Use gsl brent solvergsl

slower than the jpm's one

2 files changed, 4 insertions, 14 deletions

diff --git a/c_layer/cdsbootstrap.c b/c_layer/cdsbootstrap.c
index f3ae975..6b0a4cd 100644
--- a/c_layer/cdsbootstrap.c
+++ b/c_layer/cdsbootstrap.c
@@ -1,12 +1,6 @@
 #include "cdsbootstrap.h"
 
-int cdsBootstrapPointFunction
-(double   hazardRate,
- void    *data,
- double  *pv)
-{
-    int         status    = FAILURE;
-
+double cdsBootstrapPointFunction(double   hazardRate, void    *data) {
     cds_bootstrap_ctx *context = (cds_bootstrap_ctx*)data;
 
     TCurve         *discountCurve = context->discountCurve;
@@ -27,7 +21,6 @@ int cdsBootstrapPointFunction
                                cdsCurve,
                                context->recoveryRate,
                                &pvC) != SUCCESS)
-        goto done;
 
     if (JpmcdsFeeLegPV(context->fl,
                        cdsBaseDate,
@@ -37,10 +30,8 @@ int cdsBootstrapPointFunction
                        cdsCurve,
                        1,
                        &pvF) != SUCCESS)
-        goto done;
     /* Note: price is discounted to cdsBaseDate */
-    *pv = pvC - context->spread * pvF;
-    status = SUCCESS;
+    return pvC - context->spread * pvF;
 
  done:
 
diff --git a/c_layer/cdsbootstrap.h b/c_layer/cdsbootstrap.h
index 2e19189..5a50962 100644
--- a/c_layer/cdsbootstrap.h
+++ b/c_layer/cdsbootstrap.h
@@ -21,6 +21,5 @@ typedef struct
 } cds_bootstrap_ctx;
 
 
-int cdsBootstrapPointFunction(double   hazardRate,
-                              void    *data,
-                              double  *pv);
+double cdsBootstrapPointFunction(double   hazardRate,
+                                 void    *data);