Thank you very much for your effort.
After further investigation, I found that the different results are caused by the benchmark curve calibration.
During the calibration, the swap products are actually valuated without recalculating all the payments of the floating leg. So there is a notional payment at start and a discounted negative notional payment at the end. Forcing the benchmark software to recalculate all the payments leads to a more Strata-like curve:
The resemblance is impressive now, in the order of 1E-8 bps.
Not so lucky with OIS swaps, though. After many efforts, I found that Strata conventions on OIS swaps (EONIA) have 1 day of delay for payments. So, I created a new convention for fixed term OIS and 1Y OIS:
public static final FixedOvernightSwapConvention EUR_FIXED_TERM_EONIA_OIS_0DAY =
makeConvention(“EUR-FIXED-TERM-EONIA-OIS-0DAY”, EUR_EONIA, ACT_360, TERM, 0, 2);
Now the discrepance is very low until 30Y (1E-7 bps, very good!). After 30Y there is something wrong… Maybe it could be caused by the longer time gap between points?
