Closed VEichel closed 5 years ago
I have reverted some formatting changes, since previously the PR showed a diff of +825 -734, but the effective changes are quite small (including some other formatting changes its a +60 -79).
However, the unit test fails because the new implementation of the numeraire is wrong for the terminal measure. I have to have a closer look here.
Thanks Vincent!
The Method getNumeraire in LiborMarketModel is changed due to 3 Reasons: