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

[Luigi B. <lui...@gm...>]

Hi Esteban,
    this should be fixed by <https://github.com/lballabio/QuantLib/pull/2013>.
If you have a chance, please try out the release candidate I published
yesterday; you can install it with

    pip install -i https://test.pypi.org/simple/ QuantLib==1.35rc0

Thanks,
    Luigi


On Fri, Jun 7, 2024 at 6:53 PM Esteban López Araiza Bravo <
est...@ho...> wrote:

>
>
> 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
>
> ------------------------------
> *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...> 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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