PYield 0.35.1__tar.gz → 0.35.2__tar.gz

{pyield-0.35.1 → pyield-0.35.2}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: PYield
-Version: 0.35.1
+Version: 0.35.2
 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>

pyield-0.35.2/pyield/__about__.py

@@ -0,0 +1 @@
+__version__ = "0.35.2"

{pyield-0.35.1 → pyield-0.35.2}/pyield/b3/di1.py

@@ -55,7 +55,6 @@ def data(
         3 2024-10-16     2025-02-01       DI1G25          74         279491
         4 2024-10-16     2025-03-01       DI1H25          94         344056
     """
-
     dates = dc.convert_input_dates(dates)
     # Force dates to be a Series for consistency
     dates = pd.Series(dates) if isinstance(dates, pd.Timestamp) else dates
@@ -95,7 +94,9 @@ def data(
         df_pre = df_pre.rename(
             columns={"ReferenceDate": "TradeDate", "MaturityDate": "ExpirationDate"}
         )
-
+        # merge_asof will be used to filter the most recent LTN and NTN-F
+        # maturities for the given trade date. Therefore, the intraday data
+        # will use LTN and NTN-F maturities from the previous day.
         df = pd.merge_asof(
             df, df_pre, on="TradeDate", by="ExpirationDate", direction="backward"
         )
@@ -150,7 +151,7 @@ def interpolate_rates(
     """
     Interpolates DI rates for specified trade dates and expiration dates.
 
-    Calculates interpolated DI rates using the flat-forward method for given
+    Calculates interpolated DI rates using the **flat-forward** method for given
     sets of trade dates and expiration dates. This function is well-suited
     for vectorized calculations across multiple date pairs.
 
@@ -175,6 +176,52 @@ def interpolate_rates(
     Raises:
         ValueError: If `dates` and `expirations` are both array-like but have
             different lengths.
+
+    Examples:
+        >>> from pyield import di1
+        >>> # Note: by default, pandas shows floats with 6 decimal places
+        >>> # Interpolate rates for multiple trade and expiration dates
+        >>> # There is a contract with expiration 01-01-2027 in 08-05-2025
+        >>> # The rate is not interpolated (settlement rate is used)
+        >>> # There is no contract with expiration 25-11-2027 in 09-05-2025
+        >>> # The rate is interpolated (flat-forward method)
+        >>> # There is no data for trade date 10-05-2025 (Saturday) -> NaN
+        >>> # Note: 0.13461282461562996 is shown as 0.134613
+        >>> di1.interpolate_rates(
+        ...     dates=["08-05-2025", "09-05-2025", "10-05-2025"],
+        ...     expirations=["01-01-2027", "25-11-2027", "01-01-2030"],
+        ... )
+        0    0.13972
+        1    0.134613
+        2    <NA>
+        dtype: Float64
+
+        >>> # Interpolate rates for a single trade date and multiple expiration dates
+        >>> # There is no DI Contract in 09-05-2025 with expiration 01-01-2050
+        >>> # The longest available contract is used to extrapolate the rate
+        >>> # Note: extrapolation is allowed by default
+        >>> di1.interpolate_rates(
+        ...     dates="25-04-2025",
+        ...     expirations=["01-01-2027", "01-01-2050"],
+        ... )
+        0    0.13901
+        1    0.13881
+        dtype: Float64
+
+        >>> # With extrapolation set to False, the second rate will be NaN
+        >>> # Note: 0.13576348733268917 is shown as 0.135763
+        >>> di1.interpolate_rates(
+        ...     dates="25-04-2025",
+        ...     expirations=["01-11-2027", "01-01-2050"],
+        ...     extrapolate=False,
+        ... )
+        0    0.135763
+        1    <NA>
+        dtype: Float64
+
+    Notes:
+        - All available settlement rates are used for the flat-forward interpolation.
+        - The function handles broadcasting of scalar and array-like inputs.
     """
     # Convert input dates to a consistent format
     dates = dc.convert_input_dates(dates)
@@ -280,7 +327,6 @@ def interpolate_rate(
         >>> di1.interpolate_rate("25-04-2025", "01-01-2050", extrapolate=True)
         0.13881
     """
-
     expiration = dc.convert_input_dates(expiration)
     if not date:
         return float("NaN")

{pyield-0.35.1 → pyield-0.35.2}/pyield/tpf/ltn.py

@@ -136,7 +136,9 @@ def di_spreads(date: DateScalar) -> pd.DataFrame:
 
     Examples:
         >>> from pyield import ltn
-        >>> ltn.di_spreads("22-08-2024")
+        >>> spreads = ltn.di_spreads("22-08-2024")
+        >>> spreads["DISpread"] = spreads["DISpread"] * 10000  # Convert to bps
+        >>> spreads
            MaturityDate  DISpread
         0    2024-10-01     -3.06
         1    2025-01-01     -9.95

{pyield-0.35.1 → pyield-0.35.2}/pyield/tpf/ntnf.py

@@ -344,7 +344,9 @@ def di_spreads(date: DateScalar) -> pd.DataFrame:
 
     Examples:
         >>> from pyield import ntnf
-        >>> ntnf.di_spreads("23-08-2024")
+        >>> df_spreads = ntnf.di_spreads("23-08-2024")
+        >>> df_spreads["DISpread"] = df_spreads["DISpread"] * 10_000  # Convert to bps
+        >>> df_spreads
           MaturityDate  DISpread
         0   2025-01-01     -5.38
         1   2027-01-01      4.39
@@ -444,19 +446,20 @@ def di_net_spread(  # noqa
             None. A good initial guess is the DI gross spread for the bond.
 
     Returns:
-        float: The net DI spread in basis points.
+        float: The net DI spread in decimal format (e.g., 0.0012 for 12 bps).
 
     Examples:
         # Obs: only some of the DI rates will be used in the example.
         >>> exp_dates = pd.to_datetime(["2025-01-01", "2030-01-01", "2035-01-01"])
         >>> di_rates = pd.Series([0.10823, 0.11594, 0.11531])
-        >>> di_net_spread(
+        >>> spread = di_net_spread(
         ...     settlement="23-08-2024",
         ...     ntnf_maturity="01-01-2035",
         ...     ntnf_rate=0.116586,
         ...     di_expirations=exp_dates,
         ...     di_rates=di_rates,
         ... )
+        >>> round(spread * 10_000, 2)  # Convert to bps for display
         12.13
     """
     # Create an interpolator for the DI rates using the flat-forward method
@@ -489,9 +492,7 @@ def di_net_spread(  # noqa
         return (bond_cash_flows / (1 + di_interp + p) ** byears).sum() - bond_price
 
     # Solve for the spread that zeroes the price difference using the bisection method
-    p_solution = _solve_spread(price_difference, initial_guess)
-    # Convert the solution to basis points (bps) and round to two decimal places
-    return round((p_solution * 10_000), 2)
+    return _solve_spread(price_difference, initial_guess)
 
 
 def premium(

{pyield-0.35.1 → pyield-0.35.2}/pyield/tpf/tools.py

@@ -97,9 +97,6 @@ def pre_spreads(date: DateScalar) -> pd.DataFrame:
     # Calculate the DI spread as the difference between indicative and settlement rates
     df_spreads["DISpread"] = df_spreads["IndicativeRate"] - df_spreads["SettlementRate"]
 
-    # Convert spread to basis points for clarity
-    df_spreads["DISpread"] = (10_000 * df_spreads["DISpread"]).round(2)
-
     # Prepare and return the final sorted DataFrame
     df_spreads = df_spreads.sort_values(["BondType", "MaturityDate"], ignore_index=True)
     return df_spreads[["BondType", "MaturityDate", "DISpread"]].copy()

pyield-0.35.1/pyield/__about__.py

@@ -1 +0,0 @@
-__version__ = "0.35.1"