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authorGuillaume Horel <guillaume.horel@gmail.com>2017-02-03 17:52:41 -0500
committerGuillaume Horel <guillaume.horel@gmail.com>2017-02-03 17:52:41 -0500
commitfeaf5cf91a15bbf94d037c68faa870363929c465 (patch)
treead39766e45207620c87d6f3e36108bd6681638e8 /example.py
parent835b6434ea8301c3283b8f2febda6d2cbb5510f5 (diff)
downloadpyisda-feaf5cf91a15bbf94d037c68faa870363929c465.tar.gz
fix examples
Diffstat (limited to 'example.py')
-rw-r--r--example.py8
1 files changed, 4 insertions, 4 deletions
diff --git a/example.py b/example.py
index d17afa5..a926396 100644
--- a/example.py
+++ b/example.py
@@ -30,11 +30,11 @@ if __name__ == "__main__":
ig_spread = 0.0070
spread = array.array('d', [ig_spread])
-
+ recovery = array.array('d', [0.4])
+ upfront = array.array('d', [-0.0164243])
print("build spread curve", flush=True)
- sc = SpreadCurve(today_date, yc, start_date, step_in_date,
- value_date,
- [end_date], spread, 0.4, 1)
+ sc = SpreadCurve(today_date, yc, start_date, step_in_date, value_date,
+ [end_date], spread, upfront, recovery, True)
sc_data = sc.inspect()['data']
rate = sc_data[0][1]
# by default the rate is stored as annually compounded