Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Jump to bottom

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

Closed
cjkent opened this issue Oct 11, 2016 · 1 comment
Closed

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

cjkent opened this issue Oct 11, 2016 · 1 comment
Assignees
@jodastephen
Labels
Type:Bug
Milestone
v1.2

Comments

@cjkent
Copy link
Contributor

cjkent commented Oct 11, 2016 •
edited
Loading

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

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
@jodastephen
Scale Cross-Gamma correctly
f18ad7a 
Fixes #1383
@cjkent cjkent closed this as completed in 961f5df Oct 13, 2016
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Assignees

@jodastephen jodastephen

Labels
Type:Bug
Projects
None yet
Milestone
v1.2
Development

No branches or pull requests
2 participants
@cjkent @jodastephen