Settlement days for SONIA in MakeOIS

[tomwhoiscontrary]

MakeOIS defaults settlement days to 2. That's the right value for all the OISs i care about except for SONIA, where it should be 0. It's mildly annoying to have to add logic to customise settlement days purely for SONIA.

How would you feel about teaching MakeOIS a bit more about settlement day conventions for various indexes? It would be 2 by default, unless there was an override for a particular index. Or for a particular currency - there are not many currencies with multiple overnight indexes, and the only two i can think of (USD with fed funds and SOFR, EUR with EONIA and ESTR), have the same spot lag for both, and in any case it's two days.

In MakeVanillaSwap, the settlement days default to the index fixing days, which sidesteps this problem, but we can't do this for OIS, where the index fixing days are always zero. MakeVanillaSwap does have some per-currency special knowledge like this for choosing the fixed leg payment frequency.

If this seems okay, i can raise a PR when i have time.

Also, fun fact which should be a separate issue, the settlement days are applied using the index's fixing calendar. But actually, for SOFR, where this is the SIFMA / US government bond calendar (#1635 notwithstanding!), market practice is to use a SIFMA/NYC joint calendar.

[tomwhoiscontrary]

Would be nice to exploit this in OISRateHelper as well.

[tomwhoiscontrary]

Also, CORRA OIS has 1 settlement day!

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