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pcaspersjenkins
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QPR-12329 fixes
1 parent 8bc942b commit 4297dba

2 files changed

Lines changed: 3 additions & 1 deletion

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OREData/ored/model/commodityschwartzmodelbuilder.cpp

Lines changed: 1 addition & 1 deletion
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@@ -153,7 +153,7 @@ void CommoditySchwartzModelBuilder::performCalculations() const {
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<< " kappa=" << parametrization_->kappaParameter());
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// use identical start values for each calibration to ensure identical results for identical baskets
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model->setParams(params_);
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model_->setParams(params_);
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model_->calibrate(optionBasket_, *data_->optimizationMethod(), data_->endCriteria(), data_->constraint(), weights, fix);
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OREData/ored/model/commodityschwartzmodelbuilder.hpp

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@@ -117,6 +117,8 @@ class CommoditySchwartzModelBuilder : public QuantExt::ModelBuilder {
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boost::shared_ptr<QuantExt::MarketObserver> marketObserver_;
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mutable std::vector<Real> calibrationErrors_;
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mutable Array params_;
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};
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} // namespace data
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} // namespace ore

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