Is Juneteenth causing a runtime error when bootstrapping curve off of futures?

Question

import io
import pandas as pd
import QuantLib as ql

data = io.StringIO("""Start Date    Days    Ticker  Last    Rate    6 Mo    1 Yr    2 Yr    3 Yr    5 Yr    7 Yr    10 Yr
08/01/2024  48  SFRM4   94.6524 5.3476  5.062   4.741   4.236   3.988   3.823   3.843   
09/18/2024  91  SFRU4   94.955  5.045   4.872   4.551   4.11    3.902   3.777   3.815   
12/18/2024  91  SFRZ4   95.36   4.64    4.472   4.217   3.904   3.764   3.708   3.775   
03/19/2025  91  SFRH5   95.745  4.255   4.129   3.952   3.748   3.662   3.663   3.751   
06/18/2025  91  SFRM5   96.04   3.96    3.874   3.762   3.64    3.594   3.64    3.741   
09/17/2025  91  SFRU5   96.25   3.75    3.697   3.635   3.571   3.555   3.633   3.742   
12/17/2025  91  SFRZ5   96.39   3.61    3.581   3.554   3.53    3.536   3.639   3.752   
03/18/2026  91  SFRH6   96.48   3.52    3.508   3.506   3.509   3.533   3.654   3.767   
06/17/2026  91  SFRM6   96.535  3.465   3.465   3.479   3.502   3.541   3.674   3.786   
09/16/2026  91  SFRU6   96.565  3.435   3.442   3.467   3.506   3.556   3.698   3.807   
12/16/2026  91  SFRZ6   96.58   3.42    3.432   3.465   3.518   3.579   3.724   3.827   
03/17/2027  91  SFRH7   96.585  3.415   3.432   3.471   3.537   3.608   3.752   3.85    
06/16/2027  91  SFRM7   96.58   3.42    3.437   3.485   3.561   3.64    3.782       
09/15/2027  91  SFRU7   96.575  3.425   3.45    3.504   3.59    3.675   3.811       
12/15/2027  91  SFRZ7   96.555  3.445   3.471   3.531   3.625   3.711   3.84        
03/15/2028  98  SFRH8   96.535  3.465   3.495   3.562   3.665   3.75    3.871       
06/21/2028  91  SFRM8   96.505  3.495   3.528   3.599   3.709   3.79    3.9     
09/20/2028  91  SFRU28  96.47   3.53    3.566   3.638   3.752   3.827   3.928       
12/20/2028  91  SFRZ28  96.43   3.57    3.606   3.683   3.794   3.863   3.952       
03/21/2029  91  SFRH29  96.39   3.61    3.644   3.732   3.836   3.898   3.976       
06/20/2029  91  SFRM29  96.355  3.645   3.692   3.779   3.875   3.93            
09/19/2029  91  SFRU29  96.295  3.705   3.75    3.827   3.912   3.959           
12/19/2029  91  SFRZ29  96.24   3.76    3.796   3.867   3.944   3.985           
03/20/2030  91  SFRH30  96.205  3.795   3.831   3.901   3.971   4.009           
06/19/2030  91  SFRM30  96.17   3.83    3.864   3.932   3.996   4.028           
09/18/2030  91  SFRU30  96.14   3.86    3.897   3.959   4.016   4.045           
12/18/2030  91  SFRZ30  96.105  3.895   3.924   3.984   4.034   4.057           
03/19/2031  91  SFRH31  96.085  3.915   3.944   4.004   4.053   4.07            
06/18/2031  91  SFRM31  96.065  3.935   3.965   4.022   4.067               
09/17/2031  91  SFRU31  96.045  3.955   3.985   4.037   4.078               
12/17/2031  91  SFRZ31  96.025  3.975   4   4.048   4.084               
03/17/2032  91  SFRH32  96.015  3.985   4.008   4.066   4.093               
06/16/2032  91  SFRM32  96.01   3.99    4.015   4.075                   
09/15/2032  91  SFRU32  96  4   4.043   4.084                   
12/15/2032  91  SFRZ32  95.955  4.045   4.053   4.085                   
03/16/2033  91  SFRH33  95.98   4.02    4.041   4.085                   
06/15/2033  98  SFRM33  95.98   4.02    4.034                       
09/21/2033  91  SFRU33  95.995  4.005   4.046                       
12/21/2033  84  SFRZ33  95.95   4.05                            
""")
df = pd.read_csv(data, sep='\t')
df['Start Date'] = pd.to_datetime(df['Start Date'])
df['contract_month'] = df['Ticker'].apply(lambda x: 3 if x[3] == 'H' else 6 if x[3] == 'M' else 9 if x[3] == 'U' else 12)

Creating the curve

dates = []
rates = []
futures = []
for i, row in df.iterrows():
    price = row['Last']    
    year = row['Start Date'].year
    future = ql.SofrFutureRateHelper(price, row['contract_month'], year, ql.Quarterly)
    futures.append(future)

curve = ql.PiecewiseLinearZero(2, ql.TARGET(), futures, ql.Actual360())
yts = ql.YieldTermStructureHandle(curve)
engine = ql.DiscountingBondEngine(yts)

Viewing the nodes

curve.nodes()

Error

RuntimeError: 1st iteration: failed at 1st alive instrument, pillar September 18th, 2024, maturity September 18th, 2024, reference date August 1st, 2024: missing rate on June 19th, 2024 for index SOFRON Actual/360

Do I get the above error because the contract start date begins on Juneteenth? Is this a bug in the library or am I failing to construct the curve properly?

Answer 1

It's not shown in your code, but I assume you're also setting the evaluation date and adding to the SOFR instance the known past fixings, right?

If that's the case, what you're hitting was in fact a bug in the library; it was fixed in version 1.35, released last week. Upgrading should fix the problem.