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January 9, 2018 at 4:45 pm
#6243
Inactive
Dear Niall!
OK I see. Would it be possible to pass the base curve for fva calculation somehow else?
Like overruling the oisCurve = market_->discountCurve(baseCurrency_, configuration_) call in postprocess.cpp?
And as a general suggestion. I’d remove those baseCurrency settings that really depend on the baseCurrency setting in the simulation/market section. Also the domesticCurrency settings in the CrossAssetModel and ForeignExchangeModels sections are actually redundant in that sense.
-regards,
Roland