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Alter curve calibration to operate on different kinds of curve group #1751

merged 2 commits into from Jun 22, 2018


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jodastephen commented Jun 21, 2018

Add CurveGroup and CurveGroupDefinition as interfaces to abstract the concepts.
Change CurveGroupMarketDataFunction to operate at an abstract level, and rename CurveInputsMarketDataFunction and CurveMarketDataFunction to be rates specific.
Alter MarketDataConfig to support more advanced lookup.
Add LegalEntityCurveGroupId.

jodastephen added some commits Jun 21, 2018

Fix calibration system
Rename rates specific functions
Make `CurveMarketDataFunction` suitable for all types of `CurveId`
Extend `MarketDataConfig` searching ability

cjkent approved these changes Jun 22, 2018

@cjkent cjkent merged commit 19fcdb9 into master Jun 22, 2018

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@cjkent cjkent deleted the topic/curve-id-v2 branch Jun 22, 2018

@jodastephen jodastephen added this to the v2.0 milestone Jun 26, 2018

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