CurveSet

A post-LIBOR curve stack: one OIS discount curve plus one or more tenor-indexed forecast curves. Cash flows are always discounted on discount(); floating-leg forwards come off the forecast curve of the relevant tenor, so a fixed-for-float swap is only at par when the two curves differ — that gap is the tenor basis.

Produced by MultiCurveBootstrap, which also returns the full d(zero rate) / d(quote) Jacobian across both curves (a forecast zero rate depends on the OIS quotes through the discount factors in its par-swap equation).

This is the stylised annual construction textbooks use to introduce OIS discounting: fixed and floating legs share an annual grid, so a swap of maturity N adds exactly one forecast pillar. Sub-annual float frequencies and interpolation inside the solve are a later refinement.