Recently I've had to pay closer attention to the minutiae of interest market conventions regarding fixing and settlement dates, and there's something I'm really struggling to get. If I understand it correctly that the spot lag associated to certain reference rates means that the daily quotes are in effect forward rates (e.g. today's Euribor 1W quote on euribor-rates.eu is really a quote for two business in the future), how should we understand a yield curve bootstrapped based these indices and instruments derived from them? Is a yield curve bootstrapped from Euribor 6M swaps effectively applicable in two days' time? And how should one deal with the case where different instruments have different fixing date conventions associated with them?
For context, I'm using QuantLib to implement some tools, and I hadn't given much thought to how a YieldTermStructure's referenceDate argument interacted with these conventions. Now my theory is that it's supposed to incorporate the fixing days, i.e. for a swap curve it should be set to today + 2 days, but I don't know how this would work when dealing with multiple different conventions. One thing I've noticed in their example on bond pricing is that they forward the Euribor 6M swap quotes by 1 day so as to remain consistent with the 3 fixing days of the deposit rates. Indeed, if this forwarding is removed, the fitting procedure fails.
