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Add more function for the support KOFR OvernightIndex Futures #2504

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masa4u opened this issue Aug 25, 2022 · 0 comments
Open

Add more function for the support KOFR OvernightIndex Futures #2504

masa4u opened this issue Aug 25, 2022 · 0 comments

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@masa4u
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masa4u commented 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.

@masa4u masa4u changed the title Add more Overnight Future support KOFR Futures Add more function for the support KOFR OvernightIndex Futures Aug 25, 2022
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