FallbackOvernightIndex Class Reference

#include <qle/indexes/fallbackovernightindex.hpp>

Inheritance diagram for FallbackOvernightIndex:

Collaboration diagram for FallbackOvernightIndex:

Public Member Functions
	FallbackOvernightIndex (const QuantLib::ext::shared_ptr< OvernightIndex > originalIndex, const QuantLib::ext::shared_ptr< OvernightIndex > rfrIndex, const Real spread, const Date &switchDate, const bool useRfrCurve)
	FallbackOvernightIndex (const QuantLib::ext::shared_ptr< OvernightIndex > 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< OvernightIndex >	originalIndex () const
QuantLib::ext::shared_ptr< OvernightIndex >	rfrIndex () const
Real	spread () const
const Date &	switchDate () const
bool	useRfrCurve () const

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

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

Detailed Description

Definition at line 35 of file fallbackovernightindex.hpp.

Constructor & Destructor Documentation

FallbackOvernightIndex() [1/2]

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

Definition at line 30 of file fallbackovernightindex.cpp.

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

FallbackOvernightIndex() [2/2]

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

Definition at line 42 of file fallbackovernightindex.cpp.

    : OvernightIndex(originalIndex->familyName(), originalIndex->fixingDays(),
             originalIndex->currency(), originalIndex->fixingCalendar(), 
             originalIndex->dayCounter(), forwardingCurve),
      originalIndex_(originalIndex), rfrIndex_(rfrIndex), spread_(spread), switchDate_(switchDate),
      useRfrCurve_(false) {
    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 55 of file fallbackovernightindex.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 65 of file fallbackovernightindex.cpp.

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

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pastFixing()

Rate pastFixing ( const Date &  fixingDate ) const

override

Definition at line 77 of file fallbackovernightindex.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 85 of file fallbackovernightindex.cpp.

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

originalIndex()

QuantLib::ext::shared_ptr< OvernightIndex > originalIndex

(

)

const

Definition at line 100 of file fallbackovernightindex.cpp.

{ return originalIndex_; }

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rfrIndex()

QuantLib::ext::shared_ptr< OvernightIndex > rfrIndex

(

)

const

Definition at line 102 of file fallbackovernightindex.cpp.

{ return rfrIndex_; }

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spread()

Real spread

(

)

const

Definition at line 104 of file fallbackovernightindex.cpp.

{ return spread_; }

switchDate()

const Date & switchDate

(

)

const

Definition at line 106 of file fallbackovernightindex.cpp.

{ return switchDate_; }

useRfrCurve()

bool useRfrCurve

(

)

const

Definition at line 108 of file fallbackovernightindex.cpp.

{ return useRfrCurve_; }

forecastFixing()

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

overrideprivate

Definition at line 89 of file fallbackovernightindex.cpp.

                                                                                                    {
    Date today = Settings::instance().evaluationDate();
    Handle<YieldTermStructure> curve =
        today < switchDate_ ? originalIndex_->forwardingTermStructure() : forwardingTermStructure();
    QL_REQUIRE(!curve.empty(), "FallbackOvernightIndex: 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<OvernightIndex> originalIndex_

private

Definition at line 57 of file fallbackovernightindex.hpp.

rfrIndex_

QuantLib::ext::shared_ptr<OvernightIndex> rfrIndex_

private

Definition at line 58 of file fallbackovernightindex.hpp.

spread_

Real spread_

private

Definition at line 59 of file fallbackovernightindex.hpp.

switchDate_

Date switchDate_

private

Definition at line 60 of file fallbackovernightindex.hpp.

useRfrCurve_

bool useRfrCurve_

private

Definition at line 61 of file fallbackovernightindex.hpp.