[Quantlib-users] How to use ql.FuturesRateHelper with EURIBOR futures trading on ICE Futures Europe (former LIFFE)

[ze73 m. <ze7...@ya...>]

Hi QuantLib Gurus!
I am experimenting with ql.FuturesRateHelper to use this market data 3-Month EuriBor Futures Prices to evaluate if a EURIBOR forward curve created this way might be viable for my use-case. The index class ql.Euribor3M() in theory facilitates the setup however it represents the IMM index so the calendar is different, the expiration dates different, etc...
I did see a FuturesEU calendar in the QuantExt project derived from QuantLib, meant to represent the ICE Futures Europe calendar, which could be a starting point, but is there no standard ql.Euribor3M() equivalent in quantlib for ICE? Does anyone know of an example set up of a ICE Europe futures contract using quantlib, please? Would this warrant a new rate helper or at least new index class?
Kind regards

Ze

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3-Month EuriBor Prices and 3-Month EuriBor Futures Prices - Barchart.com

Today's 3-Month EuriBor prices with latest 3-Month EuriBor charts, news and 3-Month EuriBor futures quotes.
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