[Quantlib-users] Overnight Index Future not working

[Esteban L. A. B. <est...@ho...>]

Hi! I'm having trouble making an OvernightIndexFutureRateHelper. When I try to bootstrap it, the following error arises:

RuntimeError: 1st iteration failed at 1st alive instrument, pillar May 31st 2024 maturity May 31st 2024, reference date May 9th, 2024: missing rate on May 1st 2024 for index TIIE_OISTN Actual/360

But when I try to add the fixing for May 1st 2024, the next error arises:

RuntimeError: At least one invalid fixing provided: Wednesday May 1st 2024, 0.1102

May 1st is a holiday in Mexico, but the future compounds every day of the month, how can I workaround this issue or is there another way to bootstrap this kind of future?

I will attach the code.
Thanks!

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