From 8c8a4092458029b4c619eb0603ee21c639702a2b Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@gmail.com>
Date: Wed, 31 May 2023 15:15:27 -0400
Subject: handle case of Annual basis

---
 pyisda/curve.pyx | 22 ++++++++++++++++------
 1 file changed, 16 insertions(+), 6 deletions(-)

diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index c0b571a..ccd83f7 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -593,12 +593,22 @@ cdef class YieldCurve(Curve):
         arr = forward_curve.fArray
         r0 = JpmcdsZeroRate(curve, forward_date_c)
         t0 = forward_date_c - curve.fBaseDate
-        while i < n:
-            arr.fDate = curve.fArray[i].fDate
-            t1 = arr.fDate - curve.fBaseDate
-            arr.fRate = (t1 * curve.fArray[i].fRate - t0 * r0) / (t1 - t0)
-            i += 1
-            preinc(arr)
+        if <Basis>curve.fBasis == Basis.ANNUAL_BASIS:
+            while i < n:
+                arr.fDate = curve.fArray[i].fDate
+                t1 = arr.fDate - curve.fBaseDate
+                arr.fRate = (t1 * log1p(curve.fArray[i].fRate) - t0 * r0) / (t1 - t0)
+                i += 1
+                preinc(arr)
+        elif <Basis>curve.fBasis == Basis.CONTINUOUS:
+            while i < n:
+                arr.fDate = curve.fArray[i].fDate
+                t1 = arr.fDate - curve.fBaseDate
+                arr.fRate = (t1 * curve.fArray[i].fRate - t0 * r0) / (t1 - t0)
+                i += 1
+                preinc(arr)
+        else:
+            raise ValueError("expected forward curve not implemented")
         yc.buf.reset(<char*>forward_curve, char_free)
         return yc
 
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