Thanks very much for this answer. This works well for me, but I can’t figure out how to leverage this for a table that includes multiple interest rate curves. Meaning, the source table would have a third column specifying the interest rate ‘curve_name’ for each row. For example, some rows would have curve_name = “SOFR” and some would have curve_name = “EURIBOR”.

In this scenario, how do we add another layer to the interpolation code so that it constructs the interpolated column based only on each curve_name’s initial set of [BusinessDays, InterestRate]?

Thank you