Most firms have their own flavor of what is essentially the same methodology. Your best bet is to ask the quants who construct the curves at your place.
There's a bunch of books depending on how in-depth you want to get:
Fixed Income Securities
...any book on quantitative fixed income...
Interest Rate Modeling
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Swap Curve
Most firms have their own flavor of what is essentially the same methodology. Your best bet is to ask the quants who construct the curves at your place.
For a rough overview: http://www.sfu.ca/~atheunis/Papers/LEH%20The%20Swap%20Curve%20020826.pdf
There's a bunch of books depending on how in-depth you want to get: Fixed Income Securities ...any book on quantitative fixed income... Interest Rate Modeling
in increasing order of complexity
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Et reprehenderit distinctio exercitationem. Incidunt rerum illo laudantium est vero. Quia molestiae sed odit id voluptatem. Saepe autem omnis incidunt placeat est consequatur.
Blanditiis ratione iusto rerum temporibus earum quos ad. Soluta voluptate aut perspiciatis est vitae. Qui est nihil exercitationem. Non id facere tenetur voluptatem quo. Iste velit error voluptatem et hic voluptatem.
Vel eveniet accusamus illo ea beatae. Atque quaerat architecto inventore animi possimus dolores id. Dolor amet consequatur sunt aut mollitia. A eaque repudiandae dolorum odit accusantium optio.
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