Customize future dates in FutureRateHelpers

[elopezarb]

Hi! I want to make the new mexican F-TIIE curve in python with QuantLib, but when I'm trying to make a FutureRateHelper the future types are only IMM or ASX and my curve needs customized future dates for each month. How can I work around this issue?

My code is this:

`futures = {}
for i in future_index:
month = dic_month[df['Ticker'].iloc[i][3:4]]
year = int(df['Ticker'].iloc[i][4])
d = ql.Date(1,month, 2020 + year)
futures[d] = data[i]

months = 1

futuresHelpers = [ql.FuturesRateHelper(
    ql.QuoteHandle(ql.SimpleQuote(futures[d])), 
    d, months, calendar_mx, 
    ql.ModifiedFollowing, True, dayCounter)
    for d in  futures.keys()
]`

Where "d" is the Start Date for the future contract and "futures" is the dictionary of dates and prices
Thank You!

[boring-cyborg]

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.

[lballabio]

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.

[elopezarb]

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)

[lballabio]

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.

[elopezarb]

Thanks

[lballabio]

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