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Matthew Rawlings of JPM has raised the issue that we have two
elements named “currency” in the description of a credit curve.
One of these comes from the base type “PricingStructure” and
describes the currency of the curve, and the other comes from the group “CreditCurveCharacteristics.model”
and describes the currency of the deliverable obligation. The proposed solution is to rename the second one “obligationCurrency”. I agree that it’s bad style to have both of these elements
named the same thing in the same type, because it makes it almost impossible to
reliably extract the right value. However, do we even need both off these currencies?
Perhaps we can delete the second one. Do we need to support the case
where the curve currency is different from the obligation currency? -
Brian From: Marc Gratacos
[mailto:MGratacos@xxxxxxxx] Brian, What
do you think about this issue http://www.fpml.org/issues/view.php?id=604?
Should we raise it within the pricing and risk wg? Best Regards, -Marc +13472846531 **************************************************************************************************************************
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