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

[Luigi B. <lui...@gm...>]

Hello,
    the `OvernightLeg` class now has a `withPaymentLag` method that allows
to specify a number of payment days after the end date of the coupon, and
the `OvernightIndexedSwap` class takes a similar parameter at its
constructor, so swaps on RFR should be covered.

There's still no such parameter for `VanillaSwap`, but `IborLeg` has
`withPaymentLag`, so a workaround for floating-rate swaps (or bonds) would
be to build the fixed and floating leg explicitly and pass them to the
`Swap` class constructor.

Hope this helps,
    Luigi


On Wed, Feb 2, 2022 at 9:46 AM Paul Buettiker <p.b...@gm...> wrote:

> 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.
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