diff options
| -rw-r--r-- | pyisda/curve.pxd | 2 | ||||
| -rw-r--r-- | pyisda/curve.pyx | 8 |
2 files changed, 5 insertions, 5 deletions
diff --git a/pyisda/curve.pxd b/pyisda/curve.pxd index 3f5c744..4e6dc51 100644 --- a/pyisda/curve.pxd +++ b/pyisda/curve.pxd @@ -217,5 +217,5 @@ cdef class SpreadCurve(Curve): cdef fArray_to_list(TRatePt* fArray, int fNumItems) -cdef void tweak_curve(TCurve* sc, TCurve* sc_tweaked, double epsilon, +cdef void tweak_curve(const TCurve* sc, TCurve* sc_tweaked, double epsilon, vector[double]& h, const vector[double]& T, unsigned long mask) nogil diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx index b5266e0..545c7ee 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -411,7 +411,7 @@ cdef class YieldCurve(Curve): return yc @cython.cdivision(True) -cdef void tweak_curve(TCurve* sc, TCurve* sc_tweaked, double epsilon, +cdef void tweak_curve(const TCurve* sc, TCurve* sc_tweaked, double epsilon, vector[double]& h, const vector[double]& T, unsigned long mask) nogil: ## We want to tweak in the forward space, so we convert the hazard rates ## into forward rates and then back @@ -701,9 +701,9 @@ cdef class SpreadCurve(Curve): curve_tweaked = JpmcdsCopyCurve(self._thisptr.get()) sc._thisptr = make_shared(curve_tweaked) sc.ticker = self.ticker - # memcpy(sc.recovery_rates.get(), self.recovery_rates.get(), - # self._thisptr.get().fNumItems * sizeof(double)) - sc.recovery_rates = self.recovery_rates + memcpy(sc.recovery_rates.get(), self.recovery_rates.get(), + num_items * sizeof(double)) + #sc.recovery_rates = self.recovery_rates else: sc = self curve_tweaked = self._thisptr.get() |