Pillar Date of Overnight Interest Swap Helper

Question

I am not being able to set the pillar date of an overnight interest swap helper to its maturity date.

I have the following code:

valuation_date = ql.Date(24, 8, 2023)
calendar = ql.UnitedStates(ql.UnitedStates.FederalReserve)
spot_date = calendar.advance(valuation_date, 2, ql.Days)

sofr = ql.OvernightIndex('SOFRRATE', 2, ql.USDCurrency(), calendar, ql.Actual360())

period = ql.Period('2W')
qlQuote = ql.QuoteHandle(ql.SimpleQuote(5.3050))

helper = ql.OISRateHelper(2, period, qlQuote, sofr, paymentFrequency=ql.Once, pillar=ql.Pillar.MaturityDate)

print(valuation_date)
print(spot_date)
print(helper.pillarDate())
print(helper.maturityDate())

The print functions return the following values:

August 24th, 2023
August 28th, 2023
September 13th, 2023
September 13th, 2023

As my manual calculation, the maturity/pillar date should be September 11th, 2023. The following code illustrate it:

valuation_date = ql.Date(24, 8, 2023)
calendar = ql.UnitedStates(ql.UnitedStates.FederalReserve)
spot_date = calendar.advance(valuation_date, 2, ql.Days)

period = ql.Period('2W')
maturity_date = calendar.advance(spot_date, period)

print(maturity_date)

It results in:

September 11th, 2023

As expected.

How can I set the correct pillar date in the helper construction? What am I missing?

Answer 1

I just realize that the valuation_date was not being referenced anywhere into the curve bootstrap process.

The problem was solved referencing the valuation date to the evaluationDate setting:

ql.Settings.instance().evaluationDate = today