From ad63f8c48e9a5cf34baec011d0d1f406deefb1e9 Mon Sep 17 00:00:00 2001 From: Guillaume Horel Date: Thu, 17 Nov 2016 10:32:56 -0500 Subject: guess is unitialized --- pyisda/flat_hazard.pyx | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/pyisda/flat_hazard.pyx b/pyisda/flat_hazard.pyx index 1db31e6..01a1748 100644 --- a/pyisda/flat_hazard.pyx +++ b/pyisda/flat_hazard.pyx @@ -165,8 +165,8 @@ def pv_vec(double[:] spreads, YieldCurve yc, trade_date, value_date, for i in range(nspreads): params.spread = spreads[i] - lo = guess * 0.9 guess = spreads[i] / ( 1 - recovery_rate) * eta + lo = guess * 0.9 hi = guess * 1.1 if JpmcdsRootFindBrent(cdsBootstrapPointFunction, params, -- cgit v1.2.3-70-g09d2