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| author | Guillaume Horel <guillaume.horel@gmail.com> | 2023-06-14 10:56:02 -0400 |
|---|---|---|
| committer | Guillaume Horel <guillaume.horel@gmail.com> | 2023-06-14 10:56:02 -0400 |
| commit | 9adda33ccf0c330e49ada82b43483345128d79ae (patch) | |
| tree | dc166a1136f3eb3c57ccbac94444ece7ea8cf074 | |
| parent | db21c183b06a09a417a8fa777fbe54d8d1e1cab7 (diff) | |
| download | pyisda-9adda33ccf0c330e49ada82b43483345128d79ae.tar.gz | |
do additive shock, multiplicative is too tricky to get right
| -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 e467d9e..1eadc2e 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -658,7 +658,7 @@ cdef class YieldCurve(Curve): i = 0 j = 0 while i < n1 and j < n2: - cs.s.push_back(f1[i] / f2[j] - 1) + cs.s.push_back(f1[i] - f2[j]) if t1[i] < t2[j]: cs.t.push_back(t1[i]) i += 1 @@ -694,12 +694,12 @@ cdef class YieldCurve(Curve): n1 = curve.fNumItems f = <double*>malloc(sizeof(double) * n1) t = <int*>malloc(sizeof(int) * n1) - forward_rates(curve.fArray, curve.fBaseDate, n1, f, t) + forward_rates(curve.fBasis, curve.fArray, curve.fBaseDate, n1, f, t) i = 0 j = 0 while i < n1 and j < shock.t.size(): - f_shocked.push_back(f[i] * (1 + shock.s[j])) + f_shocked.push_back(f[i] + shock.s[j]) if t[i] < shock.t[j]: t_shocked.push_back(t[i]) i += 1 |