The documentation points to a different approach than the standard linear in log discount factors. The EURIBOR 6M curve 45 is the prime example. Does anyone understand the implementation details of this. In building the anchor chain, how are the discount factors at 18 and 24 months obtained. Are these read from the pre-fitted flat forward curve? Also big picture, is this mix of flat forwards and linear rates interpolation an industry standard or is it only done by bloomberg?
