From 750beafc64f1e22095bdc0b043002c20ca62a0ae Mon Sep 17 00:00:00 2001 From: Guillaume Horel Date: Mon, 27 Jan 2020 16:11:12 -0500 Subject: increase tolerance (because of Steinhoff) --- pyisda/curve.pyx | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx index 522e425..b38dfd8 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -535,7 +535,7 @@ cdef class SpreadCurve(Curve): self.defaulted = pydate_to_TDate(defaulted) # bloomberg reuses company_id for companies that defaulted in the past # like American Airlines for instance - if today_c - self.defaulted > 120: + if today_c - self.defaulted > 300: self.defaulted = -1 if isinstance(end_dates, list): -- cgit v1.2.3-70-g09d2