## Fixing Days

Key

**in FxdIbor Swap refers to an optional 1D-array of integers that affects the start date of the spanning time interval that defines the ibor rate at each period of the applicable leg.**

*Fixing Days*The effect on the corresponding ibor's spanning time interval is as described at Fixing Days in the context of a Term Rate

Note, the "spanning time interval" may differ from the "accrual time interval" over which the ibor rate accrues the interest amount that is eventually paid in association with the respective period.

Formally, a floating leg consists of

**consecutive accrual intervals defined by the**

*N***time points**

*N + 1*

*T⁰, T¹, T², ..., Tᴺ*These are the intervals

**,**

*[T⁰,T¹]***,**

*[T¹,T²]*

*[Tᴺ⁻¹,Tᴺ]*To these accrual intervals correspond the

**ibor rates**

*N*

*r¹, r², ..., rᴺ*So, the rate

**accrues over the interval**

*r¹***, the rate**

*[T⁰,T¹]***over the interval**

*r²***, etc.**

*[T¹,T²]*By default, each rate is fixed

**business days before the onset of its corresponding accrual interval, where**

*n***is the rate's intrinsic settlement delay in business days wrt that rate's calendar.**

*n ≥ 0*Therefore, by default the rate

**is fixed at time**

*r¹***and accrues interest over the accrual interval**

*T⁰ - n*

*[T⁰,T¹]*Similarly, by default the rate

**is fixed at time**

*r²***and accrues interest over the accrual interval**

*T¹ - n***and so on for the remaining rates.**

*[T¹,T²]*The entry here may be used to break this pattern by forcing the reset dates of the ibor rates to fall on any custom date and not necessarily

**business days before the start of their respective accrual period.**

*n*Concretely, assume an array containing the

**- perhaps even negative - integers**

*K***is defined here.**

*n¹, n², ..., nᴷ*Then the first integer

**overwrites the**

*n¹***at the first interval so that the rate**

*n***sets at time**

*r¹*

*T⁰ - n¹*Similarly, the second integer

**overwrites the**

*n²***at the second interval so that the rate**

*n***sets at time**

*r²*

*T¹ - n²*If

**, the last integer**

*K < N***applies to all remaining intevals as well.**

*nᴷ*Any element may be set to contain the special text N/A, which signals that the number of fixing days

**should apply to the respective interval.**

*n*If omitted, the default is an empty array, which means the number of fixing days

**applies to all intervals.**

*n*