IborFallbackCurve Class Reference

#include <qle/termstructures/iborfallbackcurve.hpp>

Inheritance diagram for IborFallbackCurve:

Collaboration diagram for IborFallbackCurve:

Public Member Functions
	IborFallbackCurve (const QuantLib::ext::shared_ptr< IborIndex > &originalIndex, const QuantLib::ext::shared_ptr< OvernightIndex > &rfrIndex, const Real spread, const Date &switchDate)
QuantLib::ext::shared_ptr< IborIndex >	originalIndex () const
QuantLib::ext::shared_ptr< OvernightIndex >	rfrIndex () const
Real	spread () const
const Date &	switchDate () const
const Date &	referenceDate () const override
Date	maxDate () const override
Calendar	calendar () const override
Natural	settlementDays () const override

Private Member Functions
Real	discountImpl (QuantLib::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 31 of file iborfallbackcurve.hpp.

Constructor & Destructor Documentation

IborFallbackCurve()

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

Definition at line 29 of file iborfallbackcurve.cpp.

    : YieldTermStructure(originalIndex->forwardingTermStructure()->dayCounter()), originalIndex_(originalIndex),
      rfrIndex_(rfrIndex), spread_(spread), switchDate_(switchDate) {
    registerWith(originalIndex->forwardingTermStructure());
    registerWith(rfrIndex->forwardingTermStructure());
    // Always enable extrapolation: The original and rfr index forwarding curves might have different settings
    // so we do not want to make things overly complicated here.
    enableExtrapolation();
}

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Member Function Documentation

originalIndex()

QuantLib::ext::shared_ptr< IborIndex > originalIndex

(

)

const

Definition at line 41 of file iborfallbackcurve.cpp.

{ return originalIndex_; }

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rfrIndex()

QuantLib::ext::shared_ptr< OvernightIndex > rfrIndex

(

)

const

Definition at line 43 of file iborfallbackcurve.cpp.

{ return rfrIndex_; }

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spread()

Real spread

(

)

const

Definition at line 45 of file iborfallbackcurve.cpp.

{ return spread_; }

switchDate()

const Date & switchDate

(

)

const

Definition at line 47 of file iborfallbackcurve.cpp.

{ return switchDate_; }

referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 49 of file iborfallbackcurve.cpp.

                                                   {
    return originalIndex_->forwardingTermStructure()->referenceDate();
}

maxDate()

Date maxDate ( ) const

override

Definition at line 53 of file iborfallbackcurve.cpp.

{ return originalIndex_->forwardingTermStructure()->maxDate(); }

calendar()

Calendar calendar ( ) const

override

Definition at line 55 of file iborfallbackcurve.cpp.

{ return originalIndex_->forwardingTermStructure()->calendar(); }

settlementDays()

Natural settlementDays ( ) const

override

Definition at line 57 of file iborfallbackcurve.cpp.

                                                {
    return originalIndex_->forwardingTermStructure()->settlementDays();
}

discountImpl()

Real discountImpl ( QuantLib::Time  t ) const

overrideprivate

Definition at line 61 of file iborfallbackcurve.cpp.

                                                         {
    Date today = Settings::instance().evaluationDate();
    if (today < switchDate_) {
        return originalIndex_->forwardingTermStructure()->discount(t);
    }
    Date endDate = today + originalIndex_->tenor();
    Real couponTime = rfrIndex_->dayCounter().yearFraction(today, endDate);
    Real curveTime = timeFromReference(endDate);
    Real s = std::log(1.0 + couponTime * spread_) / curveTime;
    return rfrIndex_->forwardingTermStructure()->discount(t) * std::exp(-s * t);
}

Member Data Documentation

originalIndex_

QuantLib::ext::shared_ptr<IborIndex> originalIndex_

private

Definition at line 49 of file iborfallbackcurve.hpp.

rfrIndex_

QuantLib::ext::shared_ptr<OvernightIndex> rfrIndex_

private

Definition at line 50 of file iborfallbackcurve.hpp.

spread_

Real spread_

private

Definition at line 51 of file iborfallbackcurve.hpp.

switchDate_

Date switchDate_

private

Definition at line 52 of file iborfallbackcurve.hpp.