GH-1791 add clarifying comment and unit test to confirm result caching (

#1850)
lballabio · Dec 13, 2023 · edac898 · edac898
2 parents 591e3d7 + 279b4d7
commit edac898
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Showing 2 changed files with 30 additions and 3 deletions.
diff --git a/ql/pricingengines/swaption/blackswaptionengine.hpp b/ql/pricingengines/swaption/blackswaptionengine.hpp
@@ -223,9 +223,10 @@ namespace QuantLib {
 
         Date exerciseDate = arguments_.exercise->date(0);
 
-        // the part of the swap preceding exerciseDate should be truncated
-        // to avoid taking into account unwanted cashflows
-        // for the moment we add a check avoiding this situation
+        // The part of the swap preceding exerciseDate should be truncated to avoid taking into
+        // account unwanted cashflows. For the moment we add a check avoiding this situation.
+        // Furthermore, we take a copy of the underlying swap. This avoids notifying the swaption
+        // when we set a pricing engine on the swap below.
         VanillaSwap swap = *arguments_.swap;
         const Leg& fixedLeg = swap.fixedLeg();
         ext::shared_ptr<FixedRateCoupon> firstCoupon =

diff --git a/test-suite/swaption.cpp b/test-suite/swaption.cpp
@@ -121,6 +121,32 @@ BOOST_FIXTURE_TEST_SUITE(QuantLibTest, TopLevelFixture)
 
 BOOST_AUTO_TEST_SUITE(SwaptionTest)
 
+BOOST_AUTO_TEST_CASE(testBlackEngineCaching) {
+
+    BOOST_TEST_MESSAGE("Testing swaption result caching in Black engine...");
+
+    using namespace swaption_test;
+
+    CommonVars vars;
+
+    Date exerciseDate = vars.calendar.advance(vars.today, 1 * Years);
+    Date startDate = vars.calendar.advance(exerciseDate, vars.settlementDays, Days);
+
+    ext::shared_ptr<VanillaSwap> swap = MakeVanillaSwap(1 * Years, vars.index, 0.03)
+                                            .withEffectiveDate(startDate)
+                                            .withFixedLegTenor(1 * Years)
+                                            .withFixedLegDayCount(vars.fixedDayCount)
+                                            .withFloatingLegSpread(0.0)
+                                            .withType(Swap::Payer);
+    ext::shared_ptr<Swaption> swaption = vars.makeSwaption(swap, exerciseDate, 0.12);
+
+    BOOST_CHECK(!swaption->isCalculated());
+
+    swaption->NPV();
+
+    BOOST_CHECK(swaption->isCalculated());
+}
+
 BOOST_AUTO_TEST_CASE(testStrikeDependency) {
 
     BOOST_TEST_MESSAGE("Testing swaption dependency on strike...");