Hi, I completely understand if this question is beyond the support for the open source version. Nevertheless: I would like to store some intermediate results for each trade that would be accessed by all sensitivity calculations (an adjoint matrix specific for each trade generated by the present value calculation). I notice that Calculation Task differentiate between trades. I guess that is my entrypoint? Is there a obvious solution for this ?
You can add your own measures, which might allow you to create a measure that does a present value but returns a more complex data structure. See also CalculationFunction and DerivedCalculationFunction.
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