Calculate spot dates from the actual evaluation date (#753)#2653
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Excal-rs wants to merge 1 commit into
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Calculate spot dates from the actual evaluation date (#753)#2653Excal-rs wants to merge 1 commit into
Excal-rs wants to merge 1 commit into
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Settlement and fixing days are counted from the actual evaluation date, without first rolling it to a business day: Calendar::advance already skips non-business days, so the pre-adjustment added an extra business day whenever the evaluation date was a holiday or weekend. The adjustment is removed from MakeVanillaSwap and MakeOIS (when explicit settlement days are given) and from DepositRateHelper, FraRateHelper and BMASwapRateHelper. MakeVanillaSwap and MakeOIS also gain an optional settlement calendar, defaulting to the float and overnight calendar respectively, since the calendar used for the settlement-day advance is not always the index calendar (e.g. USD SOFR swaps).
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coverage: 74.887% (+0.002%) from 74.885% — Excal-rs:fix-753-reference-date-adjustment into lballabio:master |
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This addresses #753, using the approach @eltoder confirmed there.
Calendar::advance() already skips non business days. Because of this, adjusting the evaluation date before advancing added an extra business day whenever the evaluation date was a holiday or weekend. For example T+2 on TARGET from Saturday 20 June 2026 gave 24 June instead of 23 June.
This PR does the following.
Two checks in testMakeOISDefaultSettlementDays expected the old behaviour on a weekend evaluation date, so they were updated. The rest of the test suite passes unchanged.
The spot date paths that go through Index::valueDate, and the same pattern in MakeCms, MakeSwaption, MakeMultipleResetsSwap and FxSwapRateHelper, are left for a follow up. Happy to take those too.
Claude Code was used while working on this, mainly for confirming the issue still exists, finding the places that needed the fix, and for testing and debugging.