PYield 0.7.2__tar.gz → 0.7.3__tar.gz

{pyield-0.7.2 → pyield-0.7.3}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: PYield
-Version: 0.7.2
+Version: 0.7.3
 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>
@@ -101,14 +101,14 @@ dtype: datetime64[ns]
 # Fetch a DataFrame with the DI Futures data from B3
 >>> yd.fetch_asset(asset_code="DI1", reference_date='2024-03-08')
 
-TradeDate  ExpirationCode ExpirationDate BDaysToExpiration ... LastRate LastAskRate LastBidRate SettlementRate
-2024-03-08 J24            2024-04-01     15                ... 10.952   10.952      10.956      10.956
-2024-03-08 K24            2024-05-02     37                ... 10.776   10.774      10.780      10.777
-2024-03-08 M24            2024-06-03     58                ... 10.604   10.602      10.604      10.608
+TradeDate  TickerSymbol ExpirationDate BDaysToExp ... LastRate LastAskRate LastBidRate SettlementRate
+2024-03-08 DI1J24            2024-04-01     15                ... 10.952   10.952      10.956      10.956
+2024-03-08 DI1K24            2024-05-02     37                ... 10.776   10.774      10.780      10.777
+2024-03-08 DI1M24            2024-06-03     58                ... 10.604   10.602      10.604      10.608
 ...        ...            ...            ...               ... ...      ...         ...         ...
-2024-03-08 F37            2037-01-02     3213              ... <NA>     <NA>        <NA>        10.859
-2024-03-08 F38            2038-01-04     3462              ... <NA>     <NA>        <NA>        10.859
-2024-03-08 F39            2039-01-03     3713              ... <NA>     <NA>        <NA>        10.85
+2024-03-08 DI1F37            2037-01-02     3213              ... <NA>     <NA>        <NA>        10.859
+2024-03-08 DI1F38            2038-01-04     3462              ... <NA>     <NA>        <NA>        10.859
+2024-03-08 DI1F39            2039-01-03     3713              ... <NA>     <NA>        <NA>        10.85
 ```
 
 ### Treasury Bonds Data

{pyield-0.7.2 → pyield-0.7.3}/README.md

@@ -59,14 +59,14 @@ dtype: datetime64[ns]
 # Fetch a DataFrame with the DI Futures data from B3
 >>> yd.fetch_asset(asset_code="DI1", reference_date='2024-03-08')
 
-TradeDate  ExpirationCode ExpirationDate BDaysToExpiration ... LastRate LastAskRate LastBidRate SettlementRate
-2024-03-08 J24            2024-04-01     15                ... 10.952   10.952      10.956      10.956
-2024-03-08 K24            2024-05-02     37                ... 10.776   10.774      10.780      10.777
-2024-03-08 M24            2024-06-03     58                ... 10.604   10.602      10.604      10.608
+TradeDate  TickerSymbol ExpirationDate BDaysToExp ... LastRate LastAskRate LastBidRate SettlementRate
+2024-03-08 DI1J24            2024-04-01     15                ... 10.952   10.952      10.956      10.956
+2024-03-08 DI1K24            2024-05-02     37                ... 10.776   10.774      10.780      10.777
+2024-03-08 DI1M24            2024-06-03     58                ... 10.604   10.602      10.604      10.608
 ...        ...            ...            ...               ... ...      ...         ...         ...
-2024-03-08 F37            2037-01-02     3213              ... <NA>     <NA>        <NA>        10.859
-2024-03-08 F38            2038-01-04     3462              ... <NA>     <NA>        <NA>        10.859
-2024-03-08 F39            2039-01-03     3713              ... <NA>     <NA>        <NA>        10.85
+2024-03-08 DI1F37            2037-01-02     3213              ... <NA>     <NA>        <NA>        10.859
+2024-03-08 DI1F38            2038-01-04     3462              ... <NA>     <NA>        <NA>        10.859
+2024-03-08 DI1F39            2039-01-03     3713              ... <NA>     <NA>        <NA>        10.85
 ```
 
 ### Treasury Bonds Data

pyield-0.7.3/pyield/__about__.py

@@ -0,0 +1 @@
+__version__ = "0.7.3"

{pyield-0.7.2 → pyield-0.7.3}/pyield/data_access.py

@@ -23,7 +23,7 @@ def fetch_asset(
             - "DI1": One-day Interbank Deposit Futures (Futuro de DI) from B3.
             - "DDI": DI x U.S. Dollar Spread Futures (Futuro de Cupom Cambial) from B3.
         reference_date (str | pd.Timestamp | None): The reference date for which data is
-            fetched. Defaults to the previous business day if None.
+            fetched. Defaults to the last business day if None.
         **kwargs: Additional keyword arguments, specifically:
             - return_raw (bool): Whether to return raw data without processing. Defaults
               to False.
@@ -48,7 +48,13 @@ def fetch_asset(
         return df.query(f"BondType == '{asset_code.upper()}'")
 
     elif asset_code.lower() == "di1":
-        return ft.fetch_di(trade_date=normalized_date, return_raw=return_raw)
+        today = pd.Timestamp.today().normalize()
+        if normalized_date == today:
+            return ft.fetch_last_di_data()
+        else:
+            return ft.fetch_past_di_data(
+                trade_date=normalized_date, return_raw=return_raw
+            )
     elif asset_code.lower() == "ddi":
         return ft.fetch_ddi(trade_date=normalized_date, return_raw=return_raw)
     else:
@@ -67,7 +73,7 @@ def fetch_indicator(
             - "SELIC": SELIC target rate from the Central Bank of Brazil.
             - "IPCA": IPCA monthly inflation rate from IBGE.
         reference_date (str | pd.Timestamp | None): The reference date for which data is
-            fetched. Defaults to the previous business day if None.
+            fetched. Defaults to the last business day if None.
 
     Returns:
         pd.Series: A Series containing the fetched data for the specified indicator.

{pyield-0.7.2 → pyield-0.7.3}/pyield/futures/__init__.py

@@ -1,9 +1,10 @@
 from .common import get_expiration_date, get_old_expiration_date
 from .ddi import fetch_ddi
-from .di import fetch_di
+from .di import fetch_last_di_data, fetch_past_di_data
 
 __all__ = [
-    "fetch_di",
+    "fetch_past_di_data",
+    "fetch_last_di_data",
     "fetch_ddi",
     "get_expiration_date",
     "get_old_expiration_date",

{pyield-0.7.2 → pyield-0.7.3}/pyield/futures/common.py

@@ -131,12 +131,12 @@ def get_old_expiration_date(
         return pd.NaT  # type: ignore
 
 
-def _fetch_raw_df(asset_code: str, trade_date: pd.Timestamp) -> pd.DataFrame:
+def fetch_past_data(asset_code: str, trade_date: pd.Timestamp) -> pd.DataFrame:
     """
-    Internal function to fetch raw DI futures data from B3 for a specific trade date.
+    Fetch the historical futures data from B3 for a specific trade date.
 
     Args:
-        trade_date: a datetime-like object representing the trade date.
+        trade_date (pd.Timestamp): The trade date for which the data should be fetched.
 
     Returns:
         pd.DataFrame: Raw DI data as a Pandas pd.DataFrame.
@@ -173,3 +173,56 @@ def _fetch_raw_df(asset_code: str, trade_date: pd.Timestamp) -> pd.DataFrame:
     df["AJUSTE CORRIG. (4)"] = df["AJUSTE CORRIG. (4)"].astype(pd.Float64Dtype())
 
     return df
+
+
+def fetch_last_data(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.
+
+    Returns:
+    pd.DataFrame: A DataFrame containing the normalized and cleaned data from the API.
+
+    Raises:
+    Exception: An exception is raised if the data fetch operation fails.
+    """
+
+    url = f"https://cotacao.b3.com.br/mds/api/v1/DerivativeQuotation/{future_code}"
+
+    try:
+        r = requests.get(url)
+        r.raise_for_status()  # Check for HTTP request errors
+    except requests.exceptions.RequestException:
+        raise Exception(f"Failed to fetch data for {future_code}.") from None
+
+    r.encoding = "utf-8"  # Explicitly set response encoding to utf-8 for consistency
+
+    # Normalize JSON response into a flat table
+    df = pd.json_normalize(r.json()["Scty"])
+
+    # Clean and reformat the DataFrame columns
+    df.columns = (df.columns
+        .str.replace("SctyQtn.", "")
+        .str.replace("asset.AsstSummry.", "")
+    )  # fmt: skip
+    df.drop(columns=["desc", "asset.code", "mkt.cd"], inplace=True)
+
+    # Convert maturity codes to datetime and drop rows with missing values
+    df["mtrtyCode"] = pd.to_datetime(df["mtrtyCode"], errors="coerce")
+    df.dropna(subset=["mtrtyCode"], inplace=True)
+
+    # Sort the DataFrame by maturity code and reset the index
+    df.sort_values("mtrtyCode", inplace=True, ignore_index=True)
+
+    # Get current date and time
+    now = pd.Timestamp.now().round("s")
+    # Subtract 15 minutes from the current time to account for API delay
+    trade_ts = now - pd.Timedelta(minutes=15)
+    df["TradeTimestamp"] = trade_ts
+
+    # Convert DataFrame to use nullable data types for better type consistency
+    df = df.convert_dtypes(dtype_backend="numpy_nullable")
+
+    return df

{pyield-0.7.2 → pyield-0.7.3}/pyield/futures/ddi.py

@@ -59,8 +59,8 @@ def _process_raw_df(df: pd.DataFrame, trade_date: pd.Timestamp) -> pd.DataFrame:
         "VENCTO": "ExpirationCode",
         "CONTR. ABERT.(1)": "OpenContracts",  # At the start of the day
         "CONTR. FECH.(2)": "OpenContractsEndSession",  # At the end of the day
-        "NÚM. NEGOC.": "NumOfTrades",
-        "CONTR. NEGOC.": "TradedQuantity",
+        "NÚM. NEGOC.": "TradeCount",
+        "CONTR. NEGOC.": "TradeVolume",
         "VOL.": "FinancialVolume",
         "AJUSTE": "SettlementPrice",
         "AJUSTE ANTER. (3)": "PrevSettlementRate",
@@ -133,8 +133,8 @@ def _process_raw_df(df: pd.DataFrame, trade_date: pd.Timestamp) -> pd.DataFrame:
         "OpenContracts",
         # "OpenContractsEndSession" since there is no OpenContracts at the end of the
         # day in XML data, it will be removed to avoid confusion with XML data
-        "NumOfTrades",
-        "TradedQuantity",
+        "TradeCount",
+        "TradeVolume",
         "FinancialVolume",
         "SettlementPrice",
         "MinRate",
@@ -172,7 +172,7 @@ def fetch_ddi(trade_date: pd.Timestamp, return_raw: bool = False) -> pd.DataFram
         - DaysToExpiration: number of business days to ExpirationDate.
         - OpenContracts: number of open contracts at the start of the trading day.
     """
-    df_raw = common._fetch_raw_df(asset_code="DDI", trade_date=trade_date)
+    df_raw = common.fetch_past_data(asset_code="DDI", trade_date=trade_date)
     if return_raw:
         return df_raw
     return _process_raw_df(df_raw, trade_date)

{pyield-0.7.2 → pyield-0.7.3}/pyield/futures/di.py

@@ -28,12 +28,12 @@ def _convert_prices_in_older_contracts(df: pd.DataFrame) -> pd.DataFrame:
         "MinRate",
         "MaxRate",
         "AvgRate",
-        "LastRate",
-        "LastBidRate",
-        "LastAskRate",
+        "CloseRate",
+        "CloseBidRate",
+        "CloseAskRate",
     ]
     for col in convert_cols:
-        df[col] = _convert_prices_to_rates(df[col], df["BDaysToExpiration"])
+        df[col] = _convert_prices_to_rates(df[col], df["BDaysToExp"])
 
     # Invert low and high prices
     df["MinRate"], df["MaxRate"] = df["MaxRate"], df["MinRate"]
@@ -41,7 +41,7 @@ def _convert_prices_in_older_contracts(df: pd.DataFrame) -> pd.DataFrame:
     return df
 
 
-def _process_raw_df(df: pd.DataFrame, trade_date: pd.Timestamp) -> pd.DataFrame:
+def _process_past_data(df: pd.DataFrame, trade_date: pd.Timestamp) -> pd.DataFrame:
     """
     Internal function to process and transform raw DI futures data.
 
@@ -60,8 +60,8 @@ def _process_raw_df(df: pd.DataFrame, trade_date: pd.Timestamp) -> pd.DataFrame:
         "VENCTO": "ExpirationCode",
         "CONTR. ABERT.(1)": "OpenContracts",  # At the start of the day
         "CONTR. FECH.(2)": "OpenContractsEndSession",  # At the end of the day
-        "NÚM. NEGOC.": "NumOfTrades",
-        "CONTR. NEGOC.": "TradedQuantity",
+        "NÚM. NEGOC.": "TradeCount",
+        "CONTR. NEGOC.": "TradeVolume",
         "VOL.": "FinancialVolume",
         "AJUSTE": "SettlementPrice",
         "AJUSTE ANTER. (3)": "PrevSettlementRate",
@@ -70,11 +70,11 @@ def _process_raw_df(df: pd.DataFrame, trade_date: pd.Timestamp) -> pd.DataFrame:
         "PREÇO MÉD.": "AvgRate",
         "PREÇO MÁX.": "MaxRate",
         "PREÇO ABERTU.": "FirstRate",
-        "ÚLT. PREÇO": "LastRate",
+        "ÚLT. PREÇO": "CloseRate",
         "VAR. PTOS.": "PointsVariation",
         # Attention: bid/ask rates are inverted
-        "ÚLT.OF. COMPRA": "LastAskRate",
-        "ÚLT.OF. VENDA": "LastBidRate",
+        "ÚLT.OF. COMPRA": "CloseAskRate",
+        "ÚLT.OF. VENDA": "CloseBidRate",
     }
 
     df = df.rename(columns=rename_dict)
@@ -91,11 +91,9 @@ def _process_raw_df(df: pd.DataFrame, trade_date: pd.Timestamp) -> pd.DataFrame:
     else:
         df["ExpirationDate"] = df["ExpirationCode"].apply(common.get_expiration_date)
 
-    df["BDaysToExpiration"] = bday.count_bdays(trade_date, df["ExpirationDate"])
-    # Convert to nullable integer, since other columns use this data type
-    df["BDaysToExpiration"] = df["BDaysToExpiration"].astype(pd.Int64Dtype())
+    df["BDaysToExp"] = bday.count_bdays(trade_date, df["ExpirationDate"])
     # Remove expired contracts
-    df.query("BDaysToExpiration > 0", inplace=True)
+    df.query("BDaysToExp > 0", inplace=True)
 
     # Columns where 0 means NaN
     cols_with_nan = [
@@ -104,9 +102,9 @@ def _process_raw_df(df: pd.DataFrame, trade_date: pd.Timestamp) -> pd.DataFrame:
         "MinRate",
         "MaxRate",
         "AvgRate",
-        "LastRate",
-        "LastBidRate",
-        "LastAskRate",
+        "CloseRate",
+        "CloseBidRate",
+        "CloseAskRate",
     ]
     for col in cols_with_nan:
         df[col] = df[col].replace(0, pd.NA)
@@ -116,7 +114,7 @@ def _process_raw_df(df: pd.DataFrame, trade_date: pd.Timestamp) -> pd.DataFrame:
         df = _convert_prices_in_older_contracts(df)
 
     df["SettlementRate"] = _convert_prices_to_rates(
-        df["SettlementPrice"], df["BDaysToExpiration"]
+        df["SettlementPrice"], df["BDaysToExp"]
     )
 
     # Remove percentage in all rate columns and round to 5 decimal places since it's the
@@ -125,32 +123,85 @@ def _process_raw_df(df: pd.DataFrame, trade_date: pd.Timestamp) -> pd.DataFrame:
     for col in rate_cols:
         df[col] = (df[col] / 100).round(5)
 
+    df["TickerSymbol"] = "DI1" + df["ExpirationCode"]
+
     # Filter and order columns
     ordered_cols = [
         "TradeDate",
-        "ExpirationCode",
+        "TickerSymbol",
+        # "ExpirationCode",
         "ExpirationDate",
-        "BDaysToExpiration",
+        "BDaysToExp",
         "OpenContracts",
         # "OpenContractsEndSession" since there is no OpenContracts at the end of the
         # day in XML data, it will be removed to avoid confusion with XML data
-        "NumOfTrades",
-        "TradedQuantity",
+        "TradeCount",
+        "TradeVolume",
         "FinancialVolume",
         "SettlementPrice",
+        "SettlementRate",
+        "FirstRate",
         "MinRate",
         "AvgRate",
         "MaxRate",
-        "FirstRate",
-        "LastRate",
-        "LastAskRate",
-        "LastBidRate",
-        "SettlementRate",
+        "CloseAskRate",
+        "CloseBidRate",
+        "CloseRate",
     ]
     return df[ordered_cols]
 
 
-def fetch_di(trade_date: pd.Timestamp, return_raw: bool = False) -> pd.DataFrame:
+def _process_last_di_data(raw_df: pd.DataFrame) -> pd.DataFrame:
+    df = raw_df.copy()
+
+    # Columns to be renamed
+    rename_columns = {
+        "TradeTimestamp": "TradeTimestamp",
+        "symb": "TickerSymbol",
+        "mtrtyCode": "ExpirationDate",
+        "BDaysToExp": "BDaysToExp",
+        "opnCtrcts": "OpenContracts",
+        "tradQty": "TradeCount",
+        "traddCtrctsQty": "TradeVolume",
+        "grssAmt": "FinancialVolume",
+        "prvsDayAdjstmntPric": "PrevSettlementRate",
+        "bottomLmtPric": "MinLimitRate",
+        "topLmtPric": "MaxLimitRate",
+        "opngPric": "OpenRate",
+        "minPric": "MinRate",
+        "avrgPric": "AvgRate",
+        "maxPric": "MaxRate",
+        "buyOffer.price": "LastAskRate",
+        "sellOffer.price": "LastBidRate",
+        "curPrc": "LastRate",
+    }
+    # Rename columns
+    df = df.rename(columns=rename_columns)
+
+    df["BDaysToExp"] = bday.count_bdays(df["TradeTimestamp"], df["ExpirationDate"])
+
+    # Remove percentage in all rate columns
+    rate_cols = [col for col in df.columns if "Rate" in col]
+    df[rate_cols] = df[rate_cols] / 100
+
+    # Reorder columns based on the order of the dictionary
+    return df[rename_columns.values()]
+
+
+def fetch_last_di_data() -> pd.DataFrame:
+    """
+    Fetch the latest DI futures data from B3.
+
+    Returns:
+        pd.DataFrame: A Pandas pd.DataFrame containing the latest DI futures data.
+    """
+    raw_df = common.fetch_last_data(future_code="DI1")
+    return _process_last_di_data(raw_df)
+
+
+def fetch_past_di_data(
+    trade_date: pd.Timestamp, return_raw: bool = False
+) -> pd.DataFrame:
     """
     Fetchs the DI futures data for a given date from B3.
 
@@ -170,10 +221,10 @@ def fetch_di(trade_date: pd.Timestamp, return_raw: bool = False) -> pd.DataFrame
         >>> di.fetch_di(pd.Timestamp("2021-01-04"))
 
     Notes:
-        - BDaysToExpiration: number of business days to ExpirationDate.
+        - BDaysToExp: number of business days to ExpirationDate.
         - OpenContracts: number of open contracts at the start of the trading day.
     """
-    df_raw = common._fetch_raw_df(asset_code="DI1", trade_date=trade_date)
+    df_raw = common.fetch_past_data(asset_code="DI1", trade_date=trade_date)
     if return_raw:
         return df_raw
-    return _process_raw_df(df_raw, trade_date)
+    return _process_past_data(df_raw, trade_date)

{pyield-0.7.2 → pyield-0.7.3}/pyield/futures/di_xml.py

@@ -194,7 +194,7 @@ def _standardize_column_names(df: DataFrame) -> DataFrame:
         # "MktDataStrmId"
         # "IntlFinVol",
         "OpnIntrst": "OpenContracts",
-        "FinInstrmQty": "TradedQuantity",
+        "FinInstrmQty": "TradeVolume",
         "NtlFinVol": "FinancialVolume",
         "AdjstdQt": "SettlementPrice",
         "MinTradLmt": "MinTradeLimitRate",
@@ -233,13 +233,13 @@ def _process_di_df(df_raw: DataFrame) -> DataFrame:
     df.insert(2, "ExpirationDate", expiration)
 
     business_days = bday.count_bdays(df["TradDt"], df["ExpirationDate"])
-    df.insert(3, "BDaysToExpiration", business_days)
+    df.insert(3, "BDaysToExp", business_days)
 
     # Convert to nullable integer, since other columns use this data type
-    df["BDaysToExpiration"] = df["BDaysToExpiration"].astype(pd.Int64Dtype())
+    df["BDaysToExp"] = df["BDaysToExp"].astype(pd.Int64Dtype())
 
     # Remove expired contracts
-    df.query("BDaysToExpiration > 0", inplace=True)
+    df.query("BDaysToExp > 0", inplace=True)
 
     return df.sort_values(by=["ExpirationDate"], ignore_index=True)
 

{pyield-0.7.2 → pyield-0.7.3}/pyield/treasuries.py

@@ -150,7 +150,7 @@ def calculate_di_spreads(reference_date: pd.Timestamp) -> pd.DataFrame:
             bond type and maturity date.
     """
     # Fetch DI rates and adjust the maturity date format for compatibility
-    df_di = ft.fetch_di(reference_date)[["ExpirationDate", "SettlementRate"]]
+    df_di = ft.fetch_past_di_data(reference_date)[["ExpirationDate", "SettlementRate"]]
 
     # Renaming the columns to match the ANBIMA structure
     df_di.rename(columns={"ExpirationDate": "MaturityDate"}, inplace=True)

{pyield-0.7.2 → pyield-0.7.3}/pyield/utils.py

@@ -6,7 +6,7 @@ from . import bday
 def _normalize_date(reference_date: str | pd.Timestamp | None = None) -> pd.Timestamp:
     """
     Normalizes the given date to ensure it is a past business day at midnight. If no
-    date is provided, it defaults to the previous business day.
+    date is provided, it defaults to the last business day.
 
     Args:
         reference_date (str | pd.Timestamp | None): The date to normalize. Can be a
@@ -38,9 +38,9 @@ def _normalize_date(reference_date: str | pd.Timestamp | None = None) -> pd.Time
         # Normalize Timestamp to midnight
         normalized_date = reference_date.normalize()
     elif reference_date is None:
-        # If no date is provided, use the previous business day
+        # If no date is provided, use the last available business day
         today = pd.Timestamp.today().normalize()
-        normalized_date = bday.offset_bdays(today, -1)
+        normalized_date = bday.offset_bdays(dates=today, offset=0, roll="backward")
     else:
         raise ValueError("Invalid date format.")
 

{pyield-0.7.2 → pyield-0.7.3}/pyproject.toml

@@ -31,7 +31,7 @@ dependencies = [
     "lxml",
 ]
 dynamic = []
-version = "0.7.2"
+version = "0.7.3"
 
 [project.license]
 file = "LICENSE"

{pyield-0.7.2 → pyield-0.7.3}/tests/test_futures.py

@@ -37,46 +37,44 @@ def test_new_contract_code():
 
 def test_settlement_rate_with_old_holiday_list():
     settlement_rates = {
-        "N27": 0.09809,
-        "F33": 0.10368,
+        "DI1N27": 0.09809,
+        "DI1F33": 0.10368,
     }
 
     # 22-12-2023 is before the new holiday calendar
     test_date = pd.Timestamp("2023-12-22")
-    df = ft.fetch_di(trade_date=test_date)
-    expiration_codes = list(settlement_rates.keys())  # noqa: F841
-    result = df.query("ExpirationCode in @expiration_codes")["SettlementRate"].to_list()
+    df = ft.fetch_past_di_data(trade_date=test_date)
+    tickers = list(settlement_rates.keys())  # noqa: F841
+    result = df.query("TickerSymbol in @tickers")["SettlementRate"].to_list()
     assert result == list(settlement_rates.values())
 
 
 def test_settlement_rates_with_current_holiday_list():
     settlement_rates = {
-        "F24": 0.11644,
-        "J24": 0.11300,
-        "N24": 0.10786,
-        "V24": 0.10321,
-        "F25": 0.10031,
-        "J25": 0.09852,
-        "N25": 0.09715,
-        "V25": 0.09651,
-        "F26": 0.09583,
-        "N26": 0.09631,
-        "F27": 0.09683,
-        "N27": 0.09794,
-        "F29": 0.10042,
-        "F31": 0.10240,
-        "F33": 0.10331,
+        "DI1F24": 0.11644,
+        "DI1J24": 0.11300,
+        "DI1N24": 0.10786,
+        "DI1V24": 0.10321,
+        "DI1F25": 0.10031,
+        "DI1J25": 0.09852,
+        "DI1N25": 0.09715,
+        "DI1V25": 0.09651,
+        "DI1F26": 0.09583,
+        "DI1N26": 0.09631,
+        "DI1F27": 0.09683,
+        "DI1N27": 0.09794,
+        "DI1F29": 0.10042,
+        "DI1F31": 0.10240,
+        "DI1F33": 0.10331,
     }
     test_date = pd.Timestamp("2023-12-26")
-    df = ft.fetch_di(trade_date=test_date)
-    expiration_codes = list(settlement_rates.keys())  # noqa: F841
-    results = df.query("ExpirationCode in @expiration_codes")[
-        "SettlementRate"
-    ].to_list()
+    df = ft.fetch_past_di_data(trade_date=test_date)
+    tickers = list(settlement_rates.keys())  # noqa: F841
+    results = df.query("TickerSymbol in @tickers")["SettlementRate"].to_list()
     assert results == list(settlement_rates.values())
 
 
 def test_non_business_day():
     non_business_day = pd.Timestamp("2023-12-24")
     with pytest.raises(ValueError):
-        ft.fetch_di(trade_date=non_business_day)
+        ft.fetch_past_di_data(trade_date=non_business_day)

pyield-0.7.2/pyield/__about__.py

@@ -1 +0,0 @@
-__version__ = "0.7.2"