Skip to content

Commit 6dca487

Browse files
Roland Lichtersjenkins
authored andcommitted
QPR-12318 restore dim evolution report
1 parent f773c92 commit 6dca487

2 files changed

Lines changed: 2 additions & 2 deletions

File tree

Examples/Example_13/ExpectedOutput/dim_evolution_4.csv

Lines changed: 0 additions & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -268,4 +268,3 @@
268268
266,2026-05-05,10,500000.000000,500000.000000,0.000000,500000.000000,CPTY_A,10.244098
269269
267,2026-05-15,14,500000.000000,500000.000000,0.000000,500000.000000,CPTY_A,10.271495
270270
268,2026-05-29,14,500000.000000,500000.000000,0.000000,500000.000000,CPTY_A,10.309851
271-
269,2026-06-12,18446744073709505431,500000.000000,500000.000000,0.000000,500000.000000,CPTY_A,10.348207

OREAnalytics/orea/aggregation/dimflatcalculator.cpp

Lines changed: 2 additions & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -76,6 +76,7 @@ void FlatDynamicInitialMarginCalculator::build() {
7676
void FlatDynamicInitialMarginCalculator::exportDimEvolution(ore::data::Report& dimEvolutionReport) const {
7777

7878
// Size samples = dimCube_->samples();
79+
Size stopDatesLoop = datesLoopSize_;
7980
Date asof = cube_->asof();
8081

8182
dimEvolutionReport.addColumn("TimeStep", Size())
@@ -91,7 +92,7 @@ void FlatDynamicInitialMarginCalculator::exportDimEvolution(ore::data::Report& d
9192
for (const auto& [nettingSet, _] : dimCube_->idsAndIndexes()) {
9293

9394
LOG("Export DIM evolution for netting set " << nettingSet);
94-
for (Size i = 0; i < dimCube_->dates().size(); ++i) {
95+
for (Size i = 0; i < stopDatesLoop; ++i) {
9596
Date defaultDate = dimCube_->dates()[i];
9697
Time t = ActualActual(ActualActual::ISDA).yearFraction(asof, defaultDate);
9798
Size days = cubeInterpretation_->getMporCalendarDays(dimCube_, i);

0 commit comments

Comments
 (0)