Cython: “fatal error: numpy/arrayobject.h: No such file or directory”

I’m trying to speed up the answer here using Cython. I try to compile the code (after doing the cygwinccompiler.py hack explained here), but get a fatal error: numpy/arrayobject.h: No such file or directory...compilation terminated error. Can anyone tell me if it’s a problem with my code, or some esoteric subtlety with Cython?