Settle Days

Key Settle Days in Yield Curve Ois refers to an optional number N of settlement business days of the associated overnight index swaps.
More precisely, the swaps settle as T + N in the sense that their both legs start accruing N business days after the transaction date T according to the index's calendar.
If omitted, it is set equal to the number Nᵒᵛ of business days of the overnight index defined in ON Index or Leg2 Ibor or Leg2 OI, as appropriate.
If N is set so that N < Nᵒᵛ, the curve will fail to be built because the index responsible for accruing the interest over the first floating period will have settled Nᵒᵛ - N business days before T and therefore will not be possible to be computed from the curve being constructed as of T.