The swap curve is built from LIBOR, Eurodollar and swap rates. Swap rates are those used between banks with AAA ratings. Many financial institutions without AAA ratings also enter into swaps; for those instutions, marking-to-market is necessary for trading.
Since the Eurodollar contract is a futures contract, we need to adjust for convexity when we build curves.
The following dialog window shows HedgeOne's Swap Curve Builder.
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