Merge pull request #195 from thrasibule/new_dategeneration_rule

add new dategeneration rule
enthought · Aug 16, 2017 · 5394649 · 5394649
2 parents 0f26a4d + 1b90d64
commit 5394649
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Showing 2 changed files with 13 additions and 11 deletions.
diff --git a/quantlib/time/_schedule.pxd b/quantlib/time/_schedule.pxd
@@ -27,7 +27,8 @@ cdef extern from 'ql/time/dategenerationrule.hpp' namespace \
         OldCDS # Same as TwentiethIMM with unrestricted date ends and log/short
                # stub coupon period (old CDS convention).
         CDS # Credit derivatives standard rule since 'Big Bang' changes in 2009.
-
+        CDS2015 # Credit derivatives standard rule since December 20th, 2015.
+
 cdef extern from 'ql/time/schedule.hpp' namespace 'QuantLib':
 
     cdef cppclass Schedule:

diff --git a/quantlib/time/schedule.pyx b/quantlib/time/schedule.pyx
@@ -13,7 +13,7 @@ from date cimport date_from_qldate, Date, Period
 
 import warnings
 
-cdef public enum Rule:
+cpdef public enum Rule:
     # Backward from termination date to effective date.
     Backward       = _schedule.Backward
     # Forward from effective date to termination date.
@@ -39,6 +39,7 @@ cdef public enum Rule:
     # Credit derivatives standard rule since 'Big Bang' changes
     # in 2009.
     CDS            = _schedule.CDS
+    CDS2015        = _schedule.CDS2015
 
 cdef class Schedule:
     """ Payment schedule. """
@@ -56,8 +57,8 @@ cdef class Schedule:
                 DeprecationWarning)
 
             self._thisptr = new _schedule.Schedule(
-                deref(effective_date._thisptr.get()),
-                deref(termination_date._thisptr.get()),
+                deref(effective_date._thisptr),
+                deref(termination_date._thisptr),
                 deref(tenor._thisptr.get()),
                 deref(calendar._thisptr),
                 business_day_convention,
@@ -87,7 +88,7 @@ cdef class Schedule:
             business_day_convention,
             optional[BusinessDayConvention](
                 termination_date_convention),
-            make_optional[_calendar.Period](tenor is not None, deref(tenor._thisptr.get())),
+            make_optional[_calendar.Period](tenor is not None, deref(tenor._thisptr)),
             optional[_schedule.Rule](<_schedule.Rule>date_generation_rule),
             optional[bool](end_of_month),
             is_regular
@@ -106,14 +107,14 @@ cdef class Schedule:
 
         cdef Schedule instance = cls.__new__(cls)
         instance._thisptr = new _schedule.Schedule(
-            deref(effective_date._thisptr.get()),
-            deref(termination_date._thisptr.get()),
-            deref(tenor._thisptr.get()),
+            deref(effective_date._thisptr),
+            deref(termination_date._thisptr),
+            deref(tenor._thisptr),
             deref(calendar._thisptr),
             business_day_convention,
             termination_date_convention,
             <_schedule.Rule>date_generation_rule, end_of_month,
-            deref(first_date._thisptr.get()), deref(next_to_lastdate._thisptr.get())
+            deref(first_date._thisptr), deref(next_to_lastdate._thisptr)
             )
         return instance
 
@@ -131,13 +132,13 @@ cdef class Schedule:
 
     def next_date(self, Date reference_date):
         cdef _date.Date dt = self._thisptr.nextDate(
-            deref(reference_date._thisptr.get())
+            deref(reference_date._thisptr)
         )
         return date_from_qldate(dt)
 
     def previous_date(self, Date reference_date):
         cdef _date.Date dt = self._thisptr.previousDate(
-            deref(reference_date._thisptr.get())
+            deref(reference_date._thisptr)
         )
         return date_from_qldate(dt)