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Add OvernightOvernightSwapCurveNode

Open marc-henrard opened this issue 7 years ago • 1 comments

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.

marc-henrard avatar Mar 12 '19 22:03 marc-henrard

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.

mozzinho avatar Oct 29 '21 14:10 mozzinho