There is a good chance that the swarm left with a virgin queen, that means that there was at least one queen or queen cell left behind. When you introduced the new purchased queen, she was probably dispatched by the young (probably virgin) queen that had remained in the hive. Like Ray said, wait a week or so, there should be a queen laying soon, new queens start laying around 2 weeks after hatching.
Tough situation...virgin queens are very difficult to locate, I wouldn't put a new queen into a hive that had just swarmed.