I was reading here: SAP S/4HANA Software Documentation
Calculation Methods for Interpolating the Yield Curve
The option Linear Interpolation of Log( Discount Factor ) means the system keeps instantaneous or differential forward rates constant between the grid points. This method is very robust and can also work in borderline cases where the other calculation methods lead to an error during yield curve creation.
I vaguely recall seeing this in Bloomberg, also. What is the robustness that is mentioned above?
