IRS cash fixing delta

Hi team,

Pricing a vanilla 3y IRS quarterly swap with dates 23-Mar-23 to 23-Mar-26.

I’ve noticed that pricing out of 22nd will gap the risk in the 3M bucket to include the fixing on the 23rd. But then pricing the trade on the 24th will not include this cash fixing.

I should be seeing no cash fixing when priced out of the 22nd and the delta of this cash fixing appear on the 24th.

Pricing out of 22nd:
RatePaymentPeriod{paymentDate=2023-06-23, accrualPeriods=[RateAccrualPeriod{startDate=2023-03-23, endDate=2023-06-23, unadjustedStartDate=2023-03-23, unadjustedEndDate=2023-06-23, yearFraction=0.25205479452054796, rateComputation=FixedRateComputation{rate=0.03}, gearing=1.0, spread=0.0, negativeRateMethod=AllowNegative}], dayCount=Act/365 Actual, currency=AUD, fxReset=null, notional=-8.87E8, compoundingMethod=None}

Gives me the irs delta risk:

Label 3y_trade
FIX-3M 21,791
FUT1 23
FUT2 -103
FUT3 -383
FUT4 134
FUT5 44
FUT6 -60
FUT7 -78
FUT8 103
IRS-3Y 252,031
IRS-4Y 65
IRS-5Y -17
IRS-6Y 5
IRS-7Y -1
IRS-8Y 0
IRS-9Y -0
IRS-10Y 0
IRS-12Y -0
IRS-15Y 0
IRS-20Y -0
IRS-25Y 0
IRS-30Y -0

As you can see, I don’t expect the 21k dv01 in the 3M bucket for value date 22nd.

When I price out of the 24th, I get:

Label 3y_trade
FIX-3M 267
FUT1 560
FUT2 -303
FUT3 -35
FUT4 -41
FUT5 -153
FUT6 165
FUT7 -122
FUT8 115
IRS-3Y 252,233
IRS-4Y -484
IRS-5Y 131
IRS-6Y -36
IRS-7Y 10
IRS-8Y -3
IRS-9Y 1
IRS-10Y -0
IRS-12Y 0
IRS-15Y -0
IRS-20Y 0
IRS-25Y -0
IRS-30Y 0

I expect a -21k dv01 bucket to appear on the 24th as the cash gets fixed and flat on the 22nd. It seemed to be fine when pricing my portfolio on the 23rd. Has something changed in the pricing engine from 23rd to 24th or am I missing something?

Thanks vm


Resolved. Including the same value date in fixings table was causing the risk issue. Not sure why, but easy fix.