Also called yield curve smoothing.
The name for a set of alternative techniques for creating continuous yield curves by connecting the dots between observed. If, for example, we have observed rates for 1, 2, 3, 5 and 10 year maturities, smoothing is the technique used to infer rates for all maturities between those known points. The known points are called " knot points".
The simplest smoothing technique is "linear smoothing". The most commonly used technique is "cubic splines". For forward rates, the most accurate method is called " maximum forward rate smoothing". American Banker Glossary
Financial and business terms. 2012.