PYield 0.25.0__tar.gz → 0.25.2__tar.gz

{pyield-0.25.0 → pyield-0.25.2}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: PYield
-Version: 0.25.0
+Version: 0.25.2
 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>
@@ -169,7 +169,7 @@ dtype: datetime64[ns]
 >>> import pyield as yd
 # Fetch current DI Futures data from B3 (15 minutes delay)
 >>> yd.futures(contract_code="DI1")
-TradeTime      TickerSymbol ExpirationDate BDaysToExp ... MaxRate LastAskRate LastBidRate CurrentRate
+TradeTime      TickerSymbol ExpirationDate BDaysToExp ... MaxRate LastAskRate LastBidRate LastRate
 2024-04-21 13:37:39       DI1K24     2024-05-02          7 ... 0.10660     0.10652     0.10660  0.10660
 2024-04-21 13:37:39       DI1M24     2024-06-03         28 ... 0.10518     0.10510     0.10516  0.10518
 2024-04-21 13:37:39       DI1N24     2024-07-01         48 ... 0.10480     0.10456     0.10462  0.10460

{pyield-0.25.0 → pyield-0.25.2}/README.md

@@ -129,7 +129,7 @@ dtype: datetime64[ns]
 >>> import pyield as yd
 # Fetch current DI Futures data from B3 (15 minutes delay)
 >>> yd.futures(contract_code="DI1")
-TradeTime      TickerSymbol ExpirationDate BDaysToExp ... MaxRate LastAskRate LastBidRate CurrentRate
+TradeTime      TickerSymbol ExpirationDate BDaysToExp ... MaxRate LastAskRate LastBidRate LastRate
 2024-04-21 13:37:39       DI1K24     2024-05-02          7 ... 0.10660     0.10652     0.10660  0.10660
 2024-04-21 13:37:39       DI1M24     2024-06-03         28 ... 0.10518     0.10510     0.10516  0.10518
 2024-04-21 13:37:39       DI1N24     2024-07-01         48 ... 0.10480     0.10456     0.10462  0.10460

pyield-0.25.2/pyield/__about__.py

@@ -0,0 +1 @@
+__version__ = "0.25.2"

{pyield-0.25.0 → pyield-0.25.2}/pyield/b3_futures/historical.py

@@ -94,9 +94,9 @@ def _convert_prices_to_rates(
     Returns:
         pd.Series: A pd.Series containing the futures rates.
     """
-    if count_convention == 252:
+    if count_convention == 252:  # noqa
         rates = (100_000 / prices) ** (252 / days_to_expiration) - 1
-    elif count_convention == 360:
+    elif count_convention == 360:  # noqa
         rates = (100_000 / prices - 1) * (360 / days_to_expiration)
     else:
         raise ValueError("Invalid count_convention. Must be 252 or 360.")
@@ -210,7 +210,7 @@ def process_df(
 
     df["DaysToExp"] = (df["ExpirationDate"] - trade_date).dt.days
     # Convert to nullable integer, since it is the default type in the library
-    df["DaysToExp"] = df["DaysToExp"].astype(pd.Int64Dtype())
+    df["DaysToExp"] = df["DaysToExp"].astype("Int64")
 
     df["BDaysToExp"] = bday.count(trade_date, df["ExpirationDate"])
 
@@ -232,19 +232,26 @@ def process_df(
         # Remove % and round to 5 (3 in %) dec. places in rate columns
         df[rate_cols] = df[rate_cols].div(100).round(5)
 
-    if COUNT_CONVENTIONS[asset_code] == 252:
+    if COUNT_CONVENTIONS[asset_code] == 252:  # noqa
         df["SettlementRate"] = _convert_prices_to_rates(
             prices=df["SettlementPrice"],
             days_to_expiration=df["BDaysToExp"],
             count_convention=252,
         )
-    elif COUNT_CONVENTIONS[asset_code] == 360:
+    elif COUNT_CONVENTIONS[asset_code] == 360:  # noqa
         df["SettlementRate"] = _convert_prices_to_rates(
             prices=df["SettlementPrice"],
             days_to_expiration=df["DaysToExp"],
             count_convention=360,
         )
 
+    # Calculate DV01 for DI1 contracts
+    if asset_code == "DI1":
+        duration = df["BDaysToExp"] / 252
+        modified_duration = duration / (1 + df["SettlementRate"])
+        df["DV01"] = 0.0001 * modified_duration * df["SettlementPrice"]
+        df["DV01"] = df["DV01"].astype("Float64")
+
     return df
 
 
@@ -262,6 +269,7 @@ def _select_and_reorder_columns(df: pd.DataFrame):
         "TradeCount",
         "TradeVolume",
         "FinancialVolume",
+        "DV01",
         "SettlementPrice",
         "SettlementRate",
         "OpenRate",

{pyield-0.25.0 → pyield-0.25.2}/pyield/b3_futures/intraday.py

@@ -9,14 +9,14 @@ def _fetch_b3_df(future_code: str) -> pd.DataFrame:
     Fetch the latest data for a given future code from B3 derivatives quotation API.
 
     Args:
-    future_code (str): The future code to fetch data for.
+        future_code (str): The future code to fetch data for.
 
     Returns:
-    pd.DataFrame: DataFrame containing the normalized and cleaned data from the API.
-        If no data is available, an empty DataFrame is returned.
+        pd.DataFrame: DataFrame containing the normalized and cleaned data from the API.
+            If no data is available, an empty DataFrame is returned.
 
     Raises:
-    Exception: An exception is raised if the data fetch operation fails.
+        Exception: An exception is raised if the data fetch operation fails.
     """
 
     url = f"https://cotacao.b3.com.br/mds/api/v1/DerivativeQuotation/{future_code}"
@@ -46,10 +46,10 @@ def _rename_columns(df: pd.DataFrame) -> pd.DataFrame:
     Rename the columns of a DataFrame containing the futures data.
 
     Args:
-    df (pd.DataFrame): A DataFrame containing futures data.
+        df (pd.DataFrame): A DataFrame containing futures data.
 
     Returns:
-    pd.DataFrame: DataFrame with the columns renamed.
+        pd.DataFrame: DataFrame with the columns renamed.
     """
     all_columns = {
         "symb": "TickerSymbol",
@@ -60,14 +60,14 @@ def _rename_columns(df: pd.DataFrame) -> pd.DataFrame:
         "minPric": "MinRate",
         "maxPric": "MaxRate",
         "avrgPric": "AvgRate",
-        "curPrc": "CurrentRate",
+        "curPrc": "LastRate",
         "grssAmt": "FinancialVolume",
         "mtrtyCode": "ExpirationDate",
         "opnCtrcts": "OpenContracts",
         "tradQty": "TradeCount",
         "traddCtrctsQty": "TradeVolume",
-        "buyOffer.price": "CurrentAskRate",
-        "sellOffer.price": "CurrentBidRate",
+        "buyOffer.price": "LastAskRate",
+        "sellOffer.price": "LastBidRate",
     }
     # Check which columns are present in the DataFrame before renaming
     rename_dict = {c: all_columns[c] for c in all_columns if c in df.columns}
@@ -108,12 +108,25 @@ def _process_df(raw_df: pd.DataFrame) -> pd.DataFrame:
 
     df["DaysToExp"] = (df["ExpirationDate"] - df["TradeDate"]).dt.days
     # Convert to nullable integer, since it is the default type in the library
-    df["DaysToExp"] = df["DaysToExp"].astype(pd.Int64Dtype())
+    df["DaysToExp"] = df["DaysToExp"].astype("Int64")
 
     # Remove percentage in all rate columns
     rate_cols = [col for col in df.columns if "Rate" in col]
     df[rate_cols] = df[rate_cols].div(100).round(5)
 
+    # Adjust DI1 futures contracts
+    contract_type = df["TickerSymbol"].iloc[0][:3]
+    if contract_type in {"DI1", "DAP"}:
+        byears = df["BDaysToExp"] / 252
+        df["LastPrice"] = 100_000 / ((1 + df["LastRate"]) ** (byears))
+        df["LastPrice"] = df["LastPrice"].round(2).astype("Float64")
+
+    if contract_type == "DI1":
+        duration = df["BDaysToExp"] / 252
+        modified_duration = duration / (1 + df["LastRate"])
+        df["DV01"] = 0.0001 * modified_duration * df["LastPrice"]
+        df["DV01"] = df["DV01"].astype("Float64")
+
     return df
 
 
@@ -122,10 +135,10 @@ def _select_and_reorder_columns(df: pd.DataFrame) -> pd.DataFrame:
     Select and reorder columns in the DataFrame.
 
     Args:
-    df (pd.DataFrame): A DataFrame containing futures data.
+        df (pd.DataFrame): A DataFrame containing futures data.
 
     Returns:
-    pd.DataFrame: DataFrame with the columns selected and reordered.
+        pd.DataFrame: DataFrame with the columns selected and reordered.
     """
     all_columns = [
         "TradeDate",
@@ -138,6 +151,7 @@ def _select_and_reorder_columns(df: pd.DataFrame) -> pd.DataFrame:
         "TradeCount",
         "TradeVolume",
         "FinancialVolume",
+        "DV01",
         "PrevSettlementRate",
         "MinLimitRate",
         "MaxLimitRate",
@@ -145,9 +159,10 @@ def _select_and_reorder_columns(df: pd.DataFrame) -> pd.DataFrame:
         "MinRate",
         "AvgRate",
         "MaxRate",
-        "CurrentAskRate",
-        "CurrentBidRate",
-        "CurrentRate",
+        "LastAskRate",
+        "LastBidRate",
+        "LastRate",
+        "LastPrice",
     ]
     reordered_columns = [col for col in all_columns if col in df.columns]
     return df[reordered_columns].copy()

{pyield-0.25.0 → pyield-0.25.2}/pyield/di.py

@@ -150,14 +150,18 @@ class DIFutures:
                 "TickerSymbol",
                 "OpenContracts",
                 "TradeVolume",
+                "DV01",
                 "OpenRate",
                 "MinRate",
                 "MaxRate",
                 "CloseRate",
                 "SettlementRate",
+                "LastRate",
                 "SettlementPrice",
+                "LastPrice",
             ]
-            df = df[cols].copy()
+            selected_cols = [col for col in cols if col in df.columns]
+            df = df[selected_cols].copy()
 
         return df.sort_values(by=["TradeDate", "ExpirationDate"]).reset_index(drop=True)
 

pyield-0.25.0/pyield/__about__.py

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