[Quantlib-users] RV: Overnight Index Future not working

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

Hi Luigi, sorry for the late response, I was confirming wih CME the specifications for the F-TIIE futures.
Regarding your question, yes, It accrues the fixing from April 30th and it works the same for weekends, it will accrue the friday's fixing.  When the maturity is holiday, the current code doesn´t seem to mind.

I will keep in touch.
Thank you

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De: Luigi Ballabio <lui...@gm...>
Enviado: jueves, 30 de mayo de 2024 07:36 a. m.
Para: Esteban López Araiza Bravo <est...@ho...>
Cc: Qua...@li... <Qua...@li...>
Asunto: Re: [Quantlib-users] Overnight Index Future not working

Hello Esteban,
    when you create the first ql.OvernightIndexFutureRateHelper you're passing May 1st as the start date, and the code assumes that it's a fixing date.  We'll have to add code to manage that case.  How is this supposed to work?  Does the future accrue the fixing from the April 30th for the day between 1st and 2nd May?  And I assume the same happens if the maturity is a holiday, right?

Luigi


On Tue, May 28, 2024 at 6:16 PM Esteban López Araiza Bravo <est...@ho...<mailto:est...@ho...>> wrote:
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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