Hello again team,
in addition to old-fashioned curve calibration, I also tried a Multicurve Calibration (Eur-OIS + Euribor3M + Euribor6M) but a couple of problems occurred.
First of all, normally we calibrate Forward Curves also using a starting set of short maturity deposits (from SN to 3M for Euribor3M and from ON to 6M for Euribor6M). Inserting this curve nodes in calibration.csv throws a “Non converging Newton method”. Deleting them (and starting from first FRA) executes correctly.
Second problem, the mean error in Forward curves (compared to benchmark curve) is E-3, pretty high.
Last problem regards OIS discount curve. From 1Y to 2Y we use EONIA OIS monthly (pays at 1Y and maturity). What is the correct convention to use in this case? EUR-FIXED-1Y-EONIA-OIS or EUR-FIXED-TERM-EONIA-OIS?
Thank you for your time.