unsafe upcasting (not via pointer or reference) in SwaptionVolatilityMatrix

[Yan Kuang]

Hi All,

Upcasting is safe via pointer or reference, however, I have found in swaptionvolmatrix.hpp/ cpp:

In hpp, declared:

Interpolation2D interpolation_;

In cpp:

interpolation_ =
            BilinearInterpolation(swapLengths_.begin(), swapLengths_.end(),
                                  optionTimes_.begin(), optionTimes_.end(),
                                  volatilities_);

I think this is not safe, should change to:

In hpp, declaration:
boost::shared_ptr<Interpolation2D> interpolation_;

In cpp:
interpolation_ = shared_ptr<Interpolation2D> (new BilinearInterpolation(swapLengths_.begin(), swapLengths_.end(),
                                  optionTimes_.begin(), optionTimes_.end(),
                                  volatilities_));


Please convince me if my concern is not a problem.

Cheers,
Yan
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[Luigi Ballabio]

On Mon, 2009-09-21 at 15:21 +1000, Yan Kuang wrote:

> Upcasting is safe via pointer or reference, however, I have found in
> swaptionvolmatrix.hpp/ cpp:
>
> In hpp, declared:
>
> Interpolation2D interpolation_;
>
> In cpp:
>
> interpolation_ =
>     BilinearInterpolation(swapLengths_.begin(), swapLengths_.end(),
>                           optionTimes_.begin(), optionTimes_.end(),
>                           volatilities_);
>
> I think this is not safe.

It's true that during the copy, the object is sliced.  However, that is
not a problem. The Interpolation2D object is not polymorphic.  What
provides the polymorphic behavior is the contained Impl class, which is
safely stored in a shared_ptr.  The result of the copy is an
interpolation object that has lost memory of its original type, but
still works correctly by delegating behavior to its contained Impl.

Luigi


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