PYield 0.24.2__tar.gz → 0.25.0__tar.gz

{pyield-0.24.2 → pyield-0.25.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: PYield
-Version: 0.24.2
+Version: 0.25.0
 Summary: A Python library for analysis of fixed income instruments in Brazil
 Project-URL: Source, https://github.com/crdcj/PYield
 Author-email: Carlos Carvalho <cr.cj@outlook.com>

pyield-0.25.0/pyield/__about__.py

@@ -0,0 +1 @@
+__version__ = "0.25.0"

{pyield-0.24.2 → pyield-0.25.0}/pyield/bonds/bond_tools.py

@@ -78,7 +78,7 @@ def pre_spreads(reference_date: DateScalar) -> pd.DataFrame:
     # Fetch DI rates for the reference date
     converted_date = dc.convert_input_dates(reference_date)
     di = DIFutures(trade_dates=converted_date, month_start=True)
-    df_di = di.data
+    df_di = di.df
     if "SettlementRate" not in df_di.columns:
         raise ValueError("DI rates data is missing the 'SettlementRate' column.")
 

{pyield-0.24.2 → pyield-0.25.0}/pyield/bonds/ntnb.py

@@ -490,7 +490,7 @@ def bei_rates(
         Get the DI Futures settlement rates for the same reference date to be used as
         reference for the nominal rates:
         >>> di = yd.DIFutures("05-09-2024")
-        >>> df_di = di.data
+        >>> df_di = di.df
 
         Calculate the BEI rates considering the settlement at the reference date:
         >>> yd.ntnb.bei_rates(

{pyield-0.24.2 → pyield-0.25.0}/pyield/di.py

@@ -17,17 +17,19 @@ class DIFutures:
     NTN-F bond maturities.
 
     Args:
-        trade_date (DateScalar): The date to retrieve the contract data.
+        trade_dates (DateScalar | DateArray | None): The trade date(s) to retrieve the
+            DI contract data. If None, the latest available historical trade date is
+            used.
         month_start (bool): If True, adjusts the expiration dates to the start
             of the month.
-        prefixed (bool): If True, filters the DI contracts to match only
+        pre_filter (bool): If True, filters the DI contracts to match only
             expirations with existing prefixed TN bond maturities (LTN and NTN-F).
         all_columns (bool): If True, returns all available columns in the DI dataset.
 
     Examples:
         To create a `DIFutures` instance and retrieve data:
-        >>> di = yd.DIFutures(trade_dates="16-10-2024", month_start=True)
-        >>> df = di.data  # Retrieve DI contract dataframe for the specified date
+        >>> dif = yd.DIFutures(trade_dates="16-10-2024", month_start=True)
+        >>> df = dif.df  # Retrieve DI contract dataframe for the specified date
         >>> df.iloc[:5, :5]  # Show the first five rows and columns
            TradeDate ExpirationDate TickerSymbol  BDaysToExp  OpenContracts
         0 2024-10-16     2024-11-01       DI1X24          12        1744269
@@ -37,7 +39,7 @@ class DIFutures:
         4 2024-10-16     2025-03-01       DI1H25          94         344056
 
         You can also retrieve forward rates for the DI contracts:
-        >>> di.forwards.iloc[:5]  # Show the first five rows
+        >>> dif.forwards.iloc[:5]  # Show the first five rows
            TradeDate ExpirationDate  SettlementRate  ForwardRate
         0 2024-10-16     2024-11-01         0.10653      0.10653
         1 2024-10-16     2024-12-01          0.1091     0.110726
@@ -62,19 +64,42 @@ class DIFutures:
         self,
         trade_dates: DateScalar | DateArray | None = None,
         month_start: bool = False,
-        prefixed: bool = False,
+        pre_filter: bool = False,
         all_columns: bool = True,
     ):
         """
-        Initialize the DIFutures instance with a specific trade date.
+        Initialize the DIFutures instance with the specified parameters.
+
+        Note:
+            The DI contract DataFrame is not loaded during initialization. It will be
+            automatically loaded the first time the df() method is accessed.
         """
+        self._df = pd.DataFrame()
+        self._dirty = True  # Attribute to track if the df needs updating
+
         self.trade_dates = trade_dates
         self.month_start = month_start
-        self.prefixed = prefixed
+        self.pre_filter = pre_filter
         self.all_columns = all_columns
 
     @property
-    def data(self) -> pd.DataFrame:
+    def df(self) -> pd.DataFrame:
+        """
+        The DI contracts DataFrame for the instance's trade dates and applied filters.
+
+        If the internal state is marked as 'dirty', the DataFrame will be (re)loaded
+        before returning, ensuring that the returned data reflects the latest attribute
+        values.
+
+        Returns:
+            pd.DataFrame: The DI contract data.
+        """
+        if self._dirty:
+            self._df = self._update_df()
+            self._dirty = False
+        return self._df
+
+    def _update_df(self) -> pd.DataFrame:
         """Retrieve DI contract DataFrame for the initialized trade date."""
         df = (
             get_di_dataset()
@@ -93,7 +118,7 @@ class DIFutures:
         if "DaysToExpiration" in df.columns:
             df.drop(columns=["DaysToExpiration"], inplace=True)
 
-        if self._prefixed:
+        if self._pre_filter:
             df_pre = (
                 get_anbima_dataset()
                 .query("BondType in ['LTN', 'NTN-F']")
@@ -106,7 +131,7 @@ class DIFutures:
             df_pre["MaturityDate"] = bday.offset(df_pre["MaturityDate"], 0)
             df_pre = df_pre.rename(
                 columns={
-                    "ReferenceDate": "ExpirationDate",
+                    "ReferenceDate": "TradeDate",
                     "MaturityDate": "ExpirationDate",
                 }
             )
@@ -130,6 +155,7 @@ class DIFutures:
                 "MaxRate",
                 "CloseRate",
                 "SettlementRate",
+                "SettlementPrice",
             ]
             df = df[cols].copy()
 
@@ -152,7 +178,7 @@ class DIFutures:
                 - ForwardRate: The forward rate calculated between successive expiration
                   dates.
         """
-        df = self.data
+        df = self.df
         if df.empty:
             return pd.DataFrame()
 
@@ -278,7 +304,7 @@ class DIFutures:
         if not interpolate and extrapolate:
             raise ValueError("Extrapolation is not allowed without interpolation.")
 
-        df = self.data
+        df = self.df
 
         if df.empty:
             return float("NaN")
@@ -329,6 +355,8 @@ class DIFutures:
         elif isinstance(trade_dates, pd.Series):
             self._trade_dates = trade_dates.drop_duplicates().sort_values().to_list()
 
+        self._dirty = True
+
     @property
     def month_start(self) -> bool:
         """
@@ -346,9 +374,10 @@ class DIFutures:
     @month_start.setter
     def month_start(self, value: bool):
         self._month_start = value
+        self._dirty = True
 
     @property
-    def prefixed(self) -> bool:
+    def pre_filter(self) -> bool:
         """
         Filters DI Futures to match prefixed TN bond maturities.
 
@@ -359,11 +388,12 @@ class DIFutures:
             bool: Whether the contracts are filtered to match prefixed TN bond
                 maturities from the ANBIMA dataset.
         """
-        return self._prefixed
+        return self._pre_filter
 
-    @prefixed.setter
-    def prefixed(self, value: bool):
-        self._prefixed = value
+    @pre_filter.setter
+    def pre_filter(self, value: bool):
+        self._pre_filter = value
+        self._dirty = True
 
     @property
     def all_columns(self) -> bool:
@@ -372,3 +402,4 @@ class DIFutures:
     @all_columns.setter
     def all_columns(self, value: bool):
         self._all_columns = value
+        self._dirty = True

pyield-0.24.2/pyield/__about__.py

@@ -1 +0,0 @@
-__version__ = "0.24.2"