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Hi James,
Agreed. I know that you yourself have implemented in the past all these various algorithms.
My example was just on a monthly frequency.
It does indeed get complex especially when you introduce IMM rolls, stub dates etc.
Basically all the convensions supported by the FpML standard should be implemented as these conventions are
very common in the interest rate derivatives arena.
Working backwards is just a first step (also the default for swaps).
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