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BUG: set order for FXRates needs to derive not convert #245

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attack68 opened this issue Jul 1, 2024 · 0 comments
Open

BUG: set order for FXRates needs to derive not convert #245

attack68 opened this issue Jul 1, 2024 · 0 comments
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bug Something isn't working fx

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attack68 commented Jul 1, 2024

The process to create an FXArray needs to be derived using dual2 variables to correctly capture second order sensitivities. It cannot simply perform a conversion of Dual1 variables already calculated using the processs since this omits all second order values.
@attack68 attack68 added bug Something isn't working fx labels Jul 1, 2024
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