diff options
| author | Guillaume Horel <guillaume.horel@gmail.com> | 2017-03-01 14:19:28 -0500 |
|---|---|---|
| committer | Guillaume Horel <guillaume.horel@gmail.com> | 2017-03-10 15:51:18 -0500 |
| commit | e70ed2b435bd1f6193b91db1e49b0ea99832bde2 (patch) | |
| tree | ac07f0360bd2ec8336edb415ef7bc9734f9d5e35 | |
| parent | 14fecfbcbfcc3a022b6cd74f86d8bb37d2fc1db0 (diff) | |
| download | pyisda-e70ed2b435bd1f6193b91db1e49b0ea99832bde2.tar.gz | |
make sure to remove accrued
| -rw-r--r-- | pyisda/credit_index.pyx | 8 |
1 files changed, 4 insertions, 4 deletions
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx index ad49a58..fda2053 100644 --- a/pyisda/credit_index.pyx +++ b/pyisda/credit_index.pyx @@ -186,8 +186,6 @@ cdef class CreditIndex(CurveList): TDate value_date_c = pydate_to_TDate(value_date) TDate maturity_c = pydate_to_TDate(maturity) - cdef double accrued - FeeLegAI(self._fee_legs[0], self._base_date, &accrued) cdef: TContingentLeg* cl TFeeLeg* fl @@ -200,6 +198,7 @@ cdef class CreditIndex(CurveList): else: raise ValueError("maturity is not correct") + cdef bint* mask cdef vector[double] h cdef TCurve* tweaked_curve @@ -211,7 +210,8 @@ cdef class CreditIndex(CurveList): tweaked_curve = JpmcdsCopyCurve(self._curves[0].get()) cdef: - double fl_pv, cl_pv, r = 0 + double accrued, fl_pv, cl_pv, r = 0 + FeeLegAI(self._fee_legs[0], self._base_date, &accrued) for i in range(self._curves.size()): if epsilon != 0: @@ -330,7 +330,7 @@ cdef class CreditIndex(CurveList): True, &fl_pv) r += self._weights[i] * fl_pv - return r + return r - accrued @property def maturities(self): |