Following the “XYZ in EUR” curve examples in the curveconfig.xml, is it possible to also have more than one tenor basis swap segment (e.g. allowing a EUR-CAD pricing via EUR-USD and USD-CAD basis swap curves)? Are there any special arrangements to be made in the configuration? From what I have seen from Reuters you get to the EURECB (EURCAD basis curve) by subtracting the EURCBS (EURUSD basis curve) from the CADCBS (USDCAD basis curve). Does ORE do that as well?
For EURCAD basis I wouldn’t need that so much, but rather for CNY/CNH.