From 20b378876a27e833160d6d039f46c0e0723a4a48 Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@gmail.com>
Date: Fri, 25 Sep 2020 13:42:33 -0400
Subject: bugfix cl_pv wasn't initialized in the paralllel section

---
 pyisda/credit_index.pyx | 7 ++++---
 1 file changed, 4 insertions(+), 3 deletions(-)

diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx
index 28bf0c1..32e6c56 100644
--- a/pyisda/credit_index.pyx
+++ b/pyisda/credit_index.pyx
@@ -482,11 +482,12 @@ cdef class CreditIndex(CurveList):
             double* recovery_rate
 
         with nogil:
-            cl = JpmcdsCdsContingentLegMake(self._start_date,
+            with parallel():
+                cl = JpmcdsCdsContingentLegMake(self._start_date,
                                             maturity_c,
                                             1.,
                                             True)
-            with parallel():
+                cl_pv = 0.0
                 for i in prange(self._curves.size()):
                     sc = self._curves[i].get()
                     recovery_rate = self.recovery_rates[i].get()
@@ -502,7 +503,7 @@ cdef class CreditIndex(CurveList):
                                           deref(recovery_rate),
                                           &cl_pv)
                     r += self._weights[i] * cl_pv
-            free(cl)
+                free(cl)
         return r
 
     def duration(self, step_in_date, cash_settle_date, maturity, YieldCurve yc not None):
-- 
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