QPR-11370 move proxy surface check to scenariosimmarket

Author: damienbarker

OREAnalytics/orea/scenario/scenariosimmarket.cpp

@@ -25,6 +25,7 @@
 #include <orea/scenario/scenariosimmarket.hpp>
 #include <orea/scenario/simplescenario.hpp>
 #include <qle/termstructures/credit/basecorrelationstructure.hpp>
+#include <qle/termstructures/proxyoptionletvolatility.hpp>
 #include <ql/instruments/makecapfloor.hpp>
 #include <ql/math/interpolations/loginterpolation.hpp>
 #include <ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.hpp>
@@ -1064,6 +1065,10 @@ ScenarioSimMarket::ScenarioSimMarket(
                         } else {
                             string decayModeString = parameters->capFloorVolDecayMode();
                             ReactionToTimeDecay decayMode = parseDecayMode(decayModeString);
+
+                            QL_REQUIRE(!boost::dynamic_pointer_cast<ProxyOptionletVolatility>(wrapper), 
+                                "DynamicOptionletVolatilityStructure does not support ProxyOptionletVolatility surface.");
+
                             boost::shared_ptr<OptionletVolatilityStructure> capletVol =
                                 boost::make_shared<DynamicOptionletVolatilityStructure>(*wrapper, 0, NullCalendar(),
                                                                                         decayMode);

QuantExt/qle/termstructures/dynamicoptionletvolatilitystructure.cpp

@@ -17,7 +17,6 @@
 */
 
 #include <qle/termstructures/dynamicoptionletvolatilitystructure.hpp>
-#include <qle/termstructures/proxyoptionletvolatility.hpp>
 
 namespace QuantExt {
 DynamicOptionletVolatilityStructure::DynamicOptionletVolatilityStructure(
@@ -48,9 +47,7 @@ Date DynamicOptionletVolatilityStructure::maxDate() const {
     QL_FAIL("unexpected decay mode (" << decayMode_ << ")");
 }
 
-void DynamicOptionletVolatilityStructure::update() { 
-    if (boost::dynamic_pointer_cast<ProxyOptionletVolatility>(source_))
-        QL_FAIL("DynamicOptionletVolatilityStructure does not support ProxyOptionletVolatility surface for moving evalution date.");
+void DynamicOptionletVolatilityStructure::update() {
     TermStructure::update(); 
 }