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Gamma calculation with combined curve #1680

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merged 1 commit into from May 8, 2018

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yukiiwashita commented May 4, 2018

  • Split a curve into underlying curves in the curve gamma calculator
result = result.combinedWith(gammaSingle);
} else if (curve.split().size() > 1) {

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@jodastephen

jodastephen May 8, 2018

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Can this just be a foreach loop of the split curves? Won't that handle the non-combined case?

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@yukiiwashita

yukiiwashita May 8, 2018

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The underlying curves should be checked only when a sensitivity object is not found, because CurrencyParameterSensitivity is not necessarily split.

@yukiiwashita yukiiwashita merged commit 68b8199 into master May 8, 2018

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@yukiiwashita yukiiwashita deleted the topic/split-curve-gamma-calculator branch May 8, 2018

jodastephen added a commit that referenced this pull request May 11, 2018

@jodastephen jodastephen modified the milestones: v1.8, v2.0 Jun 5, 2018

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