Ccy-In-EUR (or -In-USD) Examples still having libor basis swaps

[rkapl123]

Dear All!

As I'm interested in switching to the new OIS discounting regime, I wanted to clarify whether the curveconfig.xml in the example inputs should actually be updated (or enhanced) to reflect the overnight basis swaps needed and already documented in the products guide (page 589):

2Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/2Y
3Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/3Y
. . . . . .
30Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/30Y
40Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/40Y
50Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/50Y

In the examples there are still the old libor basis swaps, e.g. for example the USD-In-EUR:

				<CrossCurrency>
					<Type>Cross Currency Basis Swap</Type>
					<Quotes>
						<Quote>CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/2Y</Quote>
						<Quote>CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/3Y</Quote>
						<Quote>CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/4Y</Quote>
						<Quote>CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/5Y</Quote>
						<Quote>CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/7Y</Quote>
						<Quote>CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/10Y</Quote>
						<!--		<Quote>CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/12Y</Quote>            -->
						<Quote>CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/15Y</Quote>
						<Quote>CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/20Y</Quote>
						<Quote>CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/30Y</Quote>
						<Quote>CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/40Y</Quote>
						<Quote>CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/EUR/3M/50Y</Quote>
					</Quotes>
					<Conventions>EUR-USD-XCCY-BASIS-CONVENTIONS</Conventions>
					<DiscountCurve>EUR1D</DiscountCurve>
					<SpotRate>FX/RATE/EUR/USD</SpotRate>
					<ProjectionCurveDomestic>USD3M</ProjectionCurveDomestic>
					<ProjectionCurveForeign>EUR3M</ProjectionCurveForeign>
				</CrossCurrency>

I think it's also necessary to adapt the EUR-USD-XCCY-BASIS-CONVENTIONS to something more appropriate:

  <CrossCurrencyBasis>
    <Id>EUR-USD-XCCY-BASIS-CONVENTIONS</Id>
    <SettlementDays>2</SettlementDays>
    <SettlementCalendar>TARGET,US,UK</SettlementCalendar>
    <RollConvention>MF</RollConvention>
    <FlatIndex>USD-LIBOR-3M</FlatIndex>
    <SpreadIndex>EUR-EURIBOR-3M</SpreadIndex>
    <IsResettable>Y</IsResettable>
    <FlatIndexIsResettable>Y</FlatIndexIsResettable>
  </CrossCurrencyBasis>

Is it simply exchanging the indices?

  <CrossCurrencyBasis>
    <Id>EUR-USD-XCCY-BASIS-CONVENTIONS</Id>
    <SettlementDays>2</SettlementDays>
    <SettlementCalendar>TARGET,US,UK</SettlementCalendar>
    <RollConvention>MF</RollConvention>
    <FlatIndex>USD-SOFR-1D</FlatIndex>
    <SpreadIndex>EUR-ESTR-1D</SpreadIndex>
    <IsResettable>Y</IsResettable>
    <FlatIndexIsResettable>Y</FlatIndexIsResettable>
  </CrossCurrencyBasis>