We aim to develop a Smith-Wilson based method to construct interest rate curves with endogenous ultimate forward rates (UFRs), which can improve the original method adopted by Solvency II. If we extend the original Smith-Wilson's optimization problem by finding the optimal endogenous UFRs directly, the associated UFRs can go negative. Therefore, we formulate a new optimization framework with the endogenous UFR subjecting to nonnegative or other prior constraints, and show the existence of the solution under several mild conditions. We also propose a method to solve the optimization problem, and analyse the theoretical properties of the method. In general, our new framework is consistent with the interest rate stress scenarios specified in Solvency II. A case with data of Chinese government bonds is used to demonstrate the reasonability of our methods.