GC Repo pricing should use a Pricing Parameters Set defined at PO level

eclipse-tradista / tradista

Tradista: the first open source Financial Risk Management Solution

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GC Repo pricing should use a Pricing Parameters Set defined at PO level #93

Closed oasuncion closed 7 months ago

oasuncion commented 1 year ago

Pricing collateral of GC Repos should be made using a configurable Pricing Parameters Set. For this, the default Pricing Parameters Set of the PO involved in the trade to be priced can be used.

This change can be done in the collateral pricing code (See "IsAllocated" class). This change needs features #91 and #92 to be implemented.

oasuncion commented 7 months ago

A Quote Set is used instead of a Pricing Parameters Set to get the collateral prices. Note that the Quote Set is also used to get index values for fixing in case of GC Repo based on floating rates.

oasuncion commented 7 months ago

Tested OK.