diff options
| -rw-r--r-- | pyisda/credit_index.pyx | 5 |
1 files changed, 5 insertions, 0 deletions
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx index 6526c8e..e2bd58b 100644 --- a/pyisda/credit_index.pyx +++ b/pyisda/credit_index.pyx @@ -625,6 +625,7 @@ cdef class CreditIndex(CurveList): pair[CurveName, size_t] p np.npy_intp[2] n const TDate* schedule_ptr + size_t i if schedule is None: schedule_ptr = self._maturities.const_data() @@ -643,6 +644,10 @@ cdef class CreditIndex(CurveList): with nogil: for p in self.names: + if self.defaulted[p.second] != -1: + for i in range(n[1]): + spreads_view[p.second, i] = nan("") + continue sc = self._curves[p.second] JpmcdsCdsParSpreads( self.base_date, |