Python Quantlib : How to deal with RuntimeError 'addFixing(date, value)'

Question

for t_ccy in rate_dates.keys():
    libor_base = ql.AUDLibor(ql.Period(3,ql.Months),ql.YieldTermStructureHandle(term_structure[t_ccy]))
    libor_up = ql.AUDLibor(ql.Period(3,ql.Months),ql.YieldTermStructureHandle(term_structure_up[t_ccy])) 
    for key in hist_rates_dict.keys():
        try:     
            libor_base.addFixing(key,hist_rates_dict[key])
            libor_up.addFixing(key,hist_rates_dict[key])
        except:
            print("Following Exception in Schedule creation " +str (key))
            print((sys.exc_info()))

RuntimeError('At least one invalid fixing provided: Monday May 6th, 2019, 0.015491',).

This date is from the 'hist_rates_dict' where the 'key' are the Dates and 'values' are the Rates. How to deal with this exception. Thanks in advance.

Answer 1

ql.AUDLibor is probably not the index you're looking for. That's the BBA LIBOR index that was discontinued in 2013. It was based on the London calendar...

>>> import QuantLib as ql
>>> libor = ql.AUDLibor(ql.Period(3,ql.Months))
>>> print(libor.fixingCalendar())
London stock exchange calendar

...and May 6, 2019 is bank holiday in UK...

>>> print(ql.UnitedKingdom().isBusinessDay(ql.Date(6, ql.May, 2019)))
False

...so it wouldn't be a valid fixing date for AUD LIBOR, were it still alive.

>>> libor.isValidFixingDate(ql.Date(6, ql.May, 2019))
False

You're probably trying to load fixing for some other AUD index that replaced the BBA LIBOR and that it's not provided by the library as a class of its own. Once you figure out its conventions (such as fixing calendar and such) you can create it as an instance of the generic Ibor class.