IborFallbackConfig Class Reference

#include <ored/configuration/iborfallbackconfig.hpp>

Inheritance diagram for IborFallbackConfig:

Collaboration diagram for IborFallbackConfig:

Classes
struct	FallbackData

Public Member Functions
	IborFallbackConfig ()
	IborFallbackConfig (const bool enableIborFallbacks, const bool useRfrCurveInTodaysMarket, const bool useRfrCurveInSimulationMarket, const std::map< std::string, FallbackData > &fallbacks)
bool	enableIborFallbacks () const
bool	useRfrCurveInTodaysMarket () const
bool	useRfrCurveInSimulationMarket () const
void	addIndexFallbackRule (const string &iborIndex, const FallbackData &fallbackData)
bool	isIndexReplaced (const string &iborIndex, const QuantLib::Date &asof=QuantLib::Date::maxDate()) const
const FallbackData &	fallbackData (const string &iborIndex) const
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override
void	clear ()
void	updateSwitchDate (QuantLib::Date targetSwitchDate, const std::string &indexName="")
void	logSwitchDates ()
Public Member Functions inherited from XMLSerializable
virtual	~XMLSerializable ()
virtual void	fromXML (XMLNode *node)=0
virtual XMLNode *	toXML (XMLDocument &doc) const =0
void	fromFile (const std::string &filename)
void	toFile (const std::string &filename) const
void	fromXMLString (const std::string &xml)
	Parse from XML string. More...
std::string	toXMLString () const
	Parse from XML string. More...

Static Public Member Functions
static IborFallbackConfig	defaultConfig ()

Private Attributes
bool	enableIborFallbacks_
bool	useRfrCurveInTodaysMarket_
bool	useRfrCurveInSimulationMarket_
std::map< std::string, FallbackData >	fallbacks_

Detailed Description

Definition at line 31 of file iborfallbackconfig.hpp.

Constructor & Destructor Documentation

IborFallbackConfig() [1/2]

IborFallbackConfig

(

)

Definition at line 32 of file iborfallbackconfig.cpp.

{ clear(); }

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IborFallbackConfig() [2/2]

IborFallbackConfig	(	const bool	enableIborFallbacks,
		const bool	useRfrCurveInTodaysMarket,
		const bool	useRfrCurveInSimulationMarket,
		const std::map< std::string, FallbackData > &	fallbacks
	)

Definition at line 33 of file iborfallbackconfig.cpp.

    : enableIborFallbacks_(enableIborFallbacks), useRfrCurveInTodaysMarket_(useRfrCurveInTodaysMarket),
      useRfrCurveInSimulationMarket_(useRfrCurveInSimulationMarket), fallbacks_(fallbacks) {}

Member Function Documentation

enableIborFallbacks()

bool enableIborFallbacks

(

)

const

Definition at line 48 of file iborfallbackconfig.cpp.

{ return enableIborFallbacks_; }

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useRfrCurveInTodaysMarket()

bool useRfrCurveInTodaysMarket

(

)

const

Definition at line 46 of file iborfallbackconfig.cpp.

{ return useRfrCurveInTodaysMarket_; }

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useRfrCurveInSimulationMarket()

bool useRfrCurveInSimulationMarket

(

)

const

Definition at line 47 of file iborfallbackconfig.cpp.

{ return useRfrCurveInSimulationMarket_; }

addIndexFallbackRule()

void addIndexFallbackRule	(	const string &	iborIndex,
		const FallbackData &	fallbackData
	)

Definition at line 50 of file iborfallbackconfig.cpp.

                                                                                                       {
    fallbacks_[iborIndex] = fallbackData;
}

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isIndexReplaced()

bool isIndexReplaced	(	const string &	iborIndex,
		const QuantLib::Date &	asof = QuantLib::Date::maxDate()
	)		const

Definition at line 54 of file iborfallbackconfig.cpp.

                                                                                        {
    if (!enableIborFallbacks())
        return false;
    auto i = fallbacks_.find(iborIndex);
    return i != fallbacks_.end() && asof >= i->second.switchDate;
}

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fallbackData()

const IborFallbackConfig::FallbackData & fallbackData

(

const string &

iborIndex

)

const

Definition at line 61 of file iborfallbackconfig.cpp.

                                                                                                    {
    auto i = fallbacks_.find(iborIndex);
    QL_REQUIRE(
        i != fallbacks_.end(),
        "No fallback data found for ibor index '"
            << iborIndex
            << "', client code should check whether an index is replaced with IsIndexReplaced() before querying data.");
    return i->second;
}

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fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 71 of file iborfallbackconfig.cpp.

                                              {
    clear();
    XMLUtils::checkNode(node, "IborFallbackConfig");
    if (auto global = XMLUtils::getChildNode(node, "GlobalSettings")) {
        enableIborFallbacks_ = XMLUtils::getChildValueAsBool(global, "EnableIborFallbacks", true);
        useRfrCurveInTodaysMarket_ = XMLUtils::getChildValueAsBool(global, "UseRfrCurveInTodaysMarket", true);
        useRfrCurveInSimulationMarket_ = XMLUtils::getChildValueAsBool(global, "UseRfrCurveInSimulationMarket", true);
    }
    if (auto fallbacks = XMLUtils::getChildNode(node, "Fallbacks")) {
        for (auto const repl : XMLUtils::getChildrenNodes(fallbacks, "Fallback")) {
            XMLUtils::checkNode(repl, "Fallback");
            string ibor = XMLUtils::getChildValue(repl, "IborIndex", true);
            fallbacks_[ibor].rfrIndex = XMLUtils::getChildValue(repl, "RfrIndex", true);
            fallbacks_[ibor].spread = parseReal(XMLUtils::getChildValue(repl, "Spread", true));
            fallbacks_[ibor].switchDate = parseDate(XMLUtils::getChildValue(repl, "SwitchDate", true));
        }
    }
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 90 of file iborfallbackconfig.cpp.

                                                         {
    XMLNode* node = doc.allocNode("IborFallbackConfig");
    XMLNode* global = XMLUtils::addChild(doc, node, "GlobalSettings");
    XMLUtils::addChild(doc, global, "EnableIborFallbacks", enableIborFallbacks_);
    XMLUtils::addChild(doc, global, "UseRfrCurveInTodaysMarket", useRfrCurveInTodaysMarket_);
    XMLUtils::addChild(doc, global, "UseRfrCurveInSimulationMarket", useRfrCurveInSimulationMarket_);
    XMLNode* repl = XMLUtils::addChild(doc, node, "Fallbacks");
    for (auto const& r : fallbacks_) {
        XMLNode* tmp = XMLUtils::addChild(doc, repl, "Fallback");
        XMLUtils::addChild(doc, tmp, "IborIndex", r.first);
        XMLUtils::addChild(doc, tmp, "RfrIndex", r.second.rfrIndex);
        XMLUtils::addChild(doc, tmp, "Spread", r.second.spread);
        XMLUtils::addChild(doc, tmp, "SwitchDate", ore::data::to_string(r.second.switchDate));
    }
    return node;
}

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clear()

void clear

(

)

Definition at line 39 of file iborfallbackconfig.cpp.

                               {
    enableIborFallbacks_ = true;
    useRfrCurveInTodaysMarket_ = true;
    useRfrCurveInSimulationMarket_ = false;
    fallbacks_.clear();
}

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defaultConfig()

IborFallbackConfig defaultConfig ( )

static

Definition at line 107 of file iborfallbackconfig.cpp.

                                                     {
    // A switch date 1 Jan 2100 indicates that the cessation date is not yet known.
    // Sources:
    // [1] BBG ISDA IBOR Fallback Dashboard (Tenor Effective Date = switchDate, Spread Adjustment Today => spread)
    // [2] https://assets.bbhub.io/professional/sites/10/IBOR-Fallbacks-LIBOR-Cessation_Announcement_20210305.pdf
    // [3] https://www.isda.org/2021/03/05/isda-statement-on-uk-fca-libor-announcement/
    // [4] https://www.fca.org.uk/publication/documents/future-cessation-loss-representativeness-libor-benchmarks.pdf
    // [5] https://www.isda.org/2021/03/29/isda-statement-on-jbata-announcement-on-yen-tibor-and-euroyen-tibor/
    // [6] https://www.isda.org/a/rwNTE/CDOR-tenor-cessation_ISDA-guidance_17.11.2020_PDF.pdf
    static IborFallbackConfig c = {true,
                                   true,
                                   false,
                                   {{"CHF-LIBOR-SN", FallbackData{"CHF-SARON", -0.000551, Date(1, Jan, 2022)}},
                                    {"CHF-LIBOR-1W", FallbackData{"CHF-SARON", -0.000705, Date(1, Jan, 2022)}},
                                    {"CHF-LIBOR-1M", FallbackData{"CHF-SARON", -0.000571, Date(1, Jan, 2022)}},
                                    {"CHF-LIBOR-2M", FallbackData{"CHF-SARON", -0.000231, Date(1, Jan, 2022)}},
                                    {"CHF-LIBOR-3M", FallbackData{"CHF-SARON", 0.000031, Date(1, Jan, 2022)}},
                                    {"CHF-LIBOR-6M", FallbackData{"CHF-SARON", 0.000741, Date(1, Jan, 2022)}},
                                    {"CHF-LIBOR-12M", FallbackData{"CHF-SARON", 0.002048, Date(1, Jan, 2022)}},
                                    {"EUR-EONIA", FallbackData{"EUR-ESTER", 0.00085, Date(1, Jan, 2022)}},
                                    {"EUR-EURIBOR-1W", FallbackData{"EUR-ESTER", 0.000577, Date(1, Jan, 2100)}},
                                    {"EUR-EURIBOR-1M", FallbackData{"EUR-ESTER", 0.000738, Date(1, Jan, 2100)}},
                                    {"EUR-EURIBOR-3M", FallbackData{"EUR-ESTER", 0.001244, Date(1, Jan, 2100)}},
                                    {"EUR-EURIBOR-6M", FallbackData{"EUR-ESTER", 0.001977, Date(1, Jan, 2100)}},
                                    {"EUR-EURIBOR-12M", FallbackData{"EUR-ESTER", 0.002048, Date(1, Jan, 2100)}},
                                    {"EUR-LIBOR-ON", FallbackData{"EUR-ESTER", 0.000017, Date(1, Jan, 2022)}},
                                    {"EUR-LIBOR-1W", FallbackData{"EUR-ESTER", 0.000243, Date(1, Jan, 2022)}},
                                    {"EUR-LIBOR-1M", FallbackData{"EUR-ESTER", 0.000456, Date(1, Jan, 2022)}},
                                    {"EUR-LIBOR-2M", FallbackData{"EUR-ESTER", 0.000753, Date(1, Jan, 2022)}},
                                    {"EUR-LIBOR-3M", FallbackData{"EUR-ESTER", 0.000962, Date(1, Jan, 2022)}},
                                    {"EUR-LIBOR-6M", FallbackData{"EUR-ESTER", 0.001537, Date(1, Jan, 2022)}},
                                    {"EUR-LIBOR-12M", FallbackData{"EUR-ESTER", 0.002993, Date(1, Jan, 2022)}},
                                    {"JPY-TIBOR-1W", FallbackData{"JPY-TONAR", 0.0005564, Date(1, Jan, 2025)}},
                                    {"JPY-TIBOR-1M", FallbackData{"JPY-TONAR", 0.0009608, Date(1, Jan, 2025)}},
                                    {"JPY-TIBOR-3M", FallbackData{"JPY-TONAR", 0.0010989, Date(1, Jan, 2025)}},
                                    {"JPY-TIBOR-6M", FallbackData{"JPY-TONAR", 0.0016413, Date(1, Jan, 2025)}},
                                    {"JPY-TIBOR-12M", FallbackData{"JPY-TONAR", 0.0018181, Date(1, Jan, 2025)}},
                                    {"JPY-EYTIBOR-1W", FallbackData{"JPY-TONAR", 0.0006506, Date(1, Jan, 2025)}},
                                    {"JPY-EYTIBOR-1M", FallbackData{"JPY-TONAR", 0.0013485, Date(1, Jan, 2025)}},
                                    {"JPY-EYTIBOR-3M", FallbackData{"JPY-TONAR", 0.0010252, Date(1, Jan, 2025)}},
                                    {"JPY-EYTIBOR-6M", FallbackData{"JPY-TONAR", 0.0014848, Date(1, Jan, 2025)}},
                                    {"JPY-EYTIBOR-12M", FallbackData{"JPY-TONAR", 0.0018567, Date(1, Jan, 2025)}},
                                    {"JPY-LIBOR-SN", FallbackData{"JPY-TONAR", -0.0001839, Date(1, Jan, 2022)}},
                                    {"JPY-LIBOR-1W", FallbackData{"JPY-TONAR", -0.0001981, Date(1, Jan, 2022)}},
                                    {"JPY-LIBOR-1M", FallbackData{"JPY-TONAR", -0.0002923, Date(1, Jan, 2022)}},
                                    {"JPY-LIBOR-2M", FallbackData{"JPY-TONAR", -0.0000449, Date(1, Jan, 2022)}},
                                    {"JPY-LIBOR-3M", FallbackData{"JPY-TONAR", 0.0000835, Date(1, Jan, 2022)}},
                                    {"JPY-LIBOR-6M", FallbackData{"JPY-TONAR", 0.0005809, Date(1, Jan, 2022)}},
                                    {"JPY-LIBOR-12M", FallbackData{"JPY-TONAR", 0.00166, Date(1, Jan, 2022)}},
                                    {"AUD-BBSW-1M", FallbackData{"AUD-AONIA", 0.001191, Date(1, Jan, 2100)}},
                                    {"AUD-BBSW-2M", FallbackData{"AUD-AONIA", 0.002132, Date(1, Jan, 2100)}},
                                    {"AUD-BBSW-3M", FallbackData{"AUD-AONIA", 0.002623, Date(1, Jan, 2100)}},
                                    {"AUD-BBSW-4M", FallbackData{"AUD-AONIA", 0.003313, Date(1, Jan, 2100)}},
                                    {"AUD-BBSW-5M", FallbackData{"AUD-AONIA", 0.004104, Date(1, Jan, 2100)}},
                                    {"AUD-BBSW-6M", FallbackData{"AUD-AONIA", 0.004845, Date(1, Jan, 2100)}},
                                    {"HKD-HIBOR-ON", FallbackData{"HKD-HONIA", 0.0003219, Date(1, Jan, 2100)}},
                                    {"HKD-HIBOR-1W", FallbackData{"HKD-HONIA", 0.001698, Date(1, Jan, 2100)}},
                                    {"HKD-HIBOR-2W", FallbackData{"HKD-HONIA", 0.002370, Date(1, Jan, 2100)}},
                                    {"HKD-HIBOR-1M", FallbackData{"HKD-HONIA", 0.0039396, Date(1, Jan, 2100)}},
                                    {"HKD-HIBOR-2M", FallbackData{"HKD-HONIA", 0.0056768, Date(1, Jan, 2100)}},
                                    {"HKD-HIBOR-3M", FallbackData{"HKD-HONIA", 0.0072642, Date(1, Jan, 2100)}},
                                    {"HKD-HIBOR-6M", FallbackData{"HKD-HONIA", 0.0093495, Date(1, Jan, 2100)}},
                                    {"HKD-HIBOR-12M", FallbackData{"HKD-HONIA", 0.0121231, Date(1, Jan, 2100)}},
                                    {"CAD-CDOR-1M", FallbackData{"CAD-CORRA", 0.0029547, Date(1, July, 2024)}},
                                    {"CAD-CDOR-2M", FallbackData{"CAD-CORRA", 0.0030190, Date(1, July, 2024)}},
                                    {"CAD-CDOR-3M", FallbackData{"CAD-CORRA", 0.0032138, Date(1, July, 2024)}},
                                    {"CAD-CDOR-6M", FallbackData{"CAD-CORRA", 0.0049375, Date(17, May, 2021)}},
                                    {"CAD-CDOR-12M", FallbackData{"CAD-CORRA", 0.005482, Date(17, May, 2021)}},
                                    {"GBP-LIBOR-ON", FallbackData{"GBP-SONIA", -0.000024, Date(1, Jan, 2022)}},
                                    {"GBP-LIBOR-1W", FallbackData{"GBP-SONIA", 0.000168, Date(1, Jan, 2022)}},
                                    {"GBP-LIBOR-1M", FallbackData{"GBP-SONIA", 0.000326, Date(1, Jan, 2022)}},
                                    {"GBP-LIBOR-2M", FallbackData{"GBP-SONIA", 0.000633, Date(1, Jan, 2022)}},
                                    {"GBP-LIBOR-3M", FallbackData{"GBP-SONIA", 0.001193, Date(1, Jan, 2022)}},
                                    {"GBP-LIBOR-6M", FallbackData{"GBP-SONIA", 0.002766, Date(1, Jan, 2022)}},
                                    {"GBP-LIBOR-12M", FallbackData{"GBP-SONIA", 0.004644, Date(1, Jan, 2022)}},
                                    {"USD-LIBOR-ON", FallbackData{"USD-SOFR", 0.0000644, Date(1, Jul, 2023)}},
                                    {"USD-LIBOR-1W", FallbackData{"USD-SOFR", 0.0003839, Date(1, Jan, 2023)}},
                                    {"USD-LIBOR-1M", FallbackData{"USD-SOFR", 0.0011448, Date(1, Jul, 2023)}},
                                    {"USD-LIBOR-2M", FallbackData{"USD-SOFR", 0.0018456, Date(1, Jan, 2023)}},
                                    {"USD-LIBOR-3M", FallbackData{"USD-SOFR", 0.0026161, Date(1, Jul, 2023)}},
                                    {"USD-LIBOR-6M", FallbackData{"USD-SOFR", 0.0042826, Date(1, Jul, 2023)}},
                                    {"USD-LIBOR-12M", FallbackData{"USD-SOFR", 0.0071513, Date(1, Jul, 2023)}},
                                    {"TRY-TRLIBOR-1M", FallbackData{"TRY-TLREF", 0.0100, Date(1, July, 2022)}},
                                    {"TRY-TRLIBOR-3M", FallbackData{"TRY-TLREF", 0.0093, Date(1, July, 2022)}},
                                    {"TRY-TRLIBOR-6M", FallbackData{"TRY-TLREF", 0.0058, Date(1, July, 2022)}}}};
    return c;
}

updateSwitchDate()

void updateSwitchDate	(	QuantLib::Date	targetSwitchDate,
		const std::string &	indexName = ""
	)

Update switch dates in the configuration to the targetSwitchDate

• either for the selected IBOR index only, or for all of them if indexName is left blank
• and skipping those where the current switch date is earlier than the target switch date This is to facilitate testing without loading a custom fallback configuration.

Definition at line 195 of file iborfallbackconfig.cpp.

                                                                                                   {
    for (std::map<std::string, FallbackData>::iterator f = fallbacks_.begin(); f != fallbacks_.end(); f++) {
        if ((f->first == indexName || indexName == "") && // selected index or all of them if indexName is left blank
            f->second.switchDate > targetSwitchDate)  {   // skipping IBORs with switch dates before the target switch date
            StructuredConfigurationWarningMessage("IborFallbackConfig", f->first, "",
                                                  "Updating switch date from " + to_string(f->second.switchDate) +
                                                      " to " + to_string(targetSwitchDate))
                .log();
            f->second.switchDate = targetSwitchDate;
        }
    }
}

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logSwitchDates()

void logSwitchDates

(

)

Definition at line 208 of file iborfallbackconfig.cpp.

                                        {
    for (auto f : fallbacks_) {
        DLOG("IBOR index " << f.first << " has fallback switch date " << to_string(f.second.switchDate));
    }
}

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Member Data Documentation

enableIborFallbacks_

bool enableIborFallbacks_

private

Definition at line 66 of file iborfallbackconfig.hpp.

useRfrCurveInTodaysMarket_

bool useRfrCurveInTodaysMarket_

private

Definition at line 67 of file iborfallbackconfig.hpp.

useRfrCurveInSimulationMarket_

bool useRfrCurveInSimulationMarket_

private

Definition at line 68 of file iborfallbackconfig.hpp.

fallbacks_

std::map<std::string, FallbackData> fallbacks_

private

Definition at line 69 of file iborfallbackconfig.hpp.