interp_copomscenarios: COPOMScenarios constructor

In wilsonfreitas/copom: Term Structure Interpolation Considering Regulators Meetings

COPOMScenarios constructor

Description

'interp_copomscenarios' creates the Interpolation object.

Usage

interp_copomscenarios(
  copom_dates,
  copom_moves = numeric(0),
  future_rates = numeric(0)
)

Arguments

copom_dates	a vector of 'Date' objects.
copom_moves	a numeric vector with scenarios for changes in short term rates.
future_rates	a numeric vector with scenarios for short term rates. 'copom_dates' is a vector with de dates of the meetings that must be considered in the interpolation. 'copom_moves' is a vector with the scenarios for changes in short term rates, in this case, SELIC rates. The scenarios are decimal (not basis points or percentual), so a scenario of 100 bps must be declared as 0.01, for example. 'future_rates' is a numeric vector with scenarios for future values of the short term rate. 'copom_moves' and 'future_rates' arguments are complementary, if one is set, the other must be 'NULL'.

Value

A 'COPOMScenarios' object.

Examples

if (require(fixedincome) && require(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")
  )
  moves <- c(50, 0, 0, 0) / 1e4
  interpolation(curve) <- interp_copomscenarios(copom_dates, moves)
}

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