QPR-13359 avoid invalid fixing date

pcaspers · pcaspers · commit ae55ce8e2fed · 2025-06-12T18:41:24.000+02:00
diff --git a/ql/termstructures/volatility/swaption/swaptionvolcube.cpp b/ql/termstructures/volatility/swaption/swaptionvolcube.cpp
@@ -89,9 +89,11 @@ namespace QuantLib {
     Rate SwaptionVolatilityCube::atmStrike(const Date& optionD,
                                            const Period& swapTenor) const {
         if (swapTenor > shortSwapIndexBase_->tenor()) {
-            return swapIndexBase_->clone(swapTenor)->fixing(optionD);
+            return swapIndexBase_->clone(swapTenor)->fixing(
+                swapIndexBase_->fixingCalendar().adjust(optionD));
         } else {
-            return shortSwapIndexBase_->clone(swapTenor)->fixing(optionD);
+            return shortSwapIndexBase_->clone(swapTenor)->fixing(
+                swapIndexBase_->fixingCalendar().adjust(optionD));
         }
     }
 

Original file line number	Diff line number	Diff line change
`@@ -89,9 +89,11 @@ namespace QuantLib {`
`89`	`89`	`Rate SwaptionVolatilityCube::atmStrike(const Date& optionD,`
`90`	`90`	`const Period& swapTenor) const {`
`91`	`91`	`if (swapTenor > shortSwapIndexBase_->tenor()) {`
`92`		`- return swapIndexBase_->clone(swapTenor)->fixing(optionD);`
	`92`	`+ return swapIndexBase_->clone(swapTenor)->fixing(`
	`93`	`+ swapIndexBase_->fixingCalendar().adjust(optionD));`
`93`	`94`	`} else {`
`94`		`- return shortSwapIndexBase_->clone(swapTenor)->fixing(optionD);`
	`95`	`+ return shortSwapIndexBase_->clone(swapTenor)->fixing(`
	`96`	`+ swapIndexBase_->fixingCalendar().adjust(optionD));`
`95`	`97`	`}`
`96`	`98`	`}`
`97`	`99`