Overnight rate in arrears cap floor pricers #2680
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Contributor
yukiiwashita
commented
Oct 16, 2024
yukiiwashita
commented
- Add pricers for overnight rate in arrears cap/floor leg, product, trade
- Add measures required by SIMM
yukiiwashita
requested review from
a team,
James-OpenGamma,
Neelesh99,
hsaleem06 and
skitini
and removed request for
a team
skitini
reviewed
Oct 16, 2024
...java/com/opengamma/strata/pricer/capfloor/OvernightInArrearsCapletFloorletPeriodAmounts.java
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...java/com/opengamma/strata/pricer/capfloor/OvernightInArrearsCapletFloorletPeriodAmounts.java
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.../opengamma/strata/pricer/capfloor/OvernightInArrearsCapletFloorletPeriodCurrencyAmounts.java
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.../main/java/com/opengamma/strata/pricer/capfloor/SabrOvernightInArrearsCapFloorLegPricer.java
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skitini
reviewed
Oct 16, 2024
| } | ||
| return amounts.get(period); | ||
| return findAmount(period).orElseThrow( | ||
| () -> new IllegalArgumentException("Could not find double amount for " + period)); |
skitini
approved these changes
Oct 16, 2024
sagiruthvik
pushed a commit
to SolumXplain/solum-xplain-opengamma-strata
that referenced
this pull request
Nov 13, 2024
* overnight cap product * tests * javadoc * line * clean * white spaces * pricers * failing test for accrual * pricers * test * spaces * addressed review comments * error message
jodastephen
pushed a commit
that referenced
this pull request
Jan 5, 2025
* overnight cap product * tests * javadoc * line * clean * white spaces * pricers * failing test for accrual * pricers * test * spaces * addressed review comments * error message
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