Keep Reset Dates
Key Keep Reset Dates of function Carry in IRSrefers to an optional boolean that is relevant to the function Carry only if the input Method is set to Modify Swap
It affects the reset date of the index of the first period of the floating leg of the constructed forward swap from the horizon date Tʰ to maturity Tᵐ - as described in the function Carry
It only has an effect if the horizon date Tʰ happens to lie in the middle of a floating period of the original swap so that the first floating period of the constructed forward swap is a stub period of a lesser length than usual.
In this case, the question arises as to whether the index corresponding to that stub period should be redefined so that its spanning period starts with that stub period's start date (or end date if in arrears).
If TRUE, the index does not change and its spanning period still references the corresponding full period of the original swap.
If set to FALSE, the index changes so that its spanning period becomes shorter and begins at the stub period's start date.
If omitted, the default is TRUE because a) it better matches the reality in a scenario where a trader decides to unwind the swap position by entering at Tʰ the reverse of the original swap and b) indices with spanning periods lesser than usual (for example 17-day Libors) are not market observables.
It may happen though that popular pricing systems like Bloomberg apply the FALSE setting for reasons of computational simplicity.
Below is a diagram that demonstrates the two treatments in the case of a 5Y spot OIS with a 3M horizon.
