While determining a zero-coupon yield curve the authors of this paper have applied an approach which consists in 'reconstruction' of this yield curve and have directly used bond and Treasury bill market prices. In practice, this consists in assessing parameters of an appropriate model of a yield curve or, more broadly, a term structure of interest rates. Five different models have been chosen: cubic splines, B-splines, Svensson's model and models based on the Vasicek's classic model of interest rate dynamics, so called Vasicek 1 and Vasicek 2. Due to the linear dependence of the discount function on polynomial parameters the use of classic techniques makes the estimation of the polynomial models possible. The estimation of the remaining three models, the so-called parametric models, requires that a global minimum of a complicated non-linear goal function of many variables and many local extrema should be found.

Good results of this optimisation are achieved thanks to the use of a Genetic Algorithm-Local Search hybrid. Search for optimal solutions, using the genetic algorithm hybrid, resembles biological evolution which is based on the exchange of genetic material between population specimens.