PYield 0.2.5__tar.gz → 0.2.7__tar.gz

{pyield-0.2.5 → pyield-0.2.7}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: PYield
-Version: 0.2.5
+Version: 0.2.7
 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>
@@ -62,38 +62,52 @@ You can install PYield using pip:
 ```sh
 pip install pyield
 ```
-## Usage
+## How to use PYield
+### Getting DI Futures Data
+```python
+import pyield as pyd
+
+# Get a pandas dataframe with the DI raw data from B3 (first date available is 05-06-1991)
+>>> pyd.di(reference_date='2024-01-15', raw=True)
+VENCTO CONTR. ABERT.(1) ... ÚLT.OF. COMPRA  ÚLT.OF. VENDA
+   G24           796903 ...         11.650         11.656
+   H24           548377 ...         11.346         11.352
+   ...              ... ...            ...            ...
+
+# Get a pandas dataframe with the DI processed data from B3 (default)
+>>> pyd.di(reference_date='2024-01-15')
+contract_code expiration bdays ... last_offer  settlement_rate
+          G24 2024-02-01    13 ...     11.656           11.650
+          H24 2024-03-01    32 ...     11.352           11.349
+          ...        ...   ... ...        ...              ...
+```
+### Business Days Tools (Brazilian holidays are automatically considered)
+```python
+# Generate a pandas series with the business days between two dates
+>>> pyd.generate_bdays(start='2023-12-29', end='2024-01-03')
+0   2023-12-29
+1   2024-01-02
+2   2024-01-03
+dtype: datetime64[ns]
 
-Here is a quick example of how to use PYield:
+# Get the next business day after a given date (offset=1)
+>>> pyd.offset_bdays(dates="2023-12-29", offset=1)
+Timestamp('2024-01-02 00:00:00')
 
-```python
-import pyield as yd
+# Get the next business day if it is not a business day (offset=0)
+>>> pyd.offset_bdays(dates="2023-12-30", offset=0)
+Timestamp('2024-01-02 00:00:00')
 
-# Get DI raw data from B3 (first date available is 05-06-1991)
-df_di_raw = yd.di(reference_date='2023-12-28', raw=True)
+# Since 2023-12-29 is a business day, it returns the same date (offset=0)
+>>> pyd.offset_bdays(dates="2023-12-29", offset=0)
+Timestamp('2023-12-29 00:00:00')
 
-# Get DI processed data from B3 (default)
-df_di = yd.di(reference_date='2023-12-28')
-```
 
-## Example Output
-
-Below is an example of the output from PYield when fetching DI data from B3 for the reference date of 28-12-2023:
-```text
-contract_code expiration  bdays  ...  last_bid  last_offer  settlement_rate
-          F24 2024-01-02      2  ...    11.636      11.650           11.634
-          G24 2024-02-01     24  ...    11.644      11.646           11.648
-          H24 2024-03-01     43  ...      -         11.426           11.425
-          J24 2024-04-01     63  ...    11.285      11.290           11.290
-          K24 2024-05-02     85  ...      -           -              11.121
-          M24 2024-06-03    106  ...    10.900      11.000           10.960
-          ...        ...    ...  ...       ...         ...              ...
-          F33 2033-01-03   2260  ...    10.350      10.380           10.363
-          F34 2034-01-02   2511  ...      -           -              10.365
-          F35 2035-01-02   2759  ...      -           -              10.389
-          F36 2036-01-02   3008  ...      -           -              10.395
-          F37 2037-01-02   3261  ...      -           -              10.414
-          F38 2038-01-04   3510  ...      -           -              10.414
+# Count the number of business days between two dates
+# Start date is included, end date is excluded
+>>> pyd.count_bdays(start='2023-12-29', end='2024-01-02')
+1
+
 ```
 
 ## Documentation

{pyield-0.2.5 → pyield-0.2.7}/README.md

@@ -20,38 +20,52 @@ You can install PYield using pip:
 ```sh
 pip install pyield
 ```
-## Usage
+## How to use PYield
+### Getting DI Futures Data
+```python
+import pyield as pyd
+
+# Get a pandas dataframe with the DI raw data from B3 (first date available is 05-06-1991)
+>>> pyd.di(reference_date='2024-01-15', raw=True)
+VENCTO CONTR. ABERT.(1) ... ÚLT.OF. COMPRA  ÚLT.OF. VENDA
+   G24           796903 ...         11.650         11.656
+   H24           548377 ...         11.346         11.352
+   ...              ... ...            ...            ...
+
+# Get a pandas dataframe with the DI processed data from B3 (default)
+>>> pyd.di(reference_date='2024-01-15')
+contract_code expiration bdays ... last_offer  settlement_rate
+          G24 2024-02-01    13 ...     11.656           11.650
+          H24 2024-03-01    32 ...     11.352           11.349
+          ...        ...   ... ...        ...              ...
+```
+### Business Days Tools (Brazilian holidays are automatically considered)
+```python
+# Generate a pandas series with the business days between two dates
+>>> pyd.generate_bdays(start='2023-12-29', end='2024-01-03')
+0   2023-12-29
+1   2024-01-02
+2   2024-01-03
+dtype: datetime64[ns]
 
-Here is a quick example of how to use PYield:
+# Get the next business day after a given date (offset=1)
+>>> pyd.offset_bdays(dates="2023-12-29", offset=1)
+Timestamp('2024-01-02 00:00:00')
 
-```python
-import pyield as yd
+# Get the next business day if it is not a business day (offset=0)
+>>> pyd.offset_bdays(dates="2023-12-30", offset=0)
+Timestamp('2024-01-02 00:00:00')
 
-# Get DI raw data from B3 (first date available is 05-06-1991)
-df_di_raw = yd.di(reference_date='2023-12-28', raw=True)
+# Since 2023-12-29 is a business day, it returns the same date (offset=0)
+>>> pyd.offset_bdays(dates="2023-12-29", offset=0)
+Timestamp('2023-12-29 00:00:00')
 
-# Get DI processed data from B3 (default)
-df_di = yd.di(reference_date='2023-12-28')
-```
 
-## Example Output
-
-Below is an example of the output from PYield when fetching DI data from B3 for the reference date of 28-12-2023:
-```text
-contract_code expiration  bdays  ...  last_bid  last_offer  settlement_rate
-          F24 2024-01-02      2  ...    11.636      11.650           11.634
-          G24 2024-02-01     24  ...    11.644      11.646           11.648
-          H24 2024-03-01     43  ...      -         11.426           11.425
-          J24 2024-04-01     63  ...    11.285      11.290           11.290
-          K24 2024-05-02     85  ...      -           -              11.121
-          M24 2024-06-03    106  ...    10.900      11.000           10.960
-          ...        ...    ...  ...       ...         ...              ...
-          F33 2033-01-03   2260  ...    10.350      10.380           10.363
-          F34 2034-01-02   2511  ...      -           -              10.365
-          F35 2035-01-02   2759  ...      -           -              10.389
-          F36 2036-01-02   3008  ...      -           -              10.395
-          F37 2037-01-02   3261  ...      -           -              10.414
-          F38 2038-01-04   3510  ...      -           -              10.414
+# Count the number of business days between two dates
+# Start date is included, end date is excluded
+>>> pyd.count_bdays(start='2023-12-29', end='2024-01-02')
+1
+
 ```
 
 ## Documentation

{pyield-0.2.5 → pyield-0.2.7}/pyield/__about__.py

@@ -1,4 +1,4 @@
 # SPDX-FileCopyrightText: 2023-present crcj <cr.cj@outlook.com>
 #
 # SPDX-License-Identifier: MIT
-__version__ = "0.2.5"
+__version__ = "0.2.7"

{pyield-0.2.5 → pyield-0.2.7}/pyield/br_calendar.py

@@ -2,8 +2,8 @@ from pathlib import Path
 import pandas as pd
 import numpy as np
 
-new_holidays_path = Path(__file__).parent / "br_holidays.txt"
-old_holidays_path = Path(__file__).parent / "br_holidays_old.txt"
+new_holidays_path = Path(__file__).parent / "new_br_holidays.txt"
+old_holidays_path = Path(__file__).parent / "old_br_holidays.txt"
 
 df_new = pd.read_csv(new_holidays_path, header=None, names=["date"], comment="#")
 df_old = pd.read_csv(old_holidays_path, header=None, names=["date"], comment="#")
@@ -12,13 +12,12 @@ df_new["date"] = pd.to_datetime(df_new["date"], format="%d/%m/%Y")
 df_old["date"] = pd.to_datetime(df_old["date"], format="%d/%m/%Y")
 
 # Using numpy datetime64[D] array increases performance by almost 10x
-BR_HOLIDAYS = df_new["date"].values.astype("datetime64[D]")
-# BR_HOLIDAYS = df_new["date"].dt.strftime("%Y-%m-%d").to_list()
-BR_HOLIDAYS_OLD = df_old["date"].values.astype("datetime64[D]")
+NEW_BR_HOLIDAYS = df_new["date"].values.astype("datetime64[D]")
+OLD_BR_HOLIDAYS = df_old["date"].values.astype("datetime64[D]")
 
 
 def offset_bdays(
-    dates: str | pd.Timestamp, offset: int, holiday_list: np.ndarray = BR_HOLIDAYS
+    dates: str | pd.Timestamp, offset: int, holiday_list: np.ndarray = NEW_BR_HOLIDAYS
 ):
     """
     Offsets the dates to the next or previous business day. This function is a wrapper
@@ -40,16 +39,15 @@ def offset_bdays(
         https://numpy.org/doc/stable/reference/generated/numpy.busday_offset.html.
 
     Examples:
-        >>> import pandas as pd
         >>> date = '2023-12-23' # Saturday before Christmas
-        >>> offset_bdays(date, 0)
+        >>> pyd.offset_bdays(date, 0)
         Timestamp('2023-12-26')
         >>> date = '2023-12-22' # Friday before Christmas
-        >>> offset_bdays(date, 0)
+        >>> pyd.offset_bdays(date, 0)
         Timestamp('2023-12-22') # No offset because it's a business day
-        >>> offset_bdays(date, 1)
+        >>> pyd.offset_bdays(date, 1)
         Timestamp('2023-12-26') # Offset to the next business day
-        >>> offset_bdays(date, -1)
+        >>> pyd.offset_bdays(date, -1)
         Timestamp('2023-12-21') # Offset to the previous business day
     """
     # Convert to pandas datetime64[ns]
@@ -58,6 +56,7 @@ def offset_bdays(
     dates = pd.Series(dates)
     # Convert to numpy data types
     dates = dates.values.astype("datetime64[D]")
+
     # Adjust the dates according to the offset
     adj_dates = np.busday_offset(
         dates, offsets=offset, roll="forward", holidays=holiday_list
@@ -66,9 +65,11 @@ def offset_bdays(
     adj_dates = pd.to_datetime(adj_dates, unit="ns")
     # Convert back to Series
     adj_dates = pd.Series(adj_dates)
+
     # Return a single value if a single value was passed
     if len(adj_dates) == 1:
         adj_dates = adj_dates[0]
+
     return adj_dates
 
 
@@ -97,15 +98,14 @@ def count_bdays(start, end):
         selected. Otherwise, the new list is be used.
 
     Examples:
-        >>> import pandas as pd
         >>> start = '2023-12-15'
         >>> end = '2024-01-01'
-        >>> count_bdays(start, end)
+        >>> pyd.count_bdays(start, end)
         10
 
         >>> start = '2023-01-01'
         >>> end = pd.Series('2023-01-31', '2023-03-01'])
-        >>> count_bdays(start, end)
+        >>> pyd.count_bdays(start, end)
         array([22, 40])
     """
     # Convert to pandas Timestamp
@@ -121,15 +121,19 @@ def count_bdays(start, end):
     # Determine which list of holidays to use
     cutoff_date = np.datetime64("2023-12-26", "D")
     if start < cutoff_date:
-        holiday_list = BR_HOLIDAYS_OLD
+        holiday_list = OLD_BR_HOLIDAYS
     else:
-        holiday_list = BR_HOLIDAYS
+        holiday_list = NEW_BR_HOLIDAYS
 
-    return np.busday_count(start, end, holidays=holiday_list)
+    bdays = np.busday_count(start, end, holidays=holiday_list)
+    # Return a single value if a single value was passed
+    if len(bdays) == 1:
+        bdays = bdays[0]
+    return bdays
 
 
 def generate_bdays(
-    start=None, end=None, inclusive="both", holiday_list=BR_HOLIDAYS, **kwargs
+    start=None, end=None, inclusive="both", holiday_list=NEW_BR_HOLIDAYS, **kwargs
 ):
     """
     Generates a Series of business days between a `start` (inclusive) and
@@ -149,10 +153,9 @@ def generate_bdays(
         https://pandas.pydata.org/docs/reference/api/pandas.bdate_range.html#
 
     Examples:
-        >>> import pandas as pd
         >>> start = '2023-12-20'
         >>> end = '2024-01-05'
-        >>> generate_bdays(start, end)
+        >>> pyd.generate_bdays(start, end)
         2023-12-15    2023-12-15
         2023-12-18    2023-12-18
         2023-12-19    2023-12-19

{pyield-0.2.5 → pyield-0.2.7}/pyield/di_futures.py

@@ -63,7 +63,7 @@ def get_old_expiration_date(
         expiration = pd.Timestamp(year, month, 1)
         # Adjust to the next business day when expiration date is a weekend or a holiday
         # Must use the old holiday calendar, since this type of contract code was used until 2006
-        return bc.offset_bdays(expiration, offset=0, holiday_list=bc.BR_HOLIDAYS_OLD)
+        return bc.offset_bdays(expiration, offset=0, holiday_list=bc.OLD_BR_HOLIDAYS)
 
     except (KeyError, ValueError):
         return pd.NaT
@@ -130,7 +130,7 @@ def get_expiration_date(contract_code: str) -> pd.Timestamp:
         expiration = pd.Timestamp(year, month, 1)
         # Adjust to the next business day when expiration date is a weekend or a holiday
         # Only the new holiday calendar is used, see docstring for more details
-        return bc.offset_bdays(expiration, offset=0, holiday_list=bc.BR_HOLIDAYS)
+        return bc.offset_bdays(expiration, offset=0, holiday_list=bc.NEW_BR_HOLIDAYS)
 
     except (KeyError, ValueError):
         return pd.NaT
@@ -300,6 +300,8 @@ def process_di_data(df: pd.DataFrame, reference_date: pd.Timestamp) -> pd.DataFr
             "number_of_trades",
             "trading_volume",
             "financial_volume",
+            "settlement_price",
+            "settlement_rate",
             "opening_rate",
             "min_rate",
             "max_rate",
@@ -307,7 +309,6 @@ def process_di_data(df: pd.DataFrame, reference_date: pd.Timestamp) -> pd.DataFr
             "closing_rate",
             "last_bid",
             "last_offer",
-            "settlement_rate",
         ]
     ]
     return df

pyield-0.2.5/pyield/br_holidays.txt → pyield-0.2.7/pyield/new_br_holidays.txt

@@ -2,7 +2,7 @@
 # Data Source: https://www.anbima.com.br/feriados/feriados.asp
 # Direct link to the ANBIMA file: https://www.anbima.com.br/feriados/arqs/feriados_nacionais.xls
 # In december 2023, a new holiday was added: "Dia Nacional de Zumbi"
-# Note: dates until 22-12-2023 (inclusive) must use "br_holidays_old.txt" list
+# Note: dates until 22-12-2023 (inclusive) must use "old_br_holidays.txt" list
 01/01/2001
 26/02/2001
 27/02/2001

{pyield-0.2.5 → pyield-0.2.7}/pyproject.toml

@@ -31,7 +31,7 @@ dependencies = [
     "lxml",
 ]
 dynamic = []
-version = "0.2.5"
+version = "0.2.7"
 
 [project.license]
 file = "LICENSE"