|
From: Esteban L. A. B. <est...@ho...> - 2024-05-28 16:12:01
|
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! Obtener Outlook para iOS<https://aka.ms/o0ukef> |