I'm trying to build a zero/spot curve and have two pieces of information.
- 1yr zero coupon swap = 1%
- 3yr zero coupon swap = 3%
My initial guess was to linearly interpolate which produces a linear curve with slope 1. However, this seems very hand wavy (not rigorously justified) and I'm not convinced it is right. Is there a better approach to tackle this?
My end goal is to find overnight rates for each day in the 3yr period.