do not bomb when passing None curve

1 files changed, 17 insertions, 10 deletions

diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx
index 6731ca9..2f156a8 100644
--- a/pyisda/credit_index.pyx
+++ b/pyisda/credit_index.pyx
@@ -20,6 +20,7 @@ cimport numpy as np
 np.import_array()
 import numpy as np
 import pandas as pd
+import warnings
 
 cdef inline shared_ptr[TCurve] make_shared(TCurve* ptr) nogil:
     return shared_ptr[TCurve](ptr, JpmcdsFreeTCurve)
@@ -66,20 +67,20 @@ cdef class CurveList:
             self.T[i] = (sc._thisptr.get().fArray[i].fDate - self.base_date) / 365.
 
         i = 0
+        cdef int n_skipped = 0
         for sc in curves:
-            it = self.tickers.find(sc.ticker)
-            if it == self.tickers.end():
-                self.tickers[sc.ticker] = i
-                if sc is not None:
+            if sc is not None:
+                it = self.tickers.find(sc.ticker)
+                if it == self.tickers.end():
+                    self.tickers[sc.ticker] = i
                     self._curves.push_back(sc._thisptr)
                     self.recovery_rates.push_back(sc.recovery_rates)
+                    self._weights.push_back(1.)
+                    i += 1
                 else:
-                    self._curves.push_back(shared_ptr[TCurve]())
-                    self.recovery_rates.push_back(shared_ptr[double]())
-                self._weights.push_back(1.)
-                i += 1
+                    self._weights[deref(it).second] += 1
             else:
-                self._weights[deref(it).second] += 1
+                n_skipped += 1
 
         if weights is not None:
             for i in range(weights.shape[0]):
@@ -88,6 +89,9 @@ cdef class CurveList:
             for i in range(self._curves.size()):
                 self._weights[i] /= n
 
+        if n_skipped > 0:
+            warnings.warn(f"skipped {n_skipped} empty curves")
+
     def __getitem__(self, str ticker):
         cdef:
             string ticker_cpp = ticker.encode()
@@ -325,7 +329,10 @@ cdef class CreditIndex(CurveList):
         cdef:
             TDate step_in_date_c = pydate_to_TDate(step_in_date)
             TDate value_date_c =  pydate_to_TDate(value_date)
-            np.npy_intp[2] n = [self._curves.size(), self._maturities.size()]
+            np.npy_intp[2] n
+        n[0] = self._curves.size()
+        n[1] = self._maturities.size()
+        cdef:
             size_t i = 0, j = 0
             np.ndarray[np.float64_t,ndim=2] cl_pv = np.PyArray_EMPTY(2, n, np.NPY_DOUBLE, 0)
             np.ndarray[np.float64_t,ndim=2] fl_pv = np.PyArray_EMPTY(2, n, np.NPY_DOUBLE, 0)