iborfallbackconfig.hpp

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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.
*/
 
/*! \file ored/configuration/iborfallbackconfig.hpp
    \brief ibor fallback configuration
    \ingroup utilities
*/
 
#pragma once
 
#include <ored/utilities/xmlutils.hpp>
 
namespace ore {
namespace data {
 
class IborFallbackConfig : public XMLSerializable {
public:
    struct FallbackData {
        string rfrIndex;
        QuantLib::Real spread;
        QuantLib::Date switchDate;
    };
 
    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();
    static IborFallbackConfig defaultConfig();
 
    /*! 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.
    */
    void updateSwitchDate(QuantLib::Date targetSwitchDate, const std::string& indexName = "");
    void logSwitchDates();
private:
    bool enableIborFallbacks_;
    bool useRfrCurveInTodaysMarket_;
    bool useRfrCurveInSimulationMarket_;
    std::map<std::string, FallbackData> fallbacks_;
};
 
} // namespace data
} // namespace ore