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| author | Guillaume Horel <guillaume.horel@gmail.com> | 2023-01-26 12:32:00 -0500 |
|---|---|---|
| committer | Guillaume Horel <guillaume.horel@gmail.com> | 2023-01-26 12:32:00 -0500 |
| commit | b562765b32cd45ecae1e28a9d87c21ad86426719 (patch) | |
| tree | 5930a76480c7f107143beb4c75178b7b35ab6470 | |
| parent | 91f3637b0ca5c543fe288dfd9c1d7312dcafeda9 (diff) | |
| download | pyisda-b562765b32cd45ecae1e28a9d87c21ad86426719.tar.gz | |
bugfix
| -rw-r--r-- | pyisda/credit_index.pyx | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx index e126964..4bed815 100644 --- a/pyisda/credit_index.pyx +++ b/pyisda/credit_index.pyx @@ -453,7 +453,7 @@ cdef class CreditIndex(CurveList): legs.second = self.fee_legs[i] old_pv = pv(self._curves, self.base_date, step_in_date_c, cash_settle_date_c, yc.get_TCurve(), legs, - self.recovery_rates, fixed_rate, self._weights, + self.offset_recovery_rates, fixed_rate, self._weights, 0., 0) if i == -1: free(legs.first) @@ -469,7 +469,7 @@ cdef class CreditIndex(CurveList): cdef r = old_pv - pv(self._curves, self.base_date, step_in_date_c, cash_settle_date_c, - yc.get_TCurve(), legs, self.recovery_rates, fixed_rate, + yc.get_TCurve(), legs, self.offset_recovery_rates, fixed_rate, self._weights, 0., 0) + carry if i == -1: free(legs.first) |