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

[Paul B. <p.b...@gm...>]

Hi Ben & Luigi

Many thanks for your hints. I will try this.

Kind regards
Paul

On 02.02.22 11:24, Luigi Ballabio wrote:
> 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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