mirror notional payment lag from coupon payment lag #277
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added 4 commits
October 25, 2024 16:55
… in case of more than one curve in the same currency
…if notional lag is not given as market standard
mgroncki
reviewed
Apr 3, 2025
| @@ -1118,7 +1118,7 @@ void YieldCurve::buildDiscountCurve() { | |||
| marketData = loader_.get(*wildcard, asofDate_); | |||
| } else { | |||
| std::ostringstream ss; | |||
| ss << MarketDatum::InstrumentType::DISCOUNT << "/" << MarketDatum::QuoteType::RATE << "/" << currency_ << "/*"; | |||
| ss << MarketDatum::InstrumentType::DISCOUNT << "/" << MarketDatum::QuoteType::RATE << "/" << currency_ << "/" << curveConfig_->curveID() << "/*"; | |||
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With the upcoming release we change this, ORE will try to load the quotes as specified if no wildcard is used.
mgroncki
reviewed
Apr 3, 2025
| @@ -764,7 +764,7 @@ void LegData::fromXML(XMLNode* node) { | |||
| dayCounter_ = XMLUtils::getChildValue(node, "DayCounter"); // optional | |||
| paymentConvention_ = XMLUtils::getChildValue(node, "PaymentConvention"); | |||
| paymentLag_ = XMLUtils::getChildValue(node, "PaymentLag"); | |||
| notionalPaymentLag_ = XMLUtils::getChildValue(node, "NotionalPaymentLag"); | |||
| notionalPaymentLag_ = XMLUtils::getChildValue(node, "NotionalPaymentLag", false, paymentLag_); | |||
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those are breaking changes, at the moment it defaults to 0 if its not given
|
Hi Oleg, thanks for the contribution, it contains a few breaking changes (see my comment above) and it could break existing trades which may rely on the current defaults. Is there a trade where we have a problem with the missing payment calendar? Maybe we can fix it in the trade builder then? |
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Generally the notional lag in swaps has the same lag as the coupon payment lag. to achieve these result I would propose to put the coupon payment lag as a default value in the notional payment lag. Otherwise one has to list both xml tags which is redundant.