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Hi I am currently tying to bootstrap the F-TIIE curve for mexican swaps In the short term it uses the F-TIIE Futures. These F-TIIE futures are 1 month futures that start on the first day of the month regardless of holidays. They are compounded daily throughout the term with 1 day forward rates (funding rates). I am currently trying to bootstrap it using ql.OvernightIndexFutureRateHelper but it is not right.

Here is the methodology for settlement calculation

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