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## Zero coupon swap curve definition

This is accomplished by passing two arrays -- an array of zero curve dates Excel serial date numbers and a second array of zero rates associated with these dates. The user is free to pass their own zero curve provided that they observe the input conventions used in the add-in functions. A longer array limit can be provided upon request. A utility function called Yconvert is provided see Section X to convert rates to continuous compounding from other compounding bases.

These spreadsheets are then used to price FRAs, swaps, caps and floors, and swaptions.

The generic dates that tend to be used in most swap valuation systems are:. What should be the unknown in the equation, the discount rate in the denominator of the zero coupon or the face value in the numerator?

## Pricing fixed income securities against an interest swap curve

This topic is in the reading on term structure of interest rates. The goal is to establish interconnection between swap rates and spot rates.

For that they say they use zero coupon fixed leg, but as usual lack any elaborate explanation. More detailed calculations are done in the derivative section, but i am not sure there is any zero coupons.

- swap rate on zero coupon swap?
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A zero coupon swap if it already exists would be the same as a forward contract, right? A swap, as the name states, is the exchange of positions more than 1 time.

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