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| author | Guillaume Horel <guillaume.horel@gmail.com> | 2016-11-17 10:32:56 -0500 |
|---|---|---|
| committer | Guillaume Horel <guillaume.horel@gmail.com> | 2016-11-17 10:32:56 -0500 |
| commit | ad63f8c48e9a5cf34baec011d0d1f406deefb1e9 (patch) | |
| tree | 955430b7d3b6482d4f34b4fa8250bc5721d888c9 | |
| parent | 4578471b08933f0b2b1e61eccc5e3c5780a8be3d (diff) | |
| download | pyisda-ad63f8c48e9a5cf34baec011d0d1f406deefb1e9.tar.gz | |
guess is unitialized
| -rw-r--r-- | pyisda/flat_hazard.pyx | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/pyisda/flat_hazard.pyx b/pyisda/flat_hazard.pyx index 1db31e6..01a1748 100644 --- a/pyisda/flat_hazard.pyx +++ b/pyisda/flat_hazard.pyx @@ -165,8 +165,8 @@ def pv_vec(double[:] spreads, YieldCurve yc, trade_date, value_date, for i in range(nspreads): params.spread = spreads[i] - lo = guess * 0.9 guess = spreads[i] / ( 1 - recovery_rate) * eta + lo = guess * 0.9 hi = guess * 1.1 if JpmcdsRootFindBrent(<TObjectFunc>cdsBootstrapPointFunction, <void*> params, |