Gamma calculation with combined curve#1680
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jodastephen
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May 8, 2018
| nodalCurve, currency, c -> immProv.toBuilder().discountCurve(currency, c).build(), sensitivitiesFn); | ||
| curve, currency, c -> immProv.toBuilder().discountCurve(currency, c).build(), sensitivitiesFn); | ||
| result = result.combinedWith(gammaSingle); | ||
| } else if (curve.split().size() > 1) { |
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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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The underlying curves should be checked only when a sensitivity object is not found, because CurrencyParameterSensitivity is not necessarily split.
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