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When pricing a interest rate swap, I use the swap curve to price the instrument and the corresponding OIS curve to discount it. However, for some countries (eg Canada), the IRS curve settles on the same day, while the OIS curve has a 1 day settlement delay. Thereforme, the two curves don't have the same start date, what results in the following error when pricing:

1st iteration: failed at 1st alive instrument: negative time (-0.00277778) given.

Does anyone know a way to get around this issue of different settlement days?

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