QPR-13765 add missing volType to vol surfaces

Author: mgroncki

QuantExt/qle/termstructures/blackinvertedvoltermstructure.hpp

@@ -41,7 +41,8 @@ class BlackInvertedVolTermStructure : public BlackVolTermStructure {
     /*! This will work with both a floating and fixed reference date underlying surface,
         since we are reimplementing the reference date and update methods */
     BlackInvertedVolTermStructure(const Handle<BlackVolTermStructure>& vol)
-        : BlackVolTermStructure(vol->businessDayConvention(), vol->dayCounter()), vol_(vol) {
+        : BlackVolTermStructure(vol->businessDayConvention(), vol->dayCounter(), vol->volType(), vol->shift()),
+          vol_(vol) {
         registerWith(vol_);
     }
 

QuantExt/qle/termstructures/blackvariancesurfacestddevs.cpp

@@ -28,9 +28,11 @@ namespace QuantExt {
 BlackVarianceSurfaceStdDevs::BlackVarianceSurfaceStdDevs(
     const Calendar& cal, const Handle<Quote>& spot, const std::vector<Time>& times, const std::vector<Real>& stdDevs,
     const std::vector<std::vector<Handle<Quote>>>& blackVolMatrix, const DayCounter& dayCounter,
-    const QuantLib::ext::shared_ptr<EqFxIndexBase>& index, bool stickyStrike, bool flatExtrapMoneyness)
-    : BlackVarianceSurfaceMoneyness(cal, spot, times, stdDevs, blackVolMatrix, dayCounter, stickyStrike), index_(index),
-      flatExtrapolateMoneyness_(flatExtrapMoneyness) {
+    const QuantLib::ext::shared_ptr<EqFxIndexBase>& index, bool stickyStrike, bool flatExtrapMoneyness,
+    BlackVolTimeExtrapolation timeExtrapolation, const VolatilityType type, const Real shift)
+    : BlackVarianceSurfaceMoneyness(cal, spot, times, stdDevs, blackVolMatrix, dayCounter, stickyStrike,
+                                    flatExtrapMoneyness, timeExtrapolation, type, shift),
+      index_(index), flatExtrapolateMoneyness_(flatExtrapMoneyness) {
 
     // set up atm variance curve - maybe just take ATM vols in
     vector<Real>::const_iterator it = find(stdDevs.begin(), stdDevs.end(), 0.0);

QuantExt/qle/termstructures/blackvariancesurfacestddevs.hpp

@@ -43,7 +43,10 @@ class BlackVarianceSurfaceStdDevs : public BlackVarianceSurfaceMoneyness {
                                 const std::vector<Real>& stdDevs,
                                 const std::vector<std::vector<Handle<Quote> > >& blackVolMatrix,
                                 const DayCounter& dayCounter, const QuantLib::ext::shared_ptr<EqFxIndexBase>& index,
-                                bool stickyStrike = false, bool flatExtrapMoneyness = false);
+                                bool stickyStrike = false, bool flatExtrapMoneyness = false,
+                                BlackVolTimeExtrapolation timeExtrapolation = BlackVolTimeExtrapolation::FlatVolatility,
+                                const VolatilityType type = VolatilityType::ShiftedLognormal,
+                                const Real shift = 0.0);
 
     // A method that takes a reference to a vector of vector of quotes (that will be populated), termstructure,
     // expiry times, and standard deviation points. Fills the quotes with the correct points from the termstructure.

QuantExt/qle/termstructures/blackvolconstantspread.cpp

@@ -24,8 +24,9 @@ namespace QuantExt {
 
 BlackVolatilityConstantSpread::BlackVolatilityConstantSpread(const Handle<BlackVolTermStructure>& atm,
                                                              const Handle<BlackVolTermStructure>& surface)
-    : BlackVolTermStructure(0, atm->calendar(), atm->businessDayConvention(), atm->dayCounter()), atm_(atm),
-      surface_(surface) {
+    : BlackVolTermStructure(0, atm->calendar(), atm->businessDayConvention(), atm->dayCounter(), atm->volType(),
+                            atm->shift()),
+      atm_(atm), surface_(surface) {
     enableExtrapolation(atm->allowsExtrapolation());
     registerWith(atm);
     registerWith(surface);

QuantExt/qle/termstructures/blackvolsurfaceproxy.cpp

@@ -27,7 +27,7 @@ BlackVolatilitySurfaceProxy::BlackVolatilitySurfaceProxy(
     const QuantLib::ext::shared_ptr<EqFxIndexBase>& proxyIndex, const QuantLib::ext::shared_ptr<BlackVolTermStructure>& fxSurface,
     const QuantLib::ext::shared_ptr<FxIndex>& fxIndex, const QuantLib::ext::shared_ptr<CorrelationTermStructure>& correlation)
     : BlackVolatilityTermStructure(0, proxySurface->calendar(), proxySurface->businessDayConvention(),
-                                   proxySurface->dayCounter()),
+                                   proxySurface->dayCounter(), proxySurface->volType(), proxySurface->shift()),
       proxySurface_(proxySurface), index_(index), proxyIndex_(proxyIndex), fxSurface_(fxSurface), 
       fxIndex_(fxIndex), correlation_(correlation) {