Re: [Quantlib-users] FedFunds average rate business day problem

[Mike D. <mik...@gm...>]

Try using other types of ratehelpers to bypass the issue you are having.
You know what rate you want to assign to each day so you can control the
curve build that way instead.  You don't need to use the futures ratehelper
at all.

- Mike

On Fri, Mar 15, 2024 at 10:50 AM jian Xu <jia...@gm...> wrote:

> Hi,
>
> I'm having trouble setting the Fed Fund futures when the start of the
> averaging period is a non-business day.  For example, the April 2023 FF
> futures (4/1 is a Saturday).
>
> I added the fixing on 3/31.  And when I construct
> the OvernightIndexFutureRateHelper, I used April 1 2023 as the start date
> of the averaging period.  But then was I construct the yield curve from it,
> and try to calculate the zero rate, I got the error saying:
>
> "RuntimeError: 1st iteration: failed at 1st alive instrument, pillar April
> 28th, 2023, maturity April 28th, 2023, reference date April 3rd, 2023:
> missing rate on April 1st, 2023 for index FedFundsON Actual/360"
>
> But  April 1st, 2023 is a Saturday and I cannot add a fixing there.
> According to the FF rule book, the benchmark rate on 4/1 should use the one
> on 3/31.  But how should I do that in QuantLib?  Am I constructing the
> yield curve correctly?
>
> Any comments are appreciated.  Thank you very much!
>
> ===========================
> Following is the python code:
>
> import QuantLib as ql
> import numpy as np
>
> today = ql.Date(3, 4, 2023)
> ql.Settings.instance().evaluationDate = today
> calendar = ql.UnitedStates(ql.UnitedStates.GovernmentBond)
>
> ff_index = ql.FedFunds()
> hist_quote = 95.
> hist_rate = (100 - hist_quote)/100.
>
> ff_index.addFixing(ql.Date(31, 3, 2023), hist_rate)
> ff_day_counter = ql.Actual360()
>
> quoted_rates = [
>     (ql.QuoteHandle(ql.SimpleQuote(hist_quote)), ql.Date(28, 4, 2023)),
> ]
> convexityAdjustment = ql.QuoteHandle()
> ff_helpers = []
> for rate, maturity in quoted_rates:
>     ff_helpers.append(ql.OvernightIndexFutureRateHelper(rate,
>                                                         ql.Date(1,4,2023),
>  # start of the averaging period
>                                                         maturity,
>                                                         ff_index,
>
> convexityAdjustment,
>
> ql.RateAveraging.Simple))
> yield_curve = ql.PiecewiseLinearZero(today, ff_helpers, ql.Actual360())
> zr = yield_curve.zeroRate(next_date, ql.Actual360(), ql.Continuous)  #
> error
>
>
> ==================
>
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