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pcaspersjenkins
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QPR-12318 fill dim cube up to final grid date
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Lines changed: 1 addition & 2 deletions

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OREAnalytics/orea/aggregation/dimflatcalculator.cpp

Lines changed: 1 addition & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -49,7 +49,6 @@ const vector<Real>& FlatDynamicInitialMarginCalculator::dimResults(const std::st
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void FlatDynamicInitialMarginCalculator::build() {
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LOG("FlatDynamicInitialMarginCalculator:build() called");
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52-
Size stopDatesLoop = datesLoopSize_;
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Size samples = cube_->samples();
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if (!inputs_->collateralBalances()) {
@@ -65,7 +64,7 @@ void FlatDynamicInitialMarginCalculator::build() {
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LOG("Found initial margin balance " << currentIM << " for netting set " << n);
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}
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for (Size j = 0; j < stopDatesLoop; ++j) {
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for (Size j = 0; j < cube_->dates().size(); ++j) {
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nettingSetExpectedDIM_[n][j] = currentIM;
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for (Size k = 0; k < samples; ++k)
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nettingSetDIM_[n][j][k] = currentIM;

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