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| author | Guillaume Horel <guillaume.horel@gmail.com> | 2020-01-27 16:11:12 -0500 |
|---|---|---|
| committer | Guillaume Horel <guillaume.horel@gmail.com> | 2020-01-27 16:11:12 -0500 |
| commit | 750beafc64f1e22095bdc0b043002c20ca62a0ae (patch) | |
| tree | a36a6eb5ceb859dc6867b2c18d5fec2fe84d4681 | |
| parent | e2b581e2ecae15b145039035a8b318f8437a520e (diff) | |
| download | pyisda-750beafc64f1e22095bdc0b043002c20ca62a0ae.tar.gz | |
increase tolerance (because of Steinhoff)
| -rw-r--r-- | pyisda/curve.pyx | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx index 522e425..b38dfd8 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -535,7 +535,7 @@ cdef class SpreadCurve(Curve): self.defaulted = pydate_to_TDate(defaulted) # bloomberg reuses company_id for companies that defaulted in the past # like American Airlines for instance - if today_c - self.defaulted > 120: + if today_c - self.defaulted > 300: self.defaulted = -1 if isinstance(end_dates, list): |