Negative Payment Lag

[pcaspers]

We are seeing swaps (specifically AUD-GBP cross currency swaps) with negative payment lag -2bd. QuantLib currently allows for non-negative payment lags only.

[github-actions]

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[Stoozy]

Hello, I'm new to this project and would like to take this on. Any pointers on what should be done?

[lballabio]

Thanks! If you search for "paymentlag" in the library, you'll find a number of places where such a parameter is passed around. Currently, its type is Natural, which is a typedef for unsigned i.e. positive. Replacing Natural with Integer should allow both positive and negative numbers.

[Stoozy]

Thanks for the reply. I opened a PR, #1818 .