Changes to CalibratedCurves::getCalibrationProductForSpec() - Githubissues

finmath / finmath-lib

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

Apache License 2.0

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Changes to CalibratedCurves::getCalibrationProductForSpec() #37

Closed NiklasRodi closed 7 years ago

NiklasRodi commented 7 years ago

What is this PR for?

added futures as modification of FRA
build swap from 2legs instead of directly for consistency with resetting
changed ordering of products (in increasing complexity)
added comments on notionalExchange default behaviour

What type of PR is it?

Feature