I'm new to curve building with Deposit, FRAs & Swaps, I understand the process the main struggle I've is with day conventions and swap delays,cash delays, pay delays ... it's hard to find a book that explain the process of curve building process which is close to real life examples, Do anyone have any good reading materials or real examples of curve building process it would be helpful? thanks for the help.
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You can find examples in the open source QuantLib library easily enough, that can be found here:
For the book reference I think a good example of a modern text is:
