catch error

1 files changed, 11 insertions, 7 deletions

diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index f333e92..76dcd06 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -296,6 +296,7 @@ cdef class YieldCurve(Curve):
            TDateInterval ivl
            char* routine = 'zerocurve'
            TDate value_date = pydate_to_TDate(date)
+           TCurve* curve
 
         self.dates = vector[TDate](len(periods))
 
@@ -314,14 +315,13 @@ cdef class YieldCurve(Curve):
             period_bytes = p
             if JpmcdsStringToDateInterval(period_bytes, routine, &tmp) != SUCCESS:
                 raise ValueError
-            if types[i] == 'M':
-                period_adjust = MODIFIED
-            else:
-                period_adjust = NONE
+            # according to Markit docs, Swap maturities should be Unadjusted
+            # but this doesn't match with Bloomberg
+            # period_adjust = MODIFIED if types[i] == 'M' else NONE
+            period_adjust = MODIFIED
             if JpmcdsDateFwdThenAdjust(settle_date, &tmp, period_adjust,
                                        "None", &self.dates[i]) != SUCCESS:
                 raise ValueError('Invalid interval')
-
         cdef char* fixed_bytes = fixed_swap_period
         cdef char* float_bytes = float_swap_period
         cdef char* types_bytes = types
@@ -335,12 +335,16 @@ cdef class YieldCurve(Curve):
         if JpmcdsDateIntervalToFreq(&ivl, &float_freq) != SUCCESS:
             raise ValueError
 
-        self._thisptr.reset(JpmcdsBuildIRZeroCurve(
+        curve = JpmcdsBuildIRZeroCurve(
             value_date, types_bytes, self.dates.data(),
             &rates[0], self.dates.size(), dcc(mm_dcc), <long> fixed_freq,
             <long> float_freq, dcc(fixed_swap_dcc), dcc(float_swap_dcc),
             bad_day_conv, b"None"
-        ), JpmcdsFreeTCurve)
+        )
+        if curve is NULL:
+            raise ValueError("Curve didn't build")
+        else:
+            self._thisptr.reset(curve, JpmcdsFreeTCurve)
 
     cdef size_t size(self) nogil:
         return Curve.size(self) + sizeof(size_t) + sizeof(TDate) * self.dates.size()