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No scaling is applied to PV01_SINGLE_NODE_GAMMA_BUCKETED in the measures API #1383

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cjkent opened this issue Oct 11, 2016 · 1 comment
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@cjkent cjkent commented Oct 11, 2016

Other sensitivities are scaled in the measures API but gamma doesn't appear to be. Presumably this should be applied in SwapMeasureCalculations.pv01SingleNodeGammaBucketed()

@cjkent cjkent added the Type:Bug label Oct 11, 2016
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@cjkent cjkent commented Oct 11, 2016

Also FraMeasureCalculations

@jodastephen jodastephen added this to the v1.2 milestone Oct 13, 2016
@jodastephen jodastephen self-assigned this Oct 13, 2016
jodastephen added a commit that referenced this issue Oct 13, 2016
@cjkent cjkent closed this in 961f5df Oct 13, 2016
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