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Commit ee9497b

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pcaspersjenkins
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QPR-12329 fix
1 parent 93c4e07 commit ee9497b

1 file changed

Lines changed: 2 additions & 2 deletions

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OREData/ored/model/lgmbuilder.cpp

Lines changed: 2 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -190,10 +190,10 @@ LgmBuilder::LgmBuilder(const boost::shared_ptr<ore::data::Market>& market, const
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(data_->calibrateA() || data_->calibrateH()) && data_->calibrationType() != CalibrationType::None;
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try {
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svts_ = market_->swaptionVol(data_->qualifier(), configuration_);
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shortSwapIndex_ =
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market_->swapIndex(market_->shortSwapIndexBase(data_->qualifier(), configuration_), configuration_);
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swapIndex_ = market_->swapIndex(market_->swapIndexBase(data_->qualifier(), configuration_), configuration_);
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svts_ = market_->swaptionVol(data_->qualifier(), configuration_);
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// see the comment for dinscountCurve() in the interface
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modelDiscountCurve_ = RelinkableHandle<YieldTermStructure>(*swapIndex_->discountingTermStructure());
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calibrationDiscountCurve_ = Handle<YieldTermStructure>(*swapIndex_->discountingTermStructure());
@@ -204,7 +204,7 @@ LgmBuilder::LgmBuilder(const boost::shared_ptr<ore::data::Market>& market, const
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e.what(), id_)
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.log();
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modelDiscountCurve_ = RelinkableHandle<YieldTermStructure>(*market_->discountCurve(currency_, configuration_));
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calibrationDiscountCurve_ = Handle<YieldTermStructure>(*swapIndex_->discountingTermStructure());
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calibrationDiscountCurve_ = Handle<YieldTermStructure>(*market_->discountCurve(currency_, configuration_));
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}
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if (requiresCalibration_) {

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