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Merge branch 'feature/QPR-13786' into 'master'
QPR-13786 fix multilegoptionbuilder, currency in lgm data not set correctly. Closes QPR-13786 See merge request qs/oreplus!3167
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OREData/ored/portfolio/builders/multilegoption.cpp

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -158,7 +158,7 @@ QuantLib::ext::shared_ptr<PricingEngine> CamMcMultiLegOptionEngineBuilder::engin
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auto volatilityType = parseVolatilityType(getCcyValue("IrVolatilityType", currencies[i].code(), true));
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auto lgmData = QuantLib::ext::make_shared<IrLgmData>();
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lgmData->reset();
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lgmData->ccy() = currencies[i].code();
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lgmData->qualifier() = currencies[i].code();
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lgmData->calibrateH() = false;
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lgmData->hParamType() = ParamType::Constant;
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lgmData->hValues() = {rev};

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