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TST: add tests to ensure unpriced `Instruments` have correct delta

Open attack68 opened this issue 2 years ago • 1 comments

Some instruments, such as FRAs do not seem to produce delta risk when they are not specified with a fixed_rate. IRSs on the other hand demonstrate the correct behaviour.

attack68 avatar May 22 '23 06:05 attack68

see class TestNullPricing: test_null_priced_delta

attack68 avatar May 24 '23 04:05 attack68