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igcp-aforro

igcp-aforro

Deterministic, decimal-safe Aforro Séries A, B, C, D, E, and F simulator. Drop-in for JS/TS apps; ships with a CLI and a static `rates.json` for everyone else.
Quickstart Try in browser API reference View on GitHub

What it does

Section titled “What it does”

igcp-aforro reproduces the IGCP Aforro calculation end-to-end for Séries A, B, C, D, E, and F:

  • For Série A (legacy; perpetual; EUR 0.34916 nominal per certificate unit), the monthly base rate follows a historical waterfall (administrative rates through 1986-06, archived monthly TBA 1986-07…1999-01, Lisbor 1999-02…2002-03, Euribor from 2002-04) and 0.60 × TBA where applicable, with the same permanence ladder as Série B (see Série A research, Portuguese).
  • For Série B (subscriptions closed; no contractual maturity), the monthly base rate is 0.60 × TBA, with TBA from 20 TARGET2-business-day simple moving averages of 3M and 12M Euribor on the same fixing date as the other series (see Methodology).
  • For Séries C, D, E, and F, resolves the monthly base rate from the antepenultimate-business-day Euribor 3M average. Série F clamps the rounded mean to [0%, 2.5%]; Séries D and E add a +1pp spread (E3 + 1%) and clamp to [0%, 3.5%]; Série C uses 0.85×E3 − 0.25 through Feb 2009 and 0.85×E3 + 0.25 from Mar 2009 (see Série C research).
  • Adds the permanence-premium tier that applies to the cohort’s contract year (per-series tier table).
  • Compounds quarterly with 28% IRS withholding at each capitalization.
  • Returns decimal strings so callers can JSON-serialize results without precision loss.

Choose your interface

Section titled “Choose your interface”
  • JS/TS app? Install the npm package and call simulate().
  • Shell user? Install the CLI and run aforro simulate.
  • Python / Java / Excel user? Fetch the precomputed rates.json and write a ~50-line compounder.

Status

Section titled “Status”

The library covers Série A (subscriptions through 30 Jun 1986; perpetual; historical base-rate waterfall; per-unit face value), Série B (subscriptions from 1 Jul 1986 to 25 Jan 2008; perpetual; TBA-based base rate), Série C (closed series, 10-year maturity), Série D (subscriptions open from 1 Feb 2015 to 31 Oct 2017, 10-year maturity), Série E (subscriptions open from 1 Nov 2017 to 1 Jun 2023, 10-year maturity), and Série F (subscriptions open from 1 Jun 2023 onwards, 15-year maturity) end-to-end. The generated API reference is English-only for now because it is built from the package’s TSDoc comments.