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Reference manual - version ored_version
Classes | Public Member Functions | Static Public Member Functions | List of all members
IborFallbackConfig Class Reference
+ Inheritance diagram for IborFallbackConfig:

Classes

struct  FallbackData
 

Public Member Functions

 IborFallbackConfig (const bool enableIborFallbacks, const bool useRfrCurveInTodaysMarket, const bool useRfrCurveInSimulationMarket, const std::map< std::string, FallbackData > &fallbacks)
 
bool enableIborFallbacks () const
 
bool useRfrCurveInTodaysMarket () const
 
bool useRfrCurveInSimulationMarket () const
 
void addIndexFallbackRule (const string &iborIndex, const FallbackData &fallbackData)
 
bool isIndexReplaced (const string &iborIndex, const QuantLib::Date &asof=QuantLib::Date::maxDate()) const
 
const FallbackDatafallbackData (const string &iborIndex) const
 
void fromXML (XMLNode *node) override
 
XMLNodetoXML (XMLDocument &doc) override
 
void clear ()
 
void updateSwitchDate (QuantLib::Date targetSwitchDate, const std::string &indexName="")
 
void logSwitchDates ()
 
- Public Member Functions inherited from XMLSerializable
void fromFile (const std::string &filename)
 
void toFile (const std::string &filename)
 
void fromXMLString (const std::string &xml)
 Parse from XML string.
 
std::string toXMLString ()
 Parse from XML string.
 

Static Public Member Functions

static IborFallbackConfig defaultConfig ()
 

Member Function Documentation

◆ updateSwitchDate()

void updateSwitchDate ( QuantLib::Date  targetSwitchDate,
const std::string &  indexName = "" 
)

Update switch dates in the configuration to the targetSwitchDate

  • either for the selected IBOR index only, or for all of them if indexName is left blank
  • and skipping those where the current switch date is earlier than the target switch date This is to facilitate testing without loading a custom fallback configuration.