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I build piecewiseyieldcurve with tentors of 2yr, 5yr, 7yr, 10yr and 30yr coupon bonds. When I price bonds in between I find odd behavior. After taking a closer look, I find the discount curve is not smooth on the daily basis. it appears that discount rate is a step function and jumps about every 30 days. So on the monthly perspective, the discount curve is "smooth", but on daily perspective, the discount curve is full of many small steps. For bonds cash flow falling on 15th vs on month end, the discount curve causes undesired pricing discrepancy.
I have done good amount of google search and have parsed through excel addin function manual, but can't find any answers. I have tried all possible interpolation, linear, loglinear, etc. the discount curve behave with 30 day jump is all the same.