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Re: [Quantlib-users] How to use ql.FuturesRateHelper with EURIBOR futures trading on ICE Futures Europe (former LIFFE)
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From: ze73 m. <ze7...@ya...> - 2023-11-02 21:05:44
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Thanks, Trent. I followed your suggestion and created a new index.
However ql.FuturesRateHelper expects IMM futures and checks for IMM dates here so I get the error below. It seems the only way to use the rate helper with non-IMM futures is to add support for it in C++ and recompile quantlib? These futures are trading on ICE Futures Europe (Three Month Euribor Futures) and the expiration schedules are different. I don't see a way to use the underlying RateHelper class or /BootstrapHelper template in Python.
RuntimeError: November 13th, 2023 is not a valid IMM date
Any thoughts on this are welcome. Thanks, everyone!
On Wednesday, November 1, 2023 at 06:33:11 PM EDT, Trent Maetzold <tr...@ma...> wrote:
Create the IborIndex directly. https://quantlib-python-docs.readthedocs.io/en/latest/indexes.html#ql.IborIndex
Sent from Proton Mail for iOS
On Wed, Nov 1, 2023 at 17:27, ze73 man via QuantLib-users <qua...@li...> wrote:
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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