Hi, This is a basic question, but for some reason I can't seem to find a clear answer. For a forward starting swap, I would use the formula: (D(t-1)/D(t)-1)*(1/dt) which would give me the exact forward rate our software is using for forward starting deals. For existing deals, especially deals for which the starting date is before the settlement date of the cashflows (but the end date of the cashflow falls in that range), I can't seem to reproduce the curves. The zero curve is way off, and the forward curve is really close (I'd assume the zero curve would be appropriate, but I guess not). I apologize in advance if my question is unclear, but I'd appreciate any insight. Thanks!

Attached is a spreadsheet regarding my predicament. Anything that is highlighted is my own manipulation. My goal is to get column N to match column G in the "Deal" tab. Thanks again!

In column J of tab 1MZLibor you used linear interpolation on zero rates, right?Did you try with log-linear interpolation on discount factors?Bye.Jordy

It turns out there was a detail in the deal I was missing (I did use linear interpolation - but it had to be scaled by 4 days, it was a weird deal). thank you for the response.