From cf39918f495bf51e07320531daeef96be7bb077f Mon Sep 17 00:00:00 2001 From: Guillaume Horel Date: Fri, 19 Nov 2021 22:17:01 -0500 Subject: use Continuous compounding by default --- pyisda/curve.pyx | 6 +++--- 1 file changed, 3 insertions(+), 3 deletions(-) diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx index 034dd81..e3a6a04 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -443,7 +443,7 @@ cdef class YieldCurve(Curve): return r @classmethod - def from_discount_factors(cls, base_date, list dates, double[:] dfs, str day_count_conv): + def from_discount_factors(cls, base_date, list dates, double[:] dfs, str day_count_conv, Basis basis=CONTINUOUS): """ build a yield curve from a list of discount factors """ cdef TDate base_date_c = pydate_to_TDate(base_date) cdef YieldCurve yc = YieldCurve.__new__(YieldCurve) @@ -453,11 +453,11 @@ cdef class YieldCurve(Curve): for i, d in enumerate(dates): yc.dates[i] = pydate_to_TDate(d) JpmcdsDiscountToRateYearFrac(dfs[i], (yc.dates[i]-base_date_c)/365., - 1, &rates[i]) + basis, &rates[i]) yc._thisptr.reset( JpmcdsMakeTCurve(base_date_c, yc.dates.data(), rates, dfs.shape[0], - 1, dcc(day_count_conv)), JpmcdsFreeTCurve) + basis, dcc(day_count_conv)), JpmcdsFreeTCurve) return yc discount_factor = Curve.__forward_zero_price -- cgit v1.2.3-70-g09d2