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Split curve calibration into smaller groups #2105

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jodastephen opened this issue Oct 31, 2019 · 0 comments
Open

Split curve calibration into smaller groups #2105

jodastephen opened this issue Oct 31, 2019 · 0 comments
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Type:Enhancement

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@jodastephen
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It is often possible to split a large multi-currency RatesCurveGroupDefinition into a number of smaller ones that will calibrate faster. This should be done between the two RatesCurveCalibrator.calibrate methods.
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