From 45a65c94c783fef388349a124541559fa2d9a804 Mon Sep 17 00:00:00 2001 From: Guillaume Horel Date: Wed, 31 May 2023 15:15:09 -0400 Subject: no need to scale --- pyisda/curve.pyx | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx index 937c4b6..c0b571a 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -287,14 +287,14 @@ cdef class Curve(object): if curve.fBasis == Basis.CONTINUOUS: for i in range(shape): h2 = curve.fArray[i].fRate - t2 = (curve.fArray[i].fDate - curve.fBaseDate)/365. + t2 = (curve.fArray[i].fDate - curve.fBaseDate) data[i] = (h2 * t2 - h1 * t1) / (t2 - t1) h1 = h2 t1 = t2 elif curve.fBasis == Basis.ANNUAL_BASIS: for i in range(shape): h2 = log1p(curve.fArray[i].fRate) - t2 = (curve.fArray[i].fDate - curve.fBaseDate)/365. + t2 = (curve.fArray[i].fDate - curve.fBaseDate) data[i] = (h2 * t2 - h1 * t1) / (t2 - t1) h1 = h2 t1 = t2 -- cgit v1.2.3-70-g09d2