OpenGamma/OG-Platform — pull request #156 by marc-opengamma (2014-08-19 17:32:34+00:00)
Title: Topic/reqs 420

New calculators have been created. They compute the cross-gamma for multi-curve framework with specific curves (interpolatedDoublesCurve on yield with all the curves linked to the same currency).
The PR contains also the analysis/tutorial code. It compute the profit vector using (pseudo-)historical data and different approaches (full reval, delta/gamma, delta/sum of column gamma). The results of the analysis are available in the OpenGamma Quantitative Research n.15: Interest rate cross-gamma for single and multiple curves, August 2015.