QPR-11556 Add constructor to dynamicoptionlet for proxyConfig

Author: sebastien.bouvard

OREAnalytics/orea/scenario/scenariosimmarket.cpp

@@ -947,8 +947,8 @@ ScenarioSimMarket::ScenarioSimMarket(
                             DLOG("Dynamic (" << wrapper->volatilityType() << ") yield vols (" << decayModeString
                                             << ") for qualifier " << name);
 
-                            QL_REQUIRE(!QuantLib::ext::dynamic_pointer_cast<ProxySwaptionVolatility>(*wrapper),
-                                "DynamicSwaptionVolatilityMatrix does not support ProxySwaptionVolatility surface");
+                            // QL_REQUIRE(!QuantLib::ext::dynamic_pointer_cast<ProxySwaptionVolatility>(*wrapper),
+                            //     "DynamicSwaptionVolatilityMatrix does not support ProxySwaptionVolatility surface");
 
                             QuantLib::ext::shared_ptr<SwaptionVolatilityStructure> atmSlice;
                             if (isAtm)
@@ -1207,9 +1207,14 @@ ScenarioSimMarket::ScenarioSimMarket(
                             string decayModeString = parameters->capFloorVolDecayMode();
                             ReactionToTimeDecay decayMode = parseDecayMode(decayModeString);
 
-                            QuantLib::ext::shared_ptr<OptionletVolatilityStructure> capletVol =
-                                QuantLib::ext::make_shared<DynamicOptionletVolatilityStructure>(*wrapper, 0, NullCalendar(),
-                                                                                        decayMode);
+                            auto proxyVolConfig = QuantLib::ext::dynamic_pointer_cast<ProxyOptionletVolatility>(*wrapper);
+                            QuantLib::ext::shared_ptr<OptionletVolatilityStructure> capletVol = nullptr;
+                            if(proxyVolConfig){
+                                capletVol = QuantLib::ext::make_shared<DynamicOptionletVolatilityStructure>(*wrapper, NullCalendar(), decayMode);
+                            }else{
+                                capletVol = QuantLib::ext::make_shared<DynamicOptionletVolatilityStructure>(*wrapper, 0, NullCalendar(), decayMode);
+                            }
+
                             hCapletVol = Handle<OptionletVolatilityStructure>(capletVol);
                         }
                         hCapletVol->setAdjustReferenceDate(false);

QuantExt/qle/termstructures/dynamicoptionletvolatilitystructure.cpp

@@ -22,6 +22,17 @@ namespace QuantExt {
 DynamicOptionletVolatilityStructure::DynamicOptionletVolatilityStructure(
     const QuantLib::ext::shared_ptr<OptionletVolatilityStructure>& source, Natural settlementDays, const Calendar& calendar,
     ReactionToTimeDecay decayMode)
+    : OptionletVolatilityStructure(settlementDays, calendar, source->businessDayConvention(), source->dayCounter()),
+      source_(source), decayMode_(decayMode), originalReferenceDate_(source->referenceDate()),
+      volatilityType_(source->volatilityType()), displacement_(source->displacement()) {
+    QL_REQUIRE(decayMode_ != ForwardForwardVariance,
+               "ForwardVariance not yet supported for DynamicOptionletVolatilityStructure");
+    enableExtrapolation(source->allowsExtrapolation());
+}
+
+DynamicOptionletVolatilityStructure::DynamicOptionletVolatilityStructure(
+    const QuantLib::ext::shared_ptr<OptionletVolatilityStructure>& source, const Calendar& calendar,
+    ReactionToTimeDecay decayMode)
     : OptionletVolatilityStructure(source->referenceDate(), calendar, source->businessDayConvention(), source->dayCounter()),
       source_(source), decayMode_(decayMode), originalReferenceDate_(source->referenceDate()),
       volatilityType_(source->volatilityType()), displacement_(source->displacement()) {

QuantExt/qle/termstructures/dynamicoptionletvolatilitystructure.hpp

@@ -42,9 +42,14 @@ using namespace QuantLib;
 
 class DynamicOptionletVolatilityStructure : public OptionletVolatilityStructure {
 public:
+    //Constructor with the reference date based on the global evaluation date
     DynamicOptionletVolatilityStructure(const QuantLib::ext::shared_ptr<OptionletVolatilityStructure>& source,
                                         Natural settlementDays, const Calendar& calendar,
                                         ReactionToTimeDecay decayMode = ConstantVariance);
+    // Constructor to initialize with a fixed reference date
+    DynamicOptionletVolatilityStructure(const QuantLib::ext::shared_ptr<OptionletVolatilityStructure>& source,
+                                        const Calendar& calendar,
+                                        ReactionToTimeDecay decayMode = ConstantVariance);
 
     QuantLib::ext::shared_ptr<OptionletVolatilityStructure> getSource() { return source_; }