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I read the following statement:

We can construct a 5 year swap using 3 month libor combined with a 3mo-4.75yr forward swap, weighted by the dv01s of each part.

I am not sure I understand how this is the case.

Can someone please explain?

Thanks

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What I think they're saying here...

The USD market convention is that the floating leg pays quarterly and is set at the beginning of the coupon period from 3mo libor, and the fixed leg pays semi-annually.

You can view a vanilla 5-year swap as a portfolio of two instruments with the same notional as the original swap: the first floating coupon, which is already set to 3mo libor, and all the remaining coupons, which start in 3 months and last for 4 years and 9 months. Note that the first fixed coupon still pays 6 months of accrual.

(I don't see the relevance of the dv01.)

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