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RatesCalibrationCsvLoader: allow days for FX swaps #1282

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ghost opened this issue Aug 17, 2016 · 0 comments
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RatesCalibrationCsvLoader: allow days for FX swaps #1282

ghost opened this issue Aug 17, 2016 · 0 comments
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Type:Enhancement
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v1.1

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@ghost
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ghost commented Aug 17, 2016 •
edited by ghost
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In RatesCalibrationCsvLoader, the different node type have different regex to parse the tenor. The one for FX swaps should allow for swaps with tenors in days, i.e. the FX swaps should use SIMPLE_YMD_TIME_REGEX.
FX swaps with maturities 1W (7D) or 2W (14D) are liquid.
@ghost ghost added the Type:Enhancement label Aug 17, 2016
@ghost ghost self-assigned this Aug 17, 2016
ghost pushed a commit that referenced this issue Aug 17, 2016
@marc-henrard
Add 'days' to admissible tenors for FX swaps. Solve #1282
10df99c
@ghost ghost mentioned this issue Aug 17, 2016
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@ghost ghost added this to the v1.1 milestone Aug 17, 2016
jodastephen pushed a commit that referenced this issue Aug 17, 2016
@marc-henrard @jodastephen
Add 'days' to admissible tenors for FX swaps. Solve #1282 (#1283)
3ecee50
@ghost ghost closed this as completed Aug 17, 2016
@ghost ghost removed their assignment Aug 23, 2016
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