Notional set to 0 if accural end date > today

[oszette]

Hi!

With the new release, we found that trades where the accrual end date for the legs has passed but the payment date is still in the future relative to today, the notional is set to zero. The commit that introduced this is ba037a6, specifically the changes made to legdata.cpp on line 2649.

A crude way to solve it is to just add an additional check on the coupon payment date:

for (auto cf : leg) {
        QuantLib::ext::shared_ptr<Coupon> coupon = QuantLib::ext::dynamic_pointer_cast<QuantLib::Coupon>(cf);
        if ((coupon) && (coupon->accrualEndDate() > today || coupon->date() > today)) {
            return coupon->nominal();
        }
    }

Let me know what you think.

/Oskar

[pcaspers]

Hi Oskar, this change is deliberate. The current notional should reflect the notional that is the basis for accruals on the valuation date. In other words, the notional changes with accrual periods, not payment dates. We noticed that the old logic is not in line with market standards for notional reconciliation, hence the change. Can you work with that or do you depend on the old logic?

[oszette]

Hi again,

I see your point. But what about swaps with no coupons left where the payment lag is in the future? We have observed some positions with notionals of zero but non-zero NPVs.

[pcaspers]

Hi Oskar, since no interest is accumulated, it is not unreasonable to report a notional of zero after the last accrual end date, even if there are still outstanding payments?