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Add support for payment lag to XCCY fix float rate helpers #323

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8a9852c
Add support for payment lag for xccy fix-float helpers
oszette Dec 8, 2025
adb5bc7
Update conventions.xsd
oszette Dec 8, 2025
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12 changes: 10 additions & 2 deletions OREData/ored/configuration/conventions.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -1157,14 +1157,14 @@ CrossCcyFixFloatSwapConvention::CrossCcyFixFloatSwapConvention(
const string& fixedConvention, const string& fixedDayCounter, const string& index, const string& eom,
const std::string& strIsResettable, const std::string& strFloatIndexIsResettable, const string& strIncludeSpread,
const string& strLookback, const string& strFixingDays, const string& strRateCutoff,
const string& strIsAveraged)
const string& strIsAveraged, const string& strFixedPaymentLag, const string& strFloatPaymentLag)
: Convention(id, Type::CrossCcyFixFloat), strSettlementDays_(settlementDays),
strSettlementCalendar_(settlementCalendar), strSettlementConvention_(settlementConvention),
strFixedCurrency_(fixedCurrency), strFixedFrequency_(fixedFrequency), strFixedConvention_(fixedConvention),
strFixedDayCounter_(fixedDayCounter), strIndex_(index), strEom_(eom), strIsResettable_(strIsResettable),
strFloatIndexIsResettable_(strFloatIndexIsResettable), strIncludeSpread_(strIncludeSpread),
strLookback_(strLookback), strFixingDays_(strFixingDays), strRateCutoff_(strRateCutoff),
strIsAveraged_(strIsAveraged) {
strIsAveraged_(strIsAveraged), strFixedPaymentLag_(strFixedPaymentLag), strFloatPaymentLag_(strFloatPaymentLag) {

build();
}
Expand All @@ -1191,6 +1191,8 @@ void CrossCcyFixFloatSwapConvention::build() {
rateCutoff_ = parseInteger(strRateCutoff_);
if (!strIsAveraged_.empty())
isAveraged_ = parseBool(strIsAveraged_);
fixedPaymentLag_ = strFixedPaymentLag_.empty() ? 0 : lexical_cast<Natural>(strFixedPaymentLag_);
floatPaymentLag_ = strFloatPaymentLag_.empty() ? 0 : lexical_cast<Natural>(strFloatPaymentLag_);
}

void CrossCcyFixFloatSwapConvention::fromXML(XMLNode* node) {
Expand All @@ -1212,6 +1214,8 @@ void CrossCcyFixFloatSwapConvention::fromXML(XMLNode* node) {
strEom_ = XMLUtils::getChildValue(node, "EOM", false);
strIsResettable_ = XMLUtils::getChildValue(node, "IsResettable", false);
strFloatIndexIsResettable_ = XMLUtils::getChildValue(node, "FloatIndexIsResettable", false);
strFixedPaymentLag_ = XMLUtils::getChildValue(node, "FixedPaymentLag", false);
strFloatPaymentLag_ = XMLUtils::getChildValue(node, "FloatPaymentLag", false);


// OIS specific conventions
Expand Down Expand Up @@ -1254,6 +1258,10 @@ XMLNode* CrossCcyFixFloatSwapConvention::toXML(XMLDocument& doc) const {
XMLUtils::addChild(doc, node, "SpreadRateCutoff", strRateCutoff_);
if (!strIsAveraged_.empty())
XMLUtils::addChild(doc, node, "SpreadIsAveraged", strIsAveraged_);
if (!strFixedPaymentLag_.empty())
XMLUtils::addChild(doc, node, "FixedPaymentLag", strFixedPaymentLag_);
if (!strFloatPaymentLag_.empty())
XMLUtils::addChild(doc, node, "FloatPaymentLag", strFloatPaymentLag_);
return node;
}

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9 changes: 8 additions & 1 deletion OREData/ored/configuration/conventions.hpp
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Expand Up @@ -1004,7 +1004,8 @@ class CrossCcyFixFloatSwapConvention : public Convention {
const std::string& strFloatIndexIsResettable = "",
const string& strIncludeSpread = "", const string& strLookback = "",
const string& strFixingDays = "", const string& strRateCutoff = "",
const string& strIsAveraged = "");
const string& strIsAveraged = "", const string& strFixedPaymentLag = "",
const string& strFloatPaymentLag = "");
//@}

//! \name Inspectors
Expand All @@ -1020,6 +1021,8 @@ class CrossCcyFixFloatSwapConvention : public Convention {
bool eom() const { return eom_; }
bool isResettable() const { return isResettable_; }
bool floatIndexIsResettable() const { return floatIndexIsResettable_; }
QuantLib::Natural fixedPaymentLag() const { return fixedPaymentLag_; }
QuantLib::Natural floatPaymentLag() const { return floatPaymentLag_; }

// only OIS
QuantLib::ext::optional<bool> includeSpread() const { return includeSpread_; }
Expand Down Expand Up @@ -1051,6 +1054,8 @@ class CrossCcyFixFloatSwapConvention : public Convention {
bool eom_;
bool isResettable_;
bool floatIndexIsResettable_;
QuantLib::Natural fixedPaymentLag_;
QuantLib::Natural floatPaymentLag_;

// Strings to store the inputs
std::string strSettlementDays_;
Expand All @@ -1071,6 +1076,8 @@ class CrossCcyFixFloatSwapConvention : public Convention {
std::string strFixingDays_;
std::string strRateCutoff_;
std::string strIsAveraged_;
std::string strFixedPaymentLag_;
std::string strFloatPaymentLag_;

// OIS Only
QuantLib::ext::optional<bool> includeSpread_;
Expand Down
6 changes: 4 additions & 2 deletions OREData/ored/marketdata/yieldcurve.cpp
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Expand Up @@ -3043,7 +3043,8 @@ void YieldCurve::addCrossCcyFixFloatSwaps(const std::size_t index,
currency_[index], swapConvention->fixedFrequency(), swapConvention->fixedConvention(),
swapConvention->fixedDayCounter(), floatIndex, floatLegDisc, Handle<Quote>(), swapConvention->eom(),true,
segment->pillarChoice(), swapConvention->includeSpread(), swapConvention->lookback(),
swapConvention->fixingDays(), swapConvention->rateCutoff(), swapConvention->isAveraged());
swapConvention->fixingDays(), swapConvention->rateCutoff(), swapConvention->isAveraged(),
swapConvention->fixedPaymentLag(), swapConvention->floatPaymentLag());
} else {
bool resetsOnFloatLeg = swapConvention->floatIndexIsResettable();
helper = QuantLib::ext::make_shared<CrossCcyFixFloatMtMResetSwapHelper>(
Expand All @@ -3053,7 +3054,8 @@ void YieldCurve::addCrossCcyFixFloatSwaps(const std::size_t index,
swapConvention->fixedDayCounter(), floatIndex, floatLegDisc, Handle<Quote>(), swapConvention->eom(),
true,
resetsOnFloatLeg, segment->pillarChoice(), swapConvention->includeSpread(), swapConvention->lookback(),
swapConvention->fixingDays(), swapConvention->rateCutoff(), swapConvention->isAveraged());
swapConvention->fixingDays(), swapConvention->rateCutoff(), swapConvention->isAveraged(),
swapConvention->fixedPaymentLag(), swapConvention->floatPaymentLag());
}
instruments.push_back(helper);
}
Expand Down
12 changes: 7 additions & 5 deletions QuantExt/qle/termstructures/crossccyfixfloatmtmresetswaphelper.cpp
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Expand Up @@ -35,14 +35,15 @@ CrossCcyFixFloatMtMResetSwapHelper::CrossCcyFixFloatMtMResetSwapHelper(
const Handle<Quote>& spread, bool endOfMonth, bool resetsOnFloatLeg, bool telescopicValueDates,
const QuantLib::Pillar::Choice pillarChoice,
QuantLib::ext::optional<bool> includeSpread, QuantLib::ext::optional<Period> lookback, QuantLib::ext::optional<Size> fixingDays,
QuantLib::ext::optional<Size> rateCutoff, QuantLib::ext::optional<bool> isAveraged)
QuantLib::ext::optional<Size> rateCutoff, QuantLib::ext::optional<bool> isAveraged, QuantLib::ext::optional<Natural> fixedPaymentLag,
QuantLib::ext::optional<Natural> floatPaymentLag)
: RelativeDateRateHelper(rate), spotFx_(spotFx), settlementDays_(settlementDays), paymentCalendar_(paymentCalendar),
paymentConvention_(paymentConvention), tenor_(tenor), fixedCurrency_(fixedCurrency),
fixedFrequency_(fixedFrequency), fixedConvention_(fixedConvention), fixedDayCount_(fixedDayCount), index_(index),
floatDiscount_(floatDiscount), spread_(spread), endOfMonth_(endOfMonth), resetsOnFloatLeg_(resetsOnFloatLeg),
telescopicValueDates_(telescopicValueDates),
pillarChoice_(pillarChoice), includeSpread_(includeSpread), lookback_(lookback), fixingDays_(fixingDays),
rateCutoff_(rateCutoff), isAveraged_(isAveraged) {
rateCutoff_(rateCutoff), isAveraged_(isAveraged), fixedPaymentLag_(fixedPaymentLag), floatPaymentLag_(floatPaymentLag_) {

QL_REQUIRE(!spotFx_.empty(), "Spot FX quote cannot be empty.");
QL_REQUIRE(fixedCurrency_ != index_->currency(), "Fixed currency should not equal float leg currency.");
Expand Down Expand Up @@ -74,7 +75,8 @@ void CrossCcyFixFloatMtMResetSwapHelper::initializeDates() {
Real nominal = 1.0;

// build an FX index for forward rate projection (TODO - review settlement and calendar)
Natural paymentLag = 0;
Natural fixedPaymentLag = fixedPaymentLag_ ? *fixedPaymentLag_ : 0;
Natural floatPaymentLag = floatPaymentLag_ ? *floatPaymentLag_ : 0;
Spread floatSpread = spread_.empty() ? 0.0 : spread_->value();
QuantLib::ext::shared_ptr<FxIndex> fxIdx;
if (resetsOnFloatLeg_) {
Expand All @@ -86,8 +88,8 @@ void CrossCcyFixFloatMtMResetSwapHelper::initializeDates() {
}

swap_ = QuantLib::ext::make_shared<CrossCcyFixFloatMtMResetSwap>(nominal, fixedCurrency_, fixedSchedule, 0.0, fixedDayCount_, paymentConvention_,
paymentLag, paymentCalendar_, index_->currency(), floatSchedule, index_, floatSpread, paymentConvention_,
paymentLag, paymentCalendar_, fxIdx, resetsOnFloatLeg_, true, includeSpread_, lookback_, fixingDays_, rateCutoff_, isAveraged_);
fixedPaymentLag, paymentCalendar_, index_->currency(), floatSchedule, index_, floatSpread, paymentConvention_,
floatPaymentLag, paymentCalendar_, fxIdx, resetsOnFloatLeg_, true, includeSpread_, lookback_, fixingDays_, rateCutoff_, isAveraged_);

// Attach engine
QuantLib::ext::shared_ptr<PricingEngine> engine = QuantLib::ext::make_shared<CrossCcySwapEngine>(
Expand Down
5 changes: 4 additions & 1 deletion QuantExt/qle/termstructures/crossccyfixfloatmtmresetswaphelper.hpp
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Expand Up @@ -64,7 +64,8 @@ class CrossCcyFixFloatMtMResetSwapHelper : public RelativeDateRateHelper {
bool telescopicValueDates = false, const QuantLib::Pillar::Choice pillarChoice = QuantLib::Pillar::LastRelevantDate,
QuantLib::ext::optional<bool> includeSpread = QuantLib::ext::nullopt, QuantLib::ext::optional<Period> lookback = QuantLib::ext::nullopt,
QuantLib::ext::optional<Size> fixingDays = QuantLib::ext::nullopt, QuantLib::ext::optional<Size> rateCutoff = QuantLib::ext::nullopt,
QuantLib::ext::optional<bool> isAveraged = QuantLib::ext::nullopt);
QuantLib::ext::optional<bool> isAveraged = QuantLib::ext::nullopt, QuantLib::ext::optional<Natural> fixedPaymenyLag = QuantLib::ext::nullopt,
QuantLib::ext::optional<Natural> floatPaymentLag = QuantLib::ext::nullopt);
//! \name RateHelper interface
//@{
Real impliedQuote() const override;
Expand Down Expand Up @@ -107,6 +108,8 @@ class CrossCcyFixFloatMtMResetSwapHelper : public RelativeDateRateHelper {
QuantLib::ext::optional<Size> fixingDays_;
QuantLib::ext::optional<Size> rateCutoff_;
QuantLib::ext::optional<bool> isAveraged_;
QuantLib::ext::optional<Natural> fixedPaymentLag_;
QuantLib::ext::optional<Natural> floatPaymentLag_;

QuantLib::ext::shared_ptr<CrossCcyFixFloatMtMResetSwap> swap_;

Expand Down
13 changes: 8 additions & 5 deletions QuantExt/qle/termstructures/crossccyfixfloatswaphelper.cpp
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Expand Up @@ -40,14 +40,15 @@ CrossCcyFixFloatSwapHelper::CrossCcyFixFloatSwapHelper(
const QuantLib::ext::shared_ptr<IborIndex>& index, const Handle<YieldTermStructure>& floatDiscount,
const Handle<Quote>& spread, bool endOfMonth, bool telescopicValueDates, QuantLib::Pillar::Choice pillarChoice,
QuantLib::ext::optional<bool> includeSpread, QuantLib::ext::optional<Period> lookback, QuantLib::ext::optional<Size> fixingDays,
QuantLib::ext::optional<Size> rateCutoff, QuantLib::ext::optional<bool> isAveraged)
QuantLib::ext::optional<Size> rateCutoff, QuantLib::ext::optional<bool> isAveraged,
QuantLib::ext::optional<Natural> fixedPaymentLag, QuantLib::ext::optional<Natural> floatPaymentLag)
: RelativeDateRateHelper(rate), spotFx_(spotFx), settlementDays_(settlementDays), paymentCalendar_(paymentCalendar),
paymentConvention_(paymentConvention), tenor_(tenor), fixedCurrency_(fixedCurrency),
fixedFrequency_(fixedFrequency), fixedConvention_(fixedConvention), fixedDayCount_(fixedDayCount), index_(index),
floatDiscount_(floatDiscount), spread_(spread), endOfMonth_(endOfMonth),
telescopicValueDates_(telescopicValueDates), pillarChoice_(pillarChoice),
includeSpread_(includeSpread), lookback_(lookback), fixingDays_(fixingDays), rateCutoff_(rateCutoff),
isAveraged_(isAveraged) {
isAveraged_(isAveraged), fixedPaymentLag_(fixedPaymentLag), floatPaymentLag_(floatPaymentLag) {

QL_REQUIRE(!spotFx_.empty(), "Spot FX quote cannot be empty.");
QL_REQUIRE(fixedCurrency_ != index_->currency(), "Fixed currency should not equal float leg currency.");
Expand Down Expand Up @@ -114,12 +115,14 @@ void CrossCcyFixFloatSwapHelper::initializeDates() {
DateGeneration::Backward, endOfMonth_);

// Create the swap
Natural paymentLag = 0;
Natural fixedPaymentLag = fixedPaymentLag_ ? *fixedPaymentLag_ : 0;
Natural floatPaymentLag = floatPaymentLag_ ? *floatPaymentLag_ : 0;
Spread floatSpread = spread_.empty() ? 0.0 : spread_->value();
swap_.reset(new CrossCcyFixFloatSwap(CrossCcyFixFloatSwap::Payer, fixedNominal, fixedCurrency_, fixedSchedule, 0.0,
fixedDayCount_, paymentConvention_, paymentLag, paymentCalendar_, floatNominal,
fixedDayCount_, paymentConvention_, fixedPaymentLag, paymentCalendar_,
floatNominal,
index_->currency(), floatSchedule, index_, floatSpread, paymentConvention_,
paymentLag, paymentCalendar_, telescopicValueDates_, includeSpread_, lookback_,
floatPaymentLag, paymentCalendar_, telescopicValueDates_, includeSpread_, lookback_,
fixingDays_, rateCutoff_, isAveraged_));

earliestDate_ = swap_->startDate();
Expand Down
5 changes: 4 additions & 1 deletion QuantExt/qle/termstructures/crossccyfixfloatswaphelper.hpp
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Expand Up @@ -50,7 +50,8 @@ class CrossCcyFixFloatSwapHelper : public RelativeDateRateHelper {
const QuantLib::Pillar::Choice pillarChoice = QuantLib::Pillar::LastRelevantDate,
QuantLib::ext::optional<bool> includeSpread = QuantLib::ext::nullopt, QuantLib::ext::optional<Period> lookback = QuantLib::ext::nullopt,
QuantLib::ext::optional<Size> fixingDays = QuantLib::ext::nullopt, QuantLib::ext::optional<Size> rateCutoff = QuantLib::ext::nullopt,
QuantLib::ext::optional<bool> isAveraged = QuantLib::ext::nullopt);
QuantLib::ext::optional<bool> isAveraged = QuantLib::ext::nullopt, QuantLib::ext::optional<Natural> fixedPaymentLag = QuantLib::ext::nullopt,
QuantLib::ext::optional<Natural> floatPaymentLag = QuantLib::ext::nullopt);

//! \name Observer interface
//@{
Expand Down Expand Up @@ -99,6 +100,8 @@ class CrossCcyFixFloatSwapHelper : public RelativeDateRateHelper {
QuantLib::ext::optional<Size> fixingDays_;
QuantLib::ext::optional<Size> rateCutoff_;
QuantLib::ext::optional<bool> isAveraged_;
QuantLib::ext::optional<Natural> fixedPaymentLag_;
QuantLib::ext::optional<Natural> floatPaymentLag_;

QuantLib::ext::shared_ptr<CrossCcyFixFloatSwap> swap_;
QuantLib::RelinkableHandle<QuantLib::YieldTermStructure> termStructureHandle_;
Expand Down
7 changes: 7 additions & 0 deletions xsd/conventions.xsd
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Expand Up @@ -248,6 +248,13 @@
<xs:element type="bool" name="EOM" minOccurs="0" maxOccurs="1"/>
<xs:element type="bool" name="IsResettable" minOccurs="0" maxOccurs="1"/>
<xs:element type="bool" name="FloatIndexIsResettable" minOccurs="0" maxOccurs="1"/>
<xs:element type="bool" name="IncludeSpread" minOccurs="0" maxOccurs="1"/>
<xs:element type="xs:string" name="Lookback" minOccurs="0" maxOccurs="1"/>
<xs:element type="xs:integer" name="FixingDays" minOccurs="0" maxOccurs="1"/>
<xs:element type="xs:integer" name="RateCutoff" minOccurs="0" maxOccurs="1"/>
<xs:element type="bool" name="IsAveraged" minOccurs="0" maxOccurs="1"/>
<xs:element type="xs:integer" name="FixedPaymentLag" minOccurs="0" maxOccurs="1"/>
<xs:element type="xs:integer" name="FloatPaymentLag" minOccurs="0" maxOccurs="1"/>
</xs:all>
</xs:complexType>

Expand Down