Overhaul of CalibratedCurves::getCalibrationProductForSpec()

finmath / finmath-lib

Mathematical Finance Library: Algorithms and methodologies related to mathematical finance.

Apache License 2.0

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Closed NiklasRodi closed 7 years ago

NiklasRodi commented 7 years ago

Overhaul of CalibratedCurves::getCalibrationProductForSpec():

added futures as modification of fra
changed ordering of products and better Separation between receive and pay leg information (e.g. do not create payer forwardCurve for a deposit)

Improvement

NiklasRodi commented 7 years ago

New Version of this PR. Close this one