Skip to content

Commit 83eb0d0

Browse files
author
sebastien.bouvard
committed
QPR-11556 rm QL_Require Capfloor proxy
1 parent 3b8dcf7 commit 83eb0d0

1 file changed

Lines changed: 0 additions & 3 deletions

File tree

OREAnalytics/orea/scenario/scenariosimmarket.cpp

Lines changed: 0 additions & 3 deletions
Original file line numberDiff line numberDiff line change
@@ -1207,9 +1207,6 @@ ScenarioSimMarket::ScenarioSimMarket(
12071207
string decayModeString = parameters->capFloorVolDecayMode();
12081208
ReactionToTimeDecay decayMode = parseDecayMode(decayModeString);
12091209

1210-
QL_REQUIRE(!QuantLib::ext::dynamic_pointer_cast<ProxyOptionletVolatility>(*wrapper),
1211-
"DynamicOptionletVolatilityStructure does not support ProxyOptionletVolatility surface.");
1212-
12131210
QuantLib::ext::shared_ptr<OptionletVolatilityStructure> capletVol =
12141211
QuantLib::ext::make_shared<DynamicOptionletVolatilityStructure>(*wrapper, 0, NullCalendar(),
12151212
decayMode);

0 commit comments

Comments
 (0)