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fix calibration point algorithm #1772

Merged
merged 1 commit into from
Aug 23, 2023
Merged

fix calibration point algorithm #1772

merged 1 commit into from
Aug 23, 2023

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pcaspers
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@pcaspers pcaspers commented Aug 19, 2023 •
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fix the algorithm to add instruments to the calibration set of the Markov model so that on each payment date the numeraire is known

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this is an alternative to #1771

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Coverage Status

coverage: 71.905%. remained the same when pulling 8ee4994 on pcaspers:fix_mf into d4e39d8 on lballabio:master.

@lePidduN7 lePidduN7 mentioned this pull request Aug 20, 2023
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@lballabio lballabio added this to the Release 1.32 milestone Aug 23, 2023
@lballabio lballabio merged commit 51b2bff into lballabio:master Aug 23, 2023
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