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Parameters, response columns and types are generated from the SQL catalog and render under Endpoints → Rates in the sidebar. This page carries what a schema cannot: how each rate is quoted, and which vertices are B3’s extrapolation.

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Overview

Four functions over two B3 files Silo ingests daily. Nothing is interpolated, rolled or spliced; the one derived column is contract_month.
  • future_curve(p_root, p_trade_date) — every outright DI1 contract on one session, nearest maturity first. Default: the newest session held.
  • future_series(p_ticker, p_from, p_to) — one contract through time. The same contracts are in panel as id_type future (settlement_rate, settlement_price, open_interest), next to tickers and funds.
  • curve(p_curve, p_trade_date) — one reference curve on one session, every vertex. Default: PRE, the newest session held.
  • curve_history(p_curve, p_tenor_days, p_from, p_to) — one of B3’s fixed vertices through time.

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DI1 futures

The source is B3’s Price Report (BVBG.086.01), one row per session and outright DI1 contract, from 2018-01-02; B3’s older reports are empty.
  • DI1 is quoted in rate. settlement_rate and the open_px / low_px / high_px / avg_px / close_px columns are % a.a. on 252 business days, so the low rate is the high price. settlement_price is the PU: R$ per contract, 100,000 at maturity.
  • contract_month is the first day of the month the ticker names, read with B3’s month letters (F January, G February, H March, J April, K May, M June, N July, Q August, U September, V October, X November, Z December). The contract matures on that month’s first business day. The business days to maturity are not stored and not computed here.
  • Nothing is made continuous. future_series follows one contract from listing to expiry. For a constant maturity, read B3’s own curve below.

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Reference curves

The source is B3’s reference-rate file (TaxaSwap.txt), every vertex of three curves, from 2008-01-02. Read rate_basis before comparing two curves. B3 defines implied inflation as (1 + PRE) / (1 + DPL) − 1 at the same tenor. It carries an inflation risk premium: market pricing, not an expectation. DPL’s shortest vertices lean on the current month’s IPCA projection.
The long end of every curve is B3’s extrapolation, not a price. Past the last maturity of the contract that anchors a curve, B3 extends the last forward rate (Manual de Curvas v21). On 2026-09-25, PRE ran to 34 years while the last DI1 contract matured in about 14. Where the tail starts moves as contracts list and expire.

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Fixed and moving vertices

B3 publishes every curve on one grid:
  • Fixed vertices (vertex_type = F) sit at nominal tenors, which vertex_code carries: 1, 7, 14, 21, 30, 60, 90 … 360 … 720 … 1800 … 10800 calendar days. The actual calendar_days is a day or two longer when the nominal date is not a business day. The 30-day vertex was 30 days on 2008-01-02 and 31 on 2026-09-25.
  • Moving vertices (M) sit at the maturities of B3’s contracts.
curve_history serves a fixed vertex by its nominal tenor (p_tenor_days). Any other tenor raises 22023 listing the fixed ones, because an interpolated tenor is a choice of method. Read curve and interpolate in the notebook; B3’s own method for PRE and DPL is flat-forward on 252 business days.

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Freshness

coverage() has a di_futures row and a reference_curves row. Each landed_at is its own ingest (the Price Report and the reference-rate file log separately under the market ingest). History comes from a backfill, so a span that starts later than the dates above was not loaded; it is not missing at B3.

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Limits

All four refuse above one 1,000-row page (22023). One session is about 50 DI1 contracts and about 300 vertices per curve. For the two histories, narrow p_from / p_to: a daily series fits about four years per call.