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from cpython cimport datetime
from libc.stdlib cimport malloc, free
from pyisda.zerocurve cimport JpmcdsBuildIRZeroCurve
from pyisda.yearfrac cimport dcc
from pyisda.convert cimport JpmcdsStringToDateInterval, JpmcdsDateIntervalToFreq, JpmcdsDate
cdef int SUCCESS = 0
cdef class Tcurve:
cdef TCurve* _thisptr
cdef TDate* _dates
def __cinit__(self, date, str types,
list dates, double[:] rates,
str mm_dcc, str fixed_swap_period, str float_swap_period,
str fixed_swap_dcc, str float_swap_dcc, char bad_day_conv,
char* holidayFile):
cdef:
double fixed_freq
double float_freq
TDateInterval ivl
char* routine = 'zerocurve'
TDate value_date
if isinstance(date, datetime.date):
value_date = JpmcdsDate(date.year, date.month, date.day)
else:
raise ValueError
cdef TDate* _dates = <TDate*>malloc(len(dates) * sizeof(TDate))
for i, d in enumerate(date):
_dates[i] = JpmcdsDate(d.year, d.month, d.day)
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, _dates,
&rates[0], len(dates), dcc(mm_dcc), <long> fixed_freq,
<long> float_freq,
dcc(fixed_swap_dcc), dcc(fixed_swap_dcc), <long>bad_day_conv, "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):
cdef TDate discount_date
if isinstance(date, datetime.date):
discount_date = JpmcdsDate(date.year, date.month, date.day)
else:
raise ValueError
return JpmcdsZeroPrice(self._thisptr, discount_date)
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