[Quantlib-users] Problem Creating FuturesRateHelper for "SFE NZ 90 Day Bank Bill Future Contract" (New Zealand)

[Robert C. <rob...@gm...>]

Has anyone run into this problem - I'm trying to use New Zealand 90 Day
Bank Bill Futures to build a curve.   (See attached screenshot)
When I try to create the helper, I'm getting: March 13th, 2024 is not a
valid ASX date



###############################################################

                    # ZBH4 Comdty

                    # SFE NZ 90 Day Bank Bill Future Contract   (Sydney
Futures Exchange)

                    # RuntimeError: March 13th, 2024 is not a valid ASX date

                    helper = ql.FuturesRateHelper(94.46,

                                                 ql.Date(13, 3, 2024),

                                                 ql.Date(),

                                                 ql.Actual365Fixed(),

                                                 0.0,

                                                 ql.Futures.ASX)



It works for an ASX futures contract:


###############################################################

                    # IRH4 Comdty

                    # ASX 90 Day Bank Accepted Bills Future Contract

                    # *works fine !*

                    helper = ql.FuturesRateHelper(95.720,

                                                 ql.Date(8, 3, 2024),

                                                 ql.Date(),

                                                 ql.Actual365Fixed(),

                                                 0.0,

                                                 ql.Futures.ASX)



                    print(f'helper maturity date: {helper.maturityDate()}')


###############################################################

Any ideas ???

Robert Chapman
+61 418 693 633
rob...@gm...
au.linkedin.com/in/robertchapman2095