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pcaspersjenkins
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QPR-12329 fix
1 parent c3c0f5b commit 5029885

2 files changed

Lines changed: 5 additions & 2 deletions

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OREData/ored/model/crossassetmodelbuilder.cpp

Lines changed: 4 additions & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -854,6 +854,9 @@ void CrossAssetModelBuilder::calibrateInflation(const InfJyData& data, Size mode
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toCalibrate[2] = idxVol.calibrate();
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// Calibrate the model.
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resetModelParams(CrossAssetModel::AssetType::INF, 0, modelIdx, Null<Size>());
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resetModelParams(CrossAssetModel::AssetType::INF, 1, modelIdx, Null<Size>());
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resetModelParams(CrossAssetModel::AssetType::INF, 2, modelIdx, Null<Size>());
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model_->calibrateInfJyGlobal(modelIdx, allHelpers, *optimizationMethod_, endCriteria_, toCalibrate);
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} else {
@@ -913,7 +916,7 @@ void CrossAssetModelBuilder::calibrateInflation(const InfJyData& data, Size mode
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// reset to initial params to ensure identical calibration outcomes for identical baskets
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resetModelParams(CrossAssetModel::AssetType::INF, 2, modelIdx, Null<Size>());
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resetModelParams(CrossAssetModel::AssetType::INF, 2, rrIdx, Null<Size>());
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resetModelParams(CrossAssetModel::AssetType::INF, rrIdx, modelIdx, Null<Size>());
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while (inflationCalibrationErrors_[modelIdx] > cc.rmseTolerance() && numIts < cc.maxIterations()) {
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model_->calibrateInfJyIterative(modelIdx, 2, idxBasket, *optimizationMethod_, endCriteria_);

OREData/ored/model/crossassetmodeldata.cpp

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -614,7 +614,7 @@ void CrossAssetModelData::buildIrConfigs(std::map<std::string, boost::shared_ptr
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QL_FAIL("Unexpected model data type,expect either HwModelData or IrLgmData");
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}
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}
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LOG("CrossAssetModelData: IR config added for ccy " << ccy << " " << irConfigs_[i]->ccy());
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LOG("CrossAssetModelData: IR config added for ccy " << irConfigs_[i]->ccy());
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}
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}
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