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Benchmark calculation method

You can now choose how a benchmark's return is accounted for on the first day of the series, with the new calculationMethod parameter.

The Read Benchmark by ID endpoint accepts the optional calculationMethod parameter:

  • INDEX (default): accounts for the return from the first day (startDate) for all benchmarks.
  • INTEREST: does not account for the return of the first day for any benchmark.
  • AUTO: does not account for the first day for fixed income benchmarks (such as CDI and SELIC), but does for the others (such as IBOVESPA or USDBRL).

Before this change, series were always calculated with the AUTO behavior. To keep the previous results, send calculationMethod=AUTO.

Learn more in Benchmark.