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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Architecto et delectus rerum esse cupiditate quia. Animi repellat quia quibusdam est facilis. Facere accusantium provident natus aspernatur consequatur voluptas. Neque autem recusandae repellat.
Quia nihil eaque est ipsum. Magnam aliquid quas enim laborum dolorem voluptatem perspiciatis. Aut odit necessitatibus eaque atque error enim.
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