Eugene Toder

Results 74 comments of Eugene Toder

Yes, for example CDOR used to have semiannual swaps on the 3M index.

@lballabio I believe this is exactly the one I mentioned in https://github.com/lballabio/QuantLib/issues/2138#issuecomment-2640099540 :-) Also, FWIW, ORE has these as separate classes for [the swap](https://github.com/OpenSourceRisk/Engine/blob/1baa1d87bc989809591210bd9c49d998e1f69e94/QuantExt/qle/instruments/subperiodsswap.hpp#L38) and [the helper](https://github.com/OpenSourceRisk/Engine/blob/1baa1d87bc989809591210bd9c49d998e1f69e94/QuantExt/qle/termstructures/subperiodsswaphelper.hpp#L37), but it does...

Obligatory https://bash-org-archive.com/?329292

One argument for why `advance()` should work like this, is that otherwise it is inconsistent with `businessDaysBetween()`: ``` businessDaysBetween(date, advance(date, N, Days)) == N ``` should hold for all date...

@lballabio schedule and payment calendars can be different, so an adjusted schedule date can still be a payment holiday. That said, I think there were some swaps with unadjusted schedules...

@lballabio I can't find a document with the spec, but according to Bloomberg, some BRL NDIRS have unadjusted accrual dates and 1 day payment delay. So a 10y swap starting...

@MishaKav Looks like the workflow doesn't work in forks

@MishaKav thank you. Let me know if you have any comments in the PR, happy to fix or improve it.

@MishaKav It looks like to fix the issues in the pipeline, the two common approaches are to either 1. Use the `pull_request_target` trigger instead of `pull_request`. Set the minimal permissions...