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This document discusses pricing and valuing interest rate swaps on Bloomberg. It provides an overview of Bloomberg functions for interest rate swaps, including swap libraries, trade execution, monitoring, and rate quotes. It also covers setting curve defaults, viewing swap curves, and constructing curves using overnight indexed swap (OIS) rates. Examples are given for valuing vanilla interest rate swaps in Russian rubles and euros using OIS curves on Bloomberg.

Author

Pratik Gite

Language

EN