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Introduction to Swap Pricing

The swap component incorporates two main functional areas:

 

Swap Pricing

Support for a wide range of interest rate swaps, currency swaps, and commodity swaps.

Zero Curve Construction

A generic routine for constructing an output zero curve using cash and swap rates as the input information. When a zero curve is required as a parameter for any particular function, users can therefore either construct their own zero curves or provide a reference to a 'user-input' curve that is constructed independently.

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