bugfix

mgroncki · mgroncki · commit f6d53a9864d9 · 2026-01-12T15:56:13.000+01:00
diff --git a/OREAnalytics/orea/scenario/scenariosimmarket.cpp b/OREAnalytics/orea/scenario/scenariosimmarket.cpp
@@ -3052,7 +3052,8 @@ ScenarioSimMarket::ScenarioSimMarket(
                                     newVol = Handle<BlackVolTermStructure>(
                                         QuantLib::ext::make_shared<BlackVarianceSurfaceMoneynessForward>(
                                             baseVol->calendar(), spot, expiryTimes, moneyness, quotes, dayCounter,
-                                            priceYts, yts, stickyStrike, flatExtrapMoneyness, baseVol->volType(),
+                                            priceYts, yts, stickyStrike, flatExtrapMoneyness, BlackVolTimeExtrapolation::FlatVolatility,
+                                            baseVol->volType(),
                                             baseVol->shift()));
                                 }
                             }

Original file line number	Diff line number	Diff line change
`@@ -3052,7 +3052,8 @@ ScenarioSimMarket::ScenarioSimMarket(`
`3052`	`3052`	`newVol = Handle<BlackVolTermStructure>(`
`3053`	`3053`	`QuantLib::ext::make_shared<BlackVarianceSurfaceMoneynessForward>(`
`3054`	`3054`	`baseVol->calendar(), spot, expiryTimes, moneyness, quotes, dayCounter,`
`3055`		`- priceYts, yts, stickyStrike, flatExtrapMoneyness, baseVol->volType(),`
	`3055`	`+ priceYts, yts, stickyStrike, flatExtrapMoneyness, BlackVolTimeExtrapolation::FlatVolatility,`
	`3056`	`+ baseVol->volType(),`
`3056`	`3057`	`baseVol->shift()));`
`3057`	`3058`	`}`
`3058`	`3059`	`}`