Key Interp Method in refers to a choice from the list
If = is used, log-based interpolated methods should be preferred over non-log-based.
Otherwise, non-log-based interpolated methods should be preferred over log-based.
The following values require additional specifications that are defined in an object of type that is optionally supplied through the key
If the value here is or and the Interpolation is not supplied, the assumed default Interpolation object is such that the value is equivalent to or respectively.
Testing shows that (or its log equivalent) is generally a good choice that leads to smooth forward curves, but it may lead to bootstrapping failure in certain cases.
A more stable choice with slightly less smooth results is the (or its log equivalent).
The (or its log equivalent) is very smooth and stable but it has the drawback that its bootstrapping is more time consuming.