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Adding term rates descriptions for GBP, JPY and USD. #2383

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merged 3 commits into from Jan 4, 2022
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marc-henrard
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References on those rates can be found at

USD-BSBY-12M,USD,TRUE,Act/360,USGS,2,USGS,USGS,12M,LastBusinessDay,08:00,America/New_York,Act/360
,,,,,,,,,,,,
USD-TERMSOFR-1M,USD,TRUE,Act/360,USGS,2,USGS,USGS,1M,LastBusinessDay,05:00,America/New_York,Act/360
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We have AMERIBORTERM but TERMSOFR and TERMSONIA. If these are all similar, we should name similarly, maybe changing to TERMAMERIBOR?

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The word "term" is used with different meaning in those two contexts. AMERIBORTERM is a term deposit rate while TERMSOFR is a term derivative rate from Overnight SOFR-linked derivatives.
We can harmonize the names, but we still have the issues reported below, that the overnight-linked term rates need also the term rate provider in the name to avoid confusion when several providers publish similar rates.

@@ -276,6 +276,8 @@ GBP-SONIA-OIS-COMPOUND = GBP-SONIA
GBP-SONIA-OIS Compound = GBP-SONIA
GBP-SONIA-WMBA-COMPOUND = GBP-SONIA

GBP-TERMSONIA = GBP-TERMSONIA
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ISDA name seems to be "GBP-SONIA ICE Term" or "GBP-SONIA Refinitiv Term"

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There is indeed the possibility of several term rates published by different providers. Should we include the provider in the name? We have not done it in the past (there was only one LIBOR, one EURIBOR, etc.).
A name like "GBP-SONIAICETERM-1M" or "GBP-SONIAREFINITIVTERM-1M"would be more explicit.

@@ -302,6 +306,8 @@ USD-SOFR-COMPOUND = USD-SOFR
USD-SOFR-OIS-COMPOUND = USD-SOFR
USD-SOFR-OIS Compound = USD-SOFR

USD-TERMSOFR = USD-TERMSOFR
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ISDA name seems to be "USD-SOFR CME Term"

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marc-henrard commented Dec 20, 2021

On the names, my take from the above comments:

  • In IborIndexData: for overnight-linked term rate, use ONXXXTERM with ON the overnight rate (e.g SOFR or SONIA), XXX the provider (e.g. CME or ICE). Example: USD-SOFRCMETERM-1M
  • In FloatingRateNameData: add the ISDA names
  • JPY TORF is a special case, as TORF is already a specific name, not simply TONA Term. I have left the name JPY-TORF (without term and without Quick) in IborIndexData. I have added ISDA name in FloatingRateNameData.
  • For AMERIBOR, I would keep "AMERIBORTERM".

@jodastephen jodastephen added the auto-merge Merge when build finishes label Jan 4, 2022
@mergify mergify bot merged commit 0e3b3a2 into main Jan 4, 2022
@delete-merged-branch delete-merged-branch bot deleted the topic/term-rate branch January 4, 2022 08:58
@jodastephen jodastephen added this to the v2.11 milestone Jan 5, 2022
@jodastephen jodastephen removed the auto-merge Merge when build finishes label Jan 5, 2022
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