Simplify SwaptionVolatilityCube::atmStrike() using SwapIndex::clone(tenor) - #2849
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…enor)
atmStrike() built temporary SwapIndex objects by spelling out every
constructor argument (familyName, fixingDays, currency, calendar,
fixedLegTenor, convention, dayCounter, iborIndex) manually, with a
separate branch for the exogenousDiscount case, totalling ~50 lines and
a FIXME comment:
// FIXME use a familyName-based index factory
SwapIndex already provides exactly this: clone(const Period& tenor)
returns a copy of the index with a different tenor while preserving all
other attributes — including the discount curve when exogenousDiscount
is true. The virtual dispatch also means subclasses of SwapIndex (e.g.
EuriborSwapIsdaFixA, OvernightIndexedSwapIndex) correctly clone
themselves rather than being silently downcast to a plain SwapIndex.
Replace the four constructor branches with:
const SwapIndex* base = (swapTenor > shortSwapIndexBase_->tenor())
? swapIndexBase_.get()
: shortSwapIndexBase_.get();
return base->clone(swapTenor)->fixing(optionD);
No behaviour change for standard SwapIndex; correctness improvement for
any SwapIndex subclass stored in swapIndexBase_ or shortSwapIndexBase_.
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atmStrike() built temporary SwapIndex objects by spelling out every constructor argument (familyName, fixingDays, currency, calendar, fixedLegTenor, convention, dayCounter, iborIndex) manually, with a separate branch for the exogenousDiscount case, totalling ~50 lines and a FIXME comment:
SwapIndex already provides exactly this: clone(const Period& tenor) returns a copy of the index with a different tenor while preserving all other attributes — including the discount curve when exogenousDiscount is true. The virtual dispatch also means subclasses of SwapIndex (e.g. EuriborSwapIsdaFixA, OvernightIndexedSwapIndex) correctly clone themselves rather than being silently downcast to a plain SwapIndex.
Replace the four constructor branches with:
No behaviour change for standard SwapIndex; correctness improvement for any SwapIndex subclass stored in swapIndexBase_ or shortSwapIndexBase_.