Peter Caspers
Peter Caspers
> @pcaspers — I'm assuming you're still ok with moving things here from ORE, give me a shout if things changed. Thanks! We are ok with that. My only ask...
> @pcaspers - One thing, in the `CrossCcyBasisSwap` class I haven't included the case when one of the of the legs are averaged ON indexes (`recIsAveraged` and `payIsAveraged` have been...
Ah yes, ORE and QuantLib diverged for the on coupons a while ago. I'd think they have roughly the same functional scope. QuantLib is more elegant. ORE might have some...
I will take a look - I have flagged it in my mailbox :-)
Thanks for doing all this. @paolodelia99 do you plan to reintegrate the updated ql coupon classes in ore, so that we can get rid of the QuantExt versions of these...
> Do mean in the ORE's QL fork? @pcaspers But yeah, it shoudn't be that big of a problem to integrate those changes in ORE. Ultimately yes. Maybe it is...
You can leave it to me if you want, just give me a couple of days
Sounds good - did you try that?
makes sense to me, we need these results for the underlying coupon, so why not set them here
Yes that's what I thought regarding the error message. Ok I'll make this change then. Thanks both.