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
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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.