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git subrepo pull (merge) ore
subrepo: subdir: "ore" merged: "62793fa07e" upstream: origin: "git@gitlab.acadiasoft.net:qs/ore.git" branch: "master" commit: "fd87547331" git-subrepo: version: "0.4.6" origin: "https://github.com/ingydotnet/git-subrepo" commit: "73a0129"
2 parents 35692d5 + fd87547 commit 785877b

26 files changed

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‎Docker/.env‎

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@@ -3,7 +3,7 @@ DEBIAN_TAG=11.7
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# it's recommended to include CMAKE_BUILD_TYPE and BOOST_VARIANT in QL_TAG, ORE_TAG, BOOST_TAG
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# to distinguish a release build from a debug build
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QL_TAG=1.31.1_ddda9430
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QL_TAG=1.31.1_f8955cf0
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ORE_TAG=latest
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# debug or release

‎Docs/UserGuide/tradedata/compositetrade.tex‎

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@@ -23,6 +23,19 @@ \subsubsection{Composite Trade}
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\label{lst:compositetrade_data}
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\end{listing}
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\begin{listing}[H]
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%\hrule\medskip
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\begin{minted}[fontsize=\footnotesize]{xml}
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<CompositeTradeData>
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<Currency>USD</Currency>
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<NotionalCalculation>Sum</NotionalCalculation>
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<PortfolioBasket>true</PortfolioBasket>
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<BasketName>NAME</BasketName>
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</CompositeTradeData>
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\end{minted}
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\caption{Composite trade data with Reference Data}
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\end{listing}
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The meanings and allowable values of the elements in the \lstinline!CompositeTradeData! node follow below.
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\begin{itemize}
@@ -43,4 +56,8 @@ \subsubsection{Composite Trade}
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Allowable values: Any non-negative real number.
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\item Components: The portfolio of trades that make up the composite trade. \\
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Allowable values: These trades should be valid xmls that could otherwise be entered into the portfolio, with the exception that they can have empty ids.
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\item PortfolioBasket [Optional]: Indicate if the Component represent a portfolio basket. \\
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Allowable values: Boolean true or false.
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\item BasketName [Optional]: The portfolio Id. \\
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Allowable values: Any string. Note that if PortfolioBasket is True then there must be a BasketName. We look up the Basket within the reference data.
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\end{itemize}

‎Docs/UserGuide/tradedata/cpiswap.tex‎

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\subsubsection{CPI Swap}
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A CPI swap can be set up as a swap with trade type \emph{Swap}, with one leg of type {\tt CPI}. Listing \ref{lst:cpiswap}
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shows an example. The CPI leg contains an additional {\tt CPILegData} block. See \ref{ss:cpilegdata} for details on the
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CPI leg specification.
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A CPI inflation swap can be set up using the \emph{InflationSwap} trade type, with one leg of type {\tt CPI}. and the other leg(s) can be of any leg type. Listing \ref{lst:cpiinflationswap} shows an example. The CPI leg contains an additional {\tt CPILegData} block. See \ref{ss:cpilegdata} for details on the
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CPI leg specification.
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Note that Cross Currency Inflation Swaps are supported, as the currencies on the legs of an \emph{InflationSwap} do not need to be the same.
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\begin{listing}[H]
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%\hrule\medskip
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\begin{minted}[fontsize=\footnotesize]{xml}
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<SwapData>
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<InflationSwapData>
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<LegData>
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<LegType>Floating</LegType>
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<Payer>true</Payer>
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...
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</CPILegData>
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</LegData>
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</SwapData>
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</InflationSwapData>
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\end{minted}
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\caption{CPI Swap Data (using \emph{Swap} trade type)}
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\label{lst:cpiswap}
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\caption{CPI Swap Data (using \emph{InflationSwap} trade type)}
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\label{lst:cpiinflationswap}
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\end{listing}
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Alternatively, a CPI swap can be set up using the \emph{InflationSwap} trade type, see Listing \ref{lst:cpiinflationswap}. The structure of the {\tt InflationSwapData} container is the same as for {\tt SwapData} above.
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Alternatively, a CPI swap can be set up as a swap with trade type \emph{Swap}, with one leg of type {\tt CPI}, see listing \ref{lst:cpiswap}.
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\begin{listing}[H]
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%\hrule\medskip
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\begin{minted}[fontsize=\footnotesize]{xml}
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<InflationSwapData>
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<SwapData>
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<LegData>
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<LegType>Floating</LegType>
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<Payer>true</Payer>
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...
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</CPILegData>
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</LegData>
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</InflationSwapData>
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</SwapData>
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\end{minted}
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\caption{CPI Swap Data (using \emph{InflationSwap} trade type)}
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\label{lst:cpiinflationswap}
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\end{listing}
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\caption{CPI Swap Data (using \emph{Swap} trade type)}
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\label{lst:cpiswap}
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\end{listing}
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‎Examples/Example_60/ExpectedOutput/npv.csv‎

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#TradeId,TradeType,Maturity,MaturityTime,NPV,NpvCurrency,NPV(Base),BaseCurrency,Notional,NotionalCurrency,Notional(Base),NettingSet,CounterParty
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Cap_USD_SOFR,Swap,2025-03-21,1.003324,0.000931,USD,0.000931,USD,100000000.00,USD,100000000.00,DUMMY_NS,DUMMY_CP
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Swaption_USD_SOFR,Swaption,2046-01-12,21.817022,250911.447892,USD,250911.447892,USD,100000000.00,USD,100000000.00,DUMMY_NS,DUMMY_CP
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Cap_USD_SOFR,Swap,2025-03-21,1.003324,290.635657,USD,290.635657,USD,100000000.00,USD,100000000.00,DUMMY_NS,DUMMY_CP
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Swaption_USD_SOFR,Swaption,2046-01-12,21.817022,250911.447904,USD,250911.447904,USD,100000000.00,USD,100000000.00,DUMMY_NS,DUMMY_CP

‎Examples/Example_60/Input/curveconfig.xml‎

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<IsFixed>false</IsFixed>
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</Parameter>
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</Parameters>
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<!-- alternatively, the parameters can be specified for each optionlet, e.g.: -->
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<!-- <Parameters> -->
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<!-- <Parameter> -->
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<!-- <Name>alpha</Name> -->
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<!-- <InitialValue>0.0050,0.0060,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050</InitialValue> -->
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<!-- <IsFixed>true</IsFixed> -->
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<!-- </Parameter> -->
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<!-- <Parameter> -->
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<!-- <Name>beta</Name> -->
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<!-- <InitialValue>0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.1</InitialValue> -->
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<!-- <IsFixed>true</IsFixed> -->
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<!-- </Parameter> -->
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<!-- <Parameter> -->
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<!-- <Name>nu</Name> -->
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<!-- <InitialValue>0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.20,0.30</InitialValue> -->
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<!-- <IsFixed>true</IsFixed> -->
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<!-- </Parameter> -->
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<!-- <Parameter> -->
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<!-- <Name>rho</Name> -->
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<!-- <InitialValue>0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.9,0.0,0.0</InitialValue> -->
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<!-- <IsFixed>true</IsFixed> -->
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<!-- </Parameter> -->
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<!-- </Parameters> -->
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<Calibration>
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<MaxCalibrationAttempts>10</MaxCalibrationAttempts>
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<ExitEarlyErrorThreshold>0.005</ExitEarlyErrorThreshold>
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<IsFixed>false</IsFixed>
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</Parameter>
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</Parameters>
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<!-- alternatively the parameters can be specified per option tenor (row) and swap tenor (col), e.g.: -->
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<!-- <Parameters> -->
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<!-- <Parameter> -->
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<!-- <Name>alpha</Name> -->
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<!-- <InitialValue> -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0070, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050, -->
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<!-- 0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050,0.0050 -->
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<!-- </InitialValue> -->
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<!-- <IsFixed>true</IsFixed> -->
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<!-- </Parameter> -->
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<!-- <Parameter> -->
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<!-- <Name>beta</Name> -->
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<!-- <InitialValue> -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
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<!-- 0.8,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0 -->
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<!-- </InitialValue> -->
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<!-- <IsFixed>true</IsFixed> -->
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<!-- </Parameter> -->
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<!-- <Parameter> -->
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<!-- <Name>nu</Name> -->
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<!-- <InitialValue> -->
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<!-- 0.20,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30, -->
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<!-- 0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30,0.30 -->
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<!-- </InitialValue> -->
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<!-- <IsFixed>true</IsFixed> -->
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<!-- </Parameter> -->
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<!-- <Parameter> -->
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<!-- <Name>rho</Name> -->
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<!-- <InitialValue> -->
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<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
223+
<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
224+
<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
225+
<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
226+
<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
227+
<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
228+
<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
229+
<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
230+
<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
231+
<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
232+
<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
233+
<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
234+
<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
235+
<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
236+
<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
237+
<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
238+
<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
239+
<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0, -->
240+
<!-- 0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,-0.99 -->
241+
<!-- </InitialValue> -->
242+
<!-- <IsFixed>true</IsFixed> -->
243+
<!-- </Parameter> -->
244+
<!-- </Parameters> -->
119245
<Calibration>
120246
<MaxCalibrationAttempts>10</MaxCalibrationAttempts>
121247
<ExitEarlyErrorThreshold>0.005</ExitEarlyErrorThreshold>

‎OREData/ored/configuration/parametricsmileconfiguration.cpp‎

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -27,7 +27,7 @@ namespace data {
2727
void ParametricSmileConfiguration::Parameter::fromXML(XMLNode* node) {
2828
XMLUtils::checkNode(node, "Parameter");
2929
name = XMLUtils::getChildValue(node, "Name", true);
30-
initialValue = parseReal(XMLUtils::getChildValue(node, "InitialValue", true));
30+
initialValue = parseListOfValues<Real>(XMLUtils::getChildValue(node, "InitialValue", true), parseReal);
3131
isFixed = parseBool(XMLUtils::getChildValue(node, "IsFixed", true));
3232
}
3333

‎OREData/ored/configuration/parametricsmileconfiguration.hpp‎

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -40,7 +40,7 @@ class ParametricSmileConfiguration : public XMLSerializable {
4040
ore::data::XMLNode* toXML(ore::data::XMLDocument& doc) const override;
4141

4242
std::string name;
43-
double initialValue = 0.0;
43+
std::vector<double> initialValue = {0.0};
4444
bool isFixed = false;
4545
};
4646

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