diff options
Diffstat (limited to 'example.py')
| -rw-r--r-- | example.py | 8 |
1 files changed, 4 insertions, 4 deletions
@@ -30,11 +30,11 @@ if __name__ == "__main__": ig_spread = 0.0070 spread = array.array('d', [ig_spread]) - + recovery = array.array('d', [0.4]) + upfront = array.array('d', [-0.0164243]) print("build spread curve", flush=True) - sc = SpreadCurve(today_date, yc, start_date, step_in_date, - value_date, - [end_date], spread, 0.4, 1) + sc = SpreadCurve(today_date, yc, start_date, step_in_date, value_date, + [end_date], spread, upfront, recovery, True) sc_data = sc.inspect()['data'] rate = sc_data[0][1] # by default the rate is stored as annually compounded |
