From 4d112bf0881abba38f947c3924ba071e8bd57ae5 Mon Sep 17 00:00:00 2001 From: Guillaume Horel Date: Tue, 5 Feb 2019 13:26:33 -0500 Subject: use curve's own recoveries --- pyisda/curve.pyx | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx index 6af2176..0713082 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -798,7 +798,7 @@ cdef class SpreadCurve(Curve): @cython.boundscheck(False) def par_spread(self, today, step_in_date, start_date, end_dates, - double[:] recovery_rates, YieldCurve yc, bint pay_accrued_on_default): + YieldCurve yc not None, bint pay_accrued_on_default=True): cdef TDate today_c = pydate_to_TDate(today) cdef TDate step_in_date_c = pydate_to_TDate(step_in_date) cdef TDate start_date_c = pydate_to_TDate(start_date) @@ -830,7 +830,7 @@ cdef class SpreadCurve(Curve): b'NONE', yc._thisptr.get(), self._thisptr.get(), - &recovery_rates[0], + self.recovery_rates.get(), par_spreads) free(end_dates_c) cdef list r = [] -- cgit v1.2.3-70-g09d2