Re: [Quantlib-users] Delayed payment dates for swaps and FRN

[Ben W. <ben...@ma...>]

 

I have been looking at similar issues with XCCY ASW swaps and RFR rates. Manually built custom swap legs made with SimpleCashFlow to offset coupon amounts and manually calculate stub accruals etc.

 

Regards

 

Ben

 

 

From: Paul Buettiker <p.b...@gm...> 
Sent: Wednesday, 2 February 2022 7:43 PM
To: qua...@li...
Subject: [Quantlib-users] Delayed payment dates for swaps and FRN

 

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.