PYield 0.3.3__tar.gz → 0.3.4__tar.gz

{pyield-0.3.3 → pyield-0.3.4}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: PYield
-Version: 0.3.3
+Version: 0.3.4
 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-0.3.4/pyield/__about__.py

@@ -0,0 +1 @@
+__version__ = "0.3.4"

{pyield-0.3.3 → pyield-0.3.4}/pyield/__init__.py

@@ -1,4 +1,4 @@
 from .__about__ import __version__  # noqa: F401
 from .di_futures import get_di, read_di  # noqa: F401
 from .br_calendar import count_bdays, generate_bdays, offset_bdays  # noqa: F401
-from .anbima import get_anbima_rates  # noqa: F401
+from .anbima import get_anbima_rates, get_anbima_di_spreads  # noqa: F401

pyield-0.3.4/pyield/anbima.py

@@ -0,0 +1,155 @@
+import pandas as pd
+from urllib.error import HTTPError
+
+from . import di_futures as di
+
+
+def process_reference_date(
+    reference_date: str | pd.Timestamp | None = None,
+) -> pd.Timestamp:
+    if reference_date:
+        # Force reference_date to be a pd.Timestamp
+        reference_date = pd.Timestamp(reference_date)
+    else:  # If no reference_date is given, use yesterday's date
+        today = pd.Timestamp.today().date()
+        yesterday = today - pd.Timedelta(days=1)
+        reference_date = yesterday
+
+    return reference_date
+
+
+def get_raw_data(reference_date: pd.Timestamp, anbima_member: bool) -> pd.DataFrame:
+    """
+    Fetch indicative rates from ANBIMA for a specific date.
+
+    Parameters:
+    - reference_date: pd.Timestamp for which to fetch the indicative rates.
+        If None, fetches yesterday's rates.
+
+    Returns:
+    - A pandas DataFrame with the indicative rates for the given date.
+    """
+
+    # Example URL: https://www.anbima.com.br/informacoes/merc-sec/arqs/ms231128.txt
+    url_date = reference_date.strftime("%y%m%d")
+    if anbima_member:
+        url = f"http://www.anbima.associados.rtm/merc_sec/arqs/ms{url_date}.txt"
+    else:
+        url = f"https://www.anbima.com.br/informacoes/merc-sec/arqs/ms{url_date}.txt"
+
+    try:
+        df = pd.read_csv(
+            url,
+            sep="@",
+            encoding="latin-1",
+            skiprows=2,
+            decimal=",",
+            thousands=".",
+            dtype_backend="numpy_nullable",
+        )
+    except HTTPError:
+        error_date = reference_date.strftime("%d-%m-%Y")
+        raise ValueError(f"Failed to get ANBIMA rates for {error_date}")
+
+    return df
+
+
+def process_raw_data(df: pd.DataFrame) -> pd.DataFrame:
+    # Filter selected columns and rename them
+    selected_columns_dict = {
+        "Titulo": "BondType",
+        "Data Referencia": "ReferenceDate",
+        # "Codigo SELIC": "SelicCode",
+        # "Data Base/Emissao": "IssueBaseDate",
+        "Data Vencimento": "MaturityDate",
+        "Tx. Compra": "BidRate",
+        "Tx. Venda": "AskRate",
+        "Tx. Indicativas": "IndicativeRate",
+        "PU": "Price",
+        # "Desvio padrao": "StdDev",
+        # "Interv. Ind. Inf. (D0)",
+        # "Interv. Ind. Sup. (D0)",
+        # "Interv. Ind. Inf. (D+1)",
+        # "Interv. Ind. Sup. (D+1)",
+        # "Criterio": "Criteria",
+    }
+    select_columns = list(selected_columns_dict.keys())
+    df = df[select_columns].copy()
+    df.rename(columns=selected_columns_dict, inplace=True)
+
+    # Remove percentage from rates
+    rate_cols = ["BidRate", "AskRate", "IndicativeRate"]
+    df[rate_cols] = df[rate_cols] / 100
+
+    df["ReferenceDate"] = pd.to_datetime(df["ReferenceDate"], format="%Y%m%d")
+    df["MaturityDate"] = pd.to_datetime(df["MaturityDate"], format="%Y%m%d")
+
+    return df.sort_values(["BondType", "MaturityDate"], ignore_index=True)
+
+
+def get_anbima_rates(
+    reference_date: str | pd.Timestamp | None = None,
+    return_raw=False,
+    anbima_member=False,
+) -> pd.DataFrame:
+    """
+    Fetch indicative rates from ANBIMA for a specific date.
+
+    Parameters:
+    - reference_date: pd.Timestamp for which to fetch the indicative rates.
+        If None, fetches yesterday's rates.
+
+    Returns:
+    - A pandas DataFrame with the indicative rates for the given date.
+    """
+    reference_date = process_reference_date(reference_date)
+    df = get_raw_data(reference_date, anbima_member)
+
+    if return_raw:
+        return df
+    else:
+        return process_raw_data(df)
+
+
+def get_anbima_di_spreads(
+    reference_date: str | pd.Timestamp | None = None,
+    anbima_member=False,
+) -> pd.DataFrame:
+    """
+    Calcula o prêmio (spread) com relação ao DI nas taxas indicativas da ANBIMA para os títulos LTN e NTN-F.
+    A coluna DISpread contém o prêmio em bps.
+
+    Parâmetros:
+    -----------
+    data_consulta : pd.Timestamp
+        A data de referência para a consulta das taxas indicativas da ANBIMA.
+    """
+    reference_date = process_reference_date(reference_date)
+
+    df_di = di.get_di(reference_date)[["ExpirationDate", "SettlementRate"]]
+
+    df_di.rename(columns={"ExpirationDate": "MaturityDate"}, inplace=True)
+
+    # Ajustar o vencimento para o primeiro dia do mês para concidir com o formato dos títulos
+    df_di["MaturityDate"] = df_di["MaturityDate"].dt.to_period("M").dt.to_timestamp()
+
+    df_anb = get_anbima_rates(
+        reference_date=reference_date, anbima_member=anbima_member
+    )
+
+    # Filtrar apenas os títulos LTN e NTN-F
+    df_anb.query("BondType in ['LTN', 'NTN-F']", inplace=True)
+
+    # Unir os dois DataFrames
+    df = pd.merge(df_anb, df_di, how="left", on="MaturityDate")
+
+    # Calcular o prêmio implícito na taxa da ANBIMA
+    df["DISpread"] = df["IndicativeRate"] - df["SettlementRate"]
+    df.drop(columns="SettlementRate", inplace=True)
+
+    # Converter o prêmio para bps e arredondar para 2 casas decimais
+    df["DISpread"] = (10_000 * df["DISpread"]).round(2)
+
+    select_columns = ["BondType", "ReferenceDate", "MaturityDate", "DISpread"]
+    df = df[select_columns]
+    return df.sort_values(["BondType", "MaturityDate"], ignore_index=True)

{pyield-0.3.3 → pyield-0.3.4}/pyproject.toml

@@ -31,7 +31,7 @@ dependencies = [
     "lxml",
 ]
 dynamic = []
-version = "0.3.3"
+version = "0.3.4"
 
 [project.license]
 file = "LICENSE"

pyield-0.3.3/pyield/__about__.py

@@ -1 +0,0 @@
-__version__ = "0.3.3"

pyield-0.3.3/pyield/anbima.py

@@ -1,48 +0,0 @@
-import pandas as pd
-from urllib.error import HTTPError
-
-
-def get_anbima_rates(reference_date: str | pd.Timestamp | None = None) -> pd.DataFrame:
-    """
-    Fetch indicative rates from ANBIMA for a specific date.
-
-    Parameters:
-    - reference_date: pd.Timestamp for which to fetch the indicative rates.
-        If None, fetches yesterday's rates.
-
-    Returns:
-    - A pandas DataFrame with the indicative rates for the given date.
-    """
-    if reference_date:
-        # Force reference_date to be a pd.Timestamp
-        reference_date = pd.Timestamp(reference_date)
-    else:  # If no reference_date is given, use yesterday's date
-        today = pd.Timestamp.today().date()
-        yesterday = today - pd.Timedelta(days=1)
-        reference_date = yesterday
-
-    # Example URL: https://www.anbima.com.br/informacoes/merc-sec/arqs/ms231128.txt
-    url_date = reference_date.strftime("%y%m%d")
-    url = f"https://www.anbima.com.br/informacoes/merc-sec/arqs/ms{url_date}.txt"
-
-    try:
-        df = pd.read_csv(
-            url, sep="@", encoding="latin1", skiprows=2, decimal=",", thousands="."
-        )
-    except HTTPError:
-        error_date = reference_date.strftime("%d/%m/%Y")
-        raise ValueError(f"Failed to get ANBIMA rates for {error_date}")
-
-    # Filter selected columns and rename them
-    selected_columns_dict = {
-        "Titulo": "BondType",
-        "Data Vencimento": "MaturityDate",
-        "Tx. Indicativas": "IndicativeRate",
-    }
-    df = df[list(selected_columns_dict.keys())]
-    df.rename(columns=selected_columns_dict, inplace=True)
-
-    df["MaturityDate"] = pd.to_datetime(df["MaturityDate"], format="%Y%m%d")
-    df.insert(0, "ReferenceDate", reference_date)
-
-    return df.sort_values(["BondType", "MaturityDate"], ignore_index=True)