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A zero coupon bond (ZCB) pays no coupons but pays £1 at its maturity date T.
ZCBs are not directly traded in the market, but conceptually are the key quantities, needed whenever we want to value a basket of contracts making payments at different times.
We will see later how ZCB prices are inferred from traded assets in the market.
Since the floating-rate side of a swap is always at par, the value of the swap is determined by the value of the fixed-rate side, which is obtained by summing the values of all the payments, discounted by the ZCB value for the time at which the payment is made.
What is not market data is the ZCB value.
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