From e22229c72018180a222a0f4062764a82dfef45a6 Mon Sep 17 00:00:00 2001 From: "JHM Darbyshire (win11)" Date: Wed, 15 Jan 2025 08:22:06 +0100 Subject: [PATCH] BUG: CME SOFR 1m rolls --- docs/source/i_whatsnew.rst | 4 ++++ python/rateslib/data/__instrument_spec.csv | 2 +- 2 files changed, 5 insertions(+), 1 deletion(-) diff --git a/docs/source/i_whatsnew.rst b/docs/source/i_whatsnew.rst index 4367e5e8..e99bfebc 100644 --- a/docs/source/i_whatsnew.rst +++ b/docs/source/i_whatsnew.rst @@ -40,6 +40,10 @@ email contact, see `rateslib `_. :meth:`~rateslib.curves.Curve.update_node` to allow mutating *Curve* types directly with appropriate cache and state management. (`584 `_) + * - Bug + - Defaults spec *"usd_stir1"* for CME 1m SOFR futures has corrected the roll to *"som"*, + instead of *"imm"*, to allow correct placement of contracts averaging all of the rates + in a specific contract month. * - Bug - :class:`~rateslib.instruments.STIRFuture` now correctly handles the ``fx`` and ``base`` arguments when using the :meth:`~rateslib.instruments.STIRFuture.npv` or diff --git a/python/rateslib/data/__instrument_spec.csv b/python/rateslib/data/__instrument_spec.csv index dc7b59e0..9be61429 100644 --- a/python/rateslib/data/__instrument_spec.csv +++ b/python/rateslib/data/__instrument_spec.csv @@ -11,7 +11,7 @@ base_derivative,leg1,frequency,str,m,q,a,a,a,a,a,a,a,s,a,a,s,s,s,q,a,a,a,a,a,a,a base_derivative,leg1,stub,str,longfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,,,,shortfront,,,,,,,,,,,,, base_derivative,leg1,front_stub,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,, base_derivative,leg1,back_stub,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,, -base_derivative,leg1,roll,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,imm,imm,imm,imm,imm,imm +base_derivative,leg1,roll,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,imm,som,imm,imm,imm,imm base_derivative,leg1,eom,bool,FALSE,FALSE,FALSE,TRUE,TRUE,FALSE,FALSE,FALSE,FALSE,FALSE,TRUE,TRUE,TRUE,TRUE,TRUE,TRUE,TRUE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,TRUE,FALSE,FALSE,FALSE,TRUE,TRUE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,TRUE,FALSE,TRUE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE base_derivative,leg1,modifier,str,p,none,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,none,mf,mf,none,none,none,none,none,none,none,none,none,none,none,none,none,none,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf base_derivative,leg1,calendar,str,"nyc,tgt,ldn",nyc,nyc,nyc,ldn,tgt,stk,osl,zur,tro,tro,tyo,wlg,wlg,syd,syd,syd,tgt,tgt,tgt,stk,osl,osl,"tgt,nyc","ldn,nyc","tgt,ldn","tgt,ldn","nyc,tyo","nyc,syd","nyc,syd","nyc,wlg","nyc,wlg,syd",tgt,ldn,nyc,ldn,stk,tgt,osl,nyc,nyc,ldn,tgt,tgt,tgt,tgt,stk,osl,tro,nyc,stk,ldn,ldn,stk,tgt,tgt,tgt,osl,osl,nyc,nyc,nyc,tgt,tgt,tgt,ldn