initialize defaulted curve properly

1 files changed, 9 insertions, 1 deletions

diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index 074aa8c..aecdc11 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -487,7 +487,7 @@ cdef class SpreadCurve(Curve):
                  cash_settle_date, end_dates,
                  double[:] coupon_rates, double[:] upfront_rates,
                  double[:] recovery_rates, bint pay_accrued_on_default=True,
-                 str ticker=None, bint fill_curve=True):
+                 str ticker=None, bint fill_curve=True, defaulted=None):
 
         cdef TDate today_c = pydate_to_TDate(today)
         cdef TDate step_in_date_c
@@ -521,6 +521,14 @@ cdef class SpreadCurve(Curve):
         if cash_settle_date_c < yc._thisptr.get().fBaseDate:
             raise ValueError("cash_settle_date: {0} is anterior to yc's base_date: {1}".
                              format(cash_settle_date, yc.base_date))
+        if defaulted is None:
+            self.defaulted = -1
+        else:
+            self.defaulted = pydate_to_TDate(defaulted)
+            self.recovery_rates = shared_ptr[double](
+                <double*>malloc(sizeof(double)), double_free)
+            self.recovery_rates.get()[0] = recovery_rates[0]
+            return
 
         if isinstance(end_dates, list):
             n_dates = len(end_dates)