Add support for payment lag to XCCY fix float rate helpers #323
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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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oszette
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pcaspers
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Dec 18, 2025
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pcaspers
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Thank you! Looks good. We'll incorporate this.
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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