Strata using fixingDate for lookup of curve instead of tradeDate

nicoltj · November 14, 2016, 2:54pm

ReceiveLeg of the swap is as follows:

  SwapLeg receiveLeg = RateCalculationSwapLeg.builder()
            .payReceive(RECEIVE)
            .accrualSchedule(PeriodicSchedule.builder()
                .startDate(startDate)
                .endDate(endDate)
                .frequency(Frequency.P3M)
                .businessDayAdjustment(BusinessDayAdjustment.of(BusinessDayConventions.MODIFIED_FOLLOWING, CalendarUSD.NYC))
                .rollConvention(RollConvention.ofDayOfMonth(startDate.getDayOfMonth()))
                .build())
            .paymentSchedule(PaymentSchedule.builder()
                .paymentFrequency(Frequency.P3M)
                .paymentDateOffset(DaysAdjustment.NONE)
                .build())
            .notionalSchedule(notionalSchedule)
            .calculation(IborRateCalculation.builder()
                .index(USD_LIBOR_3M)
                .dayCount(DayCounts.ACT_360)
                .fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, CalendarUSD.NYC, BDA_NONE))
                .build())
            .build();

I am getting exception in Strata library when I supply startDate = effectiveDate = 2016-11-15 for the swap.

Exception in thread “main” java.lang.IllegalStateException: Unable to get a value from a failure result: Unable to get fixing for USD-LIBOR-3M on date 2016-11-10, no time-series supplied.

Why is it looking for the time-series data for Nov 10th when it should be looking for Nov 11th i.e. the trade date.

stephen · November 14, 2016, 2:59pm

In the calendar you are using, the 11th of November is a holiday:

github.com

OpenGamma/Strata/blob/master/modules/pricer/src/test/java/com/opengamma/strata/pricer/swap/e2e/CalendarUSD.java#L34




public static final HolidayCalendarId NYC = HolidayCalendarId.of("TestNYC");
public static final HolidayCalendar NYC_CALENDAR;
static {
  List<LocalDate> holidays = new ArrayList<>();
  int startYear = 2013;
  int endYear = 2063;
  for (int i = startYear; i <= endYear; i++) {
    holidays.add(LocalDate.of(i, 1, 1));
    holidays.add(LocalDate.of(i, 7, 4));
    holidays.add(LocalDate.of(i, 11, 11));
    holidays.add(LocalDate.of(i, 12, 25));
  }
  holidays.add(LocalDate.of(2014, 1, 20));
  holidays.add(LocalDate.of(2014, 2, 17));
  holidays.add(LocalDate.of(2014, 5, 26));
  holidays.add(LocalDate.of(2014, 9, 1));
  holidays.add(LocalDate.of(2014, 10, 13));
  holidays.add(LocalDate.of(2014, 11, 27));
  holidays.add(LocalDate.of(2015, 1, 19));
  holidays.add(LocalDate.of(2015, 2, 16));

nicoltj · November 14, 2016, 3:34pm

Of course! I changed the fixingDateOffset Calendar and it worked! Thanks!

Topic		Replies	Views
Automatically compute fixing date for a swap contract Strata	6	712	June 10, 2020
Swap pricing without a fixing time-series Strata	3	1514	March 17, 2016
Pricing Swaps daily Strata	3	1538	July 19, 2016
PV01 and DV01 for fixed-float interest rate vanilla swaps Strata	16	18924	September 8, 2016
Fed funds curve with meeting date swaps immediately prior to meeting Strata	0	1338	July 30, 2019

Strata using fixingDate for lookup of curve instead of tradeDate

Related topics