FallbackIborIndex Class Reference

#include <qle/indexes/fallbackiborindex.hpp>

Inheritance diagram for FallbackIborIndex:

Collaboration diagram for FallbackIborIndex:

Public Member Functions
	FallbackIborIndex (const QuantLib::ext::shared_ptr< IborIndex > originalIndex, const QuantLib::ext::shared_ptr< OvernightIndex > rfrIndex, const Real spread, const Date &switchDate, const bool useRfrCurve)
	FallbackIborIndex (const QuantLib::ext::shared_ptr< IborIndex > originalIndex, const QuantLib::ext::shared_ptr< OvernightIndex > rfrIndex, const Real spread, const Date &switchDate, const Handle< YieldTermStructure > &forwardingCurve)
void	addFixing (const Date &fixingDate, Real fixing, bool forceOverwrite=false) override
Real	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override
Rate	pastFixing (const Date &fixingDate) const override
QuantLib::ext::shared_ptr< IborIndex >	clone (const Handle< YieldTermStructure > &forwarding) const override
QuantLib::ext::shared_ptr< IborIndex >	originalIndex () const
QuantLib::ext::shared_ptr< OvernightIndex >	rfrIndex () const
Real	spread () const
const Date &	switchDate () const
QuantLib::ext::shared_ptr< OvernightIndexedCoupon >	onCoupon (const Date &iborFixingDate, const bool telescopicValueDates=false) const

Private Member Functions
Rate	forecastFixing (const Date &valueDate, const Date &endDate, Time t) const override

Private Attributes
QuantLib::ext::shared_ptr< IborIndex >	originalIndex_
QuantLib::ext::shared_ptr< OvernightIndex >	rfrIndex_
Real	spread_
Date	switchDate_

Detailed Description

Definition at line 35 of file fallbackiborindex.hpp.

Constructor & Destructor Documentation

FallbackIborIndex() [1/2]

FallbackIborIndex	(	const QuantLib::ext::shared_ptr< IborIndex >	originalIndex,
		const QuantLib::ext::shared_ptr< OvernightIndex >	rfrIndex,
		const Real	spread,
		const Date &	switchDate,
		const bool	useRfrCurve
	)

Definition at line 30 of file fallbackiborindex.cpp.

    : FallbackIborIndex(originalIndex,
                        useRfrCurve ? rfrIndex
                                    : QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(
                                          rfrIndex->clone(originalIndex->forwardingTermStructure())),
                        spread, switchDate,
                        useRfrCurve ? Handle<YieldTermStructure>(QuantLib::ext::make_shared<IborFallbackCurve>(
                                          originalIndex, rfrIndex, spread, switchDate))
                                    : originalIndex->forwardingTermStructure()) {}

FallbackIborIndex() [2/2]

FallbackIborIndex	(	const QuantLib::ext::shared_ptr< IborIndex >	originalIndex,
		const QuantLib::ext::shared_ptr< OvernightIndex >	rfrIndex,
		const Real	spread,
		const Date &	switchDate,
		const Handle< YieldTermStructure > &	forwardingCurve
	)

Definition at line 42 of file fallbackiborindex.cpp.

    : IborIndex(originalIndex->familyName(), originalIndex->tenor(), originalIndex->fixingDays(),
                originalIndex->currency(), originalIndex->fixingCalendar(), originalIndex->businessDayConvention(),
                originalIndex->endOfMonth(), originalIndex->dayCounter(), forwardingCurve),
      originalIndex_(originalIndex), rfrIndex_(rfrIndex), spread_(spread), switchDate_(switchDate) {
    registerWith(originalIndex);
    registerWith(rfrIndex);
    registerWith(forwardingCurve);
}

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Member Function Documentation

addFixing()

void addFixing ( const Date &  fixingDate, Real  fixing, bool  forceOverwrite = false  )

override

Definition at line 54 of file fallbackiborindex.cpp.

                                                                                          {
    if (fixingDate < switchDate_) {
        IborIndex::addFixing(fixingDate, fixing, forceOverwrite);
    } else {
        QL_FAIL("Can not add fixing value "
                << fixing << " for fixing date " << fixingDate << " to fall back ibor index '" << name()
                << "' fixing history, since fixing date is after switch date (" << switchDate_ << ")");
    }
}

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fixing()

Real fixing ( const Date &  fixingDate, bool  forecastTodaysFixing = false  ) const

override

Definition at line 76 of file fallbackiborindex.cpp.

                                                                                      {
    Date today = Settings::instance().evaluationDate();
    if (today < switchDate_ || fixingDate < switchDate_) {
        return originalIndex_->fixing(fixingDate, forecastTodaysFixing);
    }
    if (fixingDate > today) {
        return IborIndex::forecastFixing(fixingDate);
    } else {
      if (QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(originalIndex_))
      return rfrIndex_->fixing(fixingDate) + spread_;
      else
      return onCoupon(fixingDate, true)->rate() + spread_;
    }
}

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pastFixing()

Rate pastFixing ( const Date &  fixingDate ) const

override

Definition at line 91 of file fallbackiborindex.cpp.

                                                               {
    Date today = Settings::instance().evaluationDate();
    if (today < switchDate_) {
        return originalIndex_->pastFixing(fixingDate);
    }
    return fixing(fixingDate);
}

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clone()

QuantLib::ext::shared_ptr< IborIndex > clone ( const Handle< YieldTermStructure > &  forwarding ) const

override

Definition at line 99 of file fallbackiborindex.cpp.

                                                                                                            {
    return QuantLib::ext::make_shared<FallbackIborIndex>(originalIndex_, rfrIndex_, spread_, switchDate_, forwarding);
}

originalIndex()

QuantLib::ext::shared_ptr< IborIndex > originalIndex

(

)

const

Definition at line 114 of file fallbackiborindex.cpp.

{ return originalIndex_; }

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rfrIndex()

QuantLib::ext::shared_ptr< OvernightIndex > rfrIndex

(

)

const

Definition at line 116 of file fallbackiborindex.cpp.

{ return rfrIndex_; }

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spread()

Real spread

(

)

const

Definition at line 118 of file fallbackiborindex.cpp.

{ return spread_; }

switchDate()

const Date & switchDate

(

)

const

Definition at line 120 of file fallbackiborindex.cpp.

{ return switchDate_; }

onCoupon()

QuantLib::ext::shared_ptr< OvernightIndexedCoupon > onCoupon	(	const Date &	iborFixingDate,
		const bool	telescopicValueDates = false
	)		const

Definition at line 64 of file fallbackiborindex.cpp.

                                                                                                             {
    QL_REQUIRE(iborFixingDate >= switchDate_, "FallbackIborIndex: onCoupon for ibor fixing date "
                                                  << iborFixingDate << " requested, which is before switch date "
                                                  << switchDate_ << " for index '" << name() << "'");
    Date valueDate = originalIndex_->valueDate(iborFixingDate);
    Date maturityDate = originalIndex_->maturityDate(valueDate);
    return QuantLib::ext::make_shared<OvernightIndexedCoupon>(maturityDate, 1.0, valueDate, maturityDate, rfrIndex_, 1.0, 0.0,
                                                      Date(), Date(), DayCounter(), telescopicValueDates, false,
                                                      2 * Days, 0, Null<Size>());
}

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forecastFixing()

Rate forecastFixing ( const Date &  valueDate, const Date &  endDate, Time  t  ) const

overrideprivate

Definition at line 103 of file fallbackiborindex.cpp.

                                                                                               {
    Date today = Settings::instance().evaluationDate();
    Handle<YieldTermStructure> curve =
        today < switchDate_ ? originalIndex_->forwardingTermStructure() : forwardingTermStructure();
    QL_REQUIRE(!curve.empty(), "FallbackIborIndex: null term structure set for " << name() << ", today=" << today
                                                                                 << ", switchDate=" << switchDate_);
    DiscountFactor disc1 = curve->discount(valueDate);
    DiscountFactor disc2 = curve->discount(endDate);
    return (disc1 / disc2 - 1.0) / t;
}

Member Data Documentation

originalIndex_

QuantLib::ext::shared_ptr<IborIndex> originalIndex_

private

Definition at line 59 of file fallbackiborindex.hpp.

rfrIndex_

QuantLib::ext::shared_ptr<OvernightIndex> rfrIndex_

private

Definition at line 60 of file fallbackiborindex.hpp.

spread_

Real spread_

private

Definition at line 61 of file fallbackiborindex.hpp.

switchDate_

Date switchDate_

private

Definition at line 62 of file fallbackiborindex.hpp.