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| author | Guillaume Horel <guillaume.horel@gmail.com> | 2023-05-31 13:12:59 -0400 |
|---|---|---|
| committer | Guillaume Horel <guillaume.horel@gmail.com> | 2023-05-31 13:12:59 -0400 |
| commit | 27e15cb01dc73373e741930f4760d06dee3a260a (patch) | |
| tree | c9a79e97336e012a32d0a9f114d52b4017d66b4c | |
| parent | 0142aa5313090c0056f456e7746a1747c8a144c6 (diff) | |
| download | pyisda-27e15cb01dc73373e741930f4760d06dee3a260a.tar.gz | |
this would get cancelled out
| -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 94deda1..c10ad48 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -721,7 +721,7 @@ cdef void tweak_curve(const TCurve* sc, TCurve* sc_tweaked, double epsilon, else: for i in range(sc.fNumItems): h2 = sc.fArray[i].fRate - t2 = (sc.fArray[i].fDate - sc.fBaseDate) / 365. + t2 = sc.fArray[i].fDate - sc.fBaseDate c += (h2 * t2 - h1 * t1) * (1 + epsilon * ((mask >> i) & 1)) sc_tweaked.fArray[i].fRate = c / t2 h1 = h2 |