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refactored bonds.pyx to use a shared_ptr attribute in the extension i…
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…n place of

a regular pointer.
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@dpinte
dpinte committed Mar 16, 2012
1 parent 5b8f34b commit ad7e28b
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Showing 2 changed files with 40 additions and 24 deletions.
2 changes: 1 addition & 1 deletion examples/bonds.py
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Expand Up @@ -22,7 +22,7 @@
todays_date = Date(25, August, 2011)


settings = Settings()
settings = Settings.instance()
settings.evaluation_date = todays_date

calendar = TARGET()
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62 changes: 39 additions & 23 deletions quantlib/instruments/bonds.pyx
View file
Expand Up @@ -32,8 +32,17 @@ from quantlib.termstructures.yields.flat_forward cimport YieldTermStructure
import datetime

cdef class Bond:
""" Base bond class
cdef _bonds.Bond* _thisptr #FIXME: replace with a shared_ptr
..warning:
Most methods assume that the cash flows are stored
sorted by date, the redemption(s) being after any
cash flow at the same date. In particular, if there's
one single redemption, it must be the last cash flow,
"""

cdef shared_ptr[_bonds.Bond]* _thisptr
cdef cbool _has_pricing_engine

def __cinit__(self):
Expand All @@ -47,6 +56,8 @@ cdef class Bond:
def set_pricing_engine(self, YieldTermStructure yield_term_structure):
'''Sets the pricing engine based on the given term structure.
FIXME: this is inconsistant - we do not set the pricing engine but we
set the term structure for a discounting bond engine ...
FIXME : the pricing engine is not exposed and cannot be selected at this
stage. There is only one engine for bonds, the DiscountingBondEngine,
which is allocated when calling this function.
Expand All @@ -61,26 +72,26 @@ cdef class Bond:
cdef shared_ptr[_bonds.PricingEngine]* engine_ptr = \
new _bonds.shared_ptr[_bonds.PricingEngine](engine)

self._thisptr.setPricingEngine(deref(engine_ptr))
self._thisptr.get().setPricingEngine(deref(engine_ptr))

self._has_pricing_engine = True

property issue_date:
""" Bond issue date. """
def __get__(self):
cdef _date.Date issue_date = self._thisptr.issueDate()
cdef _date.Date issue_date = self._thisptr.get().issueDate()
return date_from_qldate(issue_date)

property maturity_date:
""" Bond maturity date. """
def __get__(self):
cdef _date.Date maturity_date = self._thisptr.maturityDate()
cdef _date.Date maturity_date = self._thisptr.get().maturityDate()
return date_from_qldate(maturity_date)

property valuation_date:
""" Bond valuation date. """
def __get__(self):
cdef _date.Date valuation_date = self._thisptr.valuationDate()
cdef _date.Date valuation_date = self._thisptr.get().valuationDate()
return date_from_qldate(valuation_date)

def settlement_date(self, Date from_date=None):
Expand All @@ -89,36 +100,36 @@ cdef class Bond:
cdef _date.Date settlement_date
if from_date is not None:
date = from_date._thisptr.get()
settlement_date = self._thisptr.settlementDate(deref(date))
settlement_date = self._thisptr.get().settlementDate(deref(date))
else:
settlement_date = self._thisptr.settlementDate()
settlement_date = self._thisptr.get().settlementDate()

return date_from_qldate(settlement_date)

property clean_price:
""" Bond clena price. """
def __get__(self):
if self._has_pricing_engine:
return self._thisptr.cleanPrice()
return self._thisptr.get().cleanPrice()

property dirty_price:
""" Bond dirty price. """
def __get__(self):
if self._has_pricing_engine:
return self._thisptr.dirtyPrice()
return self._thisptr.get().dirtyPrice()

property net_present_value:
""" Bond net present value. """
def __get__(self):
if self._has_pricing_engine:
return self._thisptr.NPV()
return self._thisptr.get().NPV()

def accrued_amount(self, Date date=None):
""" Returns the bond accrued amount at the given date. """
if date is not None:
amount = self._thisptr.accruedAmount(deref(date._thisptr.get()))
amount = self._thisptr.get().accruedAmount(deref(date._thisptr.get()))
else:
amount = (<_bonds.Bond*>self._thisptr).accruedAmount()
amount = self._thisptr.get().accruedAmount()
return amount

cdef class FixedRateBond(Bond):
Expand All @@ -143,21 +154,24 @@ cdef class FixedRateBond(Bond):
# empty issue rate seem to break some of the computation with
# segfaults. Do we really want to let the user do that ? Or
# shall we default on the first date of the schedule ?
self._thisptr = new _bonds.FixedRateBond(settlement_days,
face_amount, deref(_fixed_bonds_schedule), deref(_coupons),
deref(_accrual_day_counter),
<BusinessDayConvention>payment_convention,
redemption
self._thisptr = new shared_ptr[_bonds.Bond](
new _bonds.FixedRateBond(settlement_days,
face_amount, deref(_fixed_bonds_schedule), deref(_coupons),
deref(_accrual_day_counter),
<BusinessDayConvention>payment_convention,
redemption)
)
else:
_issue_date = <_date.Date*>((<Date>issue_date)._thisptr.get())

self._thisptr = new _bonds.FixedRateBond(settlement_days,
self._thisptr = new shared_ptr[_bonds.Bond](\
new _bonds.FixedRateBond(settlement_days,
face_amount, deref(_fixed_bonds_schedule),
deref(_coupons),
deref(_accrual_day_counter),
<BusinessDayConvention>payment_convention,
redemption, deref(_issue_date)
)
)

cdef class ZeroCouponBond(Bond):
Expand All @@ -168,11 +182,13 @@ cdef class ZeroCouponBond(Bond):
):
""" Instantiate a zero coupon bond. """
if issue_date is not None:
self._thisptr = new _bonds.ZeroCouponBond(
<Natural> settlement_days, deref(calendar._thisptr),
<Real>face_amount, deref(maturity_date._thisptr.get()),
<BusinessDayConvention>payment_convention,
<Real>redemption, deref(issue_date._thisptr.get())
self._thisptr = new shared_ptr[_bonds.Bond](
new _bonds.ZeroCouponBond(
<Natural> settlement_days, deref(calendar._thisptr),
<Real>face_amount, deref(maturity_date._thisptr.get()),
<BusinessDayConvention>payment_convention,
<Real>redemption, deref(issue_date._thisptr.get())
)
)
else:
raise NotImplementedError(
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