|
From: Paul B. <p.b...@gm...> - 2022-02-02 08:43:33
|
Dear all With the advent of swaps on RFR, the terms of payment for some currencies changed: the two legs now may have delayed payment dates, i.e. the pay date is n days after the accrual end date (see e.g. https://www.snb.ch/n/mmr/reference/template_20191202/source/template_20191202.n.pdf ). BTW, the same also holds for some floating rate notes. According to an older statement of Luigi ( https://stackoverflow.com/questions/39789483/c-quantlib-swap-payment-dates), there was no (easy) way to account for such delayed payment. Are there plans to account for such delays? Is there a workaround (sorry, I'm not yet very experienced with QuantLib)? Kind regards, Paul. |