PYield 0.13.2__tar.gz → 0.13.4__tar.gz

{pyield-0.13.2 → pyield-0.13.4}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: PYield
-Version: 0.13.2
+Version: 0.13.4
 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>
@@ -36,9 +36,7 @@ Requires-Dist: pandas>=2.0.0
 Requires-Dist: numpy
 Requires-Dist: beautifulsoup4
 Requires-Dist: html5lib
-Requires-Dist: lxml
 Requires-Dist: python-calamine>=0.2.0
-Requires-Dist: scipy
 Requires-Dist: requests>=2.31.0
 Requires-Dist: pyarrow
 Description-Content-Type: text/markdown

pyield-0.13.4/pyield/__about__.py

@@ -0,0 +1 @@
+__version__ = "0.13.4"

{pyield-0.13.2 → pyield-0.13.4}/pyield/bonds/ntnf.py

@@ -1,6 +1,5 @@
 import numpy as np
 import pandas as pd
-from scipy.optimize import brentq
 
 from .. import bday, di
 from .. import date_converter as dc
@@ -377,21 +376,37 @@ def di_net_spread(  # noqa
         # Calculate the difference between the bond's price and its disc. cash flows
         return (bond_cash_flows / (1 + di_interp + p) ** byears).sum() - bond_price
 
+    # Bisection method to find the root
+    def bisection_method(func, a, b, tol=1e-8, maxiter=100):
+        fa, fb = func(a), func(b)
+        if fa * fb > 0:
+            raise ValueError("Function does not change sign in the interval.")
+
+        for _ in range(maxiter):
+            midpoint = (a + b) / 2
+            fmid = func(midpoint)
+            if np.abs(fmid) < tol or (b - a) / 2 < tol:
+                return midpoint
+            if fmid * fa < 0:
+                b, fb = midpoint, fmid
+            else:
+                a, fa = midpoint, fmid
+
+        return (a + b) / 2
+
     try:
-        if initial_guess:
-            # Search interval is 50 bps above and below the initial guess
+        if initial_guess is not None:
             a = initial_guess - 50 / 10_000  # 50 bps below the initial guess
             b = initial_guess + 50 / 10_000  # 50 bps above the initial guess
         else:
-            # Search interval is from -0.01 to 0.01 (i.e., -100 to 100 bps)
-            a = -0.01
-            b = 0.01
+            a = -0.01  # Initial guess of -100 bps
+            b = 0.01  # Initial guess of 100 bps
 
         # Find the spread (p) that zeroes the price difference
-        p_solution = brentq(price_difference, a, b, maxiter=100)
+        p_solution = bisection_method(price_difference, a, b)
         # Convert the solution to basis points (bps) and round to two decimal places
         p_solution = round((p_solution * 10_000), 2)
-    except (ValueError, RuntimeError):
+    except ValueError:
         # If no solution is found, return NaN
         p_solution = float("nan")
 

{pyield-0.13.2 → pyield-0.13.4}/pyproject.toml

@@ -27,14 +27,12 @@ dependencies = [
     "numpy",
     "beautifulsoup4",
     "html5lib",
-    "lxml",
     "python-calamine>=0.2.0",
-    "scipy",
     "requests>=2.31.0",
     "pyarrow",
 ]
 dynamic = []
-version = "0.13.2"
+version = "0.13.4"
 
 [project.license]
 file = "LICENSE"
@@ -57,6 +55,7 @@ dev = [
     "mkdocs",
     "mkdocs-material",
     "mkdocstrings[python]",
+    "lxml",
 ]
 
 [tool.ruff]

pyield-0.13.2/pyield/__about__.py

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