PYield 0.26.2__tar.gz → 0.26.4__tar.gz

{pyield-0.26.2 → pyield-0.26.4}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: PYield
-Version: 0.26.2
+Version: 0.26.4
 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-0.26.4/pyield/__about__.py

@@ -0,0 +1 @@
+__version__ = "0.26.4"

{pyield-0.26.2 → pyield-0.26.4}/pyield/__init__.py

@@ -2,6 +2,7 @@ from pyield import anbima, bday
 from pyield.__about__ import __version__
 from pyield.b3_futures import futures
 from pyield.b3_futures.di import DIFutures
+from pyield.bc.auction import auctions
 from pyield.ima import ima
 from pyield.indicators import indicator
 from pyield.interpolator import Interpolator
@@ -12,6 +13,7 @@ from pyield.tpf import lft, ltn, ntnb, ntnf
 __all__ = [
     "__version__",
     "anbima",
+    "auctions",
     "bday",
     "DIFutures",
     "forward_rates",

{pyield-0.26.2 → pyield-0.26.4}/pyield/bc/auction.py

@@ -32,9 +32,9 @@ COLUMN_MAPPING = {
     # "prazo": "...", # N. de DC entre a data de liquidação e a data de vencimento
     "codigoTitulo": "SelicCode",  # [100000, 210100, 450000, 760199, 950199]
     "dataVencimento": "Maturity",
-    "financeiro": "TotalValue",  # = FR + SR (in millions)
-    "quantidadeOfertada": "OfferedQuantity",
-    "quantidadeAceita": "AcceptedQuantity",
+    "financeiro": "Value",  # = FR + SR (in millions)
+    "quantidadeOfertada": "OfferedQuantityFR",
+    "quantidadeAceita": "AcceptedQuantityFR",
     "quantidadeOfertadaSegundaRodada": "OfferedQuantitySR",
     "quantidadeAceitaSegundaRodada": "AcceptedQuantitySR",
     "cotacaoMedia": "AvgPrice",
@@ -43,6 +43,8 @@ COLUMN_MAPPING = {
     "taxaCorte": "CutRate",
 }
 
+BASE_API_URL = "https://olinda.bcb.gov.br/olinda/servico/leiloes_selic/versao/v1/odata/leiloesTitulosPublicos(dataMovimentoInicio=@dataMovimentoInicio,dataMovimentoFim=@dataMovimentoFim,dataLiquidacao=@dataLiquidacao,codigoTitulo=@codigoTitulo,dataVencimento=@dataVencimento,edital=@edital,tipoPublico=@tipoPublico,tipoOferta=@tipoOferta)?"
+
 
 def _load_from_url(url: str) -> pd.DataFrame:
     response = requests.get(url, timeout=10)
@@ -70,22 +72,28 @@ def _process_df(df: pd.DataFrame) -> pd.DataFrame:
     df["AcceptedQuantitySR"] = df["AcceptedQuantitySR"].fillna(0)
     df["OfferedQuantitySR"] = df["OfferedQuantitySR"].fillna(0)
 
-    # Calcular o financeiro só do leilão
-    total_accepted_quantity = df["AcceptedQuantity"] + df["AcceptedQuantitySR"]
-    first_round_ratio = df["AcceptedQuantity"] / total_accepted_quantity
-    first_round_ratio = df["AcceptedQuantity"] / total_accepted_quantity
-    first_round_ratio = first_round_ratio.where(df["AcceptedQuantity"] != 0, 0)
+    df["OfferedQuantity"] = df["OfferedQuantityFR"] + df["OfferedQuantitySR"]
+    df["AcceptedQuantity"] = df["AcceptedQuantityFR"] + df["AcceptedQuantitySR"]
+    # Total value of the auction in R$ millions -> convert it to unit value
+    df["Value"] = (1_000_000 * df["Value"]).round(0).astype("Int64")
+
+    # Remove the percentage sign and round to 6 decimal places (4 decimal places in %)
+    # Before 25/08/2015, there were no rounding rules for the rates in the BC API
+    df["AvgRate"] = (df["AvgRate"] / 100).round(6)
+    df["CutRate"] = (df["CutRate"] / 100).round(6)
+
+    # Calculate the financial value of the first round
+    first_round_ratio = df["AcceptedQuantityFR"] / df["AcceptedQuantity"]
+    # Force 0 when AcceptedQuantityFR is 0 to avoid division by zero
+    first_round_ratio = first_round_ratio.where(df["AcceptedQuantityFR"] != 0, 0)
     # O dado do financeiro do BC está em milhões com uma casa decimal de precisão
     # Portanto, podemos converter para inteiro sem perda de informação
-    df["Value"] = (first_round_ratio * df["TotalValue"]).round(1)
-    df["Value"] = (first_round_ratio * df["TotalValue"]).round(1)
-    df["Value"] = (df["Value"] * 1_000_000).astype("Int64")
+    df["ValueFR"] = (first_round_ratio * df["Value"]).round(0).astype("Int64")
 
-    # Calcular o financeiro só da SV
-    second_round_ratio = df["AcceptedQuantitySR"] / total_accepted_quantity
+    # Calculate the financial value of the second round
+    second_round_ratio = df["AcceptedQuantitySR"] / df["AcceptedQuantity"]
     second_round_ratio = second_round_ratio.where(df["AcceptedQuantitySR"] != 0, 0)
-    df["ValueSR"] = (second_round_ratio * df["TotalValue"]).round(1)
-    df["ValueSR"] = (df["ValueSR"] * 1_000_000).astype("Int64")
+    df["ValueSR"] = (second_round_ratio * df["Value"]).round(0).astype("Int64")
 
     bond_mappping = {
         100000: "LTN",
@@ -99,7 +107,7 @@ def _process_df(df: pd.DataFrame) -> pd.DataFrame:
     # Em 11/06/2024 o BC passou a informar nas colunas de cotacao os valores dos PUs
     # Isso afeta somente os títulos LFT e NTN-B
     change_Date = pd.Timestamp("2024-06-11")
-    adjusted_price = (df["Value"] / df["AcceptedQuantity"]).round(6)
+    adjusted_price = (df["ValueFR"] / df["AcceptedQuantityFR"]).round(6)
     is_after_change_Date = df["Date"] >= change_Date
     is_ltn_or_ntnf = df["BondType"].isin(["LTN", "NTN-F"])
     keep_avg_price = is_after_change_Date | is_ltn_or_ntnf
@@ -110,7 +118,7 @@ def _process_df(df: pd.DataFrame) -> pd.DataFrame:
 
 def _adjust_null_values(df: pd.DataFrame) -> pd.DataFrame:
     # Onde não há quantidade aceita, não há nem taxa e nem PU definidos.
-    is_accepted = df["AcceptedQuantity"] != 0
+    is_accepted = df["AcceptedQuantityFR"] != 0
     df["AvgRate"] = df["AvgRate"].where(is_accepted, pd.NA)
     df["CutRate"] = df["CutRate"].where(is_accepted, pd.NA)
     df["AvgPrice"] = df["AvgPrice"].where(is_accepted, pd.NA)
@@ -122,7 +130,7 @@ def _adjust_null_values(df: pd.DataFrame) -> pd.DataFrame:
 def _add_dv01(df: pd.DataFrame) -> pd.DataFrame:
     df["BDToMat"] = yd.bday.count(start=df["Date"], end=df["Maturity"])
 
-    is_accepted = df["AcceptedQuantity"] != 0  # noqa
+    is_accepted = df["AcceptedQuantityFR"] != 0  # noqa
     df_not_accepted = df.query("~@is_accepted").reset_index(drop=True)
     df_is_accepted = df.query("@is_accepted").reset_index(drop=True)
 
@@ -131,33 +139,33 @@ def _add_dv01(df: pd.DataFrame) -> pd.DataFrame:
     df_ltn = df_is_accepted.query("BondType == 'LTN'").reset_index(drop=True)
     if not df_ltn.empty:
         df_ltn["Duration"] = df_ltn["BDToMat"] / 252
-        df_ltn["MDuration"] = df_ltn["Duration"] / (1 + df_ltn["AvgRate"] / 100)
-        df_ltn["DV01"] = 0.0001 * df_ltn["MDuration"] * df_ltn["AvgPrice"]
+        df_ltn["MDuration"] = df_ltn["Duration"] / (1 + df_ltn["AvgRate"])
+        df_ltn["DV01FR"] = 0.0001 * df_ltn["MDuration"] * df_ltn["AvgPrice"]
 
     def compute_f_duration(row):
-        return duration_f(row["Date"], row["Maturity"], row["CutRate"] / 100)
+        return duration_f(row["Date"], row["Maturity"], row["CutRate"])
 
     df_ntnf = df_is_accepted.query("BondType == 'NTN-F'").reset_index(drop=True)
     if not df_ntnf.empty:
         df_ntnf["Duration"] = df_ntnf.apply(compute_f_duration, axis=1)
         df_ntnf["Duration"] = df_ntnf["Duration"].astype("Float64")
-        df_ntnf["MDuration"] = df_ntnf["Duration"] / (1 + df_ntnf["AvgRate"] / 100)
-        df_ntnf["DV01"] = 0.0001 * df_ntnf["MDuration"] * df_ntnf["AvgPrice"]
+        df_ntnf["MDuration"] = df_ntnf["Duration"] / (1 + df_ntnf["AvgRate"])
+        df_ntnf["DV01FR"] = 0.0001 * df_ntnf["MDuration"] * df_ntnf["AvgPrice"]
 
     def compute_b_duration(row):
-        return duration_b(row["Date"], row["Maturity"], row["CutRate"] / 100)
+        return duration_b(row["Date"], row["Maturity"], row["CutRate"])
 
     df_ntnb = df_is_accepted.query("BondType == 'NTN-B'").reset_index(drop=True)
     if not df_ntnb.empty:
         df_ntnb["Duration"] = df_ntnb.apply(compute_b_duration, axis=1)
         df_ntnb["Duration"] = df_ntnb["Duration"].astype("Float64")
-        df_ntnb["MDuration"] = df_ntnb["Duration"] / (1 + df_ntnb["AvgRate"] / 100)
-        df_ntnb["DV01"] = 0.0001 * df_ntnb["MDuration"] * df_ntnb["AvgPrice"]
+        df_ntnb["MDuration"] = df_ntnb["Duration"] / (1 + df_ntnb["AvgRate"])
+        df_ntnb["DV01FR"] = 0.0001 * df_ntnb["MDuration"] * df_ntnb["AvgPrice"]
 
     df = pd.concat([df_not_accepted, df_lft, df_ltn, df_ntnf, df_ntnb])
 
-    df["DV01"] *= df["AcceptedQuantity"]
-    df["DV01"] = df["DV01"].round(0).astype("Int64")
+    df["DV01FR"] *= df["AcceptedQuantityFR"]
+    df["DV01FR"] = df["DV01FR"].round(0).astype("Int64")
 
     return df
 
@@ -182,12 +190,14 @@ def _sort_and_reorder_columns(df: pd.DataFrame) -> pd.DataFrame:
         "BondType",
         "Maturity",
         "SelicCode",
-        "TotalValue",
         "Value",
+        "ValueFR",
         "ValueSR",
         "OfferedQuantity",
+        "OfferedQuantityFR",
         "OfferedQuantitySR",
         "AcceptedQuantity",
+        "AcceptedQuantityFR",
         "AcceptedQuantitySR",
         "AvgPrice",
         "CutPrice",
@@ -196,7 +206,7 @@ def _sort_and_reorder_columns(df: pd.DataFrame) -> pd.DataFrame:
         "BDToMat",
         "Duration",
         "MDuration",
-        "DV01",
+        "DV01FR",
     ]
 
     primary_sort_keys = ["Date", "AuctionType", "BondType", "Maturity"]
@@ -216,8 +226,8 @@ def _fetch_df_from_url(
         df = _filter_auction_by_type(df, auction_type)
         df = _sort_and_reorder_columns(df)
         return df
-    except Exception as e:
-        logging.error(f"Error on fetching auction data from BC: {e}")
+    except Exception:
+        logging.exception("Error fetching auction data from BC API.")
         return pd.DataFrame()
 
 
@@ -234,7 +244,8 @@ def get_all_auctions() -> pd.DataFrame:
             DataFrame is returned and an error message is logged.
     """
     # URL com toda a série de leilões de títulos públicos do Tesouro Nacional
-    url = "https://olinda.bcb.gov.br/olinda/servico/leiloes_selic/versao/v1/odata/leiloesTitulosPublicos(dataMovimentoInicio=@dataMovimentoInicio,dataMovimentoFim=@dataMovimentoFim,dataLiquidacao=@dataLiquidacao,codigoTitulo=@codigoTitulo,dataVencimento=@dataVencimento,edital=@edital,tipoPublico=@tipoPublico,tipoOferta=@tipoOferta)?$format=text/csv"
+    url = f"{BASE_API_URL}$format=text/csv"
+
     return _fetch_df_from_url(url)
 
 
@@ -277,13 +288,15 @@ def auctions(
             - BondType: Category of the bond (e.g., "LTN", "LFT", "NTN-B", "NTN-F").
             - Maturity: Bond maturity date.
             - SelicCode: Bond code in the Selic system.
-            - TotalValue: Total value of the auction: FR + SR.
-            - Value: First round (FR) value of the auction.
-            - ValueSR: Value in the second round.
-            - OfferedQuantity: Quantity offered in the auction.
-            - OfferedQuantitySR: Quantity offered in the second round.
-            - AcceptedQuantity: Quantity accepted in the auction.
-            - AcceptedQuantitySR: Quantity accepted in the second round.
+            - Value: Total value of the auction in R$ (FR + SR).
+            - ValueFR: First round (FR) value of the auction in R$.
+            - ValueSR: Value in the second round (SR) in R$.
+            - OfferedQuantity: Total quantity offered in the auction (FR + SR).
+            - OfferedQuantityFR: Quantity offered in the first round (FR).
+            - OfferedQuantitySR: Quantity offered in the second round (SR).
+            - AcceptedQuantity: Total quantity accepted in the auction (FR + SR).
+            - AcceptedQuantityFR: Quantity accepted in the first round (FR).
+            - AcceptedQuantitySR: Quantity accepted in the second round (SR).
             - AvgPrice: Average price in the auction.
             - CutPrice: Cut-off price.
             - AvgRate: Average interest rate.
@@ -291,7 +304,7 @@ def auctions(
             - BDToMat: Business days to maturity.
             - Duration: Duration of the bond.
             - MDuration: Modified duration of the bond.
-            - DV01: Dollar value of a 1 bp change in yield.
+            - DV01FR: First Round (FR) dollar value of a 1 bp change in yield in R$.
 
     """
 
@@ -303,6 +316,7 @@ def auctions(
 
     start_str = start.strftime("%Y-%m-%d")
     end_str = end.strftime("%Y-%m-%d")
-    url = f"https://olinda.bcb.gov.br/olinda/servico/leiloes_selic/versao/v1/odata/leiloesTitulosPublicos(dataMovimentoInicio=@dataMovimentoInicio,dataMovimentoFim=@dataMovimentoFim,dataLiquidacao=@dataLiquidacao,codigoTitulo=@codigoTitulo,dataVencimento=@dataVencimento,edital=@edital,tipoPublico=@tipoPublico,tipoOferta=@tipoOferta)?@dataMovimentoInicio='{start_str}'&@dataMovimentoFim='{end_str}'&$format=text/csv"
+    # url = f"https://olinda.bcb.gov.br/olinda/servico/leiloes_selic/versao/v1/odata/leiloesTitulosPublicos(dataMovimentoInicio=@dataMovimentoInicio,dataMovimentoFim=@dataMovimentoFim,dataLiquidacao=@dataLiquidacao,codigoTitulo=@codigoTitulo,dataVencimento=@dataVencimento,edital=@edital,tipoPublico=@tipoPublico,tipoOferta=@tipoOferta)?@dataMovimentoInicio='{start_str}'&@dataMovimentoFim='{end_str}'&$format=text/csv"
+    url = f"{BASE_API_URL}@dataMovimentoInicio='{start_str}'&@dataMovimentoFim='{end_str}'&$format=text/csv"  # noqa
 
     return _fetch_df_from_url(url, auction_type)

pyield-0.26.2/pyield/__about__.py

@@ -1 +0,0 @@
-__version__ = "0.26.2"