QPR-12069 missing discountCurve dependency for capfloor vol surface

Author: mgroncki

OREData/ored/configuration/capfloorvolcurveconfig.cpp

@@ -310,10 +310,13 @@ string CapFloorVolatilityCurveConfig::toString(VolatilityType type) const {
 void CapFloorVolatilityCurveConfig::populateRequiredCurveIds() {
     if (!discountCurve().empty())
         requiredCurveIds_[CurveSpec::CurveType::Yield].insert(parseCurveSpec(discountCurve())->curveConfigID());
-    if (!proxySourceCurveId_.empty()) {
+    if (!proxySourceCurveId_.empty())
         requiredCurveIds_[CurveSpec::CurveType::CapFloorVolatility].insert(
             parseCurveSpec(proxySourceCurveId_)->curveConfigID());
-    }
+    if (!proxySourceIndex_.empty())
+        requiredCurveIds_[CurveSpec::CurveType::Yield].insert(proxySourceIndex_);
+    if (!proxyTargetIndex_.empty())
+        requiredCurveIds_[CurveSpec::CurveType::Yield].insert(proxyTargetIndex_);
 }
 
 string CapFloorVolatilityCurveConfig::indexTenor() const {