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Re: [Quantlib-users] Problem Creating FuturesRateHelper for "SFE NZ 90 Day Bank Bill Future Contract" (New Zealand)
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From: Luigi B. <lui...@gm...> - 2024-01-30 10:29:21
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Yes, same issue as https://github.com/lballabio/QuantLib/issues/1855. Right now the helper assumes dates are either IMM or ASX dates depending on what it's told. We should probably implement a third case that leaves the dates free. We can also implement more rules if we want to check those. Luigi On Mon, Jan 1, 2024 at 4:41 PM Francois Botha <ig...@gm...> wrote: > 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 >> >> _______________________________________________ >> QuantLib-users mailing list >> Qua...@li... >> https://lists.sourceforge.net/lists/listinfo/quantlib-users >> > _______________________________________________ > QuantLib-users mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-users > |
