Short Stub Swap

[gouthamnarayanan]

Hi All,

Using the custom Swap(fixedleg, floatingleg) method I am currently building swaps specifying the settlement date and the payment tenor.
It works fine in the current scenario where:
1) I enter into the swap today, with the swap settlement dates every quarter. So I enter into the swap today (23 Aug) with payments made every quarter (23 Nov, 23Feb, 23May, 23 Aug) and so on. This scenario works perfectly well with what I have built currently.

Short Stub Swap
The issue:
When I enter into the swap today, with the first settlement date four months from now and every subsequent settlement date calculated semi-annually after the first settlement date.
The scenario:
2) Enter into the swap today (23 Aug), the first swap settlement date is for months from today (23 Dec).
BUT the next and every subsequent settlement date would be semi-annual. So, the second settlement date would be 23 June (6 months from 23 Dec) and the third settlement date would be 23 Dec of the next year and so on.

I want to know if it is possible to build custom swap payment structures like what I have described in scenario 2 with QuantLib (Shot Stub Swap)

Thank You,
Best,
Goutham

 

[Quasar Chunawala]

Hi Goutham,

The Schedule() constructor described by Luigi here, should definitely work for building swaps with short/long stubs at front/rear.

Regards,
Quasar