Hi,
I am calibrating a AUD curve which includes 90-day Bank Bill Futures.
90-day Bank Bill Futures expire on the Second Thursday of each quarter.
When creating an ImmutableIborFutureContractSpec to model up the future, how can I insert a custom DateSequence?
For example in the below I want to define QUARTERLY_SECONED_THURSDAY, which is not included in the StandardDateSequences class.
public static final IborFutureContractSpec AUD_BBSW_3M_IMM_ASX =
ImmutableIborFutureContractSpec.builder()
.name(“AUD-BBSW-3M-IMM-ASX”)
.index(IborIndices.AUD_BBSW_3M)
.dateSequence(QUARTERLY_SECONED_THURSDAY)
.notional(1000_000d)
.build();
Thank you
Yoichi