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Your overall approach is correct. However to my knowledge it is formally more appealing to work with a parameterized and smoothed yield curve. Basically one assumes that the yield curve can be described by a smooth function $r(t,\alpha, \beta,\gamma)$ (mostly of three parameters) Given a set of market data $Y(t,T_1)\dots Y(t, T_n)$ one looks for ...


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thanks for all answers above. William's answer is more direct. actually i was quite new to the calibration area one year ago, so my question is quite simple but that simplicity might mislead others to a complex context. to comment on my own question in case anyone new to it might drop it, Damiano Brigo's book Interest Rate Models Theory and Practice (2006) ...



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