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?