Implied Zero Coupon Swap Curve

Derivatives
Multi-Callable Swap
November 5, 2021
Islamic Finance
Ba’i al-Mutajarah
November 5, 2021

A yield curve for zero-coupon notes that is implied from the ordinary yield curve. It is used to calculate payments for fixed-rate swaps. The idea is to synthetically create a zero-coupon swap curve by using zero-coupon interest rates on notes.

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