I am looking for ways to build an OIS discount curve, but from what i see only vendors are providing it nowadays. I think i had been told somewhere that i can try to do it with futures but I am hesitant due to the fact that there needs to be convexity adjustment and that on top of that convexity adjustment i need to set an appropriate vol level (instead of assuming constant vol).
Is there anywhere that i can find this data for my yield curves ? i am looking for OIS (us markets), EONIA (European) and SONIA (UK)
i am looking to get some practitioners input on convention/real world practices of today (i guess meaning the post-crisis world)