Restore backward compatibility (#1939)

lballabio · Apr 2, 2024 · 0e68922 · 0e68922
2 parents 2f384b1 + c71e253
commit 0e68922
Show file tree

Hide file tree

Showing 8 changed files with 34 additions and 11 deletions.
diff --git a/Examples/Gaussian1dModels/Gaussian1dModels.cpp b/Examples/Gaussian1dModels/Gaussian1dModels.cpp
@@ -64,10 +64,10 @@ void printBasket(
                  "==================" << std::endl;
     for (const auto& j : basket) {
         auto helper = ext::dynamic_pointer_cast<SwaptionHelper>(j);
-        Date endDate = helper->underlyingSwap()->fixedSchedule().dates().back();
-        Real nominal = helper->underlyingSwap()->nominal();
+        Date endDate = helper->underlying()->fixedSchedule().dates().back();
+        Real nominal = helper->underlying()->nominal();
         Real vol = helper->volatility()->value();
-        Real rate = helper->underlyingSwap()->fixedRate();
+        Real rate = helper->underlying()->fixedRate();
         Date expiry = helper->swaption()->exercise()->date(0);
         Swap::Type type = helper->swaption()->type();
         std::ostringstream expiryString, endDateString;

diff --git a/ql/experimental/basismodels/swaptioncfs.cpp b/ql/experimental/basismodels/swaptioncfs.cpp
@@ -119,7 +119,7 @@ namespace QuantLib {
     SwaptionCashFlows::SwaptionCashFlows(const ext::shared_ptr<Swaption>& swaption,
                                          const Handle<YieldTermStructure>& discountCurve,
                                          bool contTenorSpread)
-    : SwapCashFlows(swaption->underlyingSwap(), discountCurve, contTenorSpread),
+    : SwapCashFlows(swaption->underlying(), discountCurve, contTenorSpread),
       swaption_(swaption) {
         // assemble raw cash flow data...
         Actual365Fixed dc;

diff --git a/ql/instruments/nonstandardswaption.cpp b/ql/instruments/nonstandardswaption.cpp
@@ -27,7 +27,7 @@ namespace QuantLib {
         : Option(ext::shared_ptr<Payoff>(),
                  const_cast<Swaption &>(fromSwaption).exercise()),
           swap_(ext::make_shared<NonstandardSwap>(
-              *fromSwaption.underlyingSwap())),
+              *fromSwaption.underlying())),
           settlementType_(fromSwaption.settlementType()),
           settlementMethod_(fromSwaption.settlementMethod()) {
 

diff --git a/ql/instruments/swaption.cpp b/ql/instruments/swaption.cpp
@@ -146,6 +146,8 @@ namespace QuantLib {
         // wouldn't recalculate.  To avoid this, we override the
         // default behavior of the underlying swap.
         swap_->alwaysForwardNotifications();
+
+        vanilla_ = ext::dynamic_pointer_cast<VanillaSwap>(swap_);
     }
 
     void Swaption::deepUpdate() {

diff --git a/ql/instruments/swaption.hpp b/ql/instruments/swaption.hpp
@@ -31,6 +31,7 @@
 
 #include <ql/option.hpp>
 #include <ql/instruments/fixedvsfloatingswap.hpp>
+#include <ql/instruments/vanillaswap.hpp>
 #include <ql/termstructures/yieldtermstructure.hpp>
 #include <ql/termstructures/volatility/volatilitytype.hpp>
 
@@ -108,9 +109,17 @@ namespace QuantLib {
             return settlementMethod_;
         }
         Swap::Type type() const { return swap_->type(); }
-        const ext::shared_ptr<FixedVsFloatingSwap>& underlyingSwap() const {
+        const ext::shared_ptr<FixedVsFloatingSwap>& underlying() const {
             return swap_;
         }
+        /*! \deprecated Use the Swaption::underlying method instead.
+                        Deprecated in version 1.34.
+        */
+        [[deprecated("Use the Swaption::underlying method instead")]]
+        const ext::shared_ptr<VanillaSwap>& underlyingSwap() const {
+            QL_REQUIRE(vanilla_, "underlying is not a vanilla swap");
+            return vanilla_;
+        }
         //@}
         //! implied volatility
         Volatility impliedVolatility(
@@ -129,6 +138,8 @@ namespace QuantLib {
         //Handle<YieldTermStructure> termStructure_;
         Settlement::Type settlementType_;
         Settlement::Method settlementMethod_;
+        // until we remove underlyingSwap();
+        ext::shared_ptr<VanillaSwap> vanilla_;
     };
 
     //! %Arguments for swaption calculation

diff --git a/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp b/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp
@@ -93,10 +93,20 @@ namespace QuantLib {
         Real modelValue() const override;
         Real blackPrice(Volatility volatility) const override;
 
-        ext::shared_ptr<FixedVsFloatingSwap> underlyingSwap() const {
+        const ext::shared_ptr<FixedVsFloatingSwap>& underlying() const {
             calculate();
             return swap_;
         }
+        /*! \deprecated Use the SwaptionHelper::underlying method instead.
+                        Deprecated in version 1.34.
+        */
+        [[deprecated("Use the SwaptionHelper::underlying method instead")]]
+        ext::shared_ptr<VanillaSwap> underlyingSwap() const {
+            calculate();
+            auto vanilla = ext::dynamic_pointer_cast<VanillaSwap>(swap_);
+            QL_REQUIRE(vanilla, "underlying is not a vanilla swap");
+            return vanilla;
+        }
         ext::shared_ptr<Swaption> swaption() const { calculate(); return swaption_; }
 
       private:

diff --git a/test-suite/swaption.cpp b/test-suite/swaption.cpp
@@ -510,7 +510,7 @@ BOOST_AUTO_TEST_CASE(testVega) {
                                            << "\n  strike:          " << io::rate(strike)
                                            << "\n  settlement:      " << types[h]
                                            << "\n  nominal:         "
-                                           << swaption->underlyingSwap()->nominal()
+                                           << swaption->underlying()->nominal()
                                            << "\n  npv:             " << swaptionNPV
                                            << "\n  calculated vega: " << analyticalVegaPerPoint
                                            << "\n  expected vega:   " << numericalVegaPerPoint
@@ -1107,7 +1107,7 @@ void checkSwaptionDelta(bool useBachelierVol)
                                 << "\n  swap tenor:       " << length << "\n  strike:           "
                                 << strike << "\n  settlement:       " << types[h]
                                 << "\n  method:           " << methods[h]
-                                << "\n  nominal:          " << swaption->underlyingSwap()->nominal()
+                                << "\n  nominal:          " << swaption->underlying()->nominal()
                                 << "\n  npv:              " << value << "\n  calculated delta: "
                                 << delta << "\n  expected delta:   " << approxDelta);
                     }

diff --git a/test-suite/swaptionvolatilitymatrix.cpp b/test-suite/swaptionvolatilitymatrix.cpp
@@ -210,8 +210,8 @@ struct CommonVars {
                                "\nactual option date: " << exerciseDate <<
                                "\n  exp. option date: " << vol->optionDates()[i]);
 
-                Date start = swaption.underlyingSwap()->startDate();
-                Date end = swaption.underlyingSwap()->maturityDate();
+                Date start = swaption.underlying()->startDate();
+                Date end = swaption.underlying()->maturityDate();
                 Time swapLength2 = vol->swapLength(start, end);
                 if (!close(swapLength2,swapLength))
                     BOOST_FAIL("\nswapLength failure for " <<