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cdef extern from "isda/zerocurve.h":
ctypedef long int TDate
ctypedef struct TCurve:
pass
ctypedef struct TDateInterval:
pass
TCurve* JpmcdsBuildIRZeroCurve(TDate valueDate,
char* instrNames,
TDate* dates,
double* rates,
long nInstr,
long mmDCC,
long fixedSwapFreq,
long floatSwapFreq,
long fixedSwapDCC,
long floatSwapDCC,
long badDayConv,
char* holidayFile)
cdef extern from "isda/tcurve.h":
void JpmcdsFreeTCurve(TCurve* curve)
cdef extern from "isda/cxzerocurve.h":
double JpmcdsZeroPrice(TCurve* curve, TDate date)
cdef class ZeroCurve:
cdef TCurve* _thisptr
cdef TDate* _dates
cdef size_t _ninstr
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