I'm attempting to construct a spot rate and forward rate curve from the 2011 daily treasury yield curve rates provided by the US Treasury. All US Treasury securities (1m, 3m, 6m, 1y, 2y, 3y, 5y, 7y, 10y, 20y, 30y) are being taken into consideration.
Using the bootstrapping process, step 1 is to obtain all of the spot rates. In working through this step, I'm getting stuck when calculating the spot rate for the 2y Treasury Note. To get the spot rate for the 2y Treasury Note, I need the spot rates for the 6m, 1y, and 1.5y terms. The problem is that there is no observable 1.5y Treasury security.
How do I work through this? I've spent a great amount of time browsing the web trying to find the answer, and have come up empty. I found this topic while creating this post. Is linear interpolation the answer? Can someone point me to a good resource for learning this technique?
Thank you for your time.