Estimating the Zero yield curve

[Oracleyoda]

David,

I am loving this site and in particular the tutorial web casts.

I watched the casts on fitting the yield curve where the term structure has gaps.

e.g. the cubic polynomial and the more sophisticated Nelson Siegel model.

I have also done some reading on the topic and I can see how one would fit the curve. It appears to me that the goal is to fill in the gaps in the bond yield curve (since that is what we are starting with as data points).

This being the case is it correct to say that the zero curve would then be constructed using the various stripping or bootstrapping methods?

If so, what values would be used in practice for the coupon rates?

Thanks again

Wayne