fix for accrued

1 files changed, 6 insertions, 6 deletions

diff --git a/pyisda/date.pyx b/pyisda/date.pyx
index 16b8e61..6bd30de 100644
--- a/pyisda/date.pyx
+++ b/pyisda/date.pyx
@@ -23,8 +23,7 @@ cpdef c_datetime.date TDate_to_pydate(TDate d):
 
 cdef long dcc(str day_count) except -1:
     cdef long r
-    dc_bytes = day_count.encode('utf-8')
-    cdef char* dc = dc_bytes
+    cdef char* dc = day_count
     cdef int err = JpmcdsStringToDayCountConv(dc, &r)
     if err == 0:
         return r
@@ -59,7 +58,7 @@ cdef TDate _previous_twentieth(TDate d, bint roll) nogil:
         return -1
     else:
         if roll:
-            return next_business_day(r)
+            return next_business_day(r, FOLLOW)
         else:
             return r
 
@@ -72,7 +71,8 @@ def previous_twentieth(d, bint roll=True):
 @cython.cdivision(True)
 def cds_accrued(d, double coupon):
     cdef TDate date = pydate_to_TDate(d) + 1
-    return (date - _previous_twentieth(date, True))/360. * coupon
+    cdef TDate date1 = next_business_day(date, PREVIOUS)
+    return (date - _previous_twentieth(date1, True))/360. * coupon
 
 
 cdef TMonthDayYear next_twentieth(TDate d) nogil:
@@ -93,9 +93,9 @@ cdef TMonthDayYear next_twentieth(TDate d) nogil:
             mdy.year += 1
     return mdy
 
-cdef inline TDate next_business_day(TDate date) nogil:
+cdef inline TDate next_business_day(TDate date, long method) nogil:
     cdef TDate r
-    if JpmcdsBusinessDay(date, FOLLOW, "NONE", &r) != SUCCESS:
+    if JpmcdsBusinessDay(date, method, "NONE", &r) != SUCCESS:
         return -1
     else:
         return r