Re: [Quantlib-users] QuantlibXL: Defining Futures other thanMAR/JUN/SEP/DEC IMM Month for RateHelper

[Toyin Akin]

Hi,

Enclosed is an updated date class to cater for all serial 3M IMM futures.

Toy out...

>From: Wilkie Lai <[hidden email]>
>To: Ferdinando Ametrano <[hidden email]>
>CC: [hidden email]
>Subject: Re: [Quantlib-users] QuantlibXL: Defining Futures other
>thanMAR/JUN/SEP/DEC IMM Month for RateHelper
>Date: Wed, 20 Sep 2006 10:03:52 -0700 (PDT)
>
>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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