Swap(firstleg, secondleg)

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 for the second set.

You can implement the above instrument as an ordinary swap using explicit cash flows. Here is the set of cash flows for the paying leg of each swap.

Here is the set of cash flows for the receiving leg.

Finance[ExplicitZeroCurve], Finance[FlatForwardCurve], Finance[NetPresentValue]