PYield 0.17.2__tar.gz → 0.17.4__tar.gz

{pyield-0.17.2 → pyield-0.17.4}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: PYield
-Version: 0.17.2
+Version: 0.17.4
 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>

pyield-0.17.4/pyield/__about__.py

@@ -0,0 +1 @@
+__version__ = "0.17.4"

{pyield-0.17.2 → pyield-0.17.4}/pyield/__init__.py

@@ -1,4 +1,4 @@
-from . import bday
+from . import bday, calculators
 from .__about__ import __version__
 from .bonds import lft, ltn, ntnb, ntnf
 from .data import anbima, di, futures, indicator, projection
@@ -17,4 +17,5 @@ __all__ = [
     "lft",
     "Interpolator",
     "di",
+    "calculators",
 ]

{pyield-0.17.2 → pyield-0.17.4}/pyield/bonds/ntnb.py

@@ -430,3 +430,18 @@ def bei_rates(
         "BEI",
     ]
     return df[cols_reordered].copy()
+
+
+def duration(
+    settlement: str | pd.Timestamp,
+    maturity: str | pd.Timestamp,
+    rate: float,
+) -> float:
+    settlement = dc.convert_date(settlement)
+    maturity = dc.convert_date(maturity)
+
+    df = cash_flows(settlement, maturity)
+    df["BY"] = bday.count(settlement, df["PaymentDate"]) / 252
+    df["DCF"] = df["CashFlow"] / (1 + rate) ** df["BY"]
+    np_duration = (df["DCF"] * df["BY"]).sum() / df["DCF"].sum()
+    return float(np_duration)

{pyield-0.17.2 → pyield-0.17.4}/pyield/bonds/ntnf.py

@@ -491,3 +491,18 @@ def historical_premium(
     factor_di = (1 + di_ytm) ** (1 / 252)
 
     return float((factor_ntnf - 1) / (factor_di - 1))
+
+
+def duration(
+    settlement: str | pd.Timestamp,
+    maturity: str | pd.Timestamp,
+    rate: float,
+) -> float:
+    settlement = dc.convert_date(settlement)
+    maturity = dc.convert_date(maturity)
+
+    df = cash_flows(settlement, maturity)
+    df["BY"] = bday.count(settlement, df["PaymentDate"]) / 252
+    df["DCF"] = df["CashFlow"] / (1 + rate) ** df["BY"]
+    np_duration = (df["DCF"] * df["BY"]).sum() / df["DCF"].sum()
+    return float(np_duration)

pyield-0.17.4/pyield/calculators.py

@@ -0,0 +1,54 @@
+import numpy as np
+import pandas as pd
+
+
+def forward_rates(
+    bdays: pd.Series,
+    zero_rates: pd.Series,
+    groupby_dates: pd.Series | None = None,
+) -> pd.Series:
+    """Calculates forward rates from zero rates.
+
+    Args:
+        bdays (pd.Series): Number of business days corresponding to the zero rates.
+        zero_rates (pd.Series): Zero rates corresponding to the business days.
+        groupby_dates (pd.Series | None, optional): Optional grouping criteria to
+            segment calculations. If not provided, calculations will not be grouped.
+
+    Returns:
+        pd.Series: Series of calculated forward rates with the last rate set to the last
+            zero rate in the input series.
+    """
+    # Reset Series indexes to avoid misalignment issues during calculations
+    bdays = bdays.reset_index(drop=True)
+    zero_rates = zero_rates.reset_index(drop=True)
+    if groupby_dates is not None:
+        groupby_dates = groupby_dates.reset_index(drop=True)
+
+    # Create a DataFrame to work with the given series
+    df = pd.DataFrame({"bdays": bdays, "zero_rates": zero_rates})
+
+    # If no groupby_dates is provided, create a dummy column to group the DataFrame
+    if groupby_dates is not None:
+        df["groupby_dates"] = groupby_dates
+    else:
+        df["groupby_dates"] = 0
+
+    # Sort by the groupby_dates and bdays columns to ensure proper chronological order
+    df.sort_values(by=["groupby_dates", "bdays"], inplace=True)
+
+    # Calculate the next zero rate and business day for each group
+    df["next_rate"] = df.groupby("groupby_dates")["zero_rates"].shift(-1)
+    df["next_bday"] = df.groupby("groupby_dates")["bdays"].shift(-1)
+
+    # Calculate the forward rates using the formula
+    factor1 = (1 + df["next_rate"]) ** (df["next_bday"] / 252)
+    factor2 = (1 + df["zero_rates"]) ** (df["bdays"] / 252)
+    factor3 = 252 / (df["next_bday"] - df["bdays"])
+    fwd_rates = (factor1 / factor2) ** factor3 - 1
+
+    # Replace the last forward rate with the last zero rate
+    mask = df["zero_rates"].notnull() & (fwd_rates.isnull())
+    fwd_rates = np.where(mask, df["zero_rates"], fwd_rates)
+
+    return pd.Series(fwd_rates).astype("Float64")

{pyield-0.17.2 → pyield-0.17.4}/pyproject.toml

@@ -32,7 +32,7 @@ dependencies = [
     "types-requests",
 ]
 dynamic = []
-version = "0.17.2"
+version = "0.17.4"
 
 [project.license]
 file = "LICENSE"

pyield-0.17.2/pyield/__about__.py

@@ -1 +0,0 @@
-__version__ = "0.17.2"