i am doing interpolation to determine the zero curve from market quotesbased on the deposit rates and futures quotes, i can have zero curve up to 1 yrfor rates beyond that, i use swap rates to derive them (see below)14/4/08 MM.USD.LIBOR.3M 4.72730017/3/09 Future.USD.EURODOLLAR.DEC.08 96.59000014/7/09 Swap.18M.USD.LIBOR.3M/1Y.WSS= 3.874750The problem is that the swap rate freq is 3 month, i need the zero rate on 14/Apr/09 to do bootstrapingbut now i only have rates up to March, (the last futures matures on 17/Mar/09)may i use EXTRAPOLATION here?or any other suggested methods?thanks~

"The problem is that the swap rate freq is 3 month".Presumably you are referring to the floating side, but what has that got to do with bootstrapping the zero curve?Vanilla USD interest rate swaps with tenors more than a year have semi-annual fixed side coupons, so to solve for the zero rate for the 18-month swap you only need to have discount factors for the 6-month and 1-year points, leaving you with one equation in one unknown.Or are you dealing with some unusual USD swaps that have quarterly fixed side payments?

thx davidyes, i was referring to the floating legi thought the fixed leg would have the same coupon payment freq as the floating leg?i need to check with front office guys