copom-package: Tools to study the decisions of the COPOM meetings
In wilsonfreitas/copom: Term Structure Interpolation Considering Regulators Meetings
copom-package R Documentation
Tools to study the decisions of the COPOM meetings
Description
It implements tools to study the impact of decision made in the COPOM
meetings on the term structure of interest rates in Brazil
The flatforwardCOPOM interpolation to spot rate curves is implemented.
This interpolation considers that the interest rate between COPOM meetings
in Brazil are flat, instead of being flat betweet bonds maturities.
This is mainly relevant for the short term of the term structure where
the interpolation is used to price private bonds and interest rate
derivatives.
This is discussed in the book Brazilian Derivatives and Securities.
There are also classes to evaluate how the FOCUS report expectations impact
the spot rate curve and functions to help with visualization.
Author(s)
Wilson Freitas wilson.freitas@gmail.com
References
Marcos C. S. Carreira and Richard J. Brostowicz.
"Brazilian Derivatives and Securities", Palgrave Macmillan, 2016
wilsonfreitas/copom documentation built on June 11, 2025, 10:20 p.m.
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| copom-package | R Documentation |
Tools to study the decisions of the COPOM meetings
Description
It implements tools to study the impact of decision made in the COPOM meetings on the term structure of interest rates in Brazil The flatforwardCOPOM interpolation to spot rate curves is implemented. This interpolation considers that the interest rate between COPOM meetings in Brazil are flat, instead of being flat betweet bonds maturities. This is mainly relevant for the short term of the term structure where the interpolation is used to price private bonds and interest rate derivatives. This is discussed in the book Brazilian Derivatives and Securities. There are also classes to evaluate how the FOCUS report expectations impact the spot rate curve and functions to help with visualization.
Author(s)
Wilson Freitas wilson.freitas@gmail.com
References
Marcos C. S. Carreira and Richard J. Brostowicz. "Brazilian Derivatives and Securities", Palgrave Macmillan, 2016
R Package Documentation
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