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Add support for payment lag to XCCY fix float rate helpers - #323
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oszette wants to merge 6 commits into
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merge master changes for libboost systems fix See merge request qs/ore!126
Merge v1.8.14.0 into 'master' Closes QPR-13622, QPR-13650, QPR-13598, QPR-13645, QPR-12983, QPR-13593, QPR-13632, QPR-13533, QPR-13630, QPR-13046, QPR-13619, QPR-12585, QPR-13605, QPR-13578, QPR-13127, QPR-13592, QPR-13375, QPR-13576, QPR-13473, QPR-13596, QPR-13415, QPR-9432, QPR-13185, QPR-13500, QPR-13585, QPR-12601, QPR-13579, QPR-13577, QPR-13570, QPR-13569, QPR-12106, QPR-13567, QPR-13526, QPR-12228, QPR-13557, QPR-13571, QPR-13498, QPR-13548, QPR-13478, QPR-13562, QPR-13564, QPR-12948, QPR-13529, QPR-12059, QPR-13545, QPR-13550, QPR-13547, QPR-13440, QPR-13353, QPR-13409, QPR-13525, QPR-13481, QPR-13502, QPR-13429, QPR-13517, QPR-12753, QPR-13400, QPR-13518, QPR-13510, QPR-13515, QPR-13093, QPR-13520, QPR-13476, QPR-13516, QPR-13486, QPR-13501, QPR-13487, QPR-13220, QPR-13399, QPR-13470, QPR-13484, QPR-12537, QPR-13485, QPR-12984, QPR-13456, QPR-13436, QPR-13219, QPR-13462, QPR-13395, QPR-13459, QPR-13091, QPR-13442, QPR-13113, QPR-13297, QPR-13416, QPR-12143, QPR-13428, QPR-13452, QPR-13435, QPR-13389, QPR-13404, QPR-13406, QPR-13418, QPR-13393, QPR-13354, QPR-13408, QPR-13410, QPR-13304, QPR-13402, QPR-13255, QPR-13254, QPR-13319, QPR-13370, QPR-13390, QPR-13307, QPR-13387, and QPR-13384 See merge request qs/ore-github!68
Introduces support for fixedPaymentLag and floatPaymentLag parameters in CrossCcyFixFloatSwapConvention, CrossCcyFixFloatSwapHelper, and CrossCcyFixFloatMtMResetSwapHelper classes. Updates constructors, member variables, XML serialization, and swap initialization logic to handle payment lags for both fixed and floating legs.
pcaspers
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Thank you! Looks good. We'll incorporate this.
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Hi again, I saw that a XCCY Fix-Float helper was added in QL 1.41. Not sure how relevant this PR is now, since it it probably better to use that one moving forward. |
pcaspers
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Jul 24, 2026
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Hi @oszette, sorry we did not manage to review this for v17, we will include the changes resp. switch to the QL helper if possible in v18. Hope that works for you. |
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Hi,
I've added support to specify payment lags in the conventions for XCCY fix float rate helpers, previously this was hardcoded to zero. I also added some convention parameters that was previously not in the xsd.
Let me know what you think.
//Oskar