Merge branch 'bugfix/QPR-13789' into 'master'

pcaspers · pcaspers · commit a6fd2936a3b9 · 2026-01-29T09:57:59.000Z
QPR-13789 differentiate between error and zero atm cdso vol in crif generator

Closes QPR-13789

See merge request qs/oreplus!3186
diff --git a/OREAnalytics/orea/simm/crifrecordgenerator.cpp b/OREAnalytics/orea/simm/crifrecordgenerator.cpp
@@ -661,7 +661,7 @@ CrifRecordData CrifRecordGenerator::yieldVolatilityImpl(const ore::analytics::Se
     return data;
 }
 
-double CrifRecordGenerator::CdsAtmVol(const std::string& tradeId, const std::string& optionExpiryTenor) const {
+std::optional<double> CrifRecordGenerator::CdsAtmVol(const std::string& tradeId, const std::string& optionExpiryTenor) const {
     Real atmVol = 0.0;
     QL_FAIL("CrifRecordGenerator::CdsAtmVol not implemented");
     return atmVol;
diff --git a/OREAnalytics/orea/simm/crifrecordgenerator.hpp b/OREAnalytics/orea/simm/crifrecordgenerator.hpp
@@ -254,7 +254,7 @@ class CrifRecordGenerator {
         return data;
     }
 
-    virtual double CdsAtmVol(const std::string& tradeId, const std::string& optionExpiry) const;
+    virtual std::optional<double> CdsAtmVol(const std::string& tradeId, const std::string& optionExpiry) const;
 };
 
 class SimmRecordGenerator : public CrifRecordGenerator {

Original file line number	Diff line number	Diff line change
`@@ -661,7 +661,7 @@ CrifRecordData CrifRecordGenerator::yieldVolatilityImpl(const ore::analytics::Se`
`661`	`661`	`return data;`
`662`	`662`	`}`
`663`	`663`
`664`		`-double CrifRecordGenerator::CdsAtmVol(const std::string& tradeId, const std::string& optionExpiryTenor) const {`
	`664`	`+std::optional<double> CrifRecordGenerator::CdsAtmVol(const std::string& tradeId, const std::string& optionExpiryTenor) const {`
`665`	`665`	`Real atmVol = 0.0;`
`666`	`666`	`QL_FAIL("CrifRecordGenerator::CdsAtmVol not implemented");`
`667`	`667`	`return atmVol;`
Original file line number	Diff line number	Diff line change
`@@ -254,7 +254,7 @@ class CrifRecordGenerator {`
`254`	`254`	`return data;`
`255`	`255`	`}`
`256`	`256`
`257`		`- virtual double CdsAtmVol(const std::string& tradeId, const std::string& optionExpiry) const;`
	`257`	`+ virtual std::optional<double> CdsAtmVol(const std::string& tradeId, const std::string& optionExpiry) const;`
`258`	`258`	`};`
`259`	`259`
`260`	`260`	`class SimmRecordGenerator : public CrifRecordGenerator {`