fit_interpolation-COPOMScenarios-SpotRateCurve-method: Fit COPOM moves according to a SpotRateCurve

In wilsonfreitas/copom: Term Structure Interpolation Considering Regulators Meetings

Fit COPOM moves according to a SpotRateCurve

Description

Finds the COPOM moves (or future rates) that yields the least interpolation error.

Usage

## S4 method for signature 'COPOMScenarios,SpotRateCurve'
fit_interpolation(object, x, ...)

Arguments

object	a COPOMScenarios object with initial parameters set.
x	a SpotRateCurve object.
...	additional arguments. Currently unused.

Value

A 'Interpolation' object.

Examples

## Not run: 
library(fixedincome)
library(bizdays)
copom_dates <- as.Date(
  c("2022-03-17", "2022-05-05", "2022-06-17", "2022-08-04")
)
terms <- c(1, 3, 25, 44, 66, 87, 108, 131, 152, 172, 192, 214, 236, 277)
rates <- c(
  0.1065, 0.1064, 0.111, 0.1138, 0.1168, 0.1189, 0.1207, 0.1219,
  0.1227, 0.1235, 0.1234, 0.1236, 0.1235, 0.1235
)
curve <- spotratecurve(
  rates, terms, "discrete", "business/252", "Brazil/ANBIMA",
  refdate = as.Date("2022-02-23")
)
cd <- get_copom_dates(curve@refdate, 4)
cm <- c(50, 25, 0, 0) / 1e4
interpolation(curve) <- fit_interpolation(
  interp_copomscenarios(cd, cm),
  curve
)

## End(Not run)

wilsonfreitas/copom documentation built on June 11, 2025, 10:20 p.m.