While regulatory requirements and balance sheet risk management topics occupy a large chunk of Anthology: Past, Present and Future Principles of Banking and Finance, practical considerations in other aspects of banking must still occupy our focus! The link below is to a presentation from the book's associated website, entitled "Market Inputs to the Yield Curve", and is an accessible summary of what types of curve building methods one should consider using - as we see, the answer, like so much in finance, begins with "It depends....", and in this case it depends on what exactly one is using the yield curve for. There is, as usual, more than one "right" answer...

by Professor Moorad Choudhry