Curve Building OIS and IBOR

[domokane]

You'll need to offer curve calibration using outright OIS & IBOR tenor swaps, OIS meeting date swaps, basis swaps of either IBOR/IBOR, IBOR/OIS or OIS/OIS, OIS and IBOR futures, IBOR FRAs (I include ESTR and SOFR in the OIS category). You should also allow for multiple overnight rates per currency (SOFR+FF & ESTR+EONIA).

The most interesting case to cover is probably AUD where you need full multi-curve support as the 3m and 6m curves are co-dependent on each other.