QPR-12325 add cache to parametric smile section, update comment

Author: pcaspers

QuantExt/qle/termstructures/parametricvolatilitysmilesection.cpp

@@ -30,7 +30,11 @@ ParametricVolatilitySmileSection::ParametricVolatilitySmileSection(
 Real ParametricVolatilitySmileSection::atmLevel() const { return atmLevel_; }
 
 Real ParametricVolatilitySmileSection::volatilityImpl(Rate strike) const {
-    return parametricVolatility_->evaluate(optionTime_, swapLength_, strike, atmLevel_, outputMarketQuoteType_);
+    if(auto v = cache_.find(strike); v!= cache_end())
+        return v->second;
+    Real tmp = parametricVolatility_->evaluate(optionTime_, swapLength_, strike, atmLevel_, outputMarketQuoteType_);
+    cache_[strike] = tmp;
+    return tmp;
 }
 
 } // namespace QuantExt

QuantExt/qle/termstructures/parametricvolatilitysmilesection.hpp

@@ -45,6 +45,7 @@ class ParametricVolatilitySmileSection : public QuantLib::SmileSection {
     Real optionTime_, swapLength_, atmLevel_;
     boost::shared_ptr<ParametricVolatility> parametricVolatility_;
     ParametricVolatility::MarketQuoteType outputMarketQuoteType_;
+    mutable std::map<Real, Real> cache_;
 };
 
 } // namespace QuantExt

QuantExt/qle/termstructures/sabrparametricvolatility.cpp

@@ -595,8 +595,6 @@ Real SabrParametricVolatility::evaluate(const Real timeToExpiry, const Real unde
                                         const Real outputLognormalShift,
                                         const boost::optional<QuantLib::Option::Type> outputOptionType) const {
 
-    // TODO add caching
-
     Real alpha = alphaInterpolation_(timeToExpiry, underlyingLength);
     Real beta = betaInterpolation_(timeToExpiry, underlyingLength);
     Real nu = nuInterpolation_(timeToExpiry, underlyingLength);