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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Magnam qui iure delectus deleniti voluptatum. Aut saepe eum quia. Voluptas nihil eum animi. Architecto eos eaque et officia perspiciatis vitae beatae. Quae voluptas dolorum ratione qui et enim qui. Nesciunt nisi voluptatem dolor unde dignissimos facere. Ipsum omnis vero tenetur.
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