Enable extrapolation on SABR swaption vol cube#338
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mattmenefee wants to merge 1 commit intoOpenSourceRisk:masterfrom
Open
Enable extrapolation on SABR swaption vol cube#338mattmenefee wants to merge 1 commit intoOpenSourceRisk:masterfrom
mattmenefee wants to merge 1 commit intoOpenSourceRisk:masterfrom
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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