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Split curve calibration into smaller groups

Open jodastephen opened this issue 6 years ago • 0 comments

It is often possible to split a large multi-currency RatesCurveGroupDefinition into a number of smaller ones that will calibrate faster. This should be done between the two RatesCurveCalibrator.calibrate methods.

jodastephen avatar Oct 31 '19 09:10 jodastephen