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Evaluate curve nodes with Ibor futures #1863

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jodastephen opened this issue Jan 8, 2019 · 0 comments

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Type:NeedsInvestigation

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jodastephen commented Jan 8, 2019

Forum post:
https://forums.opengamma.com/t/iborfuturecurvenode-vs-iborfixingdepositcurvenode/849/3

Strata cannot fit a USD LIBOR 3M curve with the front future EDG17 on the curve for valuation date 2017-02-09 when that future’s last trading date is 2017-02-13. Typically trading desks would expect the future to drop out on 2017-02-10.

jodastephen added the Type:NeedsInvestigation label

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