I usually use ON Libor fixing to bootstrap the USD overnight curve from t+0 to t+1, then some improper quote as tomorrow-next on [t+1, t+2], then finally use OIS on [t+2, (t+2)+mY] with m= 1, 2, ..., 50Y
Next Mon 25-Aug-2014 is a London holiday, but not a NY holiday. To the best of my understanding OIS will all start on Wed 27-Aug-2014, as they are not affected. Is it right?
What can be used to cover from Mon 25-Aug-2014 to Wed 27-Aug-2014?
Libor ON fixing will not be available because of the London holiday, and I would like to fix the [t+0, t+2] part of my overnight USD curve once forever.
What are the best practice and conventions?
thanks
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