Payment Calendars and Reset Dates Across Interest Rate Swap Legs

Summary

The document asks whether the two legs of an interest rate swap can use different payment calendars. The answer says that swap legs may differ in payment frequency and day-count convention, and distinguishes payment calendars from floating-rate reset calendars. For USD LIBOR swaps, the cited practice uses separate calendars for payments and rate observations; reset dates account for when the index is published. Floating legs referencing different indices may also need distinct reset calendars.

For cross-currency swaps, the answer describes a shared payment calendar formed from the relevant currency calendars, so both payments occur when settlement is feasible for both currencies. It notes that calendar handling depends on the product and market convention, and that requiring users to enter separate calendars for each leg could complicate booking interfaces. The exchange gives illustrative conventions rather than a comprehensive specification, and does not detail current fallback or post-LIBOR conventions.

Key ideas

• Interest rate swap legs can have different payment frequencies and day-count conventions.
• Payment calendars and floating-rate reset calendars serve different purposes.
• Floating legs tied to different indices may require different reset calendars.
• Cross-currency swap payment calendars commonly account for holidays in both currencies.
• Calendar conventions vary by product and market practice.

Tags

# Can an IRS have a different payment calendar by leg?


# Can an IRS have a different payment calendar by leg?












I have to model IRS in an IT system and I have a question related to this modeling.

Can an IRS have a different payment calendar by leg ?

Thanks and regards

## Answer by Dimitri Vulis (score 3, accepted)

https://quant.stackexchange.com/a/65621

For IR swaps based on USD LIBOR, it is standard to to have different payment frequencies (quarterly v semiannual) and daycounts and to have two separate kinds of calendars: payments and, for a floating leg, resets (London, for observing the resets, because you don't want to be looking for LIBOR on a Boxing day, but you do want LIBOR from July 4th). (For SOFR, the industry seems to be standardizing on annual v annual, and not caring about non-US holidays).

On a cross-currency swap, typically the legs use the same payment calendar that is a union of when the two currencies can be paid. E.g. New York and Target - if you can't receive USD today because of Thanksgiving, then don't pay EUR today, but wait a day.

I can easily imagine a float v float swap whose legs have different reset calendars because they use indices with different calendars (not 3mo v 6mo LIBOR, but e.g. LIBOR v SOFR or Fed funds).

From a user interface POV, it would be annoying to have to specify separate payment calendars when booking.

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