A zero curve is a series of discount factors which represent the value today of one dollar received in the future. A zero curve is mathematically constructed using a series of short and long term market interest rates such as futures and swaps. The zero curve is applied to financial instruments such as interest rate swaps to discount expected future cashflows back to a present value.
How Hedgebook helps:
Hedgebook’s proprietary models construct zero curves to provide independent valuations of financial instruments