You define an interpolation category for each yield curve type.
The interpolation category determines which method is used to
interpolate the missing annual grid points in a yield curve.

Currently, only the following interpolation category is
available:

Straight-line interpolation

Cubic spline interpolation

With cubic spline interpolation, third-rate polynomes are to
some extent used for interpolation.

The advantage in comparison to straight-line interpolation is
that

instead of having a continuous curve, here continuous
differentiation is possible, with the result that the curve is
smoother.

Another characteristic of the resulting yield curve is that when
there is monotone initial data, a rising yield curve, for example,
it is also monotone.