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call enableExtrapolation() before h_.linkTo(p_) in YieldCurve #194

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call enableExtrapolation() before h_.linkTo(p_) in YieldCurve #194

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9fe3445
call enableExtrapolation() before linkTo
Nov 14, 2023
84664a3
Add one line code that may be missing to match the documentation desc…
Nov 22, 2023
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4 changes: 2 additions & 2 deletions OREData/ored/marketdata/yieldcurve.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -280,10 +280,10 @@ YieldCurve::YieldCurve(Date asof, YieldCurveSpec curveSpec, const CurveConfigura
buildBootstrappedCurve();
}

h_.linkTo(p_);
if (extrapolation_) {
h_->enableExtrapolation();
p_->enableExtrapolation();
}
h_.linkTo(p_);

// populate shared calibration info

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1 change: 1 addition & 0 deletions OREData/ored/portfolio/fxdigitaloption.cpp
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Expand Up @@ -51,6 +51,7 @@ void FxDigitalOption::build(const boost::shared_ptr<EngineFactory>& engineFactor
bool flipResults = false;
if (payoffCurrency_ == "") {
DLOG("PayoffCurrency defaulting to " << domesticCurrency_ << " for FxDigitalOption " << id());
payoffCurrency_ = domesticCurrency_;
} else if (payoffCurrency_ == foreignCurrency_) {
// Invert the trade, switch dom and for and flip Put/Call
strike = 1.0 / strike;
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