From d0bd49bf82b540235ee0841bc3457d26b998f125 Mon Sep 17 00:00:00 2001
From: Matt Menefee <matt.menefee@extractablemedia.com>
Date: Thu, 9 Apr 2026 01:21:00 -0600
Subject: [PATCH] Enable extrapolation on SABR swaption vol cube

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.
---
 OREData/ored/marketdata/genericyieldvolcurve.cpp | 1 +
 1 file changed, 1 insertion(+)

diff --git a/OREData/ored/marketdata/genericyieldvolcurve.cpp b/OREData/ored/marketdata/genericyieldvolcurve.cpp
index 15cfe839fc..2d0daf2619 100644
--- a/OREData/ored/marketdata/genericyieldvolcurve.cpp
+++ b/OREData/ored/marketdata/genericyieldvolcurve.cpp
@@ -508,6 +508,7 @@ GenericYieldVolCurve::GenericYieldVolCurve(
                             : QuantLib::ShiftedLognormal,
                         initialModelParameters, config->outputShift(), config->modelShift(), maxCalibrationAttempts,
                         exitEarlyErrorThreshold, maxAcceptableError);
+                    cube->enableExtrapolation();
                 }
 
                 // Wrap it in a SwaptionVolCubeWithATM, disable short-cut for atm vol retrieval