fix evaluation / reference date handling

kalam360 · Sep 28, 2023 · 550a1a4 · 550a1a4
1 parent efedbe7
commit 550a1a4
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Showing 3 changed files with 11 additions and 11 deletions.
diff --git a/ql/termstructures/volatility/swaption/swaptionvolcube.cpp b/ql/termstructures/volatility/swaption/swaptionvolcube.cpp
@@ -76,8 +76,7 @@ namespace QuantLib {
                    swapIndexBase_->tenor() << ")");
 
         registerWithVolatilitySpread();
-        registerWith(Settings::instance().evaluationDate());
-        evaluationDate_ = Settings::instance().evaluationDate();
+        cachedReferenceDate_ = referenceDate();
     }
 
     void SwaptionVolatilityCube::registerWithVolatilitySpread()

diff --git a/ql/termstructures/volatility/swaption/swaptionvoldiscrete.cpp b/ql/termstructures/volatility/swaption/swaptionvoldiscrete.cpp
@@ -36,14 +36,14 @@ namespace QuantLib {
       optionTenors_(optionTenors),
       optionDates_(nOptionTenors_),
       optionTimes_(nOptionTenors_),
+      optionDatesAsReal_(nOptionTenors_),
       optionInterpolatorTimes_(nOptionTenors_  + 1),
       optionInterpolatorDatesAsReal_(nOptionTenors_ + 1),
       nSwapTenors_(swapTenors.size()),
       swapTenors_(swapTenors),
       swapLengths_(nSwapTenors_) {
 
         checkOptionTenors();
-        evaluationDate_ = Settings::instance().evaluationDate();
         initializeOptionDatesAndTimes();
 
         checkSwapTenors();
@@ -54,8 +54,7 @@ namespace QuantLib {
                                                  optionInterpolatorDatesAsReal_.begin());
         optionInterpolator_.update();
         optionInterpolator_.enableExtrapolation();
-
-        registerWith(Settings::instance().evaluationDate());
+        cachedReferenceDate_ = referenceDate();
     }
 
     SwaptionVolatilityDiscrete::SwaptionVolatilityDiscrete(
@@ -70,6 +69,7 @@ namespace QuantLib {
       optionTenors_(optionTenors),
       optionDates_(nOptionTenors_),
       optionTimes_(nOptionTenors_),
+      optionDatesAsReal_(nOptionTenors_),
       optionInterpolatorTimes_(nOptionTenors_  + 1),
       optionInterpolatorDatesAsReal_(nOptionTenors_ + 1),
       nSwapTenors_(swapTenors.size()),
@@ -101,6 +101,7 @@ namespace QuantLib {
       optionTenors_(nOptionTenors_),
       optionDates_(optionDates),
       optionTimes_(nOptionTenors_),
+      optionDatesAsReal_(nOptionTenors_),
       optionInterpolatorTimes_(nOptionTenors_  + 1),
       optionInterpolatorDatesAsReal_(nOptionTenors_ + 1),
       nSwapTenors_(swapTenors.size()),
@@ -155,10 +156,10 @@ namespace QuantLib {
     }
 
     void SwaptionVolatilityDiscrete::initializeOptionDatesAndTimes() const {
-        optionInterpolatorDatesAsReal_[0] = static_cast<Real>(evaluationDate_.serialNumber());
+        optionInterpolatorDatesAsReal_[0] = static_cast<Real>(referenceDate().serialNumber());
         for (Size i=0; i<nOptionTenors_; ++i) {
             optionDates_[i] = optionDateFromTenor(optionTenors_[i]);
-            optionInterpolatorDatesAsReal_[i + 1] =
+            optionDatesAsReal_[i] = optionInterpolatorDatesAsReal_[i + 1] =
                 static_cast<Real>(optionDates_[i].serialNumber());
         }
         initializeOptionTimes();
@@ -179,9 +180,8 @@ namespace QuantLib {
     void SwaptionVolatilityDiscrete::performCalculations() const {
         // recalculate dates if necessary...
         if (moving_) {
-            Date d = Settings::instance().evaluationDate();
-            if (evaluationDate_ != d) {
-                evaluationDate_ = d;
+            if (cachedReferenceDate_ != referenceDate()) {
+                cachedReferenceDate_ = referenceDate();
                 initializeOptionDatesAndTimes();
                 initializeSwapLengths();
                 optionInterpolator_.update();

diff --git a/ql/termstructures/volatility/swaption/swaptionvoldiscrete.hpp b/ql/termstructures/volatility/swaption/swaptionvoldiscrete.hpp
@@ -74,13 +74,14 @@ namespace QuantLib {
         mutable std::vector<Date> optionDates_;
         mutable std::vector<Time> optionTimes_;
         mutable Interpolation optionInterpolator_;
+        mutable std::vector<Real> optionDatesAsReal_;
         mutable std::vector<Time> optionInterpolatorTimes_;
         mutable std::vector<Real> optionInterpolatorDatesAsReal_;
 
         Size nSwapTenors_;
         std::vector<Period> swapTenors_;
         mutable std::vector<Time> swapLengths_;
-        mutable Date evaluationDate_;
+        mutable Date cachedReferenceDate_;
       private:
         void checkOptionTenors() const;
         void checkOptionDates(const Date& reference) const;