctypedef struct TCashFlow:
TDate fDate
double fAmount
ctypedef struct TCashFlowList:
int fNumItems
TCashFlow *fArray
cdef extern from "isda/cds.h" nogil:
cdef TContingentLeg* JpmcdsCdsContingentLegMake(
# Date when protection begins. Either at start or end of day (depends
# on protectStart)
TDate startDate,
# Date when protection ends (end of day)
TDate endDate,
# Notional value protected
double notional,
# Should protection include the start date
TBoolean protectStart)
cdef TFeeLeg* JpmcdsCdsFeeLegMake(
# Date when protection begins. Either at start or end of day (depends
# on protectStart)
TDate startDate,
# Date when protection ends (end of day)
TDate endDate,
# Should accrued interest be paid on default. Usually set to TRUE
TBoolean payAccOnDefault,
# Interval between coupon payments. Can be NULL when 3M is assumed
TDateInterval *couponInterval,
# If the startDate and endDate are not on cycle, then this parameter
# determines location of coupon dates.
TStubMethod *stubType,
# Notional value protected
double notional,
# Fixed coupon rate (a.k.a. spread) for the fee leg
double couponRate,
# Day count convention for coupon payment. Normal is ACT_360
long paymentDcc,
# Bad day convention for adjusting coupon payment dates.
long badDayConv,
# Calendar used when adjusting coupon dates. Can be NULL which equals
# a calendar with no holidays and including weekends.
char *calendar,
# Should protection include the start date */
TBoolean protectStart)
cdef extern from "isda/contingentleg.h" nogil:
cdef int JpmcdsContingentLegPV(TContingentLeg *cl, # Contingent leg
TDate today, # No observations before today
TDate valueDate, # Value date for discounting
TDate stepinDate, # Step-in date
TCurve *discountCurve, # Risk-free curve
TCurve *spreadCurve, # Spread curve
double recoveryRate, # Recovery rate
double *pv)
cdef extern from "isda/feeleg.h" nogil:
cdef int JpmcdsFeeLegPV(TFeeLeg *fl,
TDate today,
TDate stepinDate,
TDate valueDate,
TCurve *discCurve,
TCurve *spreadCurve,
TBoolean payAccruedAtStart,
double *pv)
cdef TCashFlowList* JpmcdsFeeLegFlows(TFeeLeg *fl)
cdef void JpmcdsFeeLegFree(TFeeLeg *p)
cdef void FeeLegAI(TFeeLeg* fl,
TDate today,
double* ai)
cdef class ContingentLeg:
cdef TContingentLeg* _thisptr
cdef class FeeLeg:
cdef TFeeLeg* _thisptr
|
