Overhaul of CalibratedCurves::getCalibrationProductForSpec() v2

finmath / finmath-lib

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

Apache License 2.0

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Overhaul of CalibratedCurves::getCalibrationProductForSpec() v2 #36

Closed NiklasRodi closed 7 years ago

NiklasRodi commented 7 years ago

What is this PR for?

Overhaul of CalibratedCurves::getCalibrationProductForSpec(): •added futures as modification of fra •changed ordering of products and only require pay leg informations for those products where actually needed •Build Swap from 2 SwapLegs instead of directly to have more consistency with SwapsWithResettingNotional

What type of PR is it?

Improvement

NiklasRodi commented 7 years ago

See "Changes to CalibratedCurves::getCalibrationProductForSpec()"