Enable extrapolation on SABR swaption vol cube#338
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mattmenefee wants to merge 13 commits intoOpenSourceRisk:masterfrom
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Enable extrapolation on SABR swaption vol cube#338mattmenefee wants to merge 13 commits intoOpenSourceRisk:masterfrom
mattmenefee wants to merge 13 commits intoOpenSourceRisk:masterfrom
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merge master changes for libboost systems fix See merge request qs/ore!126
Merge v1.8.14.0 into 'master' Closes QPR-13622, QPR-13650, QPR-13598, QPR-13645, QPR-12983, QPR-13593, QPR-13632, QPR-13533, QPR-13630, QPR-13046, QPR-13619, QPR-12585, QPR-13605, QPR-13578, QPR-13127, QPR-13592, QPR-13375, QPR-13576, QPR-13473, QPR-13596, QPR-13415, QPR-9432, QPR-13185, QPR-13500, QPR-13585, QPR-12601, QPR-13579, QPR-13577, QPR-13570, QPR-13569, QPR-12106, QPR-13567, QPR-13526, QPR-12228, QPR-13557, QPR-13571, QPR-13498, QPR-13548, QPR-13478, QPR-13562, QPR-13564, QPR-12948, QPR-13529, QPR-12059, QPR-13545, QPR-13550, QPR-13547, QPR-13440, QPR-13353, QPR-13409, QPR-13525, QPR-13481, QPR-13502, QPR-13429, QPR-13517, QPR-12753, QPR-13400, QPR-13518, QPR-13510, QPR-13515, QPR-13093, QPR-13520, QPR-13476, QPR-13516, QPR-13486, QPR-13501, QPR-13487, QPR-13220, QPR-13399, QPR-13470, QPR-13484, QPR-12537, QPR-13485, QPR-12984, QPR-13456, QPR-13436, QPR-13219, QPR-13462, QPR-13395, QPR-13459, QPR-13091, QPR-13442, QPR-13113, QPR-13297, QPR-13416, QPR-12143, QPR-13428, QPR-13452, QPR-13435, QPR-13389, QPR-13404, QPR-13406, QPR-13418, QPR-13393, QPR-13354, QPR-13408, QPR-13410, QPR-13304, QPR-13402, QPR-13255, QPR-13254, QPR-13319, QPR-13370, QPR-13390, QPR-13307, QPR-13387, and QPR-13384 See merge request qs/ore-github!68
v1.8.14.1 into github Closes QPR-13714, QPR-13626, QPR-13657, QPR-13725, QPR-13744, QPR-13698, QPR-13745, QPR-12587, QPR-13699, QPR-13735, QPR-13711, QPR-13736, QPR-13728, QPR-13738, QPR-13651, QPR-13658, QPR-13668, QPR-13726, QPR-13337, QPR-13702, QPR-13659, QPR-13664, QPR-13666, QPR-12959, QPR-11556, QPR-13706, QPR-12825, QPR-13090, QPR-13614, QPR-13682, QPR-13298, QPR-13700, QPR-13691, QPR-13646, QPR-13486, QPR-13478, QPR-12830, QPR-13696, QPR-13697, QPR-13600, QPR-13674, QPR-13507, QPR-13085, QPR-13661, QPR-13662, QPR-13609, QPR-13466, QPR-10041, QPR-13667, QPR-13671, QPR-13665, QPR-13555, QPR-13625, QPR-13637, QPR-13660, QPR-13654, QPR-13622, QPR-13650, QPR-13598, QPR-13645, QPR-13611, QPR-12983, QPR-13593, QPR-13632, QPR-13533, QPR-13630, QPR-13046, QPR-13619, QPR-12585, QPR-13623, QPR-13624, QPR-13595, QPR-13605, QPR-13578, QPR-13127, QPR-13546, QPR-13592, QPR-13375, QPR-13576, QPR-13473, QPR-13596, QPR-13415, QPR-13602, QPR-9432, QPR-13500, QPR-13536, QPR-13585, QPR-13530, QPR-12601, QPR-13579, QPR-13577, QPR-13570, QPR-13544, QPR-13569, QPR-12106, QPR-13567, QPR-13526, QPR-12228, QPR-13557, QPR-13571, QPR-13440, QPR-13498, QPR-13548, QPR-13561, QPR-13562, QPR-13564, QPR-12948, QPR-13499, QPR-13529, QPR-12059, QPR-13545, QPR-13550, QPR-13353, QPR-13409, QPR-13528, QPR-13525, QPR-13481, QPR-13502, QPR-13524, QPR-13219, QPR-13429, QPR-13517, QPR-12753, QPR-13349, QPR-13400, QPR-13518, QPR-13510, QPR-12657, QPR-13167, QPR-13515, QPR-13093, QPR-13520, QPR-13476, QPR-13475, QPR-13516, QPR-13501, QPR-13513, QPR-13220, QPR-13487, QPR-13399, QPR-13470, QPR-13484, QPR-12537, QPR-13485, QPR-12984, QPR-11122, QPR-13456, QPR-13403, QPR-13436, QPR-13462, QPR-13395, QPR-13459, QPR-13472, QPR-13425, QPR-13458, QPR-13465, QPR-13091, QPR-13401, QPR-13442, QPR-13113, QPR-12369, QPR-13297, QPR-13416, QPR-12143, QPR-13428, QPR-13302, QPR-13445, QPR-13431, QPR-13414, QPR-13435, QPR-13439, QPR-13389, QPR-13404, QPR-13396, QPR-13419, QPR-13406, QPR-13418, QPR-13405, QPR-13393, QPR-13354, QPR-13397, QPR-13408, QPR-13410, QPR-13304, QPR-13402, QPR-13255, QPR-13254, QPR-13351, QPR-13319, QPR-13370, QPR-13390, QPR-13307, QPR-13387, QPR-13384, QPR-13352, QPR-11853, QPR-13367, QPR-13360, QPR-13332, QPR-13377, QPR-13378, QPR-13371, QPR-13369, QPR-12824, QPR-13366, QPR-13347, QPR-13355, QPR-13287, QPR-12758, QPR-13340, QPR-12637, QPR-13094, QPR-13336, QPR-12893, QPR-13324, QPR-13342, QPR-13316, QPR-13211, QPR-13331, QPR-13320, QPR-13283, QPR-13326, QPR-13279, QPR-13218, QPR-13322, QPR-13115, QPR-13303, QPR-13296, QPR-13315, QPR-13311, QPR-12468, QPR-13240, QPR-13210, QPR-13309, QPR-13308, QPR-13284, QPR-13207, QPR-13237, QPR-13282, QPR-13213, QPR-13230, QPR-12995, QPR-13226, QPR-13251, QPR-13088, QPR-13277, QPR-12562, QPR-13125, QPR-13171, QPR-13247, QPR-13174, QPR-13092, QPR-13199, QPR-13157, QPR-13201, QPR-13242, QPR-13227, QPR-13099, QPR-13234, QPR-12867, QPR-13189, QPR-13231, QPR-11539, QPR-13203, QPR-12551, QPR-13212, QPR-12978, QPR-13215, QPR-12602, QPR-13205, QPR-13204, QPR-13195, QPR-13209, QPR-13202, QPR-13192, QPR-13193, QPR-13187, QPR-12345, QPR-13200, QPR-13141, QPR-13191, QPR-13162, QPR-13183, QPR-12539, QPR-13173, QPR-13181, QPR-13176, QPR-13178, QPR-13117, QPR-12403, QPR-11660, QPR-13165, QPR-13153, QPR-13175, QPR-13105, QPR-13160, QPR-13156, QPR-12367, QPR-12827, QPR-13068, QPR-13152, QPR-13161, QPR-13154, QPR-13031, QPR-13140, QPR-13135, QPR-13124, QPR-13142, QPR-13130, QPR-13139, QPR-13083, QPR-13022, QPR-12919, QPR-12985, QPR-13086, QPR-13128, QPR-13034, QPR-13122, QPR-13126, QPR-13123, QPR-12894, QPR-12913, QPR-13120, QPR-13010, QPR-13110, QPR-9916, QPR-13111, QPR-13119, QPR-13058, QPR-13112, QPR-13118, QPR-13100, QPR-13116, QPR-13069, QPR-13107, QPR-13114, QPR-13096, QPR-13104, QPR-13106, QPR-13045, QPR-13098, QPR-13095, QPR-13103, QPR-13089, QPR-13033, QPR-13076, QPR-13061, QPR-13072, QPR-13084, QPR-13081, QPR-13078, QPR-13070, QPR-13059, QPR-13071, QPR-13073, QPR-13067, QPR-13052, QPR-12826, QPR-12625, QPR-13038, QPR-13065, QPR-13060, QPR-12960, QPR-10742, QPR-11751, QPR-13055, QPR-12980, QPR-13035, QPR-13020, QPR-12999, QPR-13021, QPR-13014, QPR-12694, QPR-13011, QPR-13004, QPR-12955, QPR-12907, QPR-12981, QPR-12997, QPR-13000, QPR-12982, QPR-12862, QPR-12998, QPR-12993, QPR-12962, QPR-12974, QPR-12957, QPR-12970, QPR-12977, QPR-12327, QPR-11459, QPR-12868, QPR-12929, QPR-12965, QPR-12953, QPR-12952, QPR-12947, QPR-12939, QPR-12945, QPR-12918, QPR-12933, QPR-12938, QPR-12752, QPR-12935, QPR-12821, QPR-12946, QPR-12944, QPR-12915, QPR-12662, QPR-12839, QPR-12858, QPR-12343, QPR-12835, QPR-12902, QPR-12912, QPR-12910, QPR-12888, QPR-12911, QPR-12755, QPR-12904, QPR-12847, QPR-12860, QPR-12909, QPR-12908, QPR-12905, QPR-12900, QPR-12552, QPR-12877, QPR-12865, QPR-12841, QPR-12769, QPR-12883, QPR-12706, QPR-12849, QPR-12852, QPR-12834, QPR-12863, QPR-12853, QPR-12687, QPR-12854, QPR-12799, QPR-12851, QPR-12819, QPR-12533, QPR-12844, QPR-12848, QPR-12801, QPR-12814, QPR-12788, QPR-12822, QPR-12672, QPR-12833, QPR-12823, QPR-12358, QPR-12668, QPR-12708, QPR-12748, QPR-12772, QPR-12658, QPR-12818, QPR-12817, QPR-12511, QPR-12608, QPR-12812, QPR-12811, QPR-12524, QPR-12802, QPR-12781, QPR-12792, QPR-12643, QPR-12791, QPR-12780, QPR-12793, QPR-12725, QPR-12764, QPR-12782, QPR-12762, QPR-12391, QPR-12774, QPR-12741, QPR-12719, QPR-12775, QPR-12431, QPR-12290, QPR-12666, QPR-12308, QPR-12104, QPR-12770, QPR-12768, QPR-12650, QPR-12624, QPR-12639, QPR-12678, QPR-12730, QPR-12731, QPR-12613, QPR-12737, QPR-12746, QPR-12756, QPR-12712, QPR-12722, QPR-12581, QPR-12716, QPR-12742, QPR-12729, QPR-12720, QPR-12686, QPR-12726, QPR-12707, QPR-12703, QPR-12699, QPR-12154, QPR-11578, QPR-12698, QPR-12646, QPR-12691, QPR-12683, QPR-12680, QPR-12676, QPR-12674, QPR-12656, QPR-12634, QPR-12212, QPR-12665, QPR-12443, QPR-12506, QPR-12481, QPR-12579, QPR-12652, QPR-12629, QPR-12568, QPR-12661, QPR-12633, QPR-12660, QPR-12622, QPR-12645, QPR-12638, QPR-12640, QPR-12631, QPR-12518, QPR-12480, QPR-12394, QPR-12073, QPR-12507, QPR-12610, QPR-12617, QPR-12242, QPR-11787, QPR-12620, QPR-12586, QPR-12609, QPR-12599, QPR-12550, QPR-12592, QPR-12517, QPR-12573, QPR-12593, QPR-12519, QPR-12590, QPR-12570, QPR-12520, QPR-12487, QPR-12456, QPR-12376, QPR-12526, QPR-12398, QPR-12493, QPR-12498, QPR-12482, QPR-12449, QPR-12386, QPR-12433, QPR-12419, QPR-12424, QPR-12414, QPR-12137, QPR-12302, QPR-12275, QPR-12349, QPR-12192, QPR-12337, QPR-12316, QPR-9859, QPR-11618, QPR-12297, QPR-12253, QPR-12281, QPR-12014, QPR-12028, QPR-12144, QPR-12201, QPR-12108, QPR-12156, QPR-12135, QPR-12027, QPR-11670, QPR-11732, QPR-11148, QPR-9728, QPR-10762, QPR-10702, QPR-11078, QPR-11060, QPR-11014, QPR-11037, QPR-10997, QPR-11047, QPR-11033, QPR-10523, QPR-11011, QPR-10930, QPR-10943, QPR-10928, QPR-9765, and QPR-10710 See merge request qs/ore-github!72
ore 1.8.15.0 Closes QPR-13138, QPR-13657, QPR-12587, QPR-13720, QPR-13799, QPR-13719, QPR-13789, QPR-13802, QPR-13776, QPR-13803, QPR-13768, QPR-13801, QPR-13793, QPR-13648, QPR-13656, QPR-13790, QPR-13786, QPR-13777, QPR-13312, QPR-13774, QPR-13781, QPR-13766, QPR-11988, QPR-13765, QPR-13726, QPR-13767, QPR-13703, QPR-11989, QPR-12830, QPR-13714, and QPR-13626 See merge request qs/ore-github!74
update submodule See merge request qs/ore-github!76
update the quantlib swig submodule See merge request qs/ore-github!77
QPR-13657 missing inline See merge request qs/ore-github!78
The SABR-calibrated swaption volatility cube was not marked as extrapolation-enabled, causing QuantLib to throw when pricing instruments with tenors or strikes outside the interpolated grid. Call enableExtrapolation() on the cube immediately after SABR calibration so that vol queries beyond the grid boundaries use the calibrated model's natural extrapolation rather than failing.
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Summary
enableExtrapolation()on the SABR-calibrated swaption vol cube after construction, matching the behavior already present on the Linear interpolation pathTest plan