FairRate(swap, discountrate)

Consider two payment schedules. The first one consists of payments of 5% of the nominal every month between January 3, 2008 and January 3, 2018. The second one consists of payments of 3% of the nominal every quarter between January 3, 2010 and January 3, 2015.

Consider two simple swaps that exchange the first set of payments with the second set.

Consider the same simple swaps that use the fair rate.

Finance[CompoundFactor], Finance[DiscountFactor], Finance[FixedRateCoupon], Finance[InArrearIndexedCoupon], Finance[ParCoupon], Finance[SimpleCashFlow], Finance[UpFrontIndexedCoupon], Finance[ZeroCurve]