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

[Francois B. <ig...@gm...>]

Hi Robert,

I don't know much about ASX dates, but I can see in the code at
https://github.com/lballabio/QuantLib/blob/7dfe04c3797552f8853f0368eb8f7c07ef7051cd/ql/time/asx.cpp#L38
that if the relevant date is not a Friday, it is not considered valid. 13
March 2024 is a Thursday and that's why you're seeing the message.

Whether the business logic behind that function is sound... I don't know.

regards
Francois Botha


On Mon, 1 Jan 2024 at 11:28, Robert Chapman <rob...@gm...>
wrote:

> Has anyone run into this problem?  I'm trying to use New Zealand 90 Day
> Bank Bill Futures to build a curve.
> 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()}'
> )
>
>
> ###############################################################
>
> Do I need to build a custom helper or something?
>
>
>
> Robert Chapman
> +61 418 693 633
> rob...@gm...
> au.linkedin.com/in/robertchapman2095
>
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