Include time zero / evaluation date in option date interpolation

[pcaspers]

For times before the first option date optionDateFromTime() can return a date < evaluation date. I would suggest to include the evaluation date and t = 0 into the linear interpolation used to do the time to date conversion.

[pcaspers]

Looking a bit closer I notice that for quite a few d we have vol->optionDateFromTime(vol->timeFromReference(d)) != d (independent of this fix here). I won't try to fix that under this ticket, I believe this is not straightforward to achieve in general.

[pcaspers]

@lballabio I'll check the failing test cases with high resolution dates - however I'll wait for your confirmation that we want to do this "intermediate" fix.

[lballabio]

Ouch, this slipped under the radar. I'm ok, I guess? I'd just keep optionDatesAsReal_ too, as you kept optionTimes_. It's in the protected section, so unfortunately it needs backward compatibility.

[pcaspers]

I think the code mixes up the evaluation date from the settings with the reference date from the term structure. I fixed that, but renamed the protected member evaluationDate_ to cachedReferenceDate_. Do you think this is okay? After all, if this member is used in a derived class, the interpretation changes.

[pcaspers]

The 3 new issues in the "Codacy Static Code Analysis" check look like false positives. Can those be added to an ignore-list somewhere?

[lballabio]

This is because it's already done in the base class, right? We still need a notification if the evaluation date changes, don't we?

[pcaspers]

Yes I think it is done in the TermStructure constructor.

[lballabio]

I fixed that, but renamed the protected member evaluationDate_ to cachedReferenceDate_. Do you think this is okay?

I would hope derived classes are not using it. Let's change it, I'll document the possibly breaking change in the release notes. I don't see an easy way to rename it in a backward-compatible way.

[pcaspers]

Sounds good. So we are done here or is there something left to do for me?

[lballabio]

Nope, I'm merging.