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1 parent 3cdb30e commit 39772a1Copy full SHA for 39772a1
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OREAnalytics/orea/engine/correlationreport.cpp
@@ -35,10 +35,7 @@ void CorrelationReport::calculate(const ext::shared_ptr<Report>& report) {
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ext::shared_ptr<Scenario> sc = hisScenGen_->next(hisScenGen_->baseScenario()->asof());
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std::vector<RiskFactorKey> deltaKeys = sc->keys();
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- // Filter deltaKeys to the union with risk factors generated from the portfolio based on (KeyType, Name)
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- // i.e., keep only those deltaKeys present in ptfRiskFactors ignoring index
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- // populateSensiShifts iterate over the scenario and deltaKeys, if mismatch with the sensiScenarioData shift
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- // it throws an error.
+ // Discrepancy between scenario risk factors and shift risk factors
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bool supressError = true;
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ext::shared_ptr<NPVCube>cube;
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