PYield 0.31.2__tar.gz → 0.31.4__tar.gz

{pyield-0.31.2 → pyield-0.31.4}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: PYield
-Version: 0.31.2
+Version: 0.31.4
 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-0.31.4/pyield/__about__.py

@@ -0,0 +1 @@
+__version__ = "0.31.4"

{pyield-0.31.2 → pyield-0.31.4}/pyield/anbima/ettj.py

@@ -137,8 +137,10 @@ def intraday_ettj() -> pd.DataFrame:
     Note:
         All rates are expressed in decimal format (e.g., 0.12 for 12%).
     """
-    text = requests.get(INTRADAY_ETTJ_URL).text
-    text_parts = text.split("ETTJ IPCA (%a.a./252)")
+
+    request_payload = {"Dt_Ref": "", "saida": "csv"}
+    response = requests.post(INTRADAY_ETTJ_URL, data=request_payload)
+    text_parts = response.text.split("ETTJ IPCA (%a.a./252)")
 
     nominal_text = text_parts[0]
     lines = nominal_text.splitlines()

{pyield-0.31.2 → pyield-0.31.4}/pyield/tpf/ltn.py

@@ -230,3 +230,35 @@ def historical_premium(
 
     # Calculate and return the premium using the extracted rates
     return premium(ltn_rate, di_rate)
+
+
+def dv01(
+    settlement: DateScalar,
+    maturity: DateScalar,
+    rate: float,
+) -> float:
+    """
+    Calculate the DV01 (Dollar Value of 01) for an LTN in R$.
+
+    Represents the price change in R$ for a 1 basis point (0.01%) increase in yield.
+
+    Args:
+        settlement (DateScalar): The settlement date in 'DD-MM-YYYY' format
+            or a pandas Timestamp.
+        maturity (DateScalar): The maturity date in 'DD-MM-YYYY' format or
+            a pandas Timestamp.
+        rate (float): The discount rate used to calculate the present value of
+            the cash flows, which is the yield to maturity (YTM) of the LTN.
+
+    Returns:
+        float: The DV01 value, representing the price change for a 1 basis point
+            increase in yield.
+
+    Examples:
+        >>> from pyield import ltn
+        >>> ltn.dv01("26-03-2025", "01-01-2032", 0.150970)
+        0.2269059999999854
+    """
+    price1 = price(settlement, maturity, rate)
+    price2 = price(settlement, maturity, rate + 0.0001)
+    return price1 - price2

{pyield-0.31.2 → pyield-0.31.4}/pyield/tpf/ntnb.py

@@ -550,3 +550,38 @@ def duration(
     df["DCF"] = df["CashFlow"] / (1 + rate) ** df["BY"]
     np_duration = (df["DCF"] * df["BY"]).sum() / df["DCF"].sum()
     return float(np_duration)
+
+
+def dv01(
+    settlement: DateScalar,
+    maturity: DateScalar,
+    rate: float,
+    vna: float,
+) -> float:
+    """
+    Calculate the DV01 (Dollar Value of 01) for an NTN-B in R$.
+
+    Represents the price change in R$ for a 1 basis point (0.01%) increase in yield.
+
+    Args:
+        settlement (DateScalar): The settlement date in 'DD-MM-YYYY' format
+            or a pandas Timestamp.
+        maturity (DateScalar): The maturity date in 'DD-MM-YYYY' format or
+            a pandas Timestamp.
+        rate (float): The discount rate used to calculate the present value of
+            the cash flows, which is the yield to maturity (YTM) of the NTN-B.
+
+    Returns:
+        float: The DV01 value, representing the price change for a 1 basis point
+            increase in yield.
+
+    Examples:
+        >>> from pyield import ntnb
+        >>> ntnb.dv01("26-03-2025", "15-08-2060", 0.074358, 4470.979474)
+        4.640875999999935
+    """
+    quotation1 = quotation(settlement, maturity, rate)
+    quotation2 = quotation(settlement, maturity, rate + 0.0001)
+    price1 = price(vna, quotation1)
+    price2 = price(vna, quotation2)
+    return price1 - price2

{pyield-0.31.2 → pyield-0.31.4}/pyield/tpf/ntnf.py

@@ -653,3 +653,35 @@ def duration(
     df["DCF"] = df["CashFlow"] / (1 + rate) ** df["BY"]
     np_duration = (df["DCF"] * df["BY"]).sum() / df["DCF"].sum()
     return float(np_duration)
+
+
+def dv01(
+    settlement: DateScalar,
+    maturity: DateScalar,
+    rate: float,
+) -> float:
+    """
+    Calculate the DV01 (Dollar Value of 01) for an NTN-F in R$.
+
+    Represents the price change in R$ for a 1 basis point (0.01%) increase in yield.
+
+    Args:
+        settlement (DateScalar): The settlement date in 'DD-MM-YYYY' format
+            or a pandas Timestamp.
+        maturity (DateScalar): The maturity date in 'DD-MM-YYYY' format or
+            a pandas Timestamp.
+        rate (float): The discount rate used to calculate the present value of
+            the cash flows, which is the yield to maturity (YTM) of the NTN-F.
+
+    Returns:
+        float: The DV01 value, representing the price change for a 1 basis point
+            increase in yield.
+
+    Examples:
+        >>> from pyield import ntnf
+        >>> ntnf.dv01("26-03-2025", "01-01-2035", 0.151375)
+        0.39025200000003224
+    """
+    price1 = price(settlement, maturity, rate)
+    price2 = price(settlement, maturity, rate + 0.0001)
+    return price1 - price2

pyield-0.31.2/pyield/__about__.py

@@ -1 +0,0 @@
-__version__ = "0.31.2"