From a99410b0ffcd2d3921afa01f5535d6eea3c434a2 Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@gmail.com>
Date: Wed, 18 Apr 2018 11:22:36 -0400
Subject: add cds_accrued

---
 pyisda/date.pyx | 5 +++++
 1 file changed, 5 insertions(+)

diff --git a/pyisda/date.pyx b/pyisda/date.pyx
index f858d1a..034a3e3 100644
--- a/pyisda/date.pyx
+++ b/pyisda/date.pyx
@@ -68,6 +68,11 @@ def previous_twentieth(d, bint roll=True):
     cdef TDate date = pydate_to_TDate(d)
     return TDate_to_pydate(_previous_twentieth(date, roll))
 
+@cython.cdivision(True)
+def cds_accrued(d, double coupon):
+    cdef TDate date = pydate_to_TDate(d) + 1
+    return (date - _previous_twentieth(date, True))/360. * coupon
+
 cdef TMonthDayYear next_twentieth(TDate d) nogil:
     cdef TMonthDayYear mdy
     JpmcdsDateToMDY(d, &mdy)
-- 
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