From 4991a8dcd67eb8c65332a9a0f8558e8e46c22b7c Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@gmail.com>
Date: Wed, 8 Jul 2020 22:02:03 -0400
Subject: allow to compute dispersion for expected loss

---
 pyisda/credit_index.pyx | 46 ++++++++++++++++++++++++++--------------------
 1 file changed, 26 insertions(+), 20 deletions(-)

diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx
index f06d27b..28bf0c1 100644
--- a/pyisda/credit_index.pyx
+++ b/pyisda/credit_index.pyx
@@ -596,8 +596,6 @@ cdef class CreditIndex(CurveList):
                 tweak_curve(sc_orig, sc_copy, epsilon, mask)
                 self._curves[i].reset(sc_copy, JpmcdsFreeTCurve)
 
-
-
     def survival_matrix(self, const TDate[::1] schedule=None, double epsilon=0.):
         cdef:
             shared_ptr[TCurve] sc
@@ -684,7 +682,7 @@ cdef class CreditIndex(CurveList):
                 j += 1
         return spreads
 
-    def dispersion(self, YieldCurve yc not None, const TDate[::1] schedule=None, const bint use_log=True):
+    def dispersion(self, YieldCurve yc not None, const TDate[::1] schedule=None, const bint use_log=True, const bint exp_loss=False):
         cdef:
             shared_ptr[TCurve] sc
             pair[CurveName, size_t] p
@@ -716,26 +714,34 @@ cdef class CreditIndex(CurveList):
 
         with nogil:
             for j in range(self._curves.size()):
-                if self.defaulted[j] != -1:
+                if self.defaulted[j] != -1 and not exp_loss:
                     continue
                 sc = self._curves[j]
                 w = self._weights[j]
-                JpmcdsCdsParSpreads(
-                    self.base_date,
-                    self.base_date + 1,
-                    self._start_date,
-                    n,
-                    schedule_ptr,
-                    True,
-                    NULL,
-                    &stub_type,
-                    ACT_360,
-                    MODIFIED,
-                    b'NONE',
-                    get_TCurve(yc),
-                    sc.get(),
-                    self.recovery_rates[j].get(),
-                    spreads)
+                if exp_loss:
+                    if self.defaulted[j] != -1:
+                        for i in range(n):
+                            spreads[i] = (1 - survival_prob(sc.get(), self.base_date, schedule_ptr[i], 0.)) * (1 - self.recovery_rates[j].get()[i])
+                    else:
+                        for i in range(n):
+                            spreads[i] = 1 - self.recovery_rates[j].get()[i]
+                else:
+                    JpmcdsCdsParSpreads(
+                        self.base_date,
+                        self.base_date + 1,
+                        self._start_date,
+                        n,
+                        schedule_ptr,
+                        True,
+                        NULL,
+                        &stub_type,
+                        ACT_360,
+                        MODIFIED,
+                        b'NONE',
+                        get_TCurve(yc),
+                        sc.get(),
+                        self.recovery_rates[j].get(),
+                        spreads)
 
                 if first_time:
                     if use_log:
-- 
cgit v1.2.3-70-g09d2