Extend Zero-Rate Curve with Swap Rates
Use swap rates to extend the Zero-Rate curve.
Additional Information
We assume here for simplicity purpose : ACT/360 Day Count Convention, Annual Fixed Leg Frequency, and Semi-Annual Floating Leg Frequency. Also, we use CubicSpline Interpolation (solving of third-degrees polynomes), which allows bent curves instead of straight lines.
Inputs
Results
Extended Zero Curve: N/A
Visualizations
Extended Zero Curve
