diff options
Diffstat (limited to 'python/cds_curve.py')
| -rw-r--r-- | python/cds_curve.py | 3 |
1 files changed, 1 insertions, 2 deletions
diff --git a/python/cds_curve.py b/python/cds_curve.py index 2e21310d..7b9e5713 100644 --- a/python/cds_curve.py +++ b/python/cds_curve.py @@ -84,8 +84,7 @@ def forward_hazard_rates(sc): t1 = 0 h1 = 0 base_date = sc.base_date - for d, h in sc.inspect()['data']: - h2 = math.log1p(h) + for d, h2 in sc.inspect()['data']: t2 = (d - base_date).days / 365 r.append( (h2 * t2 - h1 * t1) / (t2 - t1) ) t.append(t2) |