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
|
from cpython cimport datetime
from libc.stdlib cimport malloc, free
from pyisda.zerocurve cimport JpmcdsBuildIRZeroCurve
from pyisda.yearfrac cimport dcc
from pyisda.date cimport (JpmcdsStringToDateInterval, pydate_to_TDate,
JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust)
cdef int SUCCESS = 0
cpdef public enum BadDay:
FOLLOW = <long>'F'
PREVIOUS = <long>'P'
NONE = <long>'N'
MODIFIED = <long>'M'
cdef class ZeroCurve:
cdef TCurve* _thisptr
cdef TDate* _dates
def __init__(self, date, str types,
list periods, double[:] rates,
str mm_dcc, str fixed_swap_period, str float_swap_period,
str fixed_swap_dcc, str float_swap_dcc, BadDay bad_day_conv):
""" Initialize a zero coupon curve
instruments need to be sorted by tenor
"""
cdef:
double fixed_freq
double float_freq
TDateInterval ivl
char* routine = 'zerocurve'
TDate value_date = pydate_to_TDate(date)
self._dates = <TDate*>malloc(len(periods) * sizeof(TDate))
cdef TDateInterval tmp
for i, p in enumerate(periods):
period_bytes = p.encode('utf-8')
if JpmcdsStringToDateInterval(period_bytes, routine, &tmp) != SUCCESS:
raise ValueError
if JpmcdsDateFwdThenAdjust(value_date, &tmp, NONE,
"None", &self._dates[i]) != SUCCESS:
raise ValueError('Invalid interval')
fixed_bytes = fixed_swap_period.encode('utf-8')
float_bytes = float_swap_period.encode('utf-8')
types_bytes = types.encode('utf-8')
if JpmcdsStringToDateInterval(fixed_bytes, routine, &ivl) != SUCCESS:
raise ValueError
if JpmcdsDateIntervalToFreq(&ivl, &fixed_freq) != SUCCESS:
raise ValueError
if JpmcdsStringToDateInterval(float_bytes, routine, &ivl) != SUCCESS:
raise ValueError
if JpmcdsDateIntervalToFreq(&ivl, &float_freq) != SUCCESS:
raise ValueError
self._thisptr = JpmcdsBuildIRZeroCurve(
value_date, types_bytes, self._dates,
&rates[0], len(periods), dcc(mm_dcc), <long> fixed_freq,
<long> float_freq,
dcc(fixed_swap_dcc), dcc(float_swap_dcc), bad_day_conv, b"None"
)
def __dealloc__(self):
if self._thisptr is not NULL:
JpmcdsFreeTCurve(self._thisptr)
if self._dates is not NULL:
free(self._dates)
def discount_factor(self, date):
if self._thisptr is NULL:
raise ValueError('curve is empty')
cdef TDate discount_date = pydate_to_TDate(date)
return JpmcdsZeroPrice(self._thisptr, discount_date)
|
