wilsonfreitas/copom: Term Structure Interpolation Considering Regulators Meetings
Interpolation of term structures of interest rates that takes into account the meetings where the regulators discuss the changes on interest rates. In Brazil these meetins are called COPOM and this interpolation considers that the interest rate between COPOM meetings are flat, instead of being flat betweet bonds maturities. This is relevant for the short term of the term structure where the interpolation is used to price private bonds and interest rate derivatives. The reference on this method is Carreira and Brostowicz (2016 ISBN: 978-1-137-47727-9).
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Package details |
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| Author | Wilson Freitas |
| Maintainer | Wilson Freitas <wilson.freitas@gmail.com> |
| License | MIT + file LICENSE |
| Version | 0.0.2 |
| URL | https://wilsonfreitas.github.io/copom/ |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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