Support for OptionletAtm in CapFloorVolatility Configuration

[xiangwang456]

Hi,

We encountered an issue when trying to build a CapFloorVolatility object with Type::OptionletAtm in version v1.8.12.2. It seems that OptionletAtm quotes are not being populated.

In the file OREData/ored/configuration/capfloorvolcurveconfig.cpp at line 368, the populateQuotes() function only checks for Type::TermAtm and Type::TermSurfaceWithAtm but does not include Type::OptionletAtm. This appears to prevent the use of OptionletAtm in our configuration.

Code snippet:

populateQuotes() {
    ...
    // ATM quotes. So, ATM flag is true i.e. 1 and RELATIVE flag is true with strike set to 0.
    if (type_ == Type::TermAtm || type_ == Type::TermSurfaceWithAtm) {
        for (const string& t : atmTenors_) {
            quotes_.push_back(stem + t + "/" + tenor + "/1/1/0");
        }
    ...
}

Proposed Solution:

Adding Type::OptionletAtm to the conditional statement might resolve this issue:

populateQuotes() {
    ...
    // ATM quotes. So, ATM flag is true i.e. 1 and RELATIVE flag is true with strike set to 0.
    if (type_ == Type::TermAtm || type_ == Type::TermSurfaceWithAtm || type_ == Type::OptionletAtm) {
        for (const string& t : atmTenors_) {
            quotes_.push_back(stem + t + "/" + tenor + "/1/1/0");
        }
    ...
}

Could you confirm if this change would be acceptable or if there's an alternative approach?

Thank you!