QPR-12192 init members, populate eff vol in local optionlet pricing

Author: pcaspers

QuantExt/qle/cashflows/averageonindexedcoupon.hpp

@@ -169,8 +169,8 @@ class CapFlooredAverageONIndexedCouponPricer : public FloatingRateCouponPricer {
 protected:
     Handle<OptionletVolatilityStructure> capletVol_;
     bool effectiveVolatilityInput_;
-    mutable Real effectiveCapletVolatility_;
-    mutable Real effectiveFloorletVolatility_;
+    mutable Real effectiveCapletVolatility_ = Null<Real>();
+    mutable Real effectiveFloorletVolatility_ = Null<Real>();
 };
 
 //! helper class building a sequence of overnight coupons

QuantExt/qle/cashflows/blackovernightindexedcouponpricer.cpp

@@ -203,6 +203,11 @@ Real BlackOvernightIndexedCouponPricer::optionletRateLocal(Option::Type optionTy
         bool shiftedLn = capletVolatility()->volatilityType() == ShiftedLognormal;
         Rate cfValue = shiftedLn ? blackFormula(optionType, effStrike, averageRate, stdDev, 1.0, shift)
                                  : bachelierBlackFormula(optionType, effStrike, averageRate, stdDev, 1.0);
+        Real effectiveTime = capletVolatility()->timeFromReference(fixingDates.back());
+        if (optionType == Option::Type::Call)
+            effectiveCapletVolatility_ = stdDev / std::sqrt(effectiveTime);
+        else
+            effectiveFloorletVolatility_ = stdDev / std::sqrt(effectiveTime);
 
         // add spread to average rate
         if (coupon_->underlying()->includeSpread()) {
@@ -435,6 +440,12 @@ Real BlackAverageONIndexedCouponPricer::optionletRateLocal(Option::Type optionTy
         Rate cfValue = shiftedLn ? blackFormula(optionType, effStrike, averageRate, stdDev, 1.0, shift)
                                  : bachelierBlackFormula(optionType, effStrike, averageRate, stdDev, 1.0);
 
+        Real effectiveTime = capletVolatility()->timeFromReference(fixingDates.back());
+        if (optionType == Option::Type::Call)
+            effectiveCapletVolatility_ = stdDev / std::sqrt(effectiveTime);
+        else
+            effectiveFloorletVolatility_ = stdDev / std::sqrt(effectiveTime);
+
         // add spread to average rate
         if (coupon_->includeSpread()) {
             averageRate += coupon_->underlying()->spread();

QuantExt/qle/cashflows/overnightindexedcoupon.hpp

@@ -221,8 +221,8 @@ class CappedFlooredOvernightIndexedCouponPricer : public FloatingRateCouponPrice
 protected:
     Handle<OptionletVolatilityStructure> capletVol_;
     bool effectiveVolatilityInput_;
-    mutable Real effectiveCapletVolatility_;
-    mutable Real effectiveFloorletVolatility_;
+    mutable Real effectiveCapletVolatility_ = Null<Real>();
+    mutable Real effectiveFloorletVolatility_ = Null<Real>();
 };
 
 //! helper class building a sequence of overnight coupons