Peter Caspers
Peter Caspers
I get why you remove the array fv, but what is the benefit of removing the accumulators to compute a sum?
Oh ok, but the sum accumulator does not store each summand, it only maintains the running sum as its internal state, see here: https://github.com/boostorg/accumulators/blob/9d9e5dae2202660f57e2dc91efb620aa001525b3/include/boost/accumulators/statistics/sum.hpp#L43
Agreed. Maybe using std::accumulate would be preferable.
`ConstantParameter` makes a copy of myrate, this is why the link to the original member variable is broken.
Some points for discussion: - the new curve should be built as a QuantExt term structure taking the source curves and fx data (see below) - no need for an...
Absolutely, a bug or at least an unnecessary restriction. We should fix this.
Generally, all coupon types should support negative payment lag as long as the resulting payment date makes sense economically, i.e. the amount is fully determined before or on the payment...
I agree, the notional should most likely be "quantity x strike" as here https://github.com/OpenSourceRisk/Engine/blob/master/OREData/ored/portfolio/commodityforward.cpp#L149 In general we set the notional in a way that complies with ISDA recommendations for trade...
Thank you! Do you know what the correct construction would be? I.e. would the separate calendars and adjusting the termination date in the curve helper lead to correct results? I...
That makes sense. Maybe it's a long stub at the end, i.e. a slightly prolonged last coupon period?