QPR-12959 fix overnight fallback index

Damien Barker · Damien Barker · commit 0b18303b9a67 · 2025-11-24T10:04:49.000Z
diff --git a/OREAnalytics/orea/app/inputparameters.cpp b/OREAnalytics/orea/app/inputparameters.cpp
@@ -743,7 +743,7 @@ void InputParameters::setScenarioReader(const std::string& fileName) {
             scenarioReader_ = QuantLib::ext::make_shared<ScenarioFileReader>(
                 fileName, QuantLib::ext::make_shared<SimpleScenarioFactory>(false));
         }
-    } catch (const std::exception& e) {
+    } catch (const std::exception&) {
         // If the file does not exist or fails, assume it is a scenario string
         scenarioReader_ = QuantLib::ext::make_shared<ScenarioBufferReader>(
             fileName, QuantLib::ext::make_shared<SimpleScenarioFactory>(true));
diff --git a/OREAnalytics/orea/engine/dependencymarket.cpp b/OREAnalytics/orea/engine/dependencymarket.cpp
@@ -221,7 +221,7 @@ Handle<IborIndex> DependencyMarket::iborIndex(const string& name, const string&
                                       << rfrName << "' to OvernightIndex, this is unexpected.");
         auto fallbackData = iborFallbackConfig_->fallbackData(name);
 	if (auto original = QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(iip))
-            ii = Handle<IborIndex>(QuantLib::ext::make_shared<QuantExt::FallbackIborIndex>(
+            ii = Handle<IborIndex>(QuantLib::ext::make_shared<QuantExt::FallbackOvernightIndex>(
                 original, oi, fallbackData.spread,
                                                                                fallbackData.switchDate, false));
 	else
diff --git a/OREAnalytics/orea/scenario/scenariosimmarket.cpp b/OREAnalytics/orea/scenario/scenariosimmarket.cpp
@@ -506,7 +506,7 @@ ScenarioSimMarket::ScenarioSimMarket(
                                            << "' to overnight index when building the ibor fallback index '" << name
                                            << "'");
                             if (auto original = QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(i))
-                                i = QuantLib::ext::make_shared<QuantExt::FallbackIborIndex>(
+                                i = QuantLib::ext::make_shared<QuantExt::FallbackOvernightIndex>(
                                 original, rfrInd, fallbackData.spread, fallbackData.switchDate,
                                     iborFallbackConfig_->useRfrCurveInSimulationMarket());
                             else
diff --git a/OREData/ored/marketdata/todaysmarket.cpp b/OREData/ored/marketdata/todaysmarket.cpp
@@ -47,6 +47,7 @@
 #include <qle/indexes/dividendmanager.hpp>
 #include <qle/indexes/equityindex.hpp>
 #include <qle/indexes/fallbackiborindex.hpp>
+#include <qle/indexes/fallbackovernightindex.hpp>
 #include <qle/indexes/fxindex.hpp>
 #include <qle/indexes/inflationindexwrapper.hpp>
 #include <qle/termstructures/blackvolsurfacewithatm.hpp>
@@ -343,7 +344,7 @@ void TodaysMarket::buildNode(const std::string& configuration, ReducedNode& redu
                                    << fallbackData.rfrIndex << "' as fallback for ibor index '" << node.name
                                    << "', but this is not an overnight index. Are the fallback rules correct here?");
                     if (auto original = QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(tmpIndex))
-                        tmpIndex = QuantLib::ext::make_shared<QuantExt::FallbackIborIndex>(
+                        tmpIndex = QuantLib::ext::make_shared<QuantExt::FallbackOvernightIndex>(
                             original, oi, fallbackData.spread, fallbackData.switchDate,
                             iborFallbackConfig_->useRfrCurveInTodaysMarket());
                     else
diff --git a/OREData/ored/portfolio/fixingdates.cpp b/OREData/ored/portfolio/fixingdates.cpp
@@ -54,6 +54,7 @@
 #include <qle/indexes/commodityindex.hpp>
 #include <qle/indexes/compositeindex.hpp>
 #include <qle/indexes/fallbackiborindex.hpp>
+#include <qle/indexes/fallbackovernightindex.hpp>
 #include <qle/indexes/genericindex.hpp>
 #include <qle/indexes/offpeakpowerindex.hpp>
 
@@ -621,7 +622,7 @@ void FixingDateGetter::visit(QuantLib::OvernightIndexedCoupon& c) {
 }
 
 void FixingDateGetter::visit(QuantExt::OvernightIndexedCoupon& c) {
-    auto fallback = QuantLib::ext::dynamic_pointer_cast<FallbackIborIndex>(c.index());
+    auto fallback = QuantLib::ext::dynamic_pointer_cast<FallbackOvernightIndex>(c.index());
     string indexName;
     if (fallback && c.fixingDate() >= fallback->switchDate())
         indexName = fallback->rfrIndex()->name();
diff --git a/OREData/ored/scripting/utilities.cpp b/OREData/ored/scripting/utilities.cpp
@@ -509,7 +509,7 @@ QuantLib::ext::shared_ptr<FallbackIborIndex> IndexInfo::irIborFallback(const Qua
     return nullptr;
 }
 
-QuantLib::ext::shared_ptr<FallbackIborIndex>
+QuantLib::ext::shared_ptr<FallbackOvernightIndex>
 IndexInfo::irOvernightFallback(const QuantLib::ext::shared_ptr<IborFallbackConfig>& iborFallbackConfig,
 									 const Date& asof) const {
     if (isIrIbor_ && iborFallbackConfig->isIndexReplaced(name_, asof)) {
@@ -519,7 +519,7 @@ IndexInfo::irOvernightFallback(const QuantLib::ext::shared_ptr<IborFallbackConfi
         QL_REQUIRE(on, "IndexInfo::irIborFallback(): could not cast rfr index '"
                            << data.rfrIndex << "' for ibor fallback index '" << name_ << "' to an overnight index");
         if (auto original = QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(irIbor_))
-            return QuantLib::ext::make_shared<FallbackIborIndex>(original, on, data.spread, data.switchDate,
+            return QuantLib::ext::make_shared<FallbackOvernightIndex>(original, on, data.spread, data.switchDate,
                                                                  original->forwardingTermStructure());
 	else
 	    return nullptr;
diff --git a/OREData/ored/scripting/utilities.hpp b/OREData/ored/scripting/utilities.hpp
@@ -31,6 +31,7 @@
 
 #include <qle/time/futureexpirycalculator.hpp>
 #include <qle/indexes/fallbackiborindex.hpp>
+#include <qle/indexes/fallbackovernightindex.hpp>
 
 #pragma once
 
@@ -116,7 +117,7 @@ class IndexInfo {
     QuantLib::ext::shared_ptr<FallbackIborIndex> irIborFallback(const QuantLib::ext::shared_ptr<IborFallbackConfig>& iborFallbackConfig,
                                                         const Date& asof = QuantLib::Date::maxDate()) const;
     // nullptr if it is no overnight fallback index
-    QuantLib::ext::shared_ptr<FallbackIborIndex>
+    QuantLib::ext::shared_ptr<FallbackOvernightIndex>
     irOvernightFallback(const QuantLib::ext::shared_ptr<IborFallbackConfig>& iborFallbackConfig,
 								  const Date& asof = QuantLib::Date::maxDate()) const;
     QuantLib::ext::shared_ptr<SwapIndex> irSwap() const { return irSwap_; }
diff --git a/QuantExt/qle/CMakeLists.txt b/QuantExt/qle/CMakeLists.txt
@@ -88,6 +88,7 @@ indexes/compositeindex.cpp
 indexes/dividendmanager.cpp
 indexes/equityindex.cpp
 indexes/fallbackiborindex.cpp
+indexes/fallbackovernightindex.cpp
 indexes/formulabasedindex.cpp
 indexes/fxindex.cpp
 indexes/genericiborindex.cpp
@@ -550,6 +551,7 @@ indexes/eqfxindexbase.hpp
 indexes/equityindex.hpp
 indexes/escpi.hpp
 indexes/fallbackiborindex.hpp
+indexes/fallbackovernightindex.hpp
 indexes/formulabasedindex.hpp
 indexes/frcpi.hpp
 indexes/fxindex.hpp
diff --git a/QuantExt/qle/indexes/fallbackiborindex.hpp b/QuantExt/qle/indexes/fallbackiborindex.hpp
@@ -32,6 +32,8 @@
 namespace QuantExt {
 using namespace QuantLib;
 
+class FallbackOvernightIndex;
+
 class FallbackIborIndex : public QuantLib::IborIndex {
 public:
     FallbackIborIndex(const QuantLib::ext::shared_ptr<IborIndex> originalIndex,
@@ -57,6 +59,7 @@ class FallbackIborIndex : public QuantLib::IborIndex {
 
 private:
     Rate forecastFixing(const Date& valueDate, const Date& endDate, Time t) const override;
+    friend class FallbackOvernightIndex;
     QuantLib::ext::shared_ptr<IborIndex> originalIndex_;
     QuantLib::ext::shared_ptr<OvernightIndex> rfrIndex_;
     Real spread_;
diff --git a/QuantExt/qle/indexes/fallbackovernightindex.cpp b/QuantExt/qle/indexes/fallbackovernightindex.cpp
@@ -0,0 +1,45 @@
+/*
+ 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 qle/indexes/fallbackiborindex.hpp
+    \brief wrapper class for ibor index managing the fallback rules
+    \ingroup indexes
+*/
+
+#include <qle/indexes/fallbackovernightindex.hpp>
+
+namespace QuantExt {
+
+FallbackOvernightIndex::FallbackOvernightIndex(const QuantLib::ext::shared_ptr<OvernightIndex> originalIndex,
+					       const QuantLib::ext::shared_ptr<OvernightIndex> rfrIndex, const Real spread,
+					       const Date& switchDate, const bool useRfrCurve)
+    : OvernightIndex(originalIndex->familyName(), originalIndex->fixingDays(), originalIndex->currency(),
+                     originalIndex->fixingCalendar(), originalIndex->dayCounter(), Handle<YieldTermStructure>()) {
+    iborFallbackIndex_ = std::make_unique<FallbackIborIndex>(originalIndex, rfrIndex, spread, switchDate, useRfrCurve);
+}
+
+FallbackOvernightIndex::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)
+    : OvernightIndex(originalIndex->familyName(), originalIndex->fixingDays(),
+		     originalIndex->currency(), originalIndex->fixingCalendar(), 
+		     originalIndex->dayCounter(), forwardingCurve) {
+    iborFallbackIndex_ = std::make_unique<FallbackIborIndex>(originalIndex, rfrIndex, spread, switchDate, forwardingCurve);
+}
+
+} // namespace QuantExt
diff --git a/QuantExt/qle/indexes/fallbackovernightindex.hpp b/QuantExt/qle/indexes/fallbackovernightindex.hpp
@@ -0,0 +1,76 @@
+/*
+ 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 qle/indexes/fallbackovernightindex.hpp
+    \brief wrapper class for overnight index managing the fallback rules
+    \ingroup indexes
+*/
+
+#pragma once
+
+#include <qle/cashflows/overnightindexedcoupon.hpp>
+#include <qle/indexes/fallbackiborindex.hpp>
+#include <ql/indexes/iborindex.hpp>
+
+#include <vector>
+
+namespace QuantExt {
+using namespace QuantLib;
+
+class FallbackOvernightIndex : public QuantLib::OvernightIndex {
+public:
+    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 {
+        return iborFallbackIndex_->addFixing(fixingDate, fixing, forceOverwrite);
+    }
+    Real fixing(const Date& fixingDate, bool forecastTodaysFixing = false) const override {
+		return iborFallbackIndex_->fixing(fixingDate, forecastTodaysFixing);
+	}
+    Rate pastFixing(const Date& fixingDate) const override {
+		return iborFallbackIndex_->pastFixing(fixingDate);
+    }
+    QuantLib::ext::shared_ptr<IborIndex> clone(const Handle<YieldTermStructure>& forwarding) const override {
+        return iborFallbackIndex_->clone(forwarding);
+    }
+
+    QuantLib::ext::shared_ptr<OvernightIndex> originalIndex() const {
+        auto oi = QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(iborFallbackIndex_->originalIndex());
+        QL_REQUIRE(oi, "original index is not an OvernightIndex");
+        return oi;
+    }
+    QuantLib::ext::shared_ptr<OvernightIndex> rfrIndex() const { return iborFallbackIndex_->rfrIndex(); }
+    Real spread() const { return iborFallbackIndex_->spread(); }
+    const Date& switchDate() const { return iborFallbackIndex_->switchDate(); }
+
+
+protected:
+    Rate forecastFixing(const Date& valueDate, const Date& endDate, Time t) const override {
+		return iborFallbackIndex_->forecastFixing(valueDate, endDate, t);
+    }
+
+private:
+    std::unique_ptr<FallbackIborIndex> iborFallbackIndex_;
+};
+
+} // namespace QuantExt
diff --git a/QuantExt/qle/pricingengines/analyticlgmswaptionengine.cpp b/QuantExt/qle/pricingengines/analyticlgmswaptionengine.cpp
@@ -258,14 +258,14 @@ void AnalyticLgmSwaptionEngine::calculate() const {
             try { // Try Brent
                 yStar = b.solve(std::bind(&AnalyticLgmSwaptionEngine::yStarHelper, this, std::placeholders::_1), 1.0E-6,
                                 0.0, 0.01);
-            } catch (const std::exception& e) { // Try Brent with optimized starting point
+            } catch (const std::exception&) { // Try Brent with optimized starting point
                 Bisection b2;
                 double startValue = b2.solve(
                     std::bind(&AnalyticLgmSwaptionEngine::yStarHelper, this, std::placeholders::_1), 1.0E-2, -3.0, 3.0);
                 yStar = b.solve(std::bind(&AnalyticLgmSwaptionEngine::yStarHelper, this, std::placeholders::_1), 1.0E-6,
                                 startValue, 0.01);
             }
-        } catch (const std::exception& e) { // Try Brent with another optimized starting point
+        } catch (const std::exception&) { // Try Brent with another optimized starting point
             Bisection b2;
             double startValue2 = b2.solve(
                 std::bind(&AnalyticLgmSwaptionEngine::yStarHelper, this, std::placeholders::_1), 1.0E-2, -10.0, 10.0);
diff --git a/QuantExt/qle/quantext.hpp b/QuantExt/qle/quantext.hpp
@@ -108,6 +108,7 @@
 #include <qle/indexes/equityindex.hpp>
 #include <qle/indexes/escpi.hpp>
 #include <qle/indexes/fallbackiborindex.hpp>
+#include <qle/indexes/fallbackovernightindex.hpp>
 #include <qle/indexes/formulabasedindex.hpp>
 #include <qle/indexes/frcpi.hpp>
 #include <qle/indexes/fxindex.hpp>
diff --git a/QuantExt/qle/termstructures/sabrparametricvolatility.cpp b/QuantExt/qle/termstructures/sabrparametricvolatility.cpp
@@ -454,7 +454,7 @@ std::tuple<std::vector<Real>, Real, Real, Size> SabrParametricVolatility::calibr
         Problem problem(t, noConstraint, guess);
         try {
             lm.minimize(problem, endCriteria);
-        } catch (const std::exception& e) {
+        } catch (const std::exception&) {
             continue;
         }
 
@@ -599,7 +599,7 @@ void SabrParametricVolatility::calculate() {
             calibrationErrors_[key] = error;
             lognormalShifts_[key] = shift;
             noOfAttempts_[key] = noOfAttempts;
-        } catch (const std::exception& e) {
+        } catch (const std::exception&) {
             // all calibration failed -> do not populate params, but interpolate them below
         }
     }
diff --git a/QuantExt/qle/termstructures/yoyoptionletsolver.cpp b/QuantExt/qle/termstructures/yoyoptionletsolver.cpp
@@ -32,7 +32,7 @@ double YoYOptionletStripperSolverWithFallBack::solveForImpliedVol(
     QuantLib::ext::shared_ptr<QuantLib::YoYInflationCapFloorEngine> p, QuantLib::Real priceToMatch) const {
     try {
         return solver_.solveForImpliedVol(type, slope, K, lag, fixingDays, anIndex, surf, p, priceToMatch);
-    } catch (const std::exception& e) {
+    } catch (const std::exception&) {
         ObjectiveFunction error(type, slope, K, lag, fixingDays, anIndex, surf, p, priceToMatch);
         return QuantExt::detail::dontThrowFallback(error, minVol_, maxVol_, steps_);
     }

Original file line number	Diff line number	Diff line change
`@@ -743,7 +743,7 @@ void InputParameters::setScenarioReader(const std::string& fileName) {`
`743`	`743`	`scenarioReader_ = QuantLib::ext::make_shared<ScenarioFileReader>(`
`744`	`744`	`fileName, QuantLib::ext::make_shared<SimpleScenarioFactory>(false));`
`745`	`745`	`}`
`746`		`- } catch (const std::exception& e) {`
	`746`	`+ } catch (const std::exception&) {`
`747`	`747`	`// If the file does not exist or fails, assume it is a scenario string`
`748`	`748`	`scenarioReader_ = QuantLib::ext::make_shared<ScenarioBufferReader>(`
`749`	`749`	`fileName, QuantLib::ext::make_shared<SimpleScenarioFactory>(true));`