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Merge pull request #19 from Model-Validation/IBOR_Indices
Merge corrected IBOR indices
2 parents ec9b82e + 07358ac commit a9d3c0b

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‎Docs/UserGuide/allowablevalues.tex‎

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@@ -174,8 +174,8 @@ \subsection{Allowable Values for Standard Trade Data}
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CHF-LIBOR\\ CHF-SARON\\
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AUD-LIBOR\\ AUD-BBSW\\
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CAD-CDOR\\ CAD-BA\\
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SEK-STIBOR\\ SEK-LIBOR\\
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DKK-LIBOR\\ DKK-CIBOR \\
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SEK-STIBOR\\ SEK-LIBOR \\ SEK-STINA \\
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DKK-LIBOR\\ DKK-CIBOR \\ DKK-CITA \\
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SGD-SIBOR\\ SGD-SOR \\
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HKD-HIBOR \\
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NOK-NIBOR \\

‎Docs/UserGuide/fixingdata.tex‎

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@@ -81,9 +81,9 @@ \section{Fixing History}\label{sec:fixings}
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\hline
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CCY-INDEX & \textit{\begin{tabular}[c]{@{}l@{}}EUR-EONIA\\ EUR-EURIBOR\\ EUR-LIBOR\\ USD-FedFunds\\ USD-Prime\\
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USD-LIBOR\\ GBP-SONIA\\ GBP-LIBOR\\ JPY-TONAR\\ JPY-LIBOR\\ CHF-LIBOR\\ CHF-TOIS\\ AUD-LIBOR\\ AUD-BBSW\\ CAD-CDOR\\
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CAD-BA\\ CAD-LIBOR\\ SEK-STIBOR\\ SEK-LIBOR\\ DKK-LIBOR\\ DKK-CIBOR\\ SGD-SIBOR\\ HKD-HIBOR \\CZK-PRIBOR\\ HUF-BUBOR\\
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CAD-BA\\ CAD-LIBOR\\ SEK-STIBOR\\ SEK-STINA\\ SEK-LIBOR\\ DKK-LIBOR\\ DKK-CIBOR\\ DKK-CITA\\ SGD-SIBOR\\ HKD-HIBOR \\CZK-PRIBOR\\ HUF-BUBOR\\
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IDR-IDRFIX\\ INR-MIFOR\\ JPY-TIBOR\\ KRW-KORIBOR\\ MXN-TIIE\\ MYR-KLIBOR\\ NOK-NIBOR\\ NZD-BKBM\\ PLN-WIBOR\\
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SEK-STIBOR\\ SGD-SOR\\ SKK-BRIBOR\\ TWD-TAIBOR\\ ZAR-JIBAR\\ DEM-LIBOR \end{tabular}} \\ \hline
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SGD-SOR\\ SKK-BRIBOR\\ TWD-TAIBOR\\ ZAR-JIBAR\\ DEM-LIBOR \end{tabular}} \\ \hline
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TENOR & An integer followed by \emph{D, W, M or Y} \\
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\hline
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% \multicolumn{2}{|l|}{\textbf{IR Index on alternative IndexTenor form:}} \\ \hline

‎OREData/ored/marketdata/yieldcurve.cpp‎

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@@ -17,7 +17,6 @@
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*/
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#include <ql/currencies/exchangeratemanager.hpp>
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#include <ql/indexes/ibor/usdlibor.hpp>
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#include <ql/math/randomnumbers/haltonrsg.hpp>
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#include <ql/pricingengines/bond/bondfunctions.hpp>
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#include <ql/pricingengines/bond/discountingbondengine.hpp>

‎OREData/ored/utilities/indexparser.cpp‎

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@@ -1,5 +1,6 @@
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/*
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Copyright (C) 2016 Quaternion Risk Management Ltd
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Copyright (C) 2021 Skandinaviska Enskilda Banken AB (publ)
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All rights reserved.
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This file is part of ORE, a free-software/open-source library
@@ -50,6 +51,7 @@
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#include <qle/indexes/ibor/czkpribor.hpp>
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#include <qle/indexes/ibor/demlibor.hpp>
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#include <qle/indexes/ibor/dkkcibor.hpp>
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#include <qle/indexes/ibor/dkkcita.hpp>
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#include <qle/indexes/ibor/dkkois.hpp>
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#include <qle/indexes/ibor/dkkcita.hpp>
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#include <qle/indexes/ibor/ester.hpp>
@@ -76,6 +78,7 @@
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#include <qle/indexes/ibor/seksior.hpp>
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#include <qle/indexes/ibor/sekstina.hpp>
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#include <qle/indexes/ibor/sekstibor.hpp>
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#include <qle/indexes/ibor/sekstina.hpp>
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#include <qle/indexes/ibor/sgdsibor.hpp>
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#include <qle/indexes/ibor/sgdsor.hpp>
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#include <qle/indexes/ibor/skkbribor.hpp>
@@ -241,29 +244,17 @@ boost::shared_ptr<IborIndex> parseIborIndex(const string& s, string& tenor, cons
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// Map from our _unique internal name_ to an overnight index
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static map<string, boost::shared_ptr<OvernightIndex>> onIndices = {
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{"EUR-EONIA", boost::make_shared<Eonia>()},
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{"EUR-ESTER", boost::make_shared<Ester>()},
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{"GBP-SONIA", boost::make_shared<Sonia>()},
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{"JPY-TONAR", boost::make_shared<Tonar>()},
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{"CHF-TOIS", boost::make_shared<CHFTois>()},
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{"CHF-SARON", boost::make_shared<CHFSaron>()},
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{"USD-FedFunds", boost::make_shared<FedFunds>()},
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{"USD-SOFR", boost::make_shared<Sofr>()},
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{"USD-Prime", boost::make_shared<PrimeIndex>()},
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{"AUD-AONIA", boost::make_shared<Aonia>()},
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{"CAD-CORRA", boost::make_shared<CORRA>()},
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{"DKK-DKKOIS", boost::make_shared<DKKOis>()},
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{"SEK-SIOR", boost::make_shared<SEKSior>()},
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{"COP-IBR", boost::make_shared<COPIbr>()},
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{"BRL-CDI", boost::make_shared<BRLCdi>()},
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{"NOK-NOWA", boost::make_shared<Nowa>()},
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{"CLP-CAMARA", boost::make_shared<CLPCamara>()},
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{"NZD-OCR", boost::make_shared<Nzocr>()},
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{"PLN-POLONIA", boost::make_shared<PLNPolonia>()},
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{"INR-MIBOROIS", boost::make_shared<INRMiborOis>()},
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{"SEK-STINA", boost::make_shared<SEKStina>()},
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{"DKK-CITA", boost::make_shared<DKKCita>()}
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};
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{"EUR-EONIA", boost::make_shared<Eonia>()}, {"EUR-ESTER", boost::make_shared<Ester>()},
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{"GBP-SONIA", boost::make_shared<Sonia>()}, {"JPY-TONAR", boost::make_shared<Tonar>()},
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{"CHF-TOIS", boost::make_shared<CHFTois>()}, {"CHF-SARON", boost::make_shared<CHFSaron>()},
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{"USD-FedFunds", boost::make_shared<FedFunds>()}, {"USD-SOFR", boost::make_shared<Sofr>()},
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{"USD-Prime", boost::make_shared<PrimeIndex>()}, {"AUD-AONIA", boost::make_shared<Aonia>()},
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{"CAD-CORRA", boost::make_shared<CORRA>()}, {"DKK-DKKOIS", boost::make_shared<DKKOis>()},
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{"SEK-SIOR", boost::make_shared<SEKSior>()}, {"COP-IBR", boost::make_shared<COPIbr>()},
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{"BRL-CDI", boost::make_shared<BRLCdi>()}, {"NOK-NOWA", boost::make_shared<Nowa>()},
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{"CLP-CAMARA", boost::make_shared<CLPCamara>()}, {"NZD-OCR", boost::make_shared<Nzocr>()},
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{"PLN-POLONIA", boost::make_shared<PLNPolonia>()}, {"INR-MIBOROIS", boost::make_shared<INRMiborOis>()},
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{"SEK-STINA", boost::make_shared<SEKStina>()}, {"DKK-CITA", boost::make_shared<DKKCita>()}};
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// Map from our _unique internal name_ to an ibor index (the period does not matter here)
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static map<string, boost::shared_ptr<IborIndexParser>> iborIndices = {

‎QuantExt/QuantExt.vcxproj‎

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@@ -562,6 +562,7 @@
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<ClInclude Include="qle\indexes\ibor\czkpribor.hpp" />
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<ClInclude Include="qle\indexes\ibor\demlibor.hpp" />
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<ClInclude Include="qle\indexes\ibor\dkkcibor.hpp" />
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<ClInclude Include="qle\indexes\ibor\dkkcita.hpp" />
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<ClInclude Include="qle\indexes\ibor\dkkois.hpp" />
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<ClInclude Include="qle\indexes\ibor\ester.hpp" />
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<ClInclude Include="qle\indexes\ibor\hkdhibor.hpp" />

‎QuantExt/QuantExt.vcxproj.filters‎

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<ClInclude Include="qle\math\quadraticinterpolation.hpp">
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<Filter>math</Filter>
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</ClInclude>
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<ClInclude Include="indexes\ibor\dkkcita.hpp">
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<ClInclude Include="qle\indexes\ibor\dkkcita.hpp">
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<Filter>indexes\ibor</Filter>
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</ClInclude>
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<ClInclude Include="qle\indexes\ibor\sekstina.hpp">

‎QuantExt/qle/CMakeLists.txt‎

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@@ -288,6 +288,7 @@ indexes/ibor/saibor.hpp
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indexes/ibor/seksior.hpp
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indexes/ibor/sekstina.hpp
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indexes/ibor/sekstibor.hpp
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indexes/ibor/sekstina.hpp
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indexes/ibor/sgdsibor.hpp
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indexes/ibor/sgdsor.hpp
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indexes/ibor/skkbribor.hpp

‎QuantExt/qle/indexes/ibor/dkkcita.hpp‎

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@@ -1,3 +1,21 @@
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/*
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Copyright (C) 2021 Skandinaviska Enskilda Banken AB (publ)
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All rights reserved.
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This file is part of ORE, a free-software/open-source library
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for transparent pricing and risk analysis - http://opensourcerisk.org
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8+
ORE is free software: you can redistribute it and/or modify it
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under the terms of the Modified BSD License. You should have received a
10+
copy of the license along with this program.
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The license is also available online at <http://opensourcerisk.org>
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This program is distributed on the basis that it will form a useful
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contribution to risk analytics and model standardisation, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
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FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \file dkkcita.hpp
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\brief DKK T/N rate
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\ingroup indexes
@@ -15,7 +33,7 @@ namespace QuantExt {
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using namespace QuantLib;
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//! %DKK CITA
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/*! %DKK T/N rate
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/*! %DKK Copenhagen Interbank T/N Average rate
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\remark Using Denmark calendar.
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‎QuantExt/qle/indexes/ibor/seksior.hpp‎

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@@ -16,8 +16,8 @@
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FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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19-
/*! \file dkkois.hpp
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\brief SKK T/N rate
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/*! \file seksior.hpp
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\brief SEK T/N rate
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\ingroup indexes
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*/
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//! %SEK SIOR
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/*! %SEK T/N rate
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38-
\remark Using Denmark calendar.
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\remark Using Sweden calendar.
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\ingroup indexes
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*/

‎QuantExt/qle/indexes/ibor/sekstina.hpp‎

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@@ -1,3 +1,26 @@
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/*
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Copyright (C) 2021 Skandinaviska Enskilda Banken AB (publ)
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All rights reserved.
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This file is part of ORE, a free-software/open-source library
6+
for transparent pricing and risk analysis - http://opensourcerisk.org
7+
8+
ORE is free software: you can redistribute it and/or modify it
9+
under the terms of the Modified BSD License. You should have received a
10+
copy of the license along with this program.
11+
The license is also available online at <http://opensourcerisk.org>
12+
13+
This program is distributed on the basis that it will form a useful
14+
contribution to risk analytics and model standardisation, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
16+
FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \file sekstina.hpp
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\brief SEK T/N rate
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\ingroup indexes
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*/
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#ifndef quantext_sekstina_hpp
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#define quantext_sekstina_hpp
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using namespace QuantLib;
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//! %SEK STINA
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/*! %SEK T/N rate
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/*! %SEK Stockholm T/N Interbank Average rate
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*/
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class SEKStina : public OvernightIndex {

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