QPR-12488 better handling of edge case

Author: pcaspers

OREData/ored/model/inflation/infdkbuilder.cpp

@@ -333,15 +333,23 @@ void InfDkBuilder::buildCapFloorBasket() const {
 
             Real tteFromBase = infVol_->timeFromBase(expiryDate);
 
-            Real marketPrem = dontCalibrate_ || tte <= 0 || tteFromBase <= 0 ? 0.01 : cf->NPV();
+            Real marketPrem;
+            if (dontCalibrate_)
+                marketPrem = 0.1;
+            else if (tte <= 0 || tteFromBase <= 0)
+                marketPrem = 0.00;
+            else
+                marketPrem = cf->NPV();
+
             QuantLib::ext::shared_ptr<QuantExt::CpiCapFloorHelper> helper =
                 QuantLib::ext::make_shared<QuantExt::CpiCapFloorHelper>(capfloor, baseCPI, expiryDate, fixCalendar, bdc,
-                                                                fixCalendar, bdc, strikeValue, hIndex, lag, marketPrem);
+                                                                        fixCalendar, bdc, strikeValue, hIndex, lag,
+                                                                        marketPrem);
 
             // we might produce duplicate expiry times even if the fixing dates are all different
-            if (tte > 0 && tteFromBase >= 0 && std::find_if(expiryTimes.begin(), expiryTimes.end(), [tte](Real x) {
-                                                   return QuantLib::close_enough(x, tte);
-                                               }) == expiryTimes.end()) {
+            if (marketPrem > 0.0 && tte > 0 && tteFromBase > 0 &&
+                std::find_if(expiryTimes.begin(), expiryTimes.end(),
+                             [tte](Real x) { return QuantLib::close_enough(x, tte); }) == expiryTimes.end()) {
                 optionBasket_.push_back(helper);
                 helper->performCalculations();
                 expiryTimes.push_back(tte);

OREData/ored/model/inflation/infjybuilder.cpp

@@ -344,6 +344,13 @@ Helpers InfJyBuilder::buildCpiCapFloorBasket(const CalibrationBasket& cb,
         // Add the helper's time to expiry.
         auto fixingDate = helper->instrument()->fixingDate();
         auto t = inflationTime(fixingDate, *zts, false);
+
+        // if time is not positive deactivate helper
+        if (t < 0.0 || QuantLib::close_enough(t, 0.0)) {
+            active[i] = false;
+            continue;
+        }
+
         auto p = expiryTimes.insert(t);
         QL_REQUIRE(data_->ignoreDuplicateCalibrationExpiryTimes() || p.second,
                    "InfJyBuilder: a CPI cap floor calibration "
@@ -459,6 +466,13 @@ Helpers InfJyBuilder::buildYoYCapFloorBasket(const CalibrationBasket& cb, vector
         // Add the helper's time to expiry.
         auto fixingDate = helperInst->lastYoYInflationCoupon()->fixingDate();
         auto t = inflationTime(fixingDate, *yoyTs, yoyInflationIndex_->interpolated());
+
+        // if time is not positive deactivate helper
+        if (t < 0.0 || QuantLib::close_enough(t, 0.0)) {
+            active[i] = false;
+            continue;
+        }
+
         auto p = expiryTimes.insert(t);
         QL_REQUIRE(data_->ignoreDuplicateCalibrationExpiryTimes() || p.second,
                    "InfJyBuilder: a YoY cap floor calibration "
@@ -575,7 +589,7 @@ Helpers InfJyBuilder::buildYoYSwapBasket(const CalibrationBasket& cb,
             t = inflationTime(denFixingDate, *yoyTs, yoyInflationIndex_->interpolated());
         }
 
-        if (t <= 0) {
+        if (t < 0 || close_enough(t, 0.0)) {
             DLOG("The year on year swap with maturity tenor, " << yoySwap->tenor() << ", and date, " << maturity <<
                 ", has a non-positive parameter time, " << t << ", so skipping this as a calibration instrument.");
             continue;

QuantExt/qle/models/cpicapfloorhelper.cpp

@@ -39,8 +39,6 @@ CpiCapFloorHelper::CpiCapFloorHelper(Option::Type type, Real baseCPI, const Date
                    errorType == BlackCalibrationHelper::RelativePriceError,
                "CpiCapFloorHelper supports only PriceError and "
                "RelativePriceError error types");
-    QL_REQUIRE(marketPremium > 0.0 && !close_enough(marketPremium, 0.0),
-               "can not calibrate to market premium " << marketPremium);
     marketValue_ = marketPremium;
 }