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

[Trent M. <tr...@ma...>]

Create the IborIndex directly. https://quantlib-python-docs.readthedocs.io/en/latest/indexes.html#ql.IborIndex

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On Wed, Nov 1, 2023 at 17:27, ze73 man via QuantLib-users <[qua...@li...](mailto:On Wed, Nov 1, 2023 at 17:27, ze73 man via QuantLib-users <<a href=)> wrote:

> Hi QuantLib Gurus!
>
> I am experimenting with ql.FuturesRateHelper to use this market data [3-Month EuriBor Futures Prices](https://www.barchart.com/futures/quotes/IMX23/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
>
> https://www.barchart.com/futures/quotes/IMX23/futures-prices
>
> 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.