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Zero Coupon Swap

An off-market swap in which either or both of the counterparties make one payment at maturity. Usually it is only the fixed-rate payments that are deferred. The party not receiving payment until maturity obviously incurs a greater credit risk than it would with a vanilla swap. The swap is advantageous for a company that will not receive payment for a project until it is completed or to hedge zero - coupon liabilities, such as zero - coupon bonds.


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Portfolio valuation and risk analytics for multi-asset derivatives and fixed income.