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CalibrationMeasures: add FX Swap market quote #1975

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marc-henrard opened this issue May 21, 2019 · 0 comments
Open

CalibrationMeasures: add FX Swap market quote #1975

marc-henrard opened this issue May 21, 2019 · 0 comments
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Type:Enhancement

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@marc-henrard
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In CalibrationMeasures, there are three types of predefined measures: PAR_SPREAD, MARKET_QUOTE and PRESENT_VALUE.
For the last two, ther is no measure for FX Swaps. They should be added. For MARKET_QUOTE, this may require adding some methods in the pricer.
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@marc-henrard