From f339ef35eb45e0f7874c578442baabc42950a868 Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@gmail.com>
Date: Fri, 9 Nov 2018 13:54:37 -0500
Subject: fix spread for defaulted curve

---
 pyisda/curve.pxd | 3 +++
 pyisda/curve.pyx | 2 +-
 2 files changed, 4 insertions(+), 1 deletion(-)

diff --git a/pyisda/curve.pxd b/pyisda/curve.pxd
index c7362c0..e0bb094 100644
--- a/pyisda/curve.pxd
+++ b/pyisda/curve.pxd
@@ -193,6 +193,9 @@ cdef extern from "isda/cfinanci.h":
                                      double yearFraction,      # (I) See JpmcdsDayCountFraction
                                      double basis,             # (I) Basis for the rate
                                      double *rate) nogil
+cdef extern from "isda/macros.h":
+    cdef double JPMCDS_MAX_RATE
+
 cdef enum Basis:
     CONTINUOUS = 5000
     DISCOUNT_RATE = 512
diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx
index f91a90c..6aa54a7 100644
--- a/pyisda/curve.pyx
+++ b/pyisda/curve.pyx
@@ -591,7 +591,7 @@ cdef class SpreadCurve(Curve):
                                                <long>'M',
                                                b'NONE')
             else:
-                rates = vector[double](n_dates, 1000)
+                rates = vector[double](n_dates, JPMCDS_MAX_RATE)
                 curve = JpmcdsMakeTCurve(today_c,
                                          end_dates_c,
                                          rates.data(),
-- 
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