diff options
| -rw-r--r-- | pyisda/credit_index.pyx | 8 |
1 files changed, 5 insertions, 3 deletions
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx index 16e83dc..1071e80 100644 --- a/pyisda/credit_index.pyx +++ b/pyisda/credit_index.pyx @@ -594,7 +594,7 @@ cdef class CreditIndex(CurveList): cdef: shared_ptr[TCurve] sc pair[CurveName, size_t] p - size_t i + size_t i, j np.npy_intp[2] n const TDate* schedule_ptr @@ -611,12 +611,14 @@ cdef class CreditIndex(CurveList): np.ndarray tickers = np.PyArray_EMPTY(1, n, np.NPY_OBJECT, 1) double[::1,:] sp_view = sp + j = 0 for p in self.names: sc = self._curves[p.second] - tickers[p.second] = p.first.ticker + tickers[j] = p.first.ticker for i in range(n[1]): - sp_view[p.second, i] = survival_prob(sc.get(), self.base_date, + sp_view[j, i] = survival_prob(sc.get(), self.base_date, schedule_ptr[i], epsilon) + j += 1 return sp, tickers def spreads(self, YieldCurve yc not None, const TDate[::1] schedule=None): |