How Swap Fixing Lag Aligns with Euribor Settlement Days in QuantLib

Summary

The document explains why a standard QuantLib swap helper can produce a forward-rate start date that differs from the fixing date by two business days. Although the example EUR swap uses a two-day fixing lag, the coupon accrual begins on the reset date rather than two business days earlier. The question asks whether the helper supports a custom fixing lag.

The reply says the helper does not offer a custom fixing-lag setting, but that standard quoted swaps are handled through the index’s own settlement-day convention. The fixing is observed earlier, while the Euribor rate’s underlying start date is shifted forward by the same number of settlement days. Those offsets cancel, so the projected rate period matches the coupon accrual period. This explanation applies to the standard conventions described; the document does not discuss nonstandard swaps or show implementation details for custom schedules.

Key ideas

• The swap helper does not provide a custom fixing-lag setting, according to the reply.
• For standard quoted swaps, the index settlement days offset the fixing lag.
• The earlier Euribor fixing maps to a forward period beginning on the coupon reset date.
• This alignment makes the projected underlying rate period match the coupon accrual period.

Tags

# When using quantlib's swaphelper to build a curve, is the fixing lag considered?


# When using quantlib's swaphelper to build a curve, is the fixing lag considered?












For example, EUR Annual (vs. 3M EURIBOR) swap has 2-Business-Days Fixing Lag.

When interpolating with 1Y swap, the forward 3M Euribor rate starting date is the reset date（2023/6/14）, not the reset date - 2 business days（2023/6/12）.

My question is does Quantlib support custom fixing lag? If anyone could answer, I'd be very grateful.

## Answer by Luigi Ballabio (score 2)

https://quant.stackexchange.com/a/79768

The helper doesn't support a custom fixing lag, but for standard quoted swaps (the ones you would use to create a curve) the fixing lag you're seeing is designed to cancel out with the index own settlement days.

To take your example: for a coupon that starts on 2023/06/14, the fixing date (giving the lag) is two business days earlier, 2023/06/12. But the Euribor 3M fixing on 2023/06/12 is calculated based on two settlement days, so the underlying forward rate starts two business days later, on 2023/06/14, and ends after 3 months. This makes the underlying rate span the same period as the coupon. The helper manages this correctly.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.