We need to be able to fit a fed funds curve using a meeting date swap with effective date prior to settlement e.g. as of 2019-07-30 the front USD meeting date swap (USSOFED1 Comdty on Bloomberg) is a swap between 2019-07-31 and 2019-09-18 with settlement T+2 = 2019-08-01.
It’s also standard to fit an inflation curve using fixing swaps e.g. currently the front RPI fixing swap (BPSWIF7 Curncy) represents a July 18-19 fixing swap.
The first issue is most pressing for us, I believe it requires constructing a FixedOvernightSwapTemplate with a negative period to start although if there is a workaround to get the correct swap dates I’ll happily update our code accordingly.