QPR-13768 fixes

Author: pcaspers

OREData/ored/marketdata/capfloorvolcurve.cpp

@@ -114,10 +114,13 @@ CapFloorVolCurve::CapFloorVolCurve(
                 QL_FAIL("Unexpected type (" << static_cast<int>(config->type()) << ") for cap floor config "
                                             << config->curveID());
             }
-            // Turn on or off extrapolation
-            capletVol_->enableExtrapolation(config->extrapolate());
+
+            capletVol_->enableExtrapolation(true);
         }
 
+        // force bootstrap so that errors are thrown during the build, not later
+        capletVol_->volatility(QL_EPSILON, capletVol_->minStrike());
+
         if (buildCalibrationInfo) {
             this->buildCalibrationInfo(asof, curveConfigs, config, iborIndex);
         }
@@ -130,8 +133,6 @@ CapFloorVolCurve::CapFloorVolCurve(
         QL_FAIL("cap/floor vol curve building failed: unknown error");
     }
 
-    // force bootstrap so that errors are thrown during the build, not later
-    capletVol_->volatility(QL_EPSILON, capletVol_->minStrike());
 }
 
 void CapFloorVolCurve::buildProxyCurve(

QuantExt/qle/termstructures/oiscapfloorhelper.cpp

@@ -109,24 +109,25 @@ void OISCapFloorHelper::setTermStructure(OptionletVolatilityStructure* ovts) {
         Rate atm = CashFlows::atmRate(getOisCapFloorUnderlying(capFloor_), **discountHandle_, false);
         CapFloor::Type capFloorType = type_ == CapFloorHelper::Cap ? CapFloor::Cap : CapFloor::Floor;
         capFloor_ = MakeOISCapFloor(capFloorType, tenor_, index_, rateComputationPeriod_, atm)
-                        .withTelescopicValueDates(true)
                         .withEffectiveDate(effectiveDate_)
+                        .withTelescopicValueDates(true)
                         .withRule(DateGeneration::Rule::Forward);
         capFloorCopy_ = MakeOISCapFloor(capFloorType, tenor_, index_, rateComputationPeriod_, atm)
-                            .withTelescopicValueDates(true)
-                            .withEffectiveDate(effectiveDate_)
-                            .withRule(DateGeneration::Rule::Forward);
+                        .withEffectiveDate(effectiveDate_)
+                        .withTelescopicValueDates(true)
+                        .withRule(DateGeneration::Rule::Forward);
     } else if (type_ == CapFloorHelper::Automatic && quoteType_ != CapFloorHelper::Premium) {
         // If the helper is set to automatically choose the underlying instrument type, do it now based on the ATM rate
         Rate atm = CashFlows::atmRate(getOisCapFloorUnderlying(capFloor_), **discountHandle_, false);
         CapFloor::Type capFloorType = atm > strike_ ? CapFloor::Floor : CapFloor::Cap;
         capFloor_ = MakeOISCapFloor(capFloorType, tenor_, index_, rateComputationPeriod_, strike_)
+                        .withEffectiveDate(effectiveDate_)
                         .withTelescopicValueDates(true)
-                        .withEffectiveDate(effectiveDate_);
+                        .withRule(DateGeneration::Rule::Forward);
         capFloorCopy_ = MakeOISCapFloor(capFloorType, tenor_, index_, rateComputationPeriod_, strike_)
-                            .withTelescopicValueDates(true)
-                            .withEffectiveDate(effectiveDate_)
-                            .withRule(DateGeneration::Rule::Forward);
+                        .withEffectiveDate(effectiveDate_)
+                        .withTelescopicValueDates(true)
+                        .withRule(DateGeneration::Rule::Forward);
 
         for (auto const& c : capFloor_) {
 	    auto cpn = QuantLib::ext::dynamic_pointer_cast<Coupon>(c);

QuantExt/qle/termstructures/optionletstripper.cpp

@@ -161,7 +161,8 @@ void OptionletStripper::populateDates() const {
                 MakeOISCapFloor(CapFloor::Cap, capFloorLengths_[i], QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(index_),
                                 rateComputationPeriod_, 0.04)
                     .withTelescopicValueDates(true)
-                    .withSettlementDays(onCapSettlementDays_);
+                    .withSettlementDays(onCapSettlementDays_)
+                    .withRule(DateGeneration::Rule::Forward);
             auto lastCoupon = QuantLib::ext::dynamic_pointer_cast<CappedFlooredOvernightIndexedCoupon>(dummyCap.back());
             QL_REQUIRE(lastCoupon, "OptionletStripper::populateDates(): expected CappedFlooredOvernightIndexedCoupon");
             optionletDates_[i] = std::max(referenceDate + 1, lastCoupon->underlying()->fixingDates().front());