copom-package.RdIt 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.
Marcos C. S. Carreira and Richard J. Brostowicz. "Brazilian Derivatives and Securities", Palgrave Macmillan, 2016