From 52f2fa76189b4272a2c40b3575f1305e8fcab061 Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@gmail.com>
Date: Thu, 30 Nov 2023 21:57:47 -0500
Subject: cleanups

---
 pyisda/credit_index.pyx | 48 +++++++++++++++++++++++-------------------------
 1 file changed, 23 insertions(+), 25 deletions(-)

diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx
index 428fea9..f1cb621 100644
--- a/pyisda/credit_index.pyx
+++ b/pyisda/credit_index.pyx
@@ -498,10 +498,9 @@ cdef class CreditIndex(CurveList):
             TDate cash_settle_date_c = pydate_to_TDate(cash_settle_date)
             TDate maturity_c = pydate_to_TDate(maturity)
             TDate maturity_short_c
-            pair[TContingentLeg_ptr, TFeeLeg_ptr] legs_short
-            pair[TContingentLeg_ptr, TFeeLeg_ptr] legs_long
+            pair[TContingentLeg_ptr, TFeeLeg_ptr] legs_long, legs_short
             TDateInterval ivl
-            int i
+            Py_ssize_t i
             double carry
             double cl_pv_long, cl_pv_short, fl_pv_long, fl_pv_short
             np.npy_intp n = self._curves.size()
@@ -569,28 +568,27 @@ cdef class CreditIndex(CurveList):
             TCurve* sc
             double* recovery_rate
 
-        with nogil:
-            with parallel():
-                cl = JpmcdsCdsContingentLegMake(self._start_date,
-                                            maturity_c,
-                                            1.,
-                                            True)
-                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)
-                    JpmcdsContingentLegPV(cl,
-                                          self.base_date,
-                                          cash_settle_date_c,
-                                          step_in_date_c,
-                                          yc.get_TCurve(),
-                                          sc,
-                                          deref(recovery_rate),
-                                          &cl_pv)
-                    r += self._weights[i] * cl_pv
+        with nogil, parallel():
+            cl = JpmcdsCdsContingentLegMake(self._start_date,
+                                        maturity_c,
+                                        1.,
+                                        True)
+            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)
+                JpmcdsContingentLegPV(cl,
+                                      self.base_date,
+                                      cash_settle_date_c,
+                                      step_in_date_c,
+                                      yc.get_TCurve(),
+                                      sc,
+                                      deref(recovery_rate),
+                                      &cl_pv)
+                r += self._weights[i] * cl_pv
                 free(cl)
         return r
 
-- 
cgit v1.2.3-70-g09d2