diff options
| author | Guillaume Horel <guillaume.horel@gmail.com> | 2018-11-09 13:54:37 -0500 |
|---|---|---|
| committer | Guillaume Horel <guillaume.horel@gmail.com> | 2018-11-09 13:54:37 -0500 |
| commit | f339ef35eb45e0f7874c578442baabc42950a868 (patch) | |
| tree | 53db16fd88fbce0543fdb4b49d56ff13b0a85576 | |
| parent | b25fc45c9fe68320137b4c52fb9e29ea103be3be (diff) | |
| download | pyisda-f339ef35eb45e0f7874c578442baabc42950a868.tar.gz | |
fix spread for defaulted curve
| -rw-r--r-- | pyisda/curve.pxd | 3 | ||||
| -rw-r--r-- | pyisda/curve.pyx | 2 |
2 files changed, 4 insertions, 1 deletions
diff --git a/pyisda/curve.pxd b/pyisda/curve.pxd index c7362c0..e0bb094 100644 --- a/pyisda/curve.pxd +++ b/pyisda/curve.pxd @@ -193,6 +193,9 @@ cdef extern from "isda/cfinanci.h": double yearFraction, # (I) See JpmcdsDayCountFraction double basis, # (I) Basis for the rate double *rate) nogil +cdef extern from "isda/macros.h": + cdef double JPMCDS_MAX_RATE + cdef enum Basis: CONTINUOUS = 5000 DISCOUNT_RATE = 512 diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx index f91a90c..6aa54a7 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -591,7 +591,7 @@ cdef class SpreadCurve(Curve): <long>'M', b'NONE') else: - rates = vector[double](n_dates, 1000) + rates = vector[double](n_dates, JPMCDS_MAX_RATE) curve = JpmcdsMakeTCurve(today_c, end_dates_c, rates.data(), |