I'm setting up some Euribor 6M and Euribor 3M curves. So far i have all the data and quotes i need, but i'm having trouble defining the firsts points of the curve. I'm currently using 6M Euribor and 3M Euribor OIS as the first point.
My question is, how correct is it if i use O/N Euribor or 1M Euribor on both curves, knowing that there's a basis between the indexes.
As an example, for the 6M Euribor these are my two options:
- Euribor O/N, Euribor 1M, Euribor 6M, FRAs, Swap Rates.
- Euribor 6M, FRAs, Swap Rates.
Both options seem correct, but i don't know what is the market convention over this.
Thanks for the help.