get rid of the separate weights parameter

1 files changed, 13 insertions, 18 deletions

diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx
index 207a8e0..b2c8913 100644
--- a/pyisda/credit_index.pyx
+++ b/pyisda/credit_index.pyx
@@ -50,17 +50,15 @@ cdef TContingentLeg* copyContingentLeg(TContingentLeg* leg) nogil:
 cdef class CurveList:
 
     @cython.initializedcheck(False)
-    def __init__(self, list curves not None, double[:] weights=None, value_date=None):
+    def __init__(self, list curves not None, value_date=None):
         cdef:
             SpreadCurve sc
             size_t i
             map[string, size_t].iterator it
             size_t n = len(curves)
+            double w
 
-        if isinstance(curves[0], SpreadCurve):
-            sc = <SpreadCurve>curves[0]
-        else:
-            raise TypeError("curves need to be a list of SpreadCurve")
+        w, sc = curves[0]
 
         if value_date is not None:
             self.base_date = pydate_to_TDate(value_date)
@@ -69,30 +67,28 @@ cdef class CurveList:
 
         i = 0
         cdef int n_skipped = 0
-        for sc in curves:
+        cdef double total_weight = 0.
+        for w, sc in curves:
             if sc is not None:
                 it = self.tickers.find(sc.ticker)
                 if it == self.tickers.end():
                     self.tickers[sc.ticker] = i
                     self._curves.push_back(sc._thisptr)
                     self.recovery_rates.push_back(sc.recovery_rates)
-                    self._weights.push_back(1.)
+                    self._weights.push_back(w)
                     self.defaulted.push_back(sc.defaulted)
                     i += 1
                 else:
-                    self._weights[deref(it).second] += 1
+                    self._weights[deref(it).second] += w
+                total_weight += w
             else:
                 n_skipped += 1
 
-        if weights is not None:
-            for i in range(weights.shape[0]):
-                self._weights[i] = weights[i]
-        else:
-            for i in range(self._curves.size()):
-                self._weights[i] /= (n - n_skipped)
-
         if n_skipped > 0:
             warnings.warn(f"skipped {n_skipped} empty curves")
+            # we rescale the weights
+            for i in range(self._weights.size()):
+                self._weights[i] *= total_weight
 
     def __getitem__(self, str ticker):
         cdef:
@@ -208,9 +204,8 @@ cdef class CurveList:
 
 @cython.auto_pickle(False)
 cdef class CreditIndex(CurveList):
-    def __init__(self, start_date, maturities, list curves, double[:] weights=None,
-                 value_date=None):
-        CurveList.__init__(self, curves, weights, value_date)
+    def __init__(self, start_date, maturities, list curves, value_date=None):
+        CurveList.__init__(self, curves, value_date)
         self.start_date = pydate_to_TDate(start_date)
         for d in maturities:
             self._maturities.push_back(pydate_to_TDate(d))