Tenor Start date for overnight tenor is same as valuation date but I need your help for below scenario,
If there is a holiday on the valuation date, what should be the tenor start date for overnight tenors?
Its calculating as following business date, Have tried with calibration sample example with valuation date as 2015-05-25 (i.e. holiday in USNY calendar).
Calculated values: start date as 2015-05-26 and end date as 2015-05-27
Calculated Node Date:
[2015-05-27, TermDepositCurveNode{template=TermDepositTemplate{depositPeriod=P1D, convention=USD-ShortDeposit-T0}, rateId=QuoteId:OG-Ticker~USD-DEP-ON/MarketValue, additionalSpread=0.0, label=ON, date=CurveNodeDate{type=End, date=null}, dateOrder=CurveNodeDateOrder{minGapInDays=1, action=Exception}}]
TermDepositTrade{info=TradeInfo{id=null, counterparty=null, tradeDate=2015-05-25, tradeTime=null, zone=null, settlementDate=null, attributes={}}, product=TermDeposit{buySell=Buy, currency=USD, notional=1.0, startDate=2015-05-26, endDate=2015-05-27, businessDayAdjustment=Following using calendar USNY, dayCount=Act/360, rate=5.8E-4}}