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CurveCalibrator hardcodes MarketDataFxRateProvider for FX rate resolution #1411

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traggatt opened this issue Nov 7, 2016 · 2 comments
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@traggatt
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traggatt commented Nov 7, 2016

Configuration of the FX rate resolution strategy was previously exposed via the now pkg-private overload of calibrate() by passing a RatesProvider explicitly. It would be useful to allow the caller to pass an FxRateProvider explicitly.

Other places hardcoding MarketDataFxRateProvider.of() should also be modified to allow more flexibility.

@traggatt
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traggatt commented Nov 7, 2016

Also spotted here:

return MarketDataFxRateProvider.of(marketData.scenario(scenarioIndex), source);

@cjkent
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cjkent commented Mar 13, 2017

This is related to #1417. The solution is to consistently use MarketData to hold FX rates and avoid FxMatrix.

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