Create the interpolation function — prepare_interpolation,FlatForwardCOPOM,SpotRateCurve-method • copom

Creates the interpolation function to a SpotRateCurve object.

# S4 method for FlatForwardCOPOM,SpotRateCurve
prepare_interpolation(object, x, ...)

Arguments

object

a Interpolation object.

x

a SpotRateCurve object.

...

additional arguments. Currently unused.

This method is used internally when the interpolation is set to a curve. It uses the current state of the curve to build the interpolation function. This is similar to call `approxfun` and `splinefun` to create functions that perform interpolation of the given data points.

This method shouldn't be directly called, it is for internal use only.

Value

A `FlatForwardCOPOM` object.

Examples

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")
)
prepare_interpolation(
  interp_flatforwardcopom(copom_dates, "second"),
  curve
)
#> <Interpolation: flatforwardcopom >