Hi great product. I have starting out exploring Strata, and decided to test calibration and the associated pv01s for a vanilla GBP SWAP indexed to GBP Libor 6M and discounted with OIS. I’m using the data provided in
and following the example: SwapPricingWithCalibrationExample in the finance subdirectory of com.opengamma.strata.examples, which is set up for a USD swap.
The example compiles and runs…so I assume I have correctly changed all the market data and input files so as to build the correct swap, but the report template “swap-report-template”
TradeReportTemplate reportTemplate = ExampleData.loadTradeReportTemplate("swap-report-template");
returns a column “USD Discounting PV01”, with the message
"FAIL: Invalid field ‘usd’ in type com.opengamma.strata.market.param.CurrencyParameterSensitivities. Use one of: [gbp, gbp-dscon-ois, gbp-libor6m-irs]"
Could someone point me to the right place to make this change - in order to get my minimal working example working? Many thanks