Customize future dates in FutureRateHelpers about quantlib HOT 6 CLOSED

Thanks for posting! It might take a while before we look at your issue, so don't worry if there seems to be no feedback. We'll get to it.

from quantlib.

Thanks—yes, we should probably implement a third case besides IMM and ASX that leaves the dates free. We can also implement more rules if we want to check those.

from quantlib.

Hi! When trying the new feature, this error arises.

File ~\AppData\Local\anaconda3\Lib\site-packages\QuantLib\QuantLib.py:26940 in init
_QuantLib.FuturesRateHelper_swiginit(self, _QuantLib.new_FuturesRateHelper(*args))

RuntimeError: unsupported futures type (Custom)

This is my code:

hlpr = ql.FuturesRateHelper(ql.QuoteHandle(ql.SimpleQuote(100-88.98)), 
                            ql.Date(1,5,2024),
                            ql.Date(31,5,2024), ql.Actual360(),
                            ql.QuoteHandle(), ql.Futures.Custom)

from quantlib.

You're right, we need a fix for that case. In the meantime, the constructor that takes a start date and a number of months will work.

from quantlib.

Thanks

from quantlib.

The fix is in #1974. It will be in next release (at some point in July).

from quantlib.