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Simplify SwaptionVolatilityCube::atmStrike() using SwapIndex::clone(tenor) #2849

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Simplify SwaptionVolatilityCube::atmStrike() using SwapIndex::clone(tenor) #2849

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57 changes: 4 additions & 53 deletions ql/termstructures/volatility/swaption/swaptionvolcube.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -88,59 +88,10 @@ namespace QuantLib {

Rate SwaptionVolatilityCube::atmStrike(const Date& optionD,
const Period& swapTenor) const {

// FIXME use a familyName-based index factory
if (swapTenor > shortSwapIndexBase_->tenor()) {
if (swapIndexBase_->exogenousDiscount()) {
return SwapIndex(swapIndexBase_->familyName(),
swapTenor,
swapIndexBase_->fixingDays(),
swapIndexBase_->currency(),
swapIndexBase_->fixingCalendar(),
swapIndexBase_->fixedLegTenor(),
swapIndexBase_->fixedLegConvention(),
swapIndexBase_->dayCounter(),
swapIndexBase_->iborIndex(),
swapIndexBase_->discountingTermStructure())
.fixing(optionD);
} else {
return SwapIndex(swapIndexBase_->familyName(),
swapTenor,
swapIndexBase_->fixingDays(),
swapIndexBase_->currency(),
swapIndexBase_->fixingCalendar(),
swapIndexBase_->fixedLegTenor(),
swapIndexBase_->fixedLegConvention(),
swapIndexBase_->dayCounter(),
swapIndexBase_->iborIndex())
.fixing(optionD);
}
} else {
if (shortSwapIndexBase_->exogenousDiscount()) {
return SwapIndex(shortSwapIndexBase_->familyName(),
swapTenor,
shortSwapIndexBase_->fixingDays(),
shortSwapIndexBase_->currency(),
shortSwapIndexBase_->fixingCalendar(),
shortSwapIndexBase_->fixedLegTenor(),
shortSwapIndexBase_->fixedLegConvention(),
shortSwapIndexBase_->dayCounter(),
shortSwapIndexBase_->iborIndex(),
shortSwapIndexBase_->discountingTermStructure())
.fixing(optionD);
} else {
return SwapIndex(shortSwapIndexBase_->familyName(),
swapTenor,
shortSwapIndexBase_->fixingDays(),
shortSwapIndexBase_->currency(),
shortSwapIndexBase_->fixingCalendar(),
shortSwapIndexBase_->fixedLegTenor(),
shortSwapIndexBase_->fixedLegConvention(),
shortSwapIndexBase_->dayCounter(),
shortSwapIndexBase_->iborIndex())
.fixing(optionD);
}
}
const SwapIndex* base = (swapTenor > shortSwapIndexBase_->tenor())
? swapIndexBase_.get()
: shortSwapIndexBase_.get();
return base->clone(swapTenor)->fixing(optionD);
}

}