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

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

I’m looking at mine and they follow imm dates, monthly starts for the first six contracts then the standard imm dates for the next 6. Use ql.IMM.nextDate(date, False) to get the series of monthly IMM dates.

Then pass the start and end date to the futures rate helper constructor.

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On Thu, Nov 2, 2023 at 15:55, ze73 man <[ze7...@ya...](mailto:On Thu, Nov 2, 2023 at 15:55, ze73 man <<a href=)> wrote:

> Thanks, Trent. I followed your suggestion and created a new index.
>
> However ql.FuturesRateHelper expects IMM futures and checks for IMM dates [here](https://github.com/quantlib/QuantLib/blob/master/ql/termstructures/yield/ratehelpers.cpp) 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](https://www.ice.com/products/38527986/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](https://proton.me/mail/home) for iOS
>
> 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.