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Add OvernightOvernightSwapCurveNode #1911

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marc-henrard opened this issue Mar 12, 2019 · 1 comment
Open

Add OvernightOvernightSwapCurveNode #1911

marc-henrard opened this issue Mar 12, 2019 · 1 comment

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@marc-henrard
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Several SwapCurveNode are available to calibrate curve, including IborIbor and OvernightIbor. A new type with OvernightOvernight would be important to calibrate to new benchmarks like SOFR and ESTER were the initial market will probably be in basis swap EFFR-SOFR and EONIA-ESTER. This will require the creation of the associated Template and Convention.

jodastephen added a commit that referenced this issue Apr 16, 2021
Add conventions and templates
Fixes #1911
@mozzinho
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Is there any plan to implement this for Isda IR curves? I.e. in respect of CDS. I don't see an appropriate subtype of SwapIsdaCreditCurveNode.

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