[Quantlib-dev] Fixed periods in a swap

[Henner H. <hen...@tu...>]

Hello all,

i would like to know, how i can create a swap, which has unadjusted  
(fixed) period lengths
(always the same accrual period, therefore the same rate), but adjusted  
payment dates.
I suspect, that the two BusinessdayConvention parameters "convention" and
"terminationDateConvention" from the "QuantLib::Schedule" constructor and  
the optional
BusinessdayConvention "paymentConvention" from the VanillaSwap constructor  
are the places to look at.

Am i correct with the following assumptions? (If not, please give me the  
correct version. :)  )

paymentConvention:
Determines, how the payment dates of the cash flows are adjusted from their
original value from the schedule, if they happen to be on a weekend or  
holiday.

convention:
Determines, if and how the periods between the cashflows are adjusted  
(Following, ModifiedFollowing, etc.)
or not (Unadjusted and therefore fixed).
If "paymentConvention" is not set in the Swap, "convention" of the  
floating leg schedule is used as default setting for it
-> If the floating leg "convention" is "Unadjusted" and  
"paymentConvention" is not explicitely set,
  i could end up with payment dates on weekends or holidays!?

terminationDateConvention:
Some special treatment of the last period or payment date?


In the Java classes i get from the SWIG interface files, the optional  
parameter "paymentConvention"
is not available for QuantLib::VanillaSwap. Any chance of making it  
available?


Best regards,
Henner Heck




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