[Python] rateslib STIRFuture throws “RFRs could not be calculated” if SOFR weekend fixings are...

Discussão em 'Python' iniciado por Stack, Junho 12, 2025.

  1. Stack

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    I’m using rateslib 2.0.0 to calibrate a SOFR curve with a stack of STIRFuture contracts (“usd_stir” & “usd_stir1” specs). When my evaluation date is 2025-06-08 or later, the solver fails with:

    ValueError: RFRs could not be calculated, have you missed providing fixings or does the Curve begin after the start of a FloatPeriod including the method_param adjustment?

    The first SR-1 future (M5) accrues 2025-06-01 → 2025-07-01. My SOFR fixing series contains every business day up to Wednesday 2025-06-11. Because SOFR is not published on weekends, 2025-06-07 (Sat) and 2025-06-08 (Sun) are missing which should be ok.

    However, I am also getting the warning: UserWarning: fixings has missed a calendar value (2025-06-07 00:00:00) which may be set to zero on a LineCurve or error on a Curve. Subsequent fixings have been detected warnings.warn(

    If I artificially add fixings for those two weekend days the error disappears, but that conflicts with how SOFR is actually defined.

    Is there a way to tell rateslib that SOFR accrues only on business days (i.e., skip weekends) so the engine won’t require weekend fixings? Or am I missing a flag / different spec that already handles this?

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