iborfallbackconfig.cpp

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/*
 Copyright (C) 2021 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
#include <ored/configuration/iborfallbackconfig.hpp>
#include <ored/portfolio/structuredconfigurationwarning.hpp>
#include <ored/utilities/log.hpp>
#include <ored/utilities/parsers.hpp>
#include <ored/utilities/to_string.hpp>
 
#include <ql/time/date.hpp>
 
namespace ore {
namespace data {
 
using namespace QuantLib;
 
IborFallbackConfig::IborFallbackConfig() { clear(); }
IborFallbackConfig::IborFallbackConfig(const bool enableIborFallbacks, const bool useRfrCurveInTodaysMarket,
                                       const bool useRfrCurveInSimulationMarket,
                                       const std::map<std::string, FallbackData>& fallbacks)
    : enableIborFallbacks_(enableIborFallbacks), useRfrCurveInTodaysMarket_(useRfrCurveInTodaysMarket),
      useRfrCurveInSimulationMarket_(useRfrCurveInSimulationMarket), fallbacks_(fallbacks) {}
 
void IborFallbackConfig::clear() {
    enableIborFallbacks_ = true;
    useRfrCurveInTodaysMarket_ = true;
    useRfrCurveInSimulationMarket_ = false;
    fallbacks_.clear();
}
 
bool IborFallbackConfig::useRfrCurveInTodaysMarket() const { return useRfrCurveInTodaysMarket_; }
bool IborFallbackConfig::useRfrCurveInSimulationMarket() const { return useRfrCurveInSimulationMarket_; }
bool IborFallbackConfig::enableIborFallbacks() const { return enableIborFallbacks_; }
 
void IborFallbackConfig::addIndexFallbackRule(const string& iborIndex, const FallbackData& fallbackData) {
    fallbacks_[iborIndex] = fallbackData;
}
 
bool IborFallbackConfig::isIndexReplaced(const string& iborIndex, const Date& asof) const {
    if (!enableIborFallbacks())
        return false;
    auto i = fallbacks_.find(iborIndex);
    return i != fallbacks_.end() && asof >= i->second.switchDate;
}
 
const IborFallbackConfig::FallbackData& IborFallbackConfig::fallbackData(const string& iborIndex) const {
    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;
}
 
void IborFallbackConfig::fromXML(XMLNode* node) {
    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));
        }
    }
}
 
XMLNode* IborFallbackConfig::toXML(XMLDocument& doc) const {
    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;
}
 
IborFallbackConfig IborFallbackConfig::defaultConfig() {
    // 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;
}
 
void IborFallbackConfig::updateSwitchDate(QuantLib::Date targetSwitchDate, const std::string& indexName) {
    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;
        }
    }
}
 
void IborFallbackConfig::logSwitchDates() {
    for (auto f : fallbacks_) {
        DLOG("IBOR index " << f.first << " has fallback switch date " << to_string(f.second.switchDate));
    }
}
 
} // namespace data
} // namespace ore