Building BRL_CDI curve


Currently, we are trying to construct a curve for BRL. We have found an example here:

It looks very helpful and promising, but what we have noticed is that there you only use “simple” fixed overnight swap nodes to construct the curve. Is there a way to build a curve with more specific (for BRL) curve nodes? We are searching for something similar to Future nodes, which would use BRL_OIS convention together with minimum period and sequence number. Is there anything available?

Thank you!

Are you looking for an overnight future curve node? Sadly there is no support for that at present, although the beginnings of a PR was created. You can create your own curve nodes, which may be the way to go in your case.

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Thanks, it looks promising! Are there any plans to continue working on this in the near future? We can try to implement this on our own. It seems that this should definitely go to the library itself, so we could also contribute and implement that in OG Strata directly (if possible?), but our main concern is time. What is the process of the development and the actual release on your end? What is the minimal functionality for this to be considered as releasable?


Releasing Strata is generally simple and easy at our end. Submissions via a PR are welcome. The main pain is in getting the code right and correct for the long term, as once released we try not to change it. Unfortunately, this means minimal is tricky. In addition, there may be a legal form involved to assign rights to your submission (a CLA) although I can’t say for sure. IborFutureCurveNode is the closest alternate curve node, and it can be seen that it also requires IborFutureTemplate and IborFutureConvention. These then have to be linked in, such as RatesCalibrationCsvLoader. Our quants would also need to check that the addition is sufficiently complete.

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