The Cortland braided core competition nymph line is a favorite among serious Euro nymphers because of the ability to splice the leader into the line, creating a seamless transition from fly line to leader. This is attractive because of the amount that the line to leader connection, usually a nail knot, passes through the guides of the rod.
To splice the leader into the line, take a thin diameter sewing needle and stick it into the end of the fly line. Push the needle and inch or two into the line, then poke it through the side of the line. Thread the end of the leader through the eye of the needle and into the line. Pull the end of the leader through the tiny hole in the side of the fly line and finish with an albright knot.
Of course you can always use a regular nail knot too.