Merge branch 'QPR-13213' into 'master'

QPR-13213 remove fallback rules 2, 3

Closes QPR-13213

See merge request qs/oreplus!2670

Author: pcaspers

OREData/ored/model/lgmbuilder.cpp

@@ -78,7 +78,7 @@ createSwaptionHelper(const E& expiry, const T& term, const Handle<SwaptionVolati
                                                      settlementDays, averagingMethod);
     auto sd = swaptionData(helper);
 
-    // ensure point 1 from above
+    // ensure fallback rule 1
 
     Real atmStdDev = svts->volatility(sd.timeToExpiry, sd.swapLength, sd.atmForward) * std::sqrt(sd.timeToExpiry);
     if (vt == ShiftedLognormal) {
@@ -99,35 +99,6 @@ createSwaptionHelper(const E& expiry, const T& term, const Handle<SwaptionVolati
         fallbackType = ore::data::LgmBuilder::FallbackType::FallbackRule1;
     }
 
-    // ensure point 2 from above
-
-    auto mv = std::abs(helper->marketValue());
-    if (mv < ore::data::LgmBuilder::mmv) {
-        DLOG("Helper with expiry " << expiry << " and term " << term << " has an absolute market value of "
-                                   << std::scientific << mv << " which is lower than minimum market value "
-                                   << ore::data::LgmBuilder::mmv << " so switching to helper with atm rate "
-                                   << sd.atmForward);
-        strike = sd.atmForward;
-        helper = QuantLib::ext::make_shared<SwaptionHelper>(expiry, term, vol, iborIndex, fixedLegTenor, fixedDayCounter,
-                                                    floatDayCounter, yts, errorType, strike, 1.0, vt, shift,
-                                                    settlementDays, averagingMethod);
-        fallbackType = ore::data::LgmBuilder::FallbackType::FallbackRule2;
-    }
-
-    // ensure point 3 from above
-
-    mv = std::abs(helper->marketValue());
-    if (errorType != BlackCalibrationHelper::PriceError && mv < ore::data::LgmBuilder::smv) {
-        errorType = BlackCalibrationHelper::PriceError;
-        DLOG("Helper with expiry " << expiry << " and term " << term << " has an absolute market value of "
-                                   << std::scientific << mv << " which is lower than " << ore::data::LgmBuilder::smv
-                                   << " so switching to a price error helper.");
-        helper = QuantLib::ext::make_shared<SwaptionHelper>(expiry, term, vol, iborIndex, fixedLegTenor, fixedDayCounter,
-                                                    floatDayCounter, yts, errorType, strike, 1.0, vt, shift,
-                                                    settlementDays, averagingMethod);
-        fallbackType = ore::data::LgmBuilder::FallbackType::FallbackRule3;
-    }
-
     DLOG("Created swaption helper with expiry " << expiry << " and term " << term << ": vol=" << vol->value()
                                                 << ", index=" << iborIndex->name() << ", strike=" << strike
                                                 << ", shift=" << shift);

OREData/ored/model/lgmbuilder.hpp

@@ -49,19 +49,12 @@ class LgmBuilder : public QuantExt::ModelBuilder {
 public:
     // We apply certain fallback rules to ensure a robust calibration:
 
-    enum class FallbackType { NoFallback, FallbackRule1, FallbackRule2, FallbackRule3 };
+    enum class FallbackType { NoFallback, FallbackRule1 };
 
     /* Rule 1 If the helper's strike is too far away from the ATM level in terms of the relevant std dev, we move the
               calibration strike closer to the ATM level */
     static constexpr Real maxAtmStdDev = 3.0;
 
-    /* Rule 2 If the helper value is lower than mmv, replace it with a "more reasonable" helper. We replace
-              the helper with a helper that has the ATM strike. */
-    static constexpr Real mmv = 1.0E-20;
-
-    /* Rule 3 Switch to PriceError if helper's market value is below smv */
-    static constexpr Real smv = 1.0E-8;
-
     /*! The configuration refers to the configuration to read swaption vol and swap index from the market.
         The discounting curve to price calibrating swaptions is derived from the swap index directly though,
         i.e. it is not read as a discount curve from the market (except as a fallback in case we do not find