From 1e133bba557c2a0f34d9e2f93a84a28cb3dc3b54 Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@gmail.com>
Date: Wed, 6 Dec 2023 15:22:25 -0500
Subject: handle defaulted curves properly

---
 pyisda/credit_index.pyx | 44 ++++++++++++++++++++++++--------------------
 1 file changed, 24 insertions(+), 20 deletions(-)

diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx
index ea1a809..b442be2 100644
--- a/pyisda/credit_index.pyx
+++ b/pyisda/credit_index.pyx
@@ -658,23 +658,24 @@ cdef class CreditIndex(CurveList):
             TDate maturity_c = pydate_to_TDate(maturity)
             TContingentLeg* cl
             size_t i
-            double cl_pv, r = 0
+            double cl_pv, r = 0.0
             TCurve* sc
             double* recovery_rate
+            TDate defaulted
 
         with nogil:
             cl = JpmcdsCdsContingentLegMake(self._start_date,
                                             maturity_c,
                                             1.,
                                             True)
-            with parallel():
-                cl_pv = 0.0
-                for i in prange(self._curves.size()):
-                    sc = <TCurve*>self._curves[i].get()
-                    recovery_rate = <double*>(<char*>sc + self.offset_recovery_rates[i])
-                    # FIXME: do something better
-                    if isnan(deref(recovery_rate)):
-                        preinc(recovery_rate)
+            for i in prange(self._curves.size()):
+                sc = <TCurve*>self._curves[i].get()
+                recovery_rate = <double*>(<char*>sc + self.offset_recovery_rates[i])
+                defaulted = deref(<TDate*>recovery_rate + sc.fNumItems)
+                # FIXME: do something better
+                if isnan(deref(recovery_rate)):
+                    preinc(recovery_rate)
+                if defaulted == -1:
                     JpmcdsContingentLegPV(cl,
                                           self.base_date,
                                           cash_settle_date_c,
@@ -698,7 +699,8 @@ cdef class CreditIndex(CurveList):
             TCurve* sc
             size_t i
             int found
-            double fl_pv, r
+            double fl_pv, r = 0.0
+            TDate defaulted
 
         with nogil:
             found = get_maturity_index(maturity_c, self._maturities)
@@ -719,18 +721,20 @@ cdef class CreditIndex(CurveList):
                 fl = self.fee_legs[found]
 
             with parallel():
-                fl_pv = 0
+                fl_pv = 0.0
                 for i in prange(self._curves.size()):
                     sc = <TCurve*>self._curves[i].get()
-                    JpmcdsFeeLegPV(fl,
-                                   self.base_date,
-                                   step_in_date_c,
-                                   cash_settle_date_c,
-                                   yc.get_TCurve(),
-                                   sc,
-                                   True,
-                                   &fl_pv)
-                    r += self._weights[i] * fl_pv
+                    defaulted =  deref(<TDate*>(<char*>sc + self.offset_recovery_rates[i] + sc.fNumItems * sizeof(double)))
+                    if defaulted == -1:
+                        JpmcdsFeeLegPV(fl,
+                                       self.base_date,
+                                       step_in_date_c,
+                                       cash_settle_date_c,
+                                       yc.get_TCurve(),
+                                       sc,
+                                       True,
+                                       &fl_pv)
+                        r += self._weights[i] * fl_pv
 
             if found == -1:
                 JpmcdsFeeLegFree(fl)
-- 
cgit v1.2.3-70-g09d2