QuantlibXL: Defining Futures other than MAR/JUN/SEP/DEC IMM Month for RateHelper

[Wilkie Lai]

Hi Eric and all,
1.) In parameters to FuturesRateHelper() one need to
specify the IMM month code of the underlying future.
I have come to realize that it only take in H/M/U/Z
and no other codes.  In essence it means that only
Mar/Jun/Sep/Dec recurring contracts can be used in
constructing a term structure.
2.) However, in the market there are these "serial"
contracts which are those for the current and next
couple of coming months.  In the case of IMM futures
it will be the next 4 months, other currencies and
markets can vary.
3.) Also, the default last date of these contracts are
always the 3rd Wednesday of the month.  However this
may not be the case of futures in other markets, but
there seems to have no way of modifying it.  So how
should foreign futures other than IMM be set up?


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[Ferdinando M. Ametrano-3]

Hi Wilkie

> 1.) In parameters to FuturesRateHelper() one need to
> specify the IMM month code of the underlying future.
> I have come to realize that it only take in H/M/U/Z
> and no other codes.  In essence it means that only
> Mar/Jun/Sep/Dec recurring contracts can be used in
> constructing a term structure.
> 2.) However, in the market there are these "serial"
> contracts which are those for the current and next
> couple of coming months.
if you provide the association between non-main-cycle letters/months
we will extend QuantLib to support them.

> In the case of IMM futures
> it will be the next 4 months, other currencies and
> markets can vary.
nextIMMDate now default to main cycle, it can be easily extended to
non-main-cycle

> 3.) Also, the default last date of these contracts are
> always the 3rd Wednesday of the month.
as per ISDA definition Section 4.17 IMM Settlement Dates are the 1st
delivery dates for contracts written on the International Money Market
Section of the Chicago Mercantile Exchange. Are there contract on days
different than the 3rd wed of the month?

ciao -- Nando

[Wilkie Lai]

Hi Ferdnando,

> > 1.) In parameters to FuturesRateHelper() one need
> if you provide the association between
> non-main-cycle letters/months
> we will extend QuantLib to support them.
Here they are:
Month : 1 2 3 4 5 6 7 8 9 10 11 12
Letter: F G H J K M N Q U  V  X  Z

> > In the case of IMM futures
> > it will be the next 4 months, other currencies and
> > markets can vary.
> nextIMMDate now default to main cycle, it can be
> easily extended to
> non-main-cycle
Without the non-main-cycle the contract series cannot
be used as-is, since at any point of time there are
always the main cycle contacts, combined with the
recent month contracts.  It's always the recent month
contacts that provide most liquidity.

> > 3.) Also, the default last date of these contracts
> as per ISDA definition Section 4.17 IMM Settlement
> Dates are the 1st
> delivery dates for contracts written on the
> International Money Market
> Section of the Chicago Mercantile Exchange. Are
> there contract on days
> different than the 3rd wed of the month?
These IMM dates are correct and good for CME LIBOR
contracts, but not for other currencies and markets.
However when you set up term structure other than USD
you will have to make use of such future prices as
well.
I think the point is there is no standalone future
object that one can define such that these settings
can be created at run time, at least not in
QuantlibXL.
What will you suggest in this case?

Regards,
Wilkie

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