diff options
| -rw-r--r-- | pyisda/curve.pyx | 6 |
1 files changed, 5 insertions, 1 deletions
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx index d761867..f91a90c 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -537,6 +537,10 @@ cdef class SpreadCurve(Curve): self.defaulted = -1 else: self.defaulted = pydate_to_TDate(defaulted) + # bloomberg reuses company_id for companies that defaulted in the past + # like American Airlines for instance + if today_c - self.defaulted > 60: + self.defaulted = -1 if isinstance(end_dates, list): n_dates = len(end_dates) @@ -568,7 +572,7 @@ cdef class SpreadCurve(Curve): if JpmcdsStringToStubMethod(b"f/s", &stub_type) != 0: raise ValueError("can't convert stub") with nogil: - if defaulted is None: + if self.defaulted == -1: curve = JpmcdsCleanSpreadCurve(today_c, yc._thisptr.get(), start_date_c, |