[Quantlib-users] Unexpected rate given on last day of month when using OvernightIndexFutureRateHelper

[Emily B. <Emi...@ch...>]

Hello,

I am trying to use QuantLib to build a yield curve using the OvernightIndexFutureRateHelper and FedFunds future prices, but am getting some unexpected results. When the evaluation date is the last day of the month (say, October 31, 2024) the future price for that month (in this case, October) does not affect the rate produced.

Here is a minimal example in Python:


reference_date = ql.Date(31,10,2024)
im = ql.IndexManager.instance()
day_counter = ql.Actual360()
ql.Settings.instance().evaluationDate = reference_date

ff_index = ql.FedFunds()
im.clearHistory(ff_index.name())

fixing_price = 0.05
date = ql.Date(1,10,2024)

while date < reference_date:
    ff_index.addFixing(date, fixing_price)
    date = ff_index.fixingCalendar().advance(date, 1, ql.Days)

ff_helpers = []

quoted_rates = [
    (ql.QuoteHandle(ql.SimpleQuote(94)), ql.Date(31, 10, 2024)),
    (ql.QuoteHandle(ql.SimpleQuote(95)), ql.Date(30, 11, 2024)),
]

for rate, date in quoted_rates:
    ff_helpers.append(ql.OvernightIndexFutureRateHelper(rate, reference_date, date, ff_index))

ff_yield_curve = ql.PiecewiseFlatForward(reference_date, ff_helpers, day_counter, [], [])

curve_dates = [min(ff_yield_curve.dates()) + x for x in range(max(ff_yield_curve.dates()) - min(ff_yield_curve.dates()))]
zero_rates = [round(ff_yield_curve.zeroRate(d, day_counter, ql.Compounded).rate() * 100, 6) for d in curve_dates]

pd.DataFrame(data={'Date': curve_dates, 'ZeroRate': zero_rates})


No matter what price is set for the October 31, 2024 FedFunds future, the resulting rate does not change.

Is this a bug, or is there a more recommended way of setting this up?

Thanks,
Emily






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