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
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.