diff options
| -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, |