Posted by
Henner Heck on
Jan 28, 2011; 4:08pm
URL: http://quantlib.414.s1.nabble.com/Fixed-periods-in-a-swap-tp8845.html
Hello all,
i would like to know, how i can create a swap, which has unadjusted (fixed) period lengths
(always the same accrual period, therefore the same rate), but adjusted payment dates.
I suspect, that the two BusinessdayConvention parameters "convention" and
"terminationDateConvention" from the "QuantLib::Schedule" constructor and the optional
BusinessdayConvention "paymentConvention" from the VanillaSwap constructor are the places to look at.
Am i correct with the following assumptions? (If not, please give me the correct version. :) )
paymentConvention:
Determines, how the payment dates of the cash flows are adjusted from their
original value from the schedule, if they happen to be on a weekend or holiday.
convention:
Determines, if and how the periods between the cashflows are adjusted (Following, ModifiedFollowing, etc.)
or not (Unadjusted and therefore fixed).
If "paymentConvention" is not set in the Swap, "convention" of the floating leg schedule is used as default setting for it
-> If the floating leg "convention" is "Unadjusted" and "paymentConvention" is not explicitely set,
i could end up with payment dates on weekends or holidays!?
terminationDateConvention:
Some special treatment of the last period or payment date?
In the Java classes i get from the SWIG interface files, the optional parameter "paymentConvention"
is not available for QuantLib::VanillaSwap. Any chance of making it available?
Best regards,
Henner Heck
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