Schedule information is required when pricing swaption with day count = act/365L


We have noticed an issue when pricing a swaption trade where the fixed leg has daycount = Act/365L, and the settlement type of the swaption is cash par yield, the method com.opengamma.strata.pricer.swaption.VolatilitySwaptionProductPricer#presentValue is called. This in turn calls calculateNumeraire, which calls com.opengamma.strata.pricer.swap.DiscountingSwapLegPricer#annuityCash(com.opengamma.strata.product.swap.ResolvedSwapLeg, double). When calculating the yearFraction (in calculation of nbFixedPaymentYear), the schedule period is set to DayCounts.SIMPLE_SCHEDULE_INFO.

As per the java doc:

“This uses a simple DayCount.ScheduleInfo which has the end-of-month convention set to true, but throws an exception for other methods. Certain implementations of DayCount need the missing information, and thus will throw an exception.”

And for ACT_365L:

“The method DayCount.yearFraction(LocalDate, LocalDate) will throw an exception because schedule information is required for this day count.”

Why is there no availability to set the schedule info for calculating swaptions that have settlement type = Cash par yield? And do you plan on implementing this?