Spot Rate Curve

Last observation May 2020

Coverage
2 Jan 2002 – 29 May 2020
Frequency
Daily
Files
2

This series has not been updated in 6 years. The last observation is 29 May 2020. Use it for historical work; do not treat it as current.

Brazilian zero-coupon spot interest rate curve estimated from DI futures and NTN-F bonds. The file reports daily continuously compounded rates for maturities of 1, 2, 3 and 6 months and 1, 3 and 5 years, as fractions per year. Longer maturities are not available for the earliest part of the sample.

Download

Read it directly

# Python
import pandas as pd
df = pd.read_csv("https://nefin.com.br/resources/spot_rate_curve/spot_rate_curve.csv")

# R
df <- readr::read_csv("https://nefin.com.br/resources/spot_rate_curve/spot_rate_curve.csv")

How to cite

Please cite the dataset when you use it in published work.

NEFIN (2026). Spot Rate Curve.
Center for Research in Financial Economics, University of São Paulo.
https://nefin.com.br/data/spot-rate-curve/