This study aims to find the interpolation methods to construct a yield curve. In this paper, first, we construct the yield curve using three methods: the piecewise linear interpolation, cubic spline interpolation, and the monotone convex method. Second, we evaluate the structured notes, which contain the Bermudan call option, through the Hull-White model and the least square Monte-Carlo method. According to the simulation results, the hedge performance is contingent on how a yield curve is interpolated. This study, thus, suggests that one needs to choose an interpolation method carefully by comparing the methods in different settings to find the one, which can improve the hedge performance.
