This white paper examines the process of constructing discount curves in accordance with Long Duration Targeted Improvements, including the criteria that should be used, and assesses the quality of the different algorithms used to build out a complete curve (including interpolation, extrapolation, and smoothing). It also assesses the quality of several curve-fitting approaches by examining the fit to bond data for several historical dates covering a range of market conditions.
Constructing discount curves under LDTI