Strata using fixingDate for lookup of curve instead of tradeDate


ReceiveLeg of the swap is as follows:

  SwapLeg receiveLeg = RateCalculationSwapLeg.builder()
                .businessDayAdjustment(BusinessDayAdjustment.of(BusinessDayConventions.MODIFIED_FOLLOWING, CalendarUSD.NYC))
                .fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, CalendarUSD.NYC, BDA_NONE))

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.


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


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