Skip to content

Commit 0b5d9a8

Browse files
pcasperspcaspers
committed
Merge branch 'gbfredrik_index-replacements' into 'master'
QPR-12020 index replacements See merge request qs/ore!56
2 parents ec438ea + b05a0a1 commit 0b5d9a8

13 files changed

Lines changed: 17 additions & 269 deletions

File tree

‎OREData/ored/utilities/indexparser.cpp‎

Lines changed: 5 additions & 9 deletions
Original file line numberDiff line numberDiff line change
@@ -53,7 +53,6 @@
5353
#include <qle/indexes/genericindex.hpp>
5454
#include <qle/indexes/ibor/ambor.hpp>
5555
#include <qle/indexes/ibor/ameribor.hpp>
56-
#include <qle/indexes/ibor/audbbsw.hpp>
5756
#include <qle/indexes/ibor/boebaserate.hpp>
5857
#include <qle/indexes/ibor/brlcdi.hpp>
5958
#include <qle/indexes/ibor/chfsaron.hpp>
@@ -69,7 +68,6 @@
6968
#include <qle/indexes/ibor/dkkcibor.hpp>
7069
#include <qle/indexes/ibor/dkkcita.hpp>
7170
#include <qle/indexes/ibor/dkkois.hpp>
72-
#include <qle/indexes/ibor/ester.hpp>
7371
#include <qle/indexes/ibor/hkdhibor.hpp>
7472
#include <qle/indexes/ibor/hkdhonia.hpp>
7573
#include <qle/indexes/ibor/hufbubor.hpp>
@@ -88,9 +86,7 @@
8886
#include <qle/indexes/ibor/nzdbkbm.hpp>
8987
#include <qle/indexes/ibor/phpphiref.hpp>
9088
#include <qle/indexes/ibor/plnpolonia.hpp>
91-
#include <qle/indexes/ibor/plnwibor.hpp>
9289
#include <qle/indexes/ibor/primeindex.hpp>
93-
#include <qle/indexes/ibor/rubmosprime.hpp>
9490
#include <qle/indexes/ibor/rubkeyrate.hpp>
9591
#include <qle/indexes/ibor/saibor.hpp>
9692
#include <qle/indexes/ibor/seksior.hpp>
@@ -313,14 +309,14 @@ boost::shared_ptr<IborIndex> parseIborIndex(const string& s, string& tenor, cons
313309
// Map from our _unique internal name_ to an overnight index
314310
static map<string, boost::shared_ptr<OvernightIndex>> onIndices = {
315311
{"EUR-EONIA", boost::make_shared<Eonia>()},
316-
{"EUR-ESTER", boost::make_shared<Ester>()},
312+
{"EUR-ESTER", boost::make_shared<Estr>()},
317313
{"GBP-SONIA", boost::make_shared<Sonia>()},
318314
{"JPY-TONAR", boost::make_shared<Tonar>()},
319315
{"SGD-SORA", boost::make_shared<Sora>()},
320316
{"CHF-TOIS", boost::make_shared<CHFTois>()},
321317
{"CHF-SARON", boost::make_shared<CHFSaron>()},
322318
{"USD-FedFunds", boost::make_shared<FedFunds>()},
323-
{"USD-SOFR", boost::make_shared<QuantExt::Sofr>()},
319+
{"USD-SOFR", boost::make_shared<Sofr>()},
324320
{"USD-Prime", boost::make_shared<PrimeIndex>()},
325321
{"USD-AMERIBOR", boost::make_shared<USDAmeribor>()},
326322
{"AUD-AONIA", boost::make_shared<Aonia>()},
@@ -342,7 +338,7 @@ boost::shared_ptr<IborIndex> parseIborIndex(const string& s, string& tenor, cons
342338

343339
// Map from our _unique internal name_ to an ibor index (the period does not matter here)
344340
static map<string, boost::shared_ptr<IborIndexParser>> iborIndices = {
345-
{"AUD-BBSW", boost::make_shared<IborIndexParserWithPeriod<AUDbbsw>>()},
341+
{"AUD-BBSW", boost::make_shared<IborIndexParserWithPeriod<Bbsw>>()},
346342
{"AUD-LIBOR", boost::make_shared<IborIndexParserWithPeriod<AUDLibor>>()},
347343
{"EUR-EURIBOR", boost::make_shared<IborIndexParserWithPeriod<Euribor>>()},
348344
{"EUR-EURIBOR365", boost::make_shared<IborIndexParserWithPeriod<Euribor365>>()},
@@ -375,7 +371,7 @@ boost::shared_ptr<IborIndex> parseIborIndex(const string& s, string& tenor, cons
375371
{"ILS-TELBOR", boost::make_shared<IborIndexParserWithPeriod<ILSTelbor>>()},
376372
{"INR-MIFOR", boost::make_shared<IborIndexParserWithPeriod<INRMifor>>()},
377373
{"MXN-TIIE", boost::make_shared<IborIndexParserWithPeriod<MXNTiie>>()},
378-
{"PLN-WIBOR", boost::make_shared<IborIndexParserWithPeriod<PLNWibor>>()},
374+
{"PLN-WIBOR", boost::make_shared<IborIndexParserWithPeriod<Wibor>>()},
379375
{"SKK-BRIBOR", boost::make_shared<IborIndexParserWithPeriod<SKKBribor>>()},
380376
{"NZD-BKBM", boost::make_shared<IborIndexParserWithPeriod<NZDBKBM>>()},
381377
{"TRY-TRLIBOR", boost::make_shared<IborIndexParserWithPeriod<TRLibor>>()},
@@ -384,7 +380,7 @@ boost::shared_ptr<IborIndex> parseIborIndex(const string& s, string& tenor, cons
384380
{"KRW-CD", boost::make_shared<IborIndexParserWithPeriod<KRWCd>>()},
385381
{"KRW-KORIBOR", boost::make_shared<IborIndexParserWithPeriod<KRWKoribor>>()},
386382
{"ZAR-JIBAR", boost::make_shared<IborIndexParserWithPeriod<Jibar>>()},
387-
{"RUB-MOSPRIME", boost::make_shared<IborIndexParserWithPeriod<RUBMosprime>>()},
383+
{"RUB-MOSPRIME", boost::make_shared<IborIndexParserWithPeriod<Mosprime>>()},
388384
{"RUB-KEYRATE", boost::make_shared<IborIndexParserWithPeriod<RUBKeyRate>>()},
389385
{"THB-BIBOR", boost::make_shared<IborIndexParserWithPeriod<THBBibor>>()},
390386
{"THB-THBFIX", boost::make_shared<IborIndexParserWithPeriod<THBFIX>>()},

‎OREData/test/indices.cpp‎

Lines changed: 9 additions & 9 deletions
Original file line numberDiff line numberDiff line change
@@ -103,7 +103,7 @@ struct test_data_inf {
103103
static struct test_data index_data[] = {
104104
// parsing string, index name, tenor
105105
{"EUR-EONIA-1D", "EoniaON Actual/360", 1 * Days},
106-
{"EUR-ESTER", "EsterON Actual/360", 1 * Days},
106+
{"EUR-ESTER", "ESTRON Actual/360", 1 * Days},
107107
{"GBP-SONIA-1D", "SoniaON Actual/365 (Fixed)", 1 * Days},
108108
{"JPY-TONAR-1D", "TONARON Actual/365 (Fixed)", 1 * Days},
109109
{"CHF-TOIS", "CHF-TOISTN Actual/360", 1 * Days},
@@ -125,13 +125,13 @@ static struct test_data index_data[] = {
125125
{"AUD-LIBOR-12M", "AUDLibor1Y Actual/360", 1 * Years},
126126
{"AUD-LIBOR-1Y", "AUDLibor1Y Actual/360", 1 * Years},
127127

128-
{"AUD-BBSW-1W", "AUD-BBSW1W Actual/365 (Fixed)", 1 * Weeks},
129-
{"AUD-BBSW-1M", "AUD-BBSW1M Actual/365 (Fixed)", 1 * Months},
130-
{"AUD-BBSW-2M", "AUD-BBSW2M Actual/365 (Fixed)", 2 * Months},
131-
{"AUD-BBSW-3M", "AUD-BBSW3M Actual/365 (Fixed)", 3 * Months},
132-
{"AUD-BBSW-6M", "AUD-BBSW6M Actual/365 (Fixed)", 6 * Months},
133-
{"AUD-BBSW-12M", "AUD-BBSW1Y Actual/365 (Fixed)", 1 * Years},
134-
{"AUD-BBSW-1Y", "AUD-BBSW1Y Actual/365 (Fixed)", 1 * Years},
128+
{"AUD-BBSW-1W", "Bbsw1W Actual/365 (Fixed)", 1 * Weeks},
129+
{"AUD-BBSW-1M", "Bbsw1M Actual/365 (Fixed)", 1 * Months},
130+
{"AUD-BBSW-2M", "Bbsw2M Actual/365 (Fixed)", 2 * Months},
131+
{"AUD-BBSW-3M", "Bbsw3M Actual/365 (Fixed)", 3 * Months},
132+
{"AUD-BBSW-6M", "Bbsw6M Actual/365 (Fixed)", 6 * Months},
133+
{"AUD-BBSW-12M", "Bbsw1Y Actual/365 (Fixed)", 1 * Years},
134+
{"AUD-BBSW-1Y", "Bbsw1Y Actual/365 (Fixed)", 1 * Years},
135135

136136
{"EUR-EURIBOR-1W", "Euribor1W Actual/360", 1 * Weeks},
137137
{"EUR-EURIBOR-2W", "Euribor2W Actual/360", 2 * Weeks},
@@ -305,7 +305,7 @@ static struct test_data index_data[] = {
305305
{"MXN-TIIE-4W", "MXN-TIIE4W Actual/360", 4 * Weeks},
306306
{"MXN-TIIE-91D", "MXN-TIIE3M Actual/360", 3 * Months},
307307
{"MXN-TIIE-3M", "MXN-TIIE3M Actual/360", 3 * Months},
308-
{"PLN-WIBOR-6M", "PLN-WIBOR6M Actual/365 (Fixed)", 6 * Months},
308+
{"PLN-WIBOR-6M", "WIBOR6M Actual/365 (Fixed)", 6 * Months},
309309
{"SKK-BRIBOR-6M", "SKK-BRIBOR6M Actual/360", 6 * Months},
310310
{"THB-THBFIX-6M", "THBFIX6M Actual/365 (Fixed)", 6 * Months},
311311

‎QuantExt/qle/CMakeLists.txt‎

Lines changed: 0 additions & 5 deletions
Original file line numberDiff line numberDiff line change
@@ -85,7 +85,6 @@ indexes/genericiborindex.cpp
8585
indexes/ibor/ameribor.cpp
8686
indexes/ibor/boebaserate.cpp
8787
indexes/ibor/brlcdi.cpp
88-
indexes/ibor/ester.cpp
8988
indexes/ibor/primeindex.cpp
9089
indexes/ibor/sofr.cpp
9190
indexes/ibor/sonia.cpp
@@ -478,7 +477,6 @@ indexes/genericindex.hpp
478477
indexes/iborindexfixingoverride.hpp
479478
indexes/ibor/ambor.hpp
480479
indexes/ibor/ameribor.hpp
481-
indexes/ibor/audbbsw.hpp
482480
indexes/ibor/boebaserate.hpp
483481
indexes/ibor/brlcdi.hpp
484482
indexes/ibor/chfsaron.hpp
@@ -494,7 +492,6 @@ indexes/ibor/demlibor.hpp
494492
indexes/ibor/dkkcibor.hpp
495493
indexes/ibor/dkkcita.hpp
496494
indexes/ibor/dkkois.hpp
497-
indexes/ibor/ester.hpp
498495
indexes/ibor/hkdhibor.hpp
499496
indexes/ibor/hkdhonia.hpp
500497
indexes/ibor/hufbubor.hpp
@@ -513,10 +510,8 @@ indexes/ibor/nowa.hpp
513510
indexes/ibor/nzdbkbm.hpp
514511
indexes/ibor/phpphiref.hpp
515512
indexes/ibor/plnpolonia.hpp
516-
indexes/ibor/plnwibor.hpp
517513
indexes/ibor/primeindex.hpp
518514
indexes/ibor/rubkeyrate.hpp
519-
indexes/ibor/rubmosprime.hpp
520515
indexes/ibor/saibor.hpp
521516
indexes/ibor/seksior.hpp
522517
indexes/ibor/sekstibor.hpp

‎QuantExt/qle/indexes/ibor/audbbsw.hpp‎

Lines changed: 0 additions & 54 deletions
This file was deleted.

‎QuantExt/qle/indexes/ibor/ester.cpp‎

Lines changed: 0 additions & 30 deletions
This file was deleted.

‎QuantExt/qle/indexes/ibor/ester.hpp‎

Lines changed: 0 additions & 40 deletions
This file was deleted.

‎QuantExt/qle/indexes/ibor/plnwibor.hpp‎

Lines changed: 0 additions & 53 deletions
This file was deleted.

‎QuantExt/qle/indexes/ibor/rubmosprime.hpp‎

Lines changed: 0 additions & 45 deletions
This file was deleted.

‎QuantExt/qle/indexes/ibor/sofr.cpp‎

Lines changed: 1 addition & 3 deletions
Original file line numberDiff line numberDiff line change
@@ -19,14 +19,12 @@
1919
#include <qle/indexes/ibor/sofr.hpp>
2020

2121
#include <ql/currencies/america.hpp>
22+
#include <ql/indexes/ibor/sofr.hpp>
2223
#include <ql/time/calendars/unitedstates.hpp>
2324
#include <ql/time/daycounters/actual360.hpp>
2425

2526
namespace QuantExt {
2627

27-
Sofr::Sofr(const Handle<YieldTermStructure>& h)
28-
: OvernightIndex("SOFR", 0, USDCurrency(), UnitedStates(UnitedStates::GovernmentBond), Actual360(), h) {}
29-
3028
SofrTerm::SofrTerm(const Period& tenor, const Handle<YieldTermStructure>& h)
3129
: TermRateIndex("SOFR-TERM", tenor, 2, USDCurrency(), UnitedStates(UnitedStates::GovernmentBond), ModifiedFollowing,
3230
false, Actual360(), h, boost::make_shared<Sofr>(h)) {}

0 commit comments

Comments
 (0)