PYield 0.13.0__tar.gz → 0.13.2__tar.gz

{pyield-0.13.0 → pyield-0.13.2}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: PYield
-Version: 0.13.0
+Version: 0.13.2
 Summary: A Python library for analysis of fixed income instruments in Brazil
 Keywords: fixed-income, brazil, finance, analysis, bonds
 Author-Email: Carlos Carvalho <cr.cj@outlook.com>

pyield-0.13.2/pyield/__about__.py

@@ -0,0 +1 @@
+__version__ = "0.13.2"

{pyield-0.13.0 → pyield-0.13.2}/pyield/bonds/lft.py

@@ -19,30 +19,32 @@ def anbima_data(reference_date: str | pd.Timestamp) -> pd.DataFrame:
     return an.anbima_data(reference_date, "LFT")
 
 
-def anbima_rates(reference_date: str | pd.Timestamp) -> pd.Series:
+def indicative_rates(reference_date: str | pd.Timestamp) -> pd.Series:
     """
-    Fetch LFT Anbima indicative rates for the given reference date.
+    Fetch the bond indicative rates for the given reference date.
 
     Args:
         reference_date (str | pd.Timestamp): The reference date for fetching the data.
 
     Returns:
-        pd.Series: A Series containing the rates indexed by maturity date.
+        pd.Series: A Series containing the bond rates indexed by maturity date.
     """
-    return an.get_anbima_rates(reference_date, "LFT")
+    df = an.anbima_rates(reference_date, "LFT")
+    return df.set_index("MaturityDate")["IndicativeRate"]
 
 
-def anbima_historical_rates(maturity: str | pd.Timestamp) -> pd.Series:
+def maturities(reference_date: str | pd.Timestamp) -> list[pd.Timestamp]:
     """
-    Fetch historical LFT Anbima indicative rates for the given maturity date.
+    Fetch the bond maturities available for the given reference date.
 
     Args:
-        maturity_date (str | pd.Timestamp): The maturity date of the bond.
+        reference_date (str | pd.Timestamp): The reference date for fetching the data.
 
     Returns:
-        pd.Series: A Series containing the rates indexed by reference date.
+        list[pd.Timestamp]: A list of bond maturities available for the reference date.
     """
-    return an.get_anbima_historical_rates("LFT", maturity)
+    rates = indicative_rates(reference_date)
+    return rates.index.to_list()
 
 
 def quotation(

{pyield-0.13.0 → pyield-0.13.2}/pyield/bonds/ltn.py

@@ -21,30 +21,32 @@ def anbima_data(reference_date: str | pd.Timestamp) -> pd.DataFrame:
     return an.anbima_data(reference_date, "LTN")
 
 
-def anbima_rates(reference_date: str | pd.Timestamp) -> pd.Series:
+def indicative_rates(reference_date: str | pd.Timestamp) -> pd.Series:
     """
-    Fetch LTN Anbima indicative rates for the given reference date.
+    Fetch the bond indicative rates for the given reference date.
 
     Args:
         reference_date (str | pd.Timestamp): The reference date for fetching the data.
 
     Returns:
-        pd.Series: A Series containing the rates indexed by maturity date.
+        pd.Series: A Series containing the bond rates indexed by maturity date.
     """
-    return an.get_anbima_rates(reference_date, "LTN")
+    df = an.anbima_rates(reference_date, "LTN")
+    return df.set_index("MaturityDate")["IndicativeRate"]
 
 
-def anbima_historical_rates(maturity: str | pd.Timestamp) -> pd.Series:
+def maturities(reference_date: str | pd.Timestamp) -> list[pd.Timestamp]:
     """
-    Fetch historical LTN Anbima indicative rates for the given maturity date.
+    Fetch the bond maturities available for the given reference date.
 
     Args:
-        maturity_date (str | pd.Timestamp): The maturity date of the bond.
+        reference_date (str | pd.Timestamp): The reference date for fetching the data.
 
     Returns:
-        pd.Series: A Series containing the rates for the given maturity date.
+        list[pd.Timestamp]: A list of bond maturities available for the reference date.
     """
-    return an.get_anbima_historical_rates("LTN", maturity)
+    rates = indicative_rates(reference_date)
+    return rates.index.to_list()
 
 
 def price(

{pyield-0.13.0 → pyield-0.13.2}/pyield/bonds/ntnb.py

@@ -34,36 +34,39 @@ def anbima_data(reference_date: str | pd.Timestamp) -> pd.DataFrame:
     return an.anbima_data(reference_date, "NTN-B")
 
 
-def anbima_rates(reference_date: str | pd.Timestamp) -> pd.Series:
+def indicative_rates(reference_date: str | pd.Timestamp) -> pd.Series:
     """
-    Fetch NTN-B Anbima indicative rates for the given reference date.
+    Fetch the bond indicative rates for the given reference date.
 
     Args:
         reference_date (str | pd.Timestamp): The reference date for fetching the data.
 
     Returns:
-        pd.Series: A Series containing the rates indexed by maturity date.
+        pd.Series: A Series containing the bond rates indexed by maturity date.
     """
-    return an.get_anbima_rates(reference_date, "NTN-B")
+    df = an.anbima_rates(reference_date, "NTN-B")
+    return df.set_index("MaturityDate")["IndicativeRate"]
 
 
-def anbima_historical_rates(maturity: str | pd.Timestamp) -> pd.Series:
+def maturities(reference_date: str | pd.Timestamp) -> list[pd.Timestamp]:
     """
-    Fetch historical NTN-B Anbima indicative rates for the given maturity date.
+    Fetch the bond maturities available for the given reference date.
 
     Args:
-        maturity_date (str | pd.Timestamp): The maturity date of the bond.
+        reference_date (str | pd.Timestamp): The reference date for fetching the data.
 
     Returns:
-        pd.Series: A Series containing the rates for the given maturity date.
+        list[pd.Timestamp]: A list of bond maturities available for the reference
+            date.
     """
-    return an.get_anbima_historical_rates("NTN-B", maturity)
+    rates = indicative_rates(reference_date)
+    return rates.index.to_list()
 
 
 def _coupon_dates_map(
     start: str | pd.Timestamp,
     end: str | pd.Timestamp,
-) -> pd.Series:
+) -> list[pd.Timestamp]:
     """
     Generate a map of all possible coupon dates between the start and end dates.
     The dates are inclusive. Coupon payments are made on the 15th of February, May,
@@ -85,20 +88,21 @@ def _coupon_dates_map(
     first_coupon_date = pd.Timestamp(f"{reference_year}-02-01")
 
     # Generate coupon dates
-    dates = pd.date_range(start=first_coupon_date, end=end, freq="3MS")
+    coupon_dates = pd.date_range(start=first_coupon_date, end=end, freq="3MS")
 
     # Offset dates by 14 in order to have day 15 of the month
-    dates += pd.Timedelta(days=14)
+    coupon_dates += pd.Timedelta(days=14)
 
     # First coupon date must be after the reference date
-    dates = dates[dates >= start]
-    return pd.Series(dates).reset_index(drop=True)
+    coupon_dates = coupon_dates[coupon_dates >= start]
+    coupon_dates = pd.Series(coupon_dates).reset_index(drop=True)
+    return coupon_dates.to_list()
 
 
 def coupon_dates(
-    start: str | pd.Timestamp,
+    settlement: str | pd.Timestamp,
     maturity: str | pd.Timestamp,
-) -> pd.Series:
+) -> list[pd.Timestamp]:
     """
     Generate all remaining coupon dates between a given date and the maturity date.
     The dates are inclusive. Coupon payments are made on the 15th of February, May,
@@ -106,18 +110,20 @@ def coupon_dates(
     bond is determined by its maturity date.
 
     Args:
-        start_date (str | pd.Timestamp): The date to start generating coupon dates.
+        settlement (str | pd.Timestamp): The settlement date (exlusive) to
+            start generating coupon dates.
         maturity_date (str | pd.Timestamp): The maturity date.
 
     Returns:
-        list[pd.Timestamp]: List of coupon dates between start and maturity dates.
+        list[pd.Timestamp]: List of coupon dates between start and maturity dates
+            sorted in ascending order.
     """
     # Validate and normalize dates
-    start = dc.convert_date(start)
+    settlement = dc.convert_date(settlement)
     maturity = dc.convert_date(maturity)
 
     # Check if maturity date is after the start date
-    if maturity < start:
+    if maturity < settlement:
         raise ValueError("Maturity date must be after the start date.")
 
     # Check if the maturity date is a valid NTN-B maturity date
@@ -125,16 +131,17 @@ def coupon_dates(
         raise ValueError("NTN-B maturity must be 15/02, 15/05, 15/08, or 15/11.")
 
     # Initialize loop variables
-    cp_date = maturity
+    coupon_dates = maturity
     cp_dates = []
 
     # Iterate backwards from the maturity date to the settlement date
-    while cp_date >= start:
-        cp_dates.append(cp_date)
+    while coupon_dates > settlement:
+        cp_dates.append(coupon_dates)
         # Move the coupon date back 6 months
-        cp_date -= pd.DateOffset(months=6)
+        coupon_dates -= pd.DateOffset(months=6)
 
-    return pd.Series(cp_dates).sort_values(ignore_index=True)
+    cp_dates = pd.Series(cp_dates).sort_values(ignore_index=True)
+    return cp_dates.to_list()
 
 
 def quotation(
@@ -173,7 +180,7 @@ def quotation(
     maturity = dc.convert_date(maturity)
 
     # Get the coupon dates between the settlement and maturity dates
-    payment_dates = coupon_dates(settlement, maturity)
+    payment_dates = pd.Series(coupon_dates(settlement, maturity))
 
     # Coupon payment dates must be after the settlement date
     payment_dates = payment_dates[payment_dates > settlement]

{pyield-0.13.0 → pyield-0.13.2}/pyield/bonds/ntnf.py

@@ -23,6 +23,48 @@ FINAL_PMT = 1048.80885
 di_data = di.DIData()
 
 
+def maturities(reference_date: str | pd.Timestamp) -> list[pd.Timestamp]:
+    """
+    Fetch the NTN-F bond maturities available for the given reference date.
+
+    Args:
+        reference_date (str | pd.Timestamp): The reference date for fetching the data.
+
+    Returns:
+        list[pd.Timestamp]: A list of NTN-F bond maturities available for the reference
+            date.
+    """
+    rates = indicative_rates(reference_date)
+    return rates.index.to_list()
+
+
+def anbima_data(reference_date: str | pd.Timestamp) -> pd.DataFrame:
+    """
+    Fetch NTN-F Anbima data for the given reference date.
+
+    Args:
+        reference_date (str | pd.Timestamp): The reference date for fetching the data.
+
+    Returns:
+        pd.DataFrame: A DataFrame containing the Anbima data for the reference date.
+    """
+    return an.anbima_data(reference_date, "NTN-F")
+
+
+def indicative_rates(reference_date: str | pd.Timestamp) -> pd.Series:
+    """
+    Fetch the bond indicative rates for the given reference date.
+
+    Args:
+        reference_date (str | pd.Timestamp): The reference date for fetching the data.
+
+    Returns:
+        pd.Series: A Series containing the bond rates indexed by maturity date.
+    """
+    df = an.anbima_rates(reference_date, "NTN-F")
+    return df.set_index("MaturityDate")["IndicativeRate"]
+
+
 def check_maturity_date(maturity: pd.Timestamp) -> None:
     """
     Check if the maturity date is a valid NTN-F maturity date.
@@ -40,7 +82,7 @@ def check_maturity_date(maturity: pd.Timestamp) -> None:
 def coupon_dates(
     settlement: str | pd.Timestamp,
     maturity: str | pd.Timestamp,
-) -> pd.Series:
+) -> list[pd.Timestamp]:
     """
     Generate all remaining coupon dates between a settlement date and a maturity date.
     The dates are exclusive for the settlement date and inclusive for the maturity date.
@@ -155,72 +197,6 @@ def price(
     return ut.truncate(dcf.sum(), 6)
 
 
-def maturities(reference_date: str | pd.Timestamp) -> list[pd.Timestamp]:
-    """
-    Fetch the NTN-F bond maturities available for the given reference date.
-
-    Args:
-        reference_date (str | pd.Timestamp): The reference date for fetching the data.
-
-    Returns:
-        list[pd.Timestamp]: A list of NTN-F bond maturities available for the reference
-            date.
-    """
-    rates = an.get_anbima_rates(reference_date, "NTN-F")
-    return rates.index.to_list()
-
-
-def anbima_data(reference_date: str | pd.Timestamp) -> pd.DataFrame:
-    """
-    Fetch NTN-F Anbima data for the given reference date.
-
-    Args:
-        reference_date (str | pd.Timestamp): The reference date for fetching the data.
-
-    Returns:
-        pd.DataFrame: A DataFrame containing the Anbima data for the reference date.
-    """
-    return an.anbima_data(reference_date, "NTN-F")
-
-
-def indicative_rates(
-    reference_date: str | pd.Timestamp,
-    maturity: str | pd.Timestamp | None = None,
-) -> pd.Series | float:
-    """
-    Fetch NTN-F Anbima indicative rates for the given reference date. If a maturity date
-    is provided, the function returns the rate for the given maturity date.
-
-    Args:
-        reference_date (str | pd.Timestamp): The reference date for fetching the data.
-        maturity_date (str | pd.Timestamp, optional): The maturity date of the bond.
-
-    Returns:
-        pd.Series: A Series containing the rates indexed by maturity date.
-    """
-    rates = an.get_anbima_rates(reference_date, "NTN-F")
-    if maturity:
-        maturity = dc.convert_date(maturity)
-        if maturity in rates.index:
-            return float(rates[maturity])
-        else:
-            return float("nan")
-    return rates
-
-
-def anbima_historical_rates(maturity_date: str | pd.Timestamp) -> pd.Series:
-    """
-    Fetch historical NTN-F Anbima indicative rates for the given maturity date.
-
-    Args:
-        maturity_date (str | pd.Timestamp): The maturity date of the bond.
-
-    Returns:
-        pd.Series: A Series containing the rates for the given maturity date.
-    """
-    return an.get_anbima_historical_rates("NTN-F", maturity_date)
-
-
 def _calculate_coupons_pv(
     bootstrap_df: pd.DataFrame,
     settlement: pd.Timestamp,

{pyield-0.13.0 → pyield-0.13.2}/pyield/fetchers/anbima.py

@@ -190,8 +190,8 @@ class RatesData:
     ) -> pd.DataFrame:
         cls._check_for_updates()
         df = cls._df.copy()
-        if reference_date is not None:
-            df.query("ReferenceDate == @reference_date", inplace=True)
+        reference_date = dc.convert_date(reference_date)
+        df.query("ReferenceDate == @reference_date", inplace=True)
         if bond_type is not None:
             df.query("BondType == @bond_type", inplace=True)
 
@@ -199,7 +199,7 @@ class RatesData:
 
 
 def anbima_rates(
-    reference_date: str | pd.Timestamp | None = None,
+    reference_date: str | pd.Timestamp,
     bond_type: str | None = None,
 ) -> pd.DataFrame:
     """
@@ -221,53 +221,9 @@ def anbima_rates(
 
     Examples:
         # Fetch ANBIMA rates for all bonds in a specific reference date
-        >>> yd.anbima("18-06-2024")
+        >>> anbima_rates("18-06-2024")
         # Fetch ANBIMA data for NTN-B bonds in a specific reference date
-        >>> yd.anbima("NTN-B", "18-06-2024")
+        >>> anbima_rates("NTN-B", "18-06-2024")
     """
-    if reference_date is not None:
-        reference_date = dc.convert_date(reference_date)
-    return RatesData.rates(reference_date, bond_type)
-
-
-def get_anbima_rates(
-    reference_date: str | pd.Timestamp,
-    bond_type: str,
-) -> pd.Series:
-    df = anbima_rates(reference_date, bond_type)
-    df.drop(columns=["BondType"], inplace=True)
-    # Set MaturityDate as index
-    df = df.set_index("MaturityDate")
-    # Return as Series
-    return df["IndicativeRate"]
-
 
-def get_anbima_historical_rates(
-    bond_type: str,
-    maturity_date: str | pd.Timestamp,
-) -> pd.Series:
-    # Normalize maturity date
-    maturity_date = dc.convert_date(maturity_date)
-
-    # Get historical rates for the given bond type
-    df = anbima_rates(bond_type=bond_type)
-
-    # Filter rates for the specified maturity date
-    df.query("MaturityDate == @maturity_date", inplace=True)
-
-    # Drop unnecessary columns and sort by reference date
-    df.drop(columns=["BondType", "MaturityDate"], inplace=True)
-    df.sort_values(["ReferenceDate"], ignore_index=True, inplace=True)
-
-    # Set ReferenceDate as index
-    df = df.set_index("ReferenceDate")
-
-    # Set the indicative rate as the Series to return
-    rates = df["IndicativeRate"]
-
-    # Raise an error if no rates are found
-    if rates.empty:
-        maturity = maturity_date.strftime("%d-%m-%Y")
-        raise ValueError(f"No rates found for {bond_type} with maturity {maturity}.")
-
-    return rates
+    return RatesData.rates(reference_date, bond_type)

{pyield-0.13.0 → pyield-0.13.2}/pyproject.toml

@@ -34,7 +34,7 @@ dependencies = [
     "pyarrow",
 ]
 dynamic = []
-version = "0.13.0"
+version = "0.13.2"
 
 [project.license]
 file = "LICENSE"

pyield-0.13.0/pyield/__about__.py

@@ -1 +0,0 @@
-__version__ = "0.13.0"