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Merge branch 'feature/QPR-13090' into 'master'
QPR-13090 QPR-13616: extend configuration builder for commodities and equities Closes QPR-13090 See merge request qs/oreplus!3051
2 parents 97e6af6 + e68e20d commit 876fc81

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OREData/ored/model/commodityschwartzmodelbuilder.cpp

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@@ -104,7 +104,7 @@ CommoditySchwartzModelBuilder::CommoditySchwartzModelBuilder(
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seasonalityValues_a[0],
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data->driftFreeState());
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else
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QL_FAIL("interpolation type not supported for Equity");
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QL_FAIL("interpolation type not supported for commodity");
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OREData/ored/model/crossassetmodelbuilder.cpp

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@@ -800,7 +800,7 @@ void CrossAssetModelBuilder::buildModel() const {
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if (comData->calibrateSigma())
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WLOG("CommoditySchwartzModel: skip sigma calibration for name " << comData->name() << " in BOOTSTRAP mode");
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QL_REQUIRE( comData->seasonalityParamType() == ParamType::Piecewise,
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"CommoditySchwartzModel: Bootstrap calibration implemented only for time dependent seasonaltiy");
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"CommoditySchwartzModel: Bootstrap calibration implemented only for time dependent seasonality");
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// reset to initial params to ensure identical calibration outcomes for identical baskets
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resetModelParams(CrossAssetModel::AssetType::COM, 2, i, Null<Size>());
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// calibrate the model.

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