Bootstrapping is the correct answer. It is a financial method used to derive a zero-coupon yield curve, also known as a spot rate curve, from the rates and quotes of zero-coupon and coupon-bearing Treasury bonds. The term 'bootstrapping' refers to the process of 'pulling oneself up by one's bootstraps', which is a metaphor for achieving a complex task starting from basics without external help. In the context of finance, bootstrapping is a method of constructing a yield curve. The yield curve, in turn, is a graphical representation of the interest rates on debt for a range of maturities. It shows the yield an investor is expected to earn if he lends money for a given period of time. The spot rate curve or zero-coupon yield curve represents the yields of hypothetical zero-coupon bonds. Since they are not directly observable in the market, they are derived from the yields of coupon-bearing bonds, and this process is known as bootstrapping.

Choice A is incorrect. Interpolation is a statistical method used to estimate values between two known values. While it can be used in the process of constructing a yield curve, it is not the specific process referred to in this question.

Choice B is incorrect. Duration refers to the sensitivity of a bond's price to changes in interest rates. It does not refer to the process of constructing a zero-coupon yield curve or spot curve using treasury bills and bonds that bear coupons.

Choice D is incorrect. Calibration involves adjusting model parameters within certain bounds until model outputs match observed data. Although calibration might be part of building financial models, it does not specifically refer to the construction of a zero-coupon yield curve or spot curve.