return nan for defaulted curves

1 files changed, 5 insertions, 0 deletions

diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx
index 6526c8e..e2bd58b 100644
--- a/pyisda/credit_index.pyx
+++ b/pyisda/credit_index.pyx
@@ -625,6 +625,7 @@ cdef class CreditIndex(CurveList):
             pair[CurveName, size_t] p
             np.npy_intp[2] n
             const TDate* schedule_ptr
+            size_t i
 
         if schedule is None:
             schedule_ptr = self._maturities.const_data()
@@ -643,6 +644,10 @@ cdef class CreditIndex(CurveList):
 
         with nogil:
             for p in self.names:
+                if self.defaulted[p.second] != -1:
+                    for i in range(n[1]):
+                        spreads_view[p.second, i] = nan("")
+                    continue
                 sc = self._curves[p.second]
                 JpmcdsCdsParSpreads(
                     self.base_date,