你这个是asian-style interest rate swap,需要一个利率模型，如果不想用HJM/BGM,10年前有台湾人搞过Vasicek
还有，plain vanilla interest rate swap,也不是从yield curve定价的，yield curve和discount factor本来就是从swap curve bootstrap出来的

當然yield curve可以由swap組成, 但中短檔期可以由其他產品組成. 其實有關interest rate swap的平均值, 好像很少有書提及, 我也不知道怎樣計算expected future rate....

Could you explain in more detail like what index is used for floating leg?

Consider a Q/Q swap. Is the floating leg reset on 3M Libor average? Or daily average like OIS? Rolling or simple average?

OK. Take an example.

arithmetic average of Libor 3M vs 3%, quarterly pay, quarterly reset in advance. It is not normal swap in the market, but I just simplify it.

Sorry never handled this kind of product, but below are some of my thoughts.

Let's further simplify it as a floating loan maturity in 90D, paying arithmetic average of Libor 3M at the end (i guess averaging payment can only be reset arrears, at least the first payment?)

To hedge against it, I can enter in 90 forwards:

1) start at t0 + 0, indexed to Libor 3M, matured t0 + 90
2) start at t0 + 1, indexed to Libor 3M, matured t0 + 90
...
90) start at t0 + 89, indexed to Libor 3M, matured t0 + 90

For each of above, the Libor 3M rate can be estimated via implied forward curve, isn't it?