I know how to build Zero Curve using Swap Curve when today's are reset date. Because, In the reset date, Floating rate bond's value is exactly par value. So we can make equation with Fixed rate bond!

However, the problem is when it is not reset date.

Let's look at the problem with quote


Above picture is arbitrary sample of USDIRS Quote. Let's assume Floating leg frequency is 6 Month.

Then Now I start with "1 Day" swap rate '0.01576' to bootstrap with swap rate.

Now! the Floating leg's payment is (1 + r/2)*FaceValue "1 day after!" Also the Fixed leg's payment is (1 + swaprate/2)*FaceValue "1 day after!"

But I assumed today is not reset date. So I cannot make equation because of those reasons.

  1. Floating Leg is not Par Value because it's not reset date today.

  2. Because it's not reset date, it is also not contract date. That means, the contract value is not 'Zero'

So Considering just only this Swap Rate Quote table, except using market Spot curve How can I make Spot curve and bootstrap to make implied spot(Zero) curve? and How can I value this Swap Contract?

Is there any reference that explain extract implied spot curve when it is not reset date or the leg's frequency are different each other?

It really gets me in trouble. Please help me



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