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(In addition to the answers of Freddy and Phil H): With "modern" multi-curve setups: You have to distinguish between discount curves (which describe todays value of the a future fixed payoff (e.g. a zero coupon bond)) and forward curve, which describe the expectation (in a specific sense) of future interest rate fixings. Swaps pay LIBOR rates and are ...

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You should take a look at the example from Hull's book. Assume that the 6-month, 12-month, 18-month zero rates are 4%, 4.5%, and 4.8%, respectively. Suppose we know that the 2-year swap rate is 5%, which implies that a bond with a semiannual coupon of 5% per annum sells for par: 2.5 e^{-0.04 \bullet 0.5} + 2.5 e^{-0.045 \bullet 1.0} + 2.5 e^{-0.048 ...

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stay away from using rates that are based on unsecured funding -- there is differential risk premia embedded if you do, e.g., the health of the US banking system versus that of Europe's when using libor usd versus euribor. also, those rates are liable to manipulation. what you want to use are the rates charged for borrowing in one country versus the rates ...

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