methodology for pricing and valuation of generic and simple non-generic swaps, and

examine the practical steps of constructing swap discount curves

Fair value = cost of replication
Modelling the deterministic discount curve
Blending different market data sources:
Cash rates, Swap rates and Bond yield data
Interest rate futures data
Adjusting for convexity bias in futures data
Bootstrapping market data to generate a deterministic discount function
Practical challenges in deriving benchmark curves in illiquid markets
Interpolation methods different methods; advantages and shortcomings
Curve fitting and smoothing techniques