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

[jian Xu <jia...@gm...>]

I'm not sure how the curve building works under the hood.  What other rate
helpers can I use?

Jian


On Fri, Mar 15, 2024 at 12:06 PM Mike DelMedico <mik...@gm...>
wrote:

> 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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>