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

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

this folder contains all the ratehelpers available in the library:
https://github.com/lballabio/QuantLib/tree/master/ql/termstructures/yield

this file shows all the types exposed to python via swig:
https://github.com/lballabio/QuantLib-SWIG/blob/master/SWIG/ratehelpers.i

- Mike


On Fri, Mar 15, 2024 at 12:27 PM jian Xu <jia...@gm...> wrote:

> 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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>>>
>>