#2399·QuantLib

Question on fixing date used in notional adjustment of MtmCrossCurrencyBasisSwapRateHelper

Author: aaroncgwCreated Dec 8, 2025Updated Jul 28, 2026
Labelsin progress

I have a question regarding the date used for notional adjustment calculation in MtmCrossCurrencyBasisSwapRateHelper.

In the current implementation (see link below), the notional adjustment appears to be taken on the coupon start date, without applying the fixingDays adjustment:

https://github.com/lballabio/QuantLib/blob/master/ql/experimental/termstructures/crosscurrencyratehelpers.cpp#L134

For MtM cross currency swaps, my understanding is that the notional adjustment factor should based on a date (fixingDate) such as: fixingDate = accrualStartDate - fixingDays

Before assuming anything is missing, I wanted to check whether:

  1. the FX fixing lag adjustment is applied elsewhere in the helper or swap construction, and I may have overlooked it, or
  2. the fixing date is intentionally taken as the coupon start date, even when the fixingDays is set, or
  3. the lagged fixing date should be used here but is currently not applied.