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The first method assumes that the value of a floating leg at libor flat is 100. This contains an inbuilt assumption that the discount rate is Libor flat, which is an assumption that used to be made. Nowadays , we discount cash flows at Fed Funds (or Eonia in Europe), so the second method is better: first replace the floating rates by their forward rates, ...


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The key inputs to this calculation are two yield curves obtained from market data: $\{v_i\}$ the discounting factors (value today of \$1 received at time i) and $\{r_i\}$ the forecasting curve (forward semiannual rates for period i to i+1). The calculation itself proceeds as follows. There are two legs to a fixed/floating interest rate swap. The fixed leg,...


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The curve Bloomberg EUR swaps curve (YCSW0045 Index) is indeed the euro equivalent of the Bloomberg USD swaps curve (YCSW0023 Index). By equivalent I mean that each curves are constructed in the same manner : using sames types of instruments (deposits, FRAs, futures, swaps) with the same bootstrapping/implying method (exact fit vs best fit). For each you ...


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