Fixing Days


Key Fixing Days 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.
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 N consecutive accrual intervals defined by the N + 1 time points T⁰, T¹, T², ..., Tᴺ
These are the intervals [T⁰,T¹] , [T¹,T²] , [Tᴺ⁻¹,Tᴺ]
To these accrual intervals correspond the N ibor rates r¹, r², ..., rᴺ
So, the rate accrues over the interval [T⁰,T¹], the rate over the interval [T¹,T²], etc.
By default, each rate is fixed n business days before the onset of its corresponding accrual interval, where n ≥ 0 is the rate's intrinsic settlement delay in business days wrt that rate's calendar.
Therefore, by default the rate is fixed at time T⁰ - n and accrues interest over the accrual interval [T⁰,T¹]
Similarly, by default the rate is fixed at time T¹ - n and accrues interest over the accrual interval [T¹,T²] and so on for the remaining rates.

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 n business days before the start of their respective accrual period.
Concretely, assume an array containing the K - perhaps even negative - integers n¹, n², ..., nᴷ is defined here.
Then the first integer overwrites the n at the first interval so that the rate sets at time T⁰ - n¹
Similarly, the second integer overwrites the n at the second interval so that the rate sets at time T¹ - n²
If K < N, the last integer nᴷ applies to all remaining intevals as well.
Any element may be set to contain the special text N/A, which signals that the number of fixing days n should apply to the respective interval.

If omitted, the default is an empty array, which means the number of fixing days n applies to all intervals.