Add support for payment lag to XCCY fix float rate helpers#323
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oszette wants to merge 2 commits intoOpenSourceRisk:masterfrom
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Add support for payment lag to XCCY fix float rate helpers#323oszette wants to merge 2 commits intoOpenSourceRisk:masterfrom
oszette wants to merge 2 commits intoOpenSourceRisk:masterfrom
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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.
oszette
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pcaspers
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Dec 18, 2025
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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. |
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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