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| author | Guillaume Horel <guillaume.horel@gmail.com> | 2021-11-19 22:17:01 -0500 |
|---|---|---|
| committer | Guillaume Horel <guillaume.horel@gmail.com> | 2021-11-19 22:17:01 -0500 |
| commit | cf39918f495bf51e07320531daeef96be7bb077f (patch) | |
| tree | 44edda3a3a64afa67dbc6d165af25c003165be6a | |
| parent | ba3554594851df377d4e87e8f043515b5b39d81a (diff) | |
| download | pyisda-cf39918f495bf51e07320531daeef96be7bb077f.tar.gz | |
use Continuous compounding by default
| -rw-r--r-- | pyisda/curve.pyx | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx index 034dd81..e3a6a04 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -443,7 +443,7 @@ cdef class YieldCurve(Curve): return r @classmethod - def from_discount_factors(cls, base_date, list dates, double[:] dfs, str day_count_conv): + def from_discount_factors(cls, base_date, list dates, double[:] dfs, str day_count_conv, Basis basis=CONTINUOUS): """ build a yield curve from a list of discount factors """ cdef TDate base_date_c = pydate_to_TDate(base_date) cdef YieldCurve yc = YieldCurve.__new__(YieldCurve) @@ -453,11 +453,11 @@ cdef class YieldCurve(Curve): for i, d in enumerate(dates): yc.dates[i] = pydate_to_TDate(d) JpmcdsDiscountToRateYearFrac(dfs[i], <double>(yc.dates[i]-base_date_c)/365., - <double>1, &rates[i]) + <double>basis, &rates[i]) yc._thisptr.reset( JpmcdsMakeTCurve(base_date_c, yc.dates.data(), rates, dfs.shape[0], - <double>1, dcc(day_count_conv)), JpmcdsFreeTCurve) + <double>basis, dcc(day_count_conv)), JpmcdsFreeTCurve) return yc discount_factor = Curve.__forward_zero_price |