Fix for non-LME curves in delta

cetusfinance · Sep 10, 2024 · f1be04d · f1be04d
1 parent 371031f
commit f1be04d
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Showing 3 changed files with 4 additions and 3 deletions.
diff --git a/src/Qwack.Models/Risk/BasicMetrics.cs b/src/Qwack.Models/Risk/BasicMetrics.cs
@@ -11,6 +11,7 @@
 using Qwack.Core.Instruments.Asset;
 using Qwack.Core.Models;
 using Qwack.Dates;
+using Qwack.Futures;
 using Qwack.Math;
 using Qwack.Models.MCModels;
 using Qwack.Models.Models;
@@ -789,7 +790,7 @@ public static ICube AssetDelta(this IPvModel pvModel, bool computeGamma = false,
 
                 Dictionary<string, IPriceCurve> bumpedCurves;
                 Dictionary<string, IPriceCurve> bumpedDownCurves;
-                if (isSparseLMEMode)
+                if (isSparseLMEMode && curveObj is BasicPriceCurve bpc && bpc.CurveType == Transport.BasicTypes.PriceCurveType.LME)
                 {
                     lastDateInBook = NextThirdWeds(lastDateInBook);
                     var sparseDates = curveObj.PillarDates.Where(x => x <= lastDateInBook && DateExtensions.IsSparseLMEDate(x, curveObj.BuildDate, calendars)).ToArray();

diff --git a/version.props b/version.props
@@ -1,5 +1,5 @@
 <Project>
     <PropertyGroup>
-        <VersionPrefix>0.8.86</VersionPrefix>
+        <VersionPrefix>0.8.87</VersionPrefix>
 	</PropertyGroup>
 </Project>
diff --git a/version.txt b/version.txt
@@ -1 +1 @@
-0.8.86
+0.8.87