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Once upon a time, there was the One Curve. It was made of various instruments (Depos, Fixings, Futures, Swaps) and represented the One True Discount Rate for any given term. With that curve, and an appropriate interpolation method, it made sense to talk about expensive days, the curve up to 3m, etc. But that world is long gone. When you create a 3m curve ...


It is incorrect to use 1m euribor or O/N euribor in a 6m Euribor forward curve. You should only use instruments based on 6M euribor, such as 1x7 FRA, 6x12 FRA or swaps v 6m Euribor, as you have done in your second example. The actual 6m euribor fixing itself can be thought of as a 0x6 FRA out of spot. Before the financial crisis basis between different ...


I assume, you have the same notional for both legs, so in both cases is just the (Index + Spread) * Notional. Note that in this case, you only have a spread in the 12M leg. Until some notional payments are made, it's just interests cashflows.

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