constant maturity curve

[vbeno]

Hello everyone, I'm a brand new quant trainee and my boss wants me to build constant maturity curve for canadians bonds (also for some provincials bonds).
Off course I have all the daily quotes for these bonds but I don't really know how to proceed.
I just feel like it's not a good idea to build it from the YTM cause all these bonds have different coupon rates.
I have an idea on how interpolate between my datas ( I'm thinking off cubic spline interpolation) but I don't really know how to change my data. Should it be a good idea to find the par yield of each bond ?

Thanks for you're help and excuse my poor english ...

 

[Adesoji Afonja]

Try this. The information is restricted to zero-coupon bonds issued by the Canadian government, but it's still a start. You might also want to look at the articles mentioned in the report.