Hi guys, Im in the middle of constructing a 0 coupon curve using deposit rates upto one month, 8 futures contracts upto 2 years and swap rates upto 10 years. So far I have obtained the discount factors from 1 month to 10 years, but am unsure where to go from here in order to price my swap.......any help would be appreciated!

You might need to bootstrap you swap rates as they are periodic fixed rates (similar to coupon rates for bonds) to get your zero yield.I'm not too sure though.The curve you've made is then used to discount the cashflows.Then you'll need another yeild curve which is the forward curve. This 'projects' your floating rate in the future.Now you discount your fixed leg cash flows with you zero curve.And you project your floating cashflows using the forward rates and discount with the same curve that you used for the fixed.Then your swap value is the net of the two legs (Receive - Pay).

Things to bear in mind in the process:(1) you need depo rate for up to 3mths, because first future can be up to 3mths away(2) take care in deciding which "cutover" method to use. This dictats how the transition from one instrument to the other is handled(3) you need convexity adjustment for futures(4) take extreme care in handling date count conventions. Always make sure that the curve will back out the inputs.Hope this helps