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Ligatures are when two or more glyphs get combined into one glyph. Generically, when you define a ligature, two or more glyphs are specified, and instead of showing those glyphs when a user is typing, those glyphs get replaced with a single new ligature glyph.
Some common lowercase ligatures involve combining the crossbars of glyphs like f and t, forming ligatures like ﬀ and ﬅ. A common uppercase ligature combines the glyphs A and E into the ligature Æ. Ligatures can also be used for any other sequence replacement, for example fractions: the three glyphs 1 and / and 4 could be turned into the ligature ¼.
Creating a new ligature is as easy as specifying the two or more glyphs to combine. Designing the resulting glyph uses exactly the same tools and processes as designing regular glyphs on the Glyph Edit page.