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Add MultipleResetsSwap instrument and rate helper
Implements issue #2138: a fixed-vs-floating swap whose floating leg coupons are determined by compounding or averaging multiple consecutive Ibor fixings within each accrual period. Adds MultipleResetsSwap (inheriting FixedVsFloatingSwap, giving fairRate(), fairSpread(), and BPS methods for free), a MakeMultipleResetsSwap fluent builder, and MultipleResetsSwapRateHelper for bootstrapping yield curves from multiple-resets swap quotes. The floating leg is built via the existing MultipleResetsLeg/coupon infrastructure. Tests cover fair-rate pricing, payer/receiver leg NPV consistency, averaging vs. compounding differentiation, and end-to-end bootstrapping at 1Y/2Y/3Y. Relates to #2138.
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‎QuantLib.vcxproj‎

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<ClInclude Include="ql\instruments\makecapfloor.hpp" />
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<ClInclude Include="ql\instruments\makecds.hpp" />
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<ClInclude Include="ql\instruments\makecms.hpp" />
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<ClInclude Include="ql\instruments\makemultipleresetsswap.hpp" />
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<ClInclude Include="ql\instruments\makeois.hpp" />
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<ClInclude Include="ql\instruments\makeswaption.hpp" />
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<ClInclude Include="ql\instruments\makevanillaswap.hpp" />
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<ClInclude Include="ql\instruments\makeyoyinflationcapfloor.hpp" />
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<ClInclude Include="ql\instruments\margrabeoption.hpp" />
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<ClInclude Include="ql\instruments\multiassetoption.hpp" />
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<ClInclude Include="ql\instruments\multipleresetsswap.hpp" />
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<ClInclude Include="ql\instruments\nonstandardswap.hpp" />
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<ClInclude Include="ql\instruments\nonstandardswaption.hpp" />
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<ClInclude Include="ql\instruments\oneassetoption.hpp" />
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<ClInclude Include="ql\termstructures\yield\forwardstructure.hpp" />
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<ClInclude Include="ql\termstructures\yield\impliedtermstructure.hpp" />
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<ClInclude Include="ql\termstructures\yield\interpolatedsimplezerocurve.hpp" />
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<ClInclude Include="ql\termstructures\yield\multipleresetsswaphelper.hpp" />
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<ClInclude Include="ql\termstructures\yield\nonlinearfittingmethods.hpp" />
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<ClInclude Include="ql\termstructures\yield\oisratehelper.hpp" />
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<ClInclude Include="ql\termstructures\yield\overnightindexfutureratehelper.hpp" />
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<ClCompile Include="ql\instruments\makecapfloor.cpp" />
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<ClCompile Include="ql\instruments\makecds.cpp" />
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<ClCompile Include="ql\instruments\makecms.cpp" />
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<ClCompile Include="ql\instruments\makemultipleresetsswap.cpp" />
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<ClCompile Include="ql\instruments\makeois.cpp" />
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<ClCompile Include="ql\instruments\makeswaption.cpp" />
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<ClCompile Include="ql\instruments\makevanillaswap.cpp" />
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<ClCompile Include="ql\instruments\makeyoyinflationcapfloor.cpp" />
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<ClCompile Include="ql\instruments\margrabeoption.cpp" />
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<ClCompile Include="ql\instruments\multiassetoption.cpp" />
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<ClCompile Include="ql\instruments\multipleresetsswap.cpp" />
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<ClCompile Include="ql\instruments\nonstandardswap.cpp" />
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<ClCompile Include="ql\instruments\nonstandardswaption.cpp" />
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<ClCompile Include="ql\instruments\oneassetoption.cpp" />
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<ClCompile Include="ql\termstructures\yield\fittedbonddiscountcurve.cpp" />
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<ClCompile Include="ql\termstructures\yield\flatforward.cpp" />
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<ClCompile Include="ql\termstructures\yield\forwardstructure.cpp" />
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<ClCompile Include="ql\termstructures\yield\multipleresetsswaphelper.cpp" />
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<ClCompile Include="ql\termstructures\yield\nonlinearfittingmethods.cpp" />
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<ClCompile Include="ql\termstructures\yield\oisratehelper.cpp" />
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<ClCompile Include="ql\termstructures\yield\overnightindexfutureratehelper.cpp" />

‎QuantLib.vcxproj.filters‎

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<ClInclude Include="ql\instruments\makecms.hpp">
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<Filter>instruments</Filter>
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</ClInclude>
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<ClInclude Include="ql\instruments\makemultipleresetsswap.hpp">
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<Filter>instruments</Filter>
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</ClInclude>
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<ClInclude Include="ql\instruments\makeois.hpp">
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<Filter>instruments</Filter>
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</ClInclude>
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<ClInclude Include="ql\instruments\multiassetoption.hpp">
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<Filter>instruments</Filter>
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</ClInclude>
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<ClInclude Include="ql\instruments\multipleresetsswap.hpp">
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<Filter>instruments</Filter>
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</ClInclude>
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<ClInclude Include="ql\instruments\oneassetoption.hpp">
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<Filter>instruments</Filter>
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</ClInclude>
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<ClInclude Include="ql\termstructures\yield\interpolatedsimplezerocurve.hpp">
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<Filter>termstructures\yield</Filter>
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</ClInclude>
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<ClInclude Include="ql\termstructures\yield\multipleresetsswaphelper.hpp">
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<Filter>termstructures\yield</Filter>
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</ClInclude>
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<ClInclude Include="ql\termstructures\yield\nonlinearfittingmethods.hpp">
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<Filter>termstructures\yield</Filter>
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</ClInclude>
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<ClCompile Include="ql\instruments\makecms.cpp">
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<Filter>instruments</Filter>
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</ClCompile>
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<ClCompile Include="ql\instruments\makemultipleresetsswap.cpp">
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<Filter>instruments</Filter>
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</ClCompile>
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<ClCompile Include="ql\instruments\makeois.cpp">
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</ClCompile>
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<ClCompile Include="ql\instruments\multiassetoption.cpp">
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<Filter>instruments</Filter>
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</ClCompile>
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<ClCompile Include="ql\instruments\multipleresetsswap.cpp">
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<Filter>instruments</Filter>
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</ClCompile>
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<ClCompile Include="ql\termstructures\yield\forwardstructure.cpp">
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<Filter>termstructures\yield</Filter>
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</ClCompile>
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<ClCompile Include="ql\termstructures\yield\multipleresetsswaphelper.cpp">
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<Filter>termstructures\yield</Filter>
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</ClCompile>
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‎ql/CMakeLists.txt‎

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instruments/makecapfloor.cpp
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instruments/makecds.cpp
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instruments/makecms.cpp
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instruments/makemultipleresetsswap.cpp
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instruments/makeois.cpp
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instruments/makeswaption.cpp
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instruments/makevanillaswap.cpp
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instruments/makeyoyinflationcapfloor.cpp
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instruments/margrabeoption.cpp
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instruments/multiassetoption.cpp
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instruments/multipleresetsswap.cpp
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instruments/nonstandardswap.cpp
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instruments/nonstandardswaption.cpp
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instruments/oneassetoption.cpp
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termstructures/yield/fittedbonddiscountcurve.cpp
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termstructures/yield/flatforward.cpp
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termstructures/yield/forwardstructure.cpp
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termstructures/yield/multipleresetsswaphelper.cpp
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termstructures/yield/nonlinearfittingmethods.cpp
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termstructures/yield/oisratehelper.cpp
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termstructures/yield/overnightindexfutureratehelper.cpp
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instruments/makecapfloor.hpp
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instruments/makecds.hpp
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instruments/makecms.hpp
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instruments/makemultipleresetsswap.hpp
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instruments/makeois.hpp
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instruments/makeswaption.hpp
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instruments/makevanillaswap.hpp
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instruments/makeyoyinflationcapfloor.hpp
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instruments/margrabeoption.hpp
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instruments/multiassetoption.hpp
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instruments/multipleresetsswap.hpp
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instruments/nonstandardswap.hpp
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instruments/nonstandardswaption.hpp
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instruments/oneassetoption.hpp
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termstructures/yield/forwardstructure.hpp
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termstructures/yield/impliedtermstructure.hpp
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termstructures/yield/interpolatedsimplezerocurve.hpp
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termstructures/yield/multipleresetsswaphelper.hpp
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termstructures/yield/nonlinearfittingmethods.hpp
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termstructures/yield/oisratehelper.hpp
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termstructures/yield/overnightindexfutureratehelper.hpp

‎ql/instruments/Makefile.am‎

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makecapfloor.hpp \
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makecds.hpp \
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makecms.hpp \
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makemultipleresetsswap.hpp \
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makeois.hpp \
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makeswaption.hpp \
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makevanillaswap.hpp \
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makeyoyinflationcapfloor.hpp \
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margrabeoption.hpp \
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multiassetoption.hpp \
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multipleresetsswap.hpp \
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nonstandardswap.hpp \
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nonstandardswaption.hpp \
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oneassetoption.hpp \
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makecapfloor.cpp \
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makecds.cpp \
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makecms.cpp \
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makemultipleresetsswap.cpp \
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makeois.cpp \
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makeswaption.cpp \
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makevanillaswap.cpp \
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makeyoyinflationcapfloor.cpp \
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margrabeoption.cpp \
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multiassetoption.cpp \
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multipleresetsswap.cpp \
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nonstandardswap.cpp \
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nonstandardswaption.cpp \
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‎ql/instruments/all.hpp‎

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#include <ql/instruments/makecapfloor.hpp>
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#include <ql/instruments/makecds.hpp>
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#include <ql/instruments/makecms.hpp>
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#include <ql/instruments/makemultipleresetsswap.hpp>
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#include <ql/instruments/makeois.hpp>
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#include <ql/instruments/makeswaption.hpp>
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#include <ql/instruments/makevanillaswap.hpp>
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#include <ql/instruments/makeyoyinflationcapfloor.hpp>
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#include <ql/instruments/margrabeoption.hpp>
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#include <ql/instruments/multiassetoption.hpp>
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#include <ql/instruments/multipleresetsswap.hpp>
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#include <ql/instruments/nonstandardswap.hpp>
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#include <ql/instruments/nonstandardswaption.hpp>
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#include <ql/instruments/oneassetoption.hpp>

‎ql/instruments/makemultipleresetsswap.cpp‎

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2026 Zain Mughal
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<https://www.quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#include <ql/indexes/iborindex.hpp>
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#include <ql/instruments/makemultipleresetsswap.hpp>
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#include <ql/pricingengines/swap/discountingswapengine.hpp>
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#include <ql/settings.hpp>
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#include <ql/time/schedule.hpp>
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namespace QuantLib {
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MakeMultipleResetsSwap::MakeMultipleResetsSwap(
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const Period& tenor,
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const ext::shared_ptr<IborIndex>& iborIndex,
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Size resetsPerCoupon,
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Rate fixedRate,
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const Period& fwdStart)
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: tenor_(tenor), iborIndex_(iborIndex), resetsPerCoupon_(resetsPerCoupon),
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fixedRate_(fixedRate), forwardStart_(fwdStart),
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fixedDayCount_(iborIndex->dayCounter()) {}
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MakeMultipleResetsSwap::operator MultipleResetsSwap() const {
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ext::shared_ptr<MultipleResetsSwap> swap = *this;
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return *swap;
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}
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MakeMultipleResetsSwap::operator ext::shared_ptr<MultipleResetsSwap>() const {
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Calendar cal = iborIndex_->fixingCalendar();
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BusinessDayConvention bdc = iborIndex_->businessDayConvention();
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Date startDate;
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if (effectiveDate_ != Date()) {
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startDate = effectiveDate_;
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} else {
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Natural settlDays = settlementDays_ != Null<Natural>() ?
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settlementDays_ : iborIndex_->fixingDays();
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Date refDate = Settings::instance().evaluationDate();
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startDate = cal.advance(cal.adjust(refDate), settlDays * Days);
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startDate = cal.advance(startDate, forwardStart_,
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forwardStart_.length() < 0 ? Preceding : Following);
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}
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Date endDate = terminationDate_ != Date() ?
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terminationDate_ :
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cal.advance(startDate, tenor_, bdc);
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Period resetTenor = iborIndex_->tenor();
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// Fixed coupon period: resetsPerCoupon consecutive reset periods.
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// If not overridden, derive the fixed frequency from the coupon period.
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Frequency fixedFreq = fixedFrequency_;
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if (fixedFreq == NoFrequency) {
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Period couponTenor(resetsPerCoupon_ * resetTenor.length(), resetTenor.units());
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fixedFreq = couponTenor.frequency();
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}
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Schedule fixedSchedule(startDate, endDate, Period(fixedFreq),
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cal, fixedConvention_, fixedConvention_,
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DateGeneration::Backward, false);
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Schedule fullResetSchedule(startDate, endDate, resetTenor,
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cal, bdc, bdc,
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DateGeneration::Backward, false);
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Rate usedFixedRate = fixedRate_;
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if (fixedRate_ == Null<Rate>()) {
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MultipleResetsSwap temp(type_, nominal_,
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fixedSchedule, 0.0, fixedDayCount_,
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fullResetSchedule, iborIndex_, resetsPerCoupon_,
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spread_, averagingMethod_);
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if (engine_ == nullptr) {
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Handle<YieldTermStructure> disc =
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iborIndex_->forwardingTermStructure();
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QL_REQUIRE(!disc.empty(),
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"null term structure set to this instance of "
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<< iborIndex_->name());
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temp.setPricingEngine(ext::make_shared<DiscountingSwapEngine>(disc, false));
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} else {
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temp.setPricingEngine(engine_);
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}
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usedFixedRate = temp.fairRate();
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}
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auto swap = ext::make_shared<MultipleResetsSwap>(
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type_, nominal_,
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fixedSchedule, usedFixedRate, fixedDayCount_,
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fullResetSchedule, iborIndex_, resetsPerCoupon_,
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spread_, averagingMethod_);
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if (engine_ == nullptr) {
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Handle<YieldTermStructure> disc = iborIndex_->forwardingTermStructure();
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if (!disc.empty())
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swap->setPricingEngine(ext::make_shared<DiscountingSwapEngine>(disc, false));
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} else {
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swap->setPricingEngine(engine_);
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}
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return swap;
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}
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MakeMultipleResetsSwap& MakeMultipleResetsSwap::receiveFixed(bool flag) {
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type_ = flag ? Swap::Receiver : Swap::Payer;
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return *this;
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}
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MakeMultipleResetsSwap& MakeMultipleResetsSwap::withType(Swap::Type type) {
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type_ = type;
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return *this;
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}
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MakeMultipleResetsSwap& MakeMultipleResetsSwap::withNominal(Real n) {
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nominal_ = n;
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return *this;
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}
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MakeMultipleResetsSwap& MakeMultipleResetsSwap::withSettlementDays(Natural settlementDays) {
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settlementDays_ = settlementDays;
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effectiveDate_ = Date();
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return *this;
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}
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MakeMultipleResetsSwap& MakeMultipleResetsSwap::withEffectiveDate(const Date& d) {
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effectiveDate_ = d;
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return *this;
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}
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MakeMultipleResetsSwap& MakeMultipleResetsSwap::withTerminationDate(const Date& d) {
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terminationDate_ = d;
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if (d != Date())
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tenor_ = Period();
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return *this;
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}
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MakeMultipleResetsSwap& MakeMultipleResetsSwap::withFixedLegFrequency(Frequency f) {
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fixedFrequency_ = f;
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return *this;
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}
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MakeMultipleResetsSwap& MakeMultipleResetsSwap::withFixedLegDayCount(const DayCounter& dc) {
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fixedDayCount_ = dc;
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return *this;
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}
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MakeMultipleResetsSwap& MakeMultipleResetsSwap::withFixedLegConvention(BusinessDayConvention bdc) {
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fixedConvention_ = bdc;
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return *this;
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}
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MakeMultipleResetsSwap& MakeMultipleResetsSwap::withFloatingLegSpread(Spread sp) {
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spread_ = sp;
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return *this;
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}
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MakeMultipleResetsSwap& MakeMultipleResetsSwap::withAveragingMethod(RateAveraging::Type m) {
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averagingMethod_ = m;
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return *this;
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}
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MakeMultipleResetsSwap& MakeMultipleResetsSwap::withDiscountingTermStructure(
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const Handle<YieldTermStructure>& d) {
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engine_ = ext::make_shared<DiscountingSwapEngine>(d, false);
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return *this;
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}
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MakeMultipleResetsSwap& MakeMultipleResetsSwap::withPricingEngine(
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const ext::shared_ptr<PricingEngine>& engine) {
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engine_ = engine;
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return *this;
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}
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}

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