copy recovery_rates back an forth

2 files changed, 6 insertions, 0 deletions

diff --git a/pyisda/credit_index.pxd b/pyisda/credit_index.pxd
index 005d166..e52a33d 100644
--- a/pyisda/credit_index.pxd
+++ b/pyisda/credit_index.pxd
@@ -11,6 +11,7 @@ cdef class CurveList:
     cdef vector[double] T
     cdef vector[shared_ptr[TCurve]] curves
     cdef unordered_map[string, size_t] tickers
+    cdef vector[double[:]] recovery_rates
 
 cdef class CreditIndex(CurveList):
     cdef TDate start_date
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx
index c93b177..8bfc769 100644
--- a/pyisda/credit_index.pyx
+++ b/pyisda/credit_index.pyx
@@ -43,8 +43,10 @@ cdef class CurveList:
                 self.tickers[sc.ticker] = i
                 if sc is not None:
                     self.curves.push_back(sc._thisptr)
+                    self.recovery_rates.push_back(sc.recovery_rates)
                 else:
                     self.curves.push_back(shared_ptr[TCurve]())
+                    #self.recovery_rates.push_back(double[:])
                 self.weights.push_back(1.)
                 i += 1
             else:
@@ -69,6 +71,7 @@ cdef class CurveList:
         else:
             sc = SpreadCurve.__new__(SpreadCurve)
             sc._thisptr = self.curves[deref(got).second]
+            sc.recovery_rates = self.recovery_rates[deref(got).second]
             sc.ticker = ticker_cpp
             return sc
 
@@ -82,6 +85,7 @@ cdef class CurveList:
             sc = SpreadCurve.__new__(SpreadCurve)
             sc._thisptr = self.curves[p.second]
             sc.ticker = p.first
+            sc.recovery_rates = self.recovery_rates[p.second]
             yield (sc.ticker.decode(), self.weights[p.second], sc)
 
     @property
@@ -107,6 +111,7 @@ cdef class CurveList:
             sc = SpreadCurve.__new__(SpreadCurve)
             sc._thisptr = self.curves[p.second]
             sc.ticker = p.first
+            sc.recovery_rates = self.recovery_rates[p.second]
             r.append(sc)
         return r