I read the paper by OpenGamma “The Pricing and Risk Mgt of CDS” and I do not understand one bit of the formula (17) written on page 8. I do not get why DCC curve (si, ei) intervenes in the formula. Since ACT/360 relative to the DCC accrual is already taken into account, I do not understand why the DCC related to the curve must be considered. Could you please help me on that.
Many thanks for your help,