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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.
The text was updated successfully, but these errors were encountered:
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.
The text was updated successfully, but these errors were encountered: