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| author | Guillaume Horel <guillaume.horel@gmail.com> | 2019-02-05 13:26:33 -0500 |
|---|---|---|
| committer | Guillaume Horel <guillaume.horel@gmail.com> | 2019-02-05 13:26:33 -0500 |
| commit | 4d112bf0881abba38f947c3924ba071e8bd57ae5 (patch) | |
| tree | a79c0938dd7b5b3bd93225acdf5b84ca29b29322 | |
| parent | 6f1bbc1198993cb5017c3f68ae69f31a9fd4ec7f (diff) | |
| download | pyisda-4d112bf0881abba38f947c3924ba071e8bd57ae5.tar.gz | |
use curve's own recoveries
| -rw-r--r-- | pyisda/curve.pyx | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx index 6af2176..0713082 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -798,7 +798,7 @@ cdef class SpreadCurve(Curve): @cython.boundscheck(False) def par_spread(self, today, step_in_date, start_date, end_dates, - double[:] recovery_rates, YieldCurve yc, bint pay_accrued_on_default): + YieldCurve yc not None, bint pay_accrued_on_default=True): cdef TDate today_c = pydate_to_TDate(today) cdef TDate step_in_date_c = pydate_to_TDate(step_in_date) cdef TDate start_date_c = pydate_to_TDate(start_date) @@ -830,7 +830,7 @@ cdef class SpreadCurve(Curve): b'NONE', yc._thisptr.get(), self._thisptr.get(), - &recovery_rates[0], + self.recovery_rates.get(), par_spreads) free(end_dates_c) cdef list r = [] |