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In the Korean market, KOFR Index is used as the underlying overnight index. and these overnight futures are enrolled to exchange.
(you can seed the more detailed KOFR Index Information using https://kofr.kr)
Sep22(Bloomberg ticker, KOYU2 Index) 's Contract starts on 2022-06-15 and expiry and 2022-09-21. So Sep22 is normal to start date based on the near maturity date.
and At KRX(Korea Exchange) normal Future series are all of on-the-run is 8
4 series are quarterly and the others are monthly after the base date.
need to
add OvernightFutureContractSpec what futures start dates based on expiry or start dated.
modify ImmutableOvernightFutureContractSpec to make proper future trades using ContractSpedc scheme.
add DateSequende QuarterlyIMMSeires4.
The text was updated successfully, but these errors were encountered:
masa4u
changed the title
Add more Overnight Future support KOFR Futures
Add more function for the support KOFR OvernightIndex Futures
Aug 25, 2022
In the Korean market, KOFR Index is used as the underlying overnight index. and these overnight futures are enrolled to exchange.
(you can seed the more detailed KOFR Index Information using https://kofr.kr)
Sep22(Bloomberg ticker, KOYU2 Index) 's Contract starts on 2022-06-15 and expiry and 2022-09-21. So Sep22 is normal to start date based on the near maturity date.
and At KRX(Korea Exchange) normal Future series are all of on-the-run is 8
4 series are quarterly and the others are monthly after the base date.
need to
add OvernightFutureContractSpec what futures start dates based on expiry or start dated.
modify ImmutableOvernightFutureContractSpec to make proper future trades using ContractSpedc scheme.
add DateSequende QuarterlyIMMSeires4.
The text was updated successfully, but these errors were encountered: