Peter Caspers
Peter Caspers
I have no objections doing this. Quite the contrary, it helps reducing the diff between our fork and the official repo!
Yes - the goal in ORE was to get it working with as little effort as possible.
Yes we have adapted those as well
The danger here being that a partial migration and / or refactoring will cause conflicts in our codebase. Not sure if this is the right way forward?
> Hmm. Yes, we probably need to look at those as well. Do you have additional engines in QuantExt too? yes - also updates for CMS pricers (not sure at...
> @pcaspers: I'm not sure I understood all of your answers concerning what has been adopted in ORE correctly. E.g. which of the engines in `ql/pricingengines/swaption` will currently work with...
@lballabio yes that sounds right.
@lballabio that would be nice. However since we have a release end of September I am going to look into this in October or possibly even later. I.e. I don't...
So in ORE we are moving in a slightly different direction now: In general we need to support swaptions with European, Bermudan, American exercise right on overnight, Ibor, BMA/SIFMA, Subperiod...
Related Question: If a `YieldTermStructure` is set up with a fixed reference date (assume this is equal to the rate curve's settlement date as well) which differs from `Settings::evaluationDate` and...