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I'm trying to understand the bootstrap methodology to construct a zero curve from a par curve in detail. I'm looking for a good source of information, preferably with a detailed example, that discusses the whole procedure from selecting the constituents of the curve, via day count conventions, interpolation assumptions to the actual procedure of bootstrapping. I read

Hull, Options, Futures, and Other Derivatives

but this book only discussed the basics.

Does anyone know a detailed source with a numerical example?

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