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| author | Guillaume Horel <guillaume.horel@gmail.com> | 2018-10-11 16:15:11 -0400 |
|---|---|---|
| committer | Guillaume Horel <guillaume.horel@gmail.com> | 2018-10-11 16:15:11 -0400 |
| commit | 8f969e3a6c165ac208c8e0434a7d0b173dc45b18 (patch) | |
| tree | b542deadf186e3e3dac62dbef8a309e4f9e0884f | |
| parent | 7a4fa08217d9969addf54a71bf580b6850d0f2b4 (diff) | |
| download | pyisda-8f969e3a6c165ac208c8e0434a7d0b173dc45b18.tar.gz | |
fix accrued
| -rw-r--r-- | pyisda/credit_index.pyx | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx index 1f0bca5..6885aa9 100644 --- a/pyisda/credit_index.pyx +++ b/pyisda/credit_index.pyx @@ -355,7 +355,7 @@ cdef class CreditIndex(CurveList): def accrued(self): cdef double accrued - FeeLegAI(self.fee_legs[0], self.base_date, &accrued) + FeeLegAI(self.fee_legs[0], self.base_date + 1, &accrued) return accrued def pv(self, step_in_date, cash_settle_date, maturity, YieldCurve yc not None, |