October 28th, 2021, 7:59 pm
Depends on your perspective. Traders typically shock the par curve because those are the instruments you trade in to hedge your positions. Risk managers and academics sometimes shift the post-bootstrap zero curve because it is theoretically clean and elegant. One cannot, however, practically trade zeroes to hedge a swap product book because of liquidity and pricing issues Either the par or zero curve (or even the forward curve too) can be used for this work due the arb-free consistency of the bootstrap algorithm. Given one of the curves you can derive the other two.
Having said this, I heartily concur with bearish's observation about being careful when using smoothing tactics. Art (judgement, really) is used in curve building as well as science. It would be a great exercise for students to build and compare calculating sensitivities using the three curves mentioned (par, zero and forward) and see what kinds of issues (e.g. smoothing) cause them to disagree and to what extent.