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Home / CompoundingOIS convention for CORRA curve

Home Forums Help CompoundingOIS convention for CORRA curve

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    coling
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    I need to strip a CORRA curve from synthetic CORRA swaps built from compounding CORRA/CDOR basis swaps and CDOR swaps, similar to the way Fedfunds is stripped. The difference is that the CORRA leg of the basis swaps is compounded daily rather than averaging. Is there a way to configure the existing ORE conventions to strip this curve, or will I have to extend them?

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