{"id":38860378,"url":"https://github.com/wilsonfreitas/copom","last_synced_at":"2026-01-17T14:21:28.712Z","repository":{"id":54607890,"uuid":"467878945","full_name":"wilsonfreitas/copom","owner":"wilsonfreitas","description":"Term Structure Interpolation Considering Regulators Meetings","archived":false,"fork":false,"pushed_at":"2025-05-08T10:56:26.000Z","size":1614,"stargazers_count":3,"open_issues_count":0,"forks_count":1,"subscribers_count":2,"default_branch":"main","last_synced_at":"2025-05-08T11:43:52.155Z","etag":null,"topics":["finance","fixed-income","term-structure-models"],"latest_commit_sha":null,"homepage":"https://wilsonfreitas.github.io/copom/","language":"R","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":"other","status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/wilsonfreitas.png","metadata":{"files":{"readme":"README.Rmd","changelog":"NEWS.md","contributing":null,"funding":null,"license":"LICENSE","code_of_conduct":null,"threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":null,"governance":null,"roadmap":null,"authors":null,"dei":null,"publiccode":null,"codemeta":null}},"created_at":"2022-03-09T10:24:41.000Z","updated_at":"2025-05-08T10:56:30.000Z","dependencies_parsed_at":"2023-12-07T12:26:47.121Z","dependency_job_id":"9794eb91-ca4b-4a06-be1f-0d8f1bbb1aac","html_url":"https://github.com/wilsonfreitas/copom","commit_stats":null,"previous_names":[],"tags_count":0,"template":false,"template_full_name":null,"purl":"pkg:github/wilsonfreitas/copom","repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/wilsonfreitas%2Fcopom","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/wilsonfreitas%2Fcopom/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/wilsonfreitas%2Fcopom/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/wilsonfreitas%2Fcopom/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/wilsonfreitas","download_url":"https://codeload.github.com/wilsonfreitas/copom/tar.gz/refs/heads/main","sbom_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/wilsonfreitas%2Fcopom/sbom","scorecard":null,"host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":286080680,"owners_count":28509943,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2026-01-17T13:38:16.342Z","status":"ssl_error","status_checked_at":"2026-01-17T13:37:44.060Z","response_time":85,"last_error":"SSL_read: unexpected eof while reading","robots_txt_status":"success","robots_txt_updated_at":"2025-07-24T06:49:26.215Z","robots_txt_url":"https://github.com/robots.txt","online":false,"can_crawl_api":true,"host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":["finance","fixed-income","term-structure-models"],"created_at":"2026-01-17T14:21:28.653Z","updated_at":"2026-01-17T14:21:28.704Z","avatar_url":"https://github.com/wilsonfreitas.png","language":"R","funding_links":[],"categories":[],"sub_categories":[],"readme":"---\noutput: github_document\n---\n\n\u003c!-- README.md is generated from README.Rmd. Please edit that file --\u003e\n\n```{r, include = FALSE}\nknitr::opts_chunk$set(\n  collapse = TRUE,\n  comment = \"#\u003e\",\n  fig.path = \"man/figures/README-\",\n  out.width = \"100%\"\n)\n```\n\n# copom \u003cimg src=\"man/figures/logo.png\" align=\"right\" width=\"120\" /\u003e\n\n\u003c!-- badges: start --\u003e\n[![CRAN status](https://www.r-pkg.org/badges/version/copom)](https://CRAN.R-project.org/package=copom)\n[![Lifecycle: experimental](https://img.shields.io/badge/lifecycle-experimental-orange.svg)](https://lifecycle.r-lib.org/articles/stages.html#experimental)\n\u003c!-- badges: end --\u003e\n\nThe goal of copom is to interpolate term structures of interest rates taking into account the meetings where the regulators discuss\nthe changes on interest rates.\n\nIn Brazil these meetins are called COPOM and this interpolation considers\nthat the interest rate between COPOM meetings are flat, instead of being\nflat betweet bonds maturities.\n\nThis is mainly  for the short term of the term structure where\nthe interpolation is used to price private bonds and interest rate\nderivatives.\n\n## Installation\n\nYou can install the development version of copom from [GitHub](https://github.com/) with:\n\n``` r\n# install.packages(\"devtools\")\ndevtools::install_github(\"wilsonfreitas/copom\")\n```\n\n## Example\n\n```{r example}\nlibrary(bizdays)\nlibrary(fixedincome)\nlibrary(copom)\n\ncopom_dates \u003c- as.Date(\n  c(\"2022-03-17\", \"2022-05-05\", \"2022-06-17\", \"2022-08-04\")\n)\nterms \u003c- c(1, 3, 25, 44, 66, 87, 108, 131, 152, 172, 192, 214, 236, 277)\nrates \u003c- c(\n  0.1065, 0.1064, 0.111, 0.1138, 0.1168, 0.1189, 0.1207, 0.1219,\n  0.1227, 0.1235, 0.1234, 0.1236, 0.1235, 0.1235\n)\ncurve \u003c- spotratecurve(\n  rates, terms, \"discrete\", \"business/252\", \"Brazil/ANBIMA\",\n  refdate = as.Date(\"2022-02-23\")\n)\ninterpolation(curve) \u003c- interp_flatforwardcopom(copom_dates, \"second\")\n\nplot(curve,\n  use_interpolation = TRUE, show_forward = TRUE,\n  legend_location = \"bottomright\"\n)\n```\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fwilsonfreitas%2Fcopom","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Fwilsonfreitas%2Fcopom","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fwilsonfreitas%2Fcopom/lists"}