PyPI - PYield - Versions diffs - 0.7.3__tar.gz → 0.7.5__tar.gz - Mend

PYield 0.7.3tar.gz → 0.7.5tar.gz

This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.

Files changed (30) hide show

{pyield-0.7.3 → pyield-0.7.5}/PKG-INFO +53 -26
{pyield-0.7.3 → pyield-0.7.5}/README.md +51 -25
pyield-0.7.5/pyield/__about__.py +1 -0
{pyield-0.7.3 → pyield-0.7.5}/pyield/__init__.py +2 -1
pyield-0.7.5/pyield/data_access.py +148 -0
pyield-0.7.5/pyield/futures/__init__.py +13 -0
{pyield-0.7.3 → pyield-0.7.5}/pyield/futures/common.py +7 -5
{pyield-0.7.3 → pyield-0.7.5}/pyield/futures/ddi.py +7 -44
{pyield-0.7.3 → pyield-0.7.5}/pyield/futures/di.py +19 -38
pyield-0.7.5/pyield/futures/frc.py +98 -0
{pyield-0.7.3 → pyield-0.7.5}/pyield/indicators.py +58 -4
pyield-0.7.5/pyield/projections.py +87 -0
{pyield-0.7.3 → pyield-0.7.5}/pyield/treasuries.py +1 -1
{pyield-0.7.3 → pyield-0.7.5}/pyield/utils.py +10 -10
{pyield-0.7.3 → pyield-0.7.5}/pyproject.toml +2 -1
{pyield-0.7.3 → pyield-0.7.5}/tests/test_futures.py +5 -5
pyield-0.7.3/pyield/__about__.py +0 -1
pyield-0.7.3/pyield/data_access.py +0 -95
pyield-0.7.3/pyield/futures/__init__.py +0 -11
{pyield-0.7.3 → pyield-0.7.5}/LICENSE +0 -0
{pyield-0.7.3 → pyield-0.7.5}/pyield/bday.py +0 -0
{pyield-0.7.3 → pyield-0.7.5}/pyield/data_analysis.py +0 -0
{pyield-0.7.3 → pyield-0.7.5}/pyield/futures/di_xml.py +0 -0
{pyield-0.7.3 → pyield-0.7.5}/pyield/holidays/__init__.py +0 -0
{pyield-0.7.3 → pyield-0.7.5}/pyield/holidays/br_holidays_new.txt +0 -0
{pyield-0.7.3 → pyield-0.7.5}/pyield/holidays/br_holidays_old.txt +0 -0
{pyield-0.7.3 → pyield-0.7.5}/pyield/holidays/core.py +0 -0
{pyield-0.7.3 → pyield-0.7.5}/pyield/py.typed +0 -0
{pyield-0.7.3 → pyield-0.7.5}/tests/__init__.py +0 -0
{pyield-0.7.3 → pyield-0.7.5}/tests/test_bday.py +0 -0

{pyield-0.7.3 → pyield-0.7.5}/PKG-INFO RENAMED Viewed

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: PYield
-Version: 0.7.3
+Version: 0.7.5
 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>
@@ -38,13 +38,14 @@ Requires-Dist: numpy
 Requires-Dist: beautifulsoup4
 Requires-Dist: html5lib
 Requires-Dist: lxml
+Requires-Dist: python-calamine>=0.2.0
 Description-Content-Type: text/markdown
 [![PyPI version](https://img.shields.io/pypi/v/pyield.svg)](https://pypi.python.org/pypi/pyield)
 [![Made with Python](https://img.shields.io/badge/Python->=3.11-blue?logo=python&logoColor=white)](https://python.org "Go to Python homepage")
 [![License](https://img.shields.io/badge/License-MIT-blue)](#license)
-# PYield: Fixed Income Toolbox for Brazilian Markets
+# PYield: Brazilian Fixed Income Toolkit
 ## Introduction
@@ -98,17 +99,27 @@ dtype: datetime64[ns]
 ### Futures Data
 ```python
-# Fetch a DataFrame with the DI Futures data from B3
+# Fetch current DI Futures data from B3 (15 minutes delay)
+>>> yd.fetch_asset(asset_code="DI1")
+TradeTimestamp      TickerSymbol ExpirationDate BDaysToExp ... MaxRate LastAskRate LastBidRate LastRate
+2024-04-21 13:37:39       DI1K24     2024-05-02          7 ... 0.10660     0.10652     0.10660  0.10660
+2024-04-21 13:37:39       DI1M24     2024-06-03         28 ... 0.10518     0.10510     0.10516  0.10518
+2024-04-21 13:37:39       DI1N24     2024-07-01         48 ... 0.10480     0.10456     0.10462  0.10460
+                ...          ...            ...        ... ...     ...         ...         ...      ...
+2024-04-21 13:37:39       DI1F37     2037-01-02       3183 ...    <NA>        <NA>     0.11600     <NA>
+2024-04-21 13:37:39       DI1F38     2038-01-04       3432 ...    <NA>        <NA>     0.11600     <NA>
+2024-04-21 13:37:39       DI1F39     2039-01-03       3683 ...    <NA>        <NA>        <NA>     <NA>
+# Fetch historical DI Futures data from B3
 >>> yd.fetch_asset(asset_code="DI1", reference_date='2024-03-08')
 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 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
+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       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
@@ -118,14 +129,14 @@ TradeDate  TickerSymbol ExpirationDate BDaysToExp ... LastRate LastAskRate LastB
 # Obs: Anbima members have access to the full history
 >>> yd.fetch_asset(asset_code="NTN-B", reference_date='2024-04-12')
-BondType ReferenceDate MaturityDate BidRate AskRate IndicativeRate Price
-NTN-B    2024-04-12    2024-08-15   0.07540 0.07504 0.07523        4,271.43565
-NTN-B    2024-04-12    2025-05-15   0.05945 0.05913 0.05930        4,361.34391
-NTN-B    2024-04-12    2026-08-15   0.05927 0.05897 0.05910        4,301.40082
-...      ...           ...          ...     ...     ...            ...
-NTN-B    2024-04-12    2050-08-15   0.06039 0.06006 0.06023        4,299.28233
-NTN-B    2024-04-12    2055-05-15   0.06035 0.05998 0.06017        4,367.13360
-NTN-B    2024-04-12    2060-08-15   0.06057 0.06016 0.06036        4,292.26323
+BondType ReferenceDate MaturityDate BidRate AskRate IndicativeRate       Price
+   NTN-B    2024-04-12   2024-08-15 0.07540 0.07504        0.07523 4,271.43565
+   NTN-B    2024-04-12   2025-05-15 0.05945 0.05913        0.05930 4,361.34391
+   NTN-B    2024-04-12   2026-08-15 0.05927 0.05897        0.05910 4,301.40082
+     ...           ...          ...     ...     ...            ...         ...
+   NTN-B    2024-04-12   2050-08-15 0.06039 0.06006        0.06023 4,299.28233
+   NTN-B    2024-04-12   2055-05-15 0.06035 0.05998        0.06017 4,367.13360
+   NTN-B    2024-04-12   2060-08-15 0.06057 0.06016        0.06036 4,292.26323
 ```
 ### Spreads Calculation
@@ -134,13 +145,13 @@ NTN-B    2024-04-12    2060-08-15   0.06057 0.06016 0.06036        4,292.26323
 >>> yd.calculate_spreads(spread_type="di_vs_pre", reference_date="2024-4-11")
 BondType ReferenceDate MaturityDate  DISpread
-LTN      2024-04-11    2024-07-01    -20.28000
-LTN      2024-04-11    2024-10-01    -10.19000
-LTN      2024-04-11    2025-01-01    -15.05000
-...      ...           ...           ...
-NTN-F    2024-04-11    2031-01-01    -0.66000
-NTN-F    2024-04-11    2033-01-01    -5.69000
-NTN-F    2024-04-11    2035-01-01    -1.27000
+     LTN    2024-04-11   2024-07-01    -20.28
+     LTN    2024-04-11   2024-10-01    -10.19
+     LTN    2024-04-11   2025-01-01    -15.05
+   ...      ...           ...           ...
+   NTN-F    2024-04-11   2031-01-01     -0.66
+   NTN-F    2024-04-11   2033-01-01     -5.69
+   NTN-F    2024-04-11   2035-01-01     -1.27
 ```
 ### Indicators Data
@@ -157,3 +168,19 @@ NTN-F    2024-04-11    2035-01-01    -1.27000
 >>> yd.fetch_indicator(indicator_code="IPCA", reference_date='2024-04-10')
 None
 ```
+### Projections Data
+```python
+# Fetch current month projection for IPCA from IBGE API
+>>> ipca = yd.fetch_projection(projection_code="IPCA_CM")
+>>> print(ipca)
+IndicatorProjection(
+    last_updated=Timestamp('2024-04-19 18:55:00'),
+    reference_month_ts=Timestamp('2024-04-01 00:00:00'),
+    reference_month_br='ABR/2024',
+    projected_value=0.0035
+)
+>>> ipca.projected_value
+0.0035
+```

{pyield-0.7.3 → pyield-0.7.5}/README.md RENAMED Viewed

@@ -2,7 +2,7 @@
 [![Made with Python](https://img.shields.io/badge/Python->=3.11-blue?logo=python&logoColor=white)](https://python.org "Go to Python homepage")
 [![License](https://img.shields.io/badge/License-MIT-blue)](#license)
-# PYield: Fixed Income Toolbox for Brazilian Markets
+# PYield: Brazilian Fixed Income Toolkit
 ## Introduction
@@ -56,17 +56,27 @@ dtype: datetime64[ns]
 ### Futures Data
 ```python
-# Fetch a DataFrame with the DI Futures data from B3
+# Fetch current DI Futures data from B3 (15 minutes delay)
+>>> yd.fetch_asset(asset_code="DI1")
+TradeTimestamp      TickerSymbol ExpirationDate BDaysToExp ... MaxRate LastAskRate LastBidRate LastRate
+2024-04-21 13:37:39       DI1K24     2024-05-02          7 ... 0.10660     0.10652     0.10660  0.10660
+2024-04-21 13:37:39       DI1M24     2024-06-03         28 ... 0.10518     0.10510     0.10516  0.10518
+2024-04-21 13:37:39       DI1N24     2024-07-01         48 ... 0.10480     0.10456     0.10462  0.10460
+                ...          ...            ...        ... ...     ...         ...         ...      ...
+2024-04-21 13:37:39       DI1F37     2037-01-02       3183 ...    <NA>        <NA>     0.11600     <NA>
+2024-04-21 13:37:39       DI1F38     2038-01-04       3432 ...    <NA>        <NA>     0.11600     <NA>
+2024-04-21 13:37:39       DI1F39     2039-01-03       3683 ...    <NA>        <NA>        <NA>     <NA>
+# Fetch historical DI Futures data from B3
 >>> yd.fetch_asset(asset_code="DI1", reference_date='2024-03-08')
 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 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
+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       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
@@ -76,14 +86,14 @@ TradeDate  TickerSymbol ExpirationDate BDaysToExp ... LastRate LastAskRate LastB
 # Obs: Anbima members have access to the full history
 >>> yd.fetch_asset(asset_code="NTN-B", reference_date='2024-04-12')
-BondType ReferenceDate MaturityDate BidRate AskRate IndicativeRate Price
-NTN-B    2024-04-12    2024-08-15   0.07540 0.07504 0.07523        4,271.43565
-NTN-B    2024-04-12    2025-05-15   0.05945 0.05913 0.05930        4,361.34391
-NTN-B    2024-04-12    2026-08-15   0.05927 0.05897 0.05910        4,301.40082
-...      ...           ...          ...     ...     ...            ...
-NTN-B    2024-04-12    2050-08-15   0.06039 0.06006 0.06023        4,299.28233
-NTN-B    2024-04-12    2055-05-15   0.06035 0.05998 0.06017        4,367.13360
-NTN-B    2024-04-12    2060-08-15   0.06057 0.06016 0.06036        4,292.26323
+BondType ReferenceDate MaturityDate BidRate AskRate IndicativeRate       Price
+   NTN-B    2024-04-12   2024-08-15 0.07540 0.07504        0.07523 4,271.43565
+   NTN-B    2024-04-12   2025-05-15 0.05945 0.05913        0.05930 4,361.34391
+   NTN-B    2024-04-12   2026-08-15 0.05927 0.05897        0.05910 4,301.40082
+     ...           ...          ...     ...     ...            ...         ...
+   NTN-B    2024-04-12   2050-08-15 0.06039 0.06006        0.06023 4,299.28233
+   NTN-B    2024-04-12   2055-05-15 0.06035 0.05998        0.06017 4,367.13360
+   NTN-B    2024-04-12   2060-08-15 0.06057 0.06016        0.06036 4,292.26323
 ```
 ### Spreads Calculation
@@ -92,13 +102,13 @@ NTN-B    2024-04-12    2060-08-15   0.06057 0.06016 0.06036        4,292.26323
 >>> yd.calculate_spreads(spread_type="di_vs_pre", reference_date="2024-4-11")
 BondType ReferenceDate MaturityDate  DISpread
-LTN      2024-04-11    2024-07-01    -20.28000
-LTN      2024-04-11    2024-10-01    -10.19000
-LTN      2024-04-11    2025-01-01    -15.05000
-...      ...           ...           ...
-NTN-F    2024-04-11    2031-01-01    -0.66000
-NTN-F    2024-04-11    2033-01-01    -5.69000
-NTN-F    2024-04-11    2035-01-01    -1.27000
+     LTN    2024-04-11   2024-07-01    -20.28
+     LTN    2024-04-11   2024-10-01    -10.19
+     LTN    2024-04-11   2025-01-01    -15.05
+   ...      ...           ...           ...
+   NTN-F    2024-04-11   2031-01-01     -0.66
+   NTN-F    2024-04-11   2033-01-01     -5.69
+   NTN-F    2024-04-11   2035-01-01     -1.27
 ```
 ### Indicators Data
@@ -115,3 +125,19 @@ NTN-F    2024-04-11    2035-01-01    -1.27000
 >>> yd.fetch_indicator(indicator_code="IPCA", reference_date='2024-04-10')
 None
 ```
+### Projections Data
+```python
+# Fetch current month projection for IPCA from IBGE API
+>>> ipca = yd.fetch_projection(projection_code="IPCA_CM")
+>>> print(ipca)
+IndicatorProjection(
+    last_updated=Timestamp('2024-04-19 18:55:00'),
+    reference_month_ts=Timestamp('2024-04-01 00:00:00'),
+    reference_month_br='ABR/2024',
+    projected_value=0.0035
+)
+>>> ipca.projected_value
+0.0035
+```

pyield-0.7.5/pyield/__about__.py ADDED Viewed

	@@ -0,0 +1 @@
1	+ __version__ = "0.7.5"

{pyield-0.7.3 → pyield-0.7.5}/pyield/__init__.py RENAMED Viewed

@@ -1,6 +1,6 @@
 from .__about__ import __version__
 from .bday import count_bdays, generate_bdays, is_bday, offset_bdays
-from .data_access import fetch_asset, fetch_indicator
+from .data_access import fetch_asset, fetch_indicator, fetch_projection
 from .data_analysis import calculate_spreads
 __all__ = [
@@ -11,5 +11,6 @@ __all__ = [
     "count_bdays",
     "fetch_asset",
     "fetch_indicator",
+    "fetch_projection",
     "calculate_spreads",
 ]

pyield-0.7.5/pyield/data_access.py ADDED Viewed

@@ -0,0 +1,148 @@
+import pandas as pd
+from . import futures as ft
+from . import indicators as it
+from . import projections as pr
+from . import treasuries as tr
+from .utils import _normalize_date
+def fetch_asset(
+    asset_code: str,
+    reference_date: str | pd.Timestamp | None = None,
+    **kwargs,
+) -> pd.DataFrame:
+    """
+    Fetches data for a specified asset based on type and reference date.
+    Args:
+        asset_code (str): The asset code identifying the type of financial asset.
+        Supported options:
+            - "TRB": Treasury bonds (indicative rates from ANBIMA).
+            - "LTN", "LFT", "NTN-F", "NTN-B": Specific types of Brazilian treasury bonds
+                  (indicative rates from ANBIMA).
+            - "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.
+            - "FRC": Forward Rate Agreement (FRA) from B3.
+        reference_date (str | pd.Timestamp | None): The reference date for which data is
+            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.
+    Returns:
+        pd.DataFrame: A DataFrame containing the fetched data for the specified asset.
+    Raises:
+        ValueError: If the asset code is not recognized or supported.
+    Examples:
+        >>> fetch_asset('TRB', '2023-04-01')
+        >>> fetch_asset('DI1', '2023-04-01', return_raw=True)
+    """
+    return_raw = kwargs.get("return_raw", False)
+    normalized_date = _normalize_date(reference_date)
+    if asset_code.lower() == "trb":
+        return tr.fetch_bonds(reference_date=normalized_date, return_raw=return_raw)
+    elif asset_code.lower() in ["ltn", "lft", "ntn-f", "ntn-b"]:
+        df = tr.fetch_bonds(reference_date=normalized_date)
+        return df.query(f"BondType == '{asset_code.upper()}'")
+    elif asset_code.lower() == "di1":
+        today = pd.Timestamp.today().normalize()
+        if normalized_date == today:
+            return ft.fetch_last_di()
+        else:
+            return ft.fetch_past_di(trade_date=normalized_date, return_raw=return_raw)
+    elif asset_code.lower() == "ddi":
+        return ft.fetch_past_ddi(trade_date=normalized_date, return_raw=return_raw)
+    elif asset_code.lower() == "frc":
+        return ft.fetch_past_frc(trade_date=normalized_date, return_raw=return_raw)
+    else:
+        raise ValueError("Asset type not supported.")
+def fetch_indicator(
+    indicator_code: str,
+    reference_date: str | pd.Timestamp | None = None,
+) -> float | None:
+    """
+    Fetches data for a specified economic indicator and reference date.
+    Args:
+        indicator_code (str): The code for the economic indicator. Supported options:
+            - "SELIC": SELIC target rate from the Central Bank of Brazil, expressed as
+              an annual rate (p.a.).
+            - "DI": Interbank Deposit rate (DI) from B3 expressed as a daily rate,
+              calculated on a daily basis and expressed per diem (p.d.).
+            - "IPCA": IPCA monthly inflation rate from IBGE, expressed per month (p.m.).
+            - "VNA_LFT": VNA (Valor Nominal Atualizado) of LFT (Letra Financeira do
+              Tesouro), which reflects updated nominal values for these bonds.
+        - reference_date (str | pd.Timestamp | None): The reference date for which data
+          is fetched. Defaults to the last business day if None.
+    Returns:
+        float | None: The value of the specified economic indicator for the reference
+        date. Returns None if data is not found.
+    Raises:
+        ValueError: If the indicator code is not recognized or supported.
+    Examples:
+        >>> fetch_indicator('SELIC', '2023-04-01')
+        0.1075  # Indicates a SELIC target rate of 10.75% p.a.
+        >>> fetch_indicator('IPCA', '2023-03-10')
+        0.0016  # Indicates an IPCA monthly rate of 0.16% p.m.
+        >>> fetch_indicator('DI', '2023-04-17')
+        0.00040168  # Indicates a DI daily rate of 0.02% p.d.
+    """
+    normalized_date = _normalize_date(reference_date)
+    if indicator_code.lower() == "selic":
+        return it.fetch_selic_target(reference_date=normalized_date)
+    elif indicator_code.lower() == "ipca":
+        return it.fetch_ipca_mr(reference_date=normalized_date)
+    elif indicator_code.lower() == "di":
+        return it.fetch_di(reference_date=normalized_date)
+    elif indicator_code.lower() == "vna_lft":
+        return it.fetch_vna_selic(reference_date=normalized_date)
+    else:
+        raise ValueError("Indicator type not supported.")
+def fetch_projection(projection_code: str) -> dict:
+    """
+    Fetches a financial projection for a specified code and reference date.
+    Args:
+        projection_code (str): The code for the financial projection. Supported options:
+            - "IPCA_CM": IPCA projection for the current month from ANBIMA.
+    Returns:
+        IndicatorProjection: An instance of IndicatorProjection containing:
+            - last_updated (pd.Timestamp): The datetime when the projection was last
+              updated.
+            - reference_month_ts (pd.Timestamp): The month to which the projection
+              applies.
+            - reference_month_br (str): The formatted month as a string formatted using
+              the pt_BR locale.
+            - projected_value (float): The projected indicator value.
+    Raises:
+        ValueError: If the projection code is not recognized or supported.
+    Examples:
+        >>> fetch_projection('IPCA_CM')
+        IndicatorProjection(
+            last_updated=pd.Timestamp('2024-04-19 18:55:00'),
+            reference_month_ts=pd.Timestamp('2024-04-01 00:00:00'),
+            reference_month_br='ABR/2024',
+            projected_value=0.35
+        )
+    """
+    if projection_code.lower() == "ipca_cm":
+        return pr.fetch_current_month_ipca_projection()
+    else:
+        raise ValueError("Projection type not supported.")

pyield-0.7.5/pyield/futures/__init__.py ADDED Viewed

@@ -0,0 +1,13 @@
+from .common import get_expiration_date, get_old_expiration_date
+from .ddi import fetch_past_ddi
+from .di import fetch_last_di, fetch_past_di
+from .frc import fetch_past_frc
+__all__ = [
+    "fetch_past_di",
+    "fetch_last_di",
+    "fetch_past_ddi",
+    "fetch_past_frc",
+    "get_expiration_date",
+    "get_old_expiration_date",
+]

{pyield-0.7.3 → pyield-0.7.5}/pyield/futures/common.py RENAMED Viewed

@@ -131,9 +131,10 @@ def get_old_expiration_date(
         return pd.NaT  # type: ignore
-def fetch_past_data(asset_code: str, trade_date: pd.Timestamp) -> pd.DataFrame:
+def fetch_past_raw_df(asset_code: str, trade_date: pd.Timestamp) -> pd.DataFrame:
     """
-    Fetch the historical futures data from B3 for a specific trade date.
+    Fetch the historical futures data from B3 for a specific trade date. If the data is
+    not available, an empty DataFrame is returned.
     Args:
         trade_date (pd.Timestamp): The trade date for which the data should be fetched.
@@ -148,7 +149,7 @@ def fetch_past_data(asset_code: str, trade_date: pd.Timestamp) -> pd.DataFrame:
     text = r.text
     if "AJUSTE" not in text:
-        raise ValueError(f"Could not fetch data for {url_date}.")
+        return pd.DataFrame()
     df = pd.read_html(
         io.StringIO(text),
@@ -170,12 +171,13 @@ def fetch_past_data(asset_code: str, trade_date: pd.Timestamp) -> pd.DataFrame:
     df["VAR. PTOS."] = df["VAR. PTOS."].astype(pd.StringDtype())
     # Force "AJUSTE CORRIG. (4)" to be float, since it can be also read as int
-    df["AJUSTE CORRIG. (4)"] = df["AJUSTE CORRIG. (4)"].astype(pd.Float64Dtype())
+    if "AJUSTE CORRIG. (4)" in df.columns:
+        df["AJUSTE CORRIG. (4)"] = df["AJUSTE CORRIG. (4)"].astype(pd.Float64Dtype())
     return df
-def fetch_last_data(future_code: str) -> pd.DataFrame:
+def fetch_last_raw_df(future_code: str) -> pd.DataFrame:
     """
     Fetch the latest data for a given future code from B3 derivatives quotation API.

{pyield-0.7.3 → pyield-0.7.5}/pyield/futures/ddi.py RENAMED Viewed

@@ -20,26 +20,6 @@ def _convert_prices_to_rates(prices: pd.Series, n_days: pd.Series) -> pd.Series:
     return 100 * rates
-def _convert_prices_in_older_contracts(df: pd.DataFrame) -> pd.DataFrame:
-    # Prior to 01/01/2002, prices were not converted to rates
-    convert_cols = [
-        "FirstRate",
-        "MinRate",
-        "MaxRate",
-        "AvgRate",
-        "LastRate",
-        "LastBidRate",
-        "LastAskRate",
-    ]
-    for col in convert_cols:
-        df[col] = _convert_prices_to_rates(df[col], df["DaysToExpiration"])
-    # Invert low and high prices
-    df["MinRate"], df["MaxRate"] = df["MaxRate"], df["MinRate"]
-    return df
 def _process_raw_df(df: pd.DataFrame, trade_date: pd.Timestamp) -> pd.DataFrame:
     """
     Internal function to process and transform raw DI futures data.
@@ -96,33 +76,16 @@ def _process_raw_df(df: pd.DataFrame, trade_date: pd.Timestamp) -> pd.DataFrame:
     # Remove expired contracts
     df.query("DaysToExpiration > 0", inplace=True)
-    # Columns where 0 means NaN
-    cols_with_nan = [
-        "SettlementPrice",
-        "FirstRate",
-        "MinRate",
-        "MaxRate",
-        "AvgRate",
-        "LastRate",
-        "LastBidRate",
-        "LastAskRate",
-    ]
-    for col in cols_with_nan:
-        df[col] = df[col].replace(0, pd.NA)
-    # Prior to 17/01/2002 (incluive), prices were not converted to rates
-    if trade_date <= pd.Timestamp("2002-01-17"):
-        df = _convert_prices_in_older_contracts(df)
     df["SettlementRate"] = _convert_prices_to_rates(
         df["SettlementPrice"], df["DaysToExpiration"]
     )
-    # Remove percentage in all rate columns and round to 5 decimal places since it's the
-    # precision used by B3. Obs: 5 decimal places = 3 decimal places in percentage
     rate_cols = [col for col in df.columns if "Rate" in col]
-    for col in rate_cols:
-        df[col] = (df[col] / 100).round(5)
+    cols_with_nan = rate_cols + ["SettlementPrice"]
+    # Columns where 0 means NaN
+    df[cols_with_nan] = df[cols_with_nan].replace(0, pd.NA)
+    # Remove % and round to 5 dec. places (3 in %) since it is the contract's precision
+    df[rate_cols] = df[rate_cols].div(100).round(5)
     # Filter and order columns
     ordered_cols = [
@@ -149,7 +112,7 @@ def _process_raw_df(df: pd.DataFrame, trade_date: pd.Timestamp) -> pd.DataFrame:
     return df[ordered_cols]
-def fetch_ddi(trade_date: pd.Timestamp, return_raw: bool = False) -> pd.DataFrame:
+def fetch_past_ddi(trade_date: pd.Timestamp, return_raw: bool = False) -> pd.DataFrame:
     """
     Fetchs the DDI futures data for a given date from B3.
@@ -172,7 +135,7 @@ 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_past_data(asset_code="DDI", trade_date=trade_date)
+    df_raw = common.fetch_past_raw_df(asset_code="DDI", trade_date=trade_date)
     if return_raw:
         return df_raw
     return _process_raw_df(df_raw, trade_date)

{pyield-0.7.3 → pyield-0.7.5}/pyield/futures/di.py RENAMED Viewed

@@ -41,7 +41,7 @@ def _convert_prices_in_older_contracts(df: pd.DataFrame) -> pd.DataFrame:
     return df
-def _process_past_data(df: pd.DataFrame, trade_date: pd.Timestamp) -> pd.DataFrame:
+def _process_past_raw_df(df: pd.DataFrame, trade_date: pd.Timestamp) -> pd.DataFrame:
     """
     Internal function to process and transform raw DI futures data.
@@ -52,10 +52,6 @@ def _process_past_data(df: pd.DataFrame, trade_date: pd.Timestamp) -> pd.DataFra
     Returns:
         pd.DataFrame: Processed and transformed data as a Pandas pd.DataFrame.
     """
-    # Check if the pd.DataFrame is empty
-    if df.empty:
-        return df
     rename_dict = {
         "VENCTO": "ExpirationCode",
         "CONTR. ABERT.(1)": "OpenContracts",  # At the start of the day
@@ -95,20 +91,6 @@ def _process_past_data(df: pd.DataFrame, trade_date: pd.Timestamp) -> pd.DataFra
     # Remove expired contracts
     df.query("BDaysToExp > 0", inplace=True)
-    # Columns where 0 means NaN
-    cols_with_nan = [
-        "SettlementPrice",
-        "FirstRate",
-        "MinRate",
-        "MaxRate",
-        "AvgRate",
-        "CloseRate",
-        "CloseBidRate",
-        "CloseAskRate",
-    ]
-    for col in cols_with_nan:
-        df[col] = df[col].replace(0, pd.NA)
     # Prior to 17/01/2002 (incluive), prices were not converted to rates
     if trade_date <= pd.Timestamp("2002-01-17"):
         df = _convert_prices_in_older_contracts(df)
@@ -117,11 +99,12 @@ def _process_past_data(df: pd.DataFrame, trade_date: pd.Timestamp) -> pd.DataFra
         df["SettlementPrice"], df["BDaysToExp"]
     )
-    # Remove percentage in all rate columns and round to 5 decimal places since it's the
-    # precision used by B3. Obs: 5 decimal places = 3 decimal places in percentage
     rate_cols = [col for col in df.columns if "Rate" in col]
-    for col in rate_cols:
-        df[col] = (df[col] / 100).round(5)
+    cols_with_nan = rate_cols + ["SettlementPrice"]
+    # Columns where 0 means NaN
+    df[cols_with_nan] = df[cols_with_nan].replace(0, pd.NA)
+    # Remove % and round to 5 dec. places (3 in %) since it is the contract's precision
+    df[rate_cols] = df[rate_cols].div(100).round(5)
     df["TickerSymbol"] = "DI1" + df["ExpirationCode"]
@@ -151,7 +134,7 @@ def _process_past_data(df: pd.DataFrame, trade_date: pd.Timestamp) -> pd.DataFra
     return df[ordered_cols]
-def _process_last_di_data(raw_df: pd.DataFrame) -> pd.DataFrame:
+def _process_last_raw_di_df(raw_df: pd.DataFrame) -> pd.DataFrame:
     df = raw_df.copy()
     # Columns to be renamed
@@ -188,43 +171,41 @@ def _process_last_di_data(raw_df: pd.DataFrame) -> pd.DataFrame:
     return df[rename_columns.values()]
-def fetch_last_di_data() -> pd.DataFrame:
+def fetch_last_di() -> 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)
+    raw_df = common.fetch_last_raw_df(future_code="DI1")
+    return _process_last_raw_di_df(raw_df)
-def fetch_past_di_data(
-    trade_date: pd.Timestamp, return_raw: bool = False
-) -> pd.DataFrame:
+def fetch_past_di(trade_date: pd.Timestamp, return_raw: bool = False) -> pd.DataFrame:
     """
     Fetchs the DI futures data for a given date from B3.
     This function fetches and processes the DI futures data from B3 for a specific
-    trade date. It's the primary external interface for accessing DI data.
+    trade date. It's the primary external interface for accessing DI data. If the data
+    is not available, an empty DataFrame is returned.
     Args:
         trade_date (pd.Timestamp): The trade date to fetch the DI futures data.
-        raw (bool): If True, returns the raw data as a Pandas pd.DataFrame.
+        return_raw (bool): If True, returns the raw data as a Pandas pd.DataFrame.
             Defaults to False.
     Returns:
         pd.DataFrame: A Pandas pd.DataFrame containing processed DI futures data.
-    Examples:
-        >>> from pyield.futures import di
-        >>> di.fetch_di(pd.Timestamp("2021-01-04"))
     Notes:
         - BDaysToExp: number of business days to ExpirationDate.
         - OpenContracts: number of open contracts at the start of the trading day.
     """
-    df_raw = common.fetch_past_data(asset_code="DI1", trade_date=trade_date)
+    df_raw = common.fetch_past_raw_df(asset_code="DI1", trade_date=trade_date)
     if return_raw:
         return df_raw
-    return _process_past_data(df_raw, trade_date)
+    if df_raw.empty:
+        return pd.DataFrame()
+    else:
+        return _process_past_raw_df(df_raw, trade_date)

pyield-0.7.5/pyield/futures/frc.py ADDED Viewed

@@ -0,0 +1,98 @@
+import pandas as pd
+from . import common
+def _process_past_data(df: pd.DataFrame, trade_date: pd.Timestamp) -> pd.DataFrame:
+    """
+    Internal function to process and transform raw DI futures data.
+    Args:
+        df (pd.DataFrame): the raw DI DataFrame.
+        trade_date: a datetime-like object representing the trade date.
+    Returns:
+        pd.DataFrame: Processed and transformed data as a Pandas pd.DataFrame.
+    """
+    # Check if the pd.DataFrame is empty
+    if df.empty:
+        return df
+    rename_dict = {
+        "VENCTO": "ExpirationCode",
+        "NÚM. NEGOC.": "TradeCount",
+        "CONTR. NEGOC.": "TradeVolume",
+        "VOL.": "FinancialVolume",
+        "AJUSTE  DE REF.": "SettlementRate",
+        "PREÇO ABERTU.": "FirstRate",
+        "PREÇO MÍN.": "MinRate",
+        "PREÇO MÉD.": "AvgRate",
+        "PREÇO MÁX.": "MaxRate",
+        "ÚLT. PREÇO": "CloseRate",
+        "VAR. PTOS.": "PointsVariation",
+        # Attention: bid/ask rates are inverted
+        "ÚLT.OF. COMPRA": "CloseAskRate",
+        "ÚLT.OF. VENDA": "CloseBidRate",
+    }
+    df = df.rename(columns=rename_dict)
+    df["TradeDate"] = trade_date
+    # Convert to datetime64[ns] since it is pandas default type for timestamps
+    df["TradeDate"] = df["TradeDate"].astype("datetime64[ns]")
+    # Contract code format was changed in 22/05/2006
+    if trade_date < pd.Timestamp("2006-05-22"):
+        df["ExpirationDate"] = df["ExpirationCode"].apply(
+            common.get_old_expiration_date, args=(trade_date,)
+        )
+    else:
+        df["ExpirationDate"] = df["ExpirationCode"].apply(common.get_expiration_date)
+    # Replace 0 values in rate columns with pd.NA and remove percentage
+    rate_cols = [col for col in df.columns if "Rate" in col]
+    # Round to 5 decimal places (3 in %) since it is the contract's precision
+    df[rate_cols] = df[rate_cols].replace(0, pd.NA).div(100).round(5)
+    df["TickerSymbol"] = "FRC" + df["ExpirationCode"]
+    # Filter and order columns
+    ordered_cols = [
+        "TradeDate",
+        "TickerSymbol",
+        # "ExpirationCode",
+        "ExpirationDate",
+        "TradeCount",
+        "TradeVolume",
+        "FinancialVolume",
+        "SettlementRate",
+        "FirstRate",
+        "MinRate",
+        "AvgRate",
+        "MaxRate",
+        "CloseAskRate",
+        "CloseBidRate",
+        "CloseRate",
+    ]
+    return df[ordered_cols]
+def fetch_past_frc(trade_date: pd.Timestamp, return_raw: bool = False) -> pd.DataFrame:
+    """
+    Fetchs the DI futures data for a given date from B3.
+    This function fetches and processes the DI futures data from B3 for a specific
+    trade date. It's the primary external interface for accessing DI data.
+    Args:
+        trade_date (pd.Timestamp): The trade date to fetch the DI futures data.
+        raw (bool): If True, returns the raw data as a Pandas pd.DataFrame.
+            Defaults to False.
+    Returns:
+        pd.DataFrame: A Pandas pd.DataFrame containing processed DI futures data.
+    """
+    df_raw = common.fetch_past_raw_df(asset_code="FRC", trade_date=trade_date)
+    if return_raw:
+        return df_raw
+    return _process_past_data(df_raw, trade_date)

{pyield-0.7.3 → pyield-0.7.5}/pyield/indicators.py RENAMED Viewed

@@ -41,7 +41,7 @@ def fetch_ipca_mr(reference_date: pd.Timestamp) -> float | None:
     # Extract and return the IPCA monthly growth rate if data is available
     if data:
         ipca_str = data[0]["resultados"][0]["series"][0]["serie"][ipca_date]
-        return float(ipca_str)
+        return round(float(ipca_str) / 100, 4)
     else:
         return None
@@ -52,8 +52,62 @@ def fetch_selic_target(reference_date: pd.Timestamp) -> float | None:
     api_url = f"https://api.bcb.gov.br/dados/serie/bcdata.sgs.432/dados?formato=json&dataInicial={selic_date}&dataFinal={selic_date}"
     response = requests.get(api_url)
     response.raise_for_status()
-    data = response.json()
-    if data:
-        return float(data[0]["valor"])
+    if selic_date in response.text:
+        data = response.json()
+        return round(float(data[0]["valor"]) / 100, 4)
     else:
         return None
+def fetch_di(reference_date: pd.Timestamp) -> float | None:
+    # https://api.bcb.gov.br/dados/serie/bcdata.sgs.11/dados?formato=json&dataInicial=12/04/2024&dataFinal=12/04/2024
+    di_date = reference_date.strftime("%d/%m/%Y")
+    api_url = f"https://api.bcb.gov.br/dados/serie/bcdata.sgs.11/dados?formato=json&dataInicial={di_date}&dataFinal={di_date}"
+    response = requests.get(api_url)
+    response.raise_for_status()
+    if di_date in response.text:
+        data = response.json()
+        return round(float(data[0]["valor"]) / 100, 8)
+    else:
+        return None
+def fetch_vna_selic(reference_date: pd.Timestamp) -> float | None:
+    # url example: https://www3.bcb.gov.br/novoselic/rest/arquivosDiarios/pub/download/3/20240418APC238
+    url_base = "https://www3.bcb.gov.br/novoselic/rest/arquivosDiarios/pub/download/3/"
+    url_file = f"{reference_date.strftime("%Y%m%d")}APC238"
+    url_vna = url_base + url_file
+    response = requests.get(url_vna)
+    response.raise_for_status()
+    file_text = response.text
+    # Finding the part that contains the table
+    start_of_table = file_text.find("EMISSAO")
+    end_of_table = file_text.find("99999999*")
+    # Extracting the table
+    table_text = file_text[start_of_table:end_of_table].strip()
+    table_lines = table_text.splitlines()
+    # Remove empty lines
+    table_lines = [line.strip() for line in table_lines if line.strip()]
+    # Remove first line
+    body_lines = table_lines[1:]
+    vnas = []
+    for line in body_lines:
+        vna_str = line.split()[-1].replace(",", ".")
+        vna_float = float(vna_str)
+        vnas.append(vna_float)
+    # Raise error if all values are not the same
+    vna_value = vnas[0]
+    if any(vna_value != vna for vna in vnas):
+        bcb_url = "https://www.bcb.gov.br/estabilidadefinanceira/selicbaixar"
+        raise ValueError(f"VNA values are not the same. Please check data at {bcb_url}")
+    return vna_value

pyield-0.7.5/pyield/projections.py ADDED Viewed

@@ -0,0 +1,87 @@
+import io
+import locale
+from dataclasses import dataclass
+import pandas as pd
+import python_calamine as pc
+import requests
+@dataclass
+class IndicatorProjection:
+    last_updated: pd.Timestamp  # Date and time of the last update
+    reference_month_ts: pd.Timestamp  # Timestamp to which the projection applies
+    reference_month_br: str  # Brazilian formatted month (e.g., "ABR/2024")
+    projected_value: float  # Projected value
+def fetch_current_month_ipca_projection() -> IndicatorProjection:
+    """
+    Fetches the current month's IPCA projection from the ANBIMA website and returns it
+    as an IndicatorProjection instance.
+    This function retrieves and parses the Excel file that contains economic indicators,
+    specifically looking for the IPCA projection. It extracts the date of the last
+    update and the IPCA projection for the reference month.
+    Args:
+        None
+    Returns:
+        IndicatorProjection: An instance of IndicatorProjection containing:
+            - last_updated (pd.Timestamp): The datetime when the data was last updated.
+            - reference_month_ts (pd.Timestamp): The month to which the IPCA projection
+              applies.
+            - reference_month_br (str): The formatted month as a string
+              (e.g., "ABR/2024") using the pt_BR locale.
+            - projected_value (float): The projected IPCA value.
+    Example:
+        >>> projection = fetch_current_month_ipca_projection()
+        >>> print(projection)
+        IndicatorProjection(
+            last_updated=pd.Timestamp('2024-04-19 18:55:00'),
+            reference_month_ts=pd.Timestamp('2024-04-01 00:00:00'),
+            reference_month_br='ABR/2024',
+            projected_value=0.35
+        )
+    Data file format example after parsing:
+        - ['Data e Hora da Última Atualização: 19/04/2024 - 18:55 h', '', '']
+        - ...
+        - ['IPCA1', 'Projeção (abr/24)', 0.35]
+        - ...
+    """
+    # Define the URL and get the data
+    url = "https://www.anbima.com.br/informacoes/indicadores/arqs/indicadores.xls"
+    response = requests.get(url)
+    excel_data = io.BytesIO(response.content)
+    # Load the workbook and select the first sheet
+    workbook = pc.load_workbook(excel_data)
+    first_sheet = workbook.sheet_names[0]
+    data = workbook.get_sheet_by_name(first_sheet).to_python(skip_empty_area=True)
+    # Extract projection update date and time from the first row
+    last_update_str = data[0][0].split("Atualização:")[-1].strip()
+    last_updated = pd.to_datetime(last_update_str, format="%d/%m/%Y - %H:%M h")
+    # Find the row containing the IPCA projection and extract its data
+    ipca_data = next(line for line in data if "IPCA1" in line)
+    # Convert the last element of the IPCA data row to float for the projection value
+    ipca_value = round(float(ipca_data[-1]) / 100, 4)
+    # Extract and format the reference month
+    month_text = ipca_data[1].split("(")[-1].split(")")[0]
+    locale.setlocale(locale.LC_TIME, "pt_BR.UTF-8")
+    ipca_month_ts = pd.to_datetime(month_text, format="%b/%y")
+    ipca_month_br = ipca_month_ts.strftime("%b/%Y").upper()
+    locale.setlocale(locale.LC_TIME, "")  # Reset locale to default
+    return IndicatorProjection(
+        last_updated=last_updated,
+        reference_month_ts=ipca_month_ts,
+        reference_month_br=ipca_month_br,
+        projected_value=ipca_value,
+    )

{pyield-0.7.3 → pyield-0.7.5}/pyield/treasuries.py RENAMED Viewed

@@ -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_past_di_data(reference_date)[["ExpirationDate", "SettlementRate"]]
+    df_di = ft.fetch_past_di(reference_date)[["ExpirationDate", "SettlementRate"]]
     # Renaming the columns to match the ANBIMA structure
     df_di.rename(columns={"ExpirationDate": "MaturityDate"}, inplace=True)

{pyield-0.7.3 → pyield-0.7.5}/pyield/utils.py RENAMED Viewed

@@ -3,7 +3,7 @@ import pandas as pd
 from . import bday
-def _normalize_date(reference_date: str | pd.Timestamp | None = None) -> pd.Timestamp:
+def _normalize_date(input_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 last business day.
@@ -31,25 +31,25 @@ def _normalize_date(reference_date: str | pd.Timestamp | None = None) -> pd.Time
         >>> _normalize_date(pd.Timestamp('2023-04-01 15:30'))
         >>> _normalize_date()
     """
-    if isinstance(reference_date, str):
+    if isinstance(input_date, str):
         # Convert string date to Timestamp and normalize to midnight
-        normalized_date = pd.Timestamp(reference_date).normalize()
-    elif isinstance(reference_date, pd.Timestamp):
+        normalized_date = pd.Timestamp(input_date).normalize()
+    elif isinstance(input_date, pd.Timestamp):
         # Normalize Timestamp to midnight
-        normalized_date = reference_date.normalize()
-    elif reference_date is None:
+        normalized_date = input_date.normalize()
+    elif input_date is None:
         # If no date is provided, use the last available business day
         today = pd.Timestamp.today().normalize()
         normalized_date = bday.offset_bdays(dates=today, offset=0, roll="backward")
     else:
-        raise ValueError("Invalid date format.")
+        raise ValueError(f"Date format not recognized: {input_date}")
+    error_date = normalized_date.strftime("%d-%m-%Y")
     # Validate that the date is not in the future
     if normalized_date > pd.Timestamp.today().normalize():
-        raise ValueError("Reference date cannot be in the future.")
+        raise ValueError(f"Date {error_date} is in the future")
     # Validate that the date is a business day
     if not bday.is_bday(normalized_date):
-        raise ValueError("Reference date must be a business day.")
+        raise ValueError(f"Date {error_date} is not a business day")
     return normalized_date

{pyield-0.7.3 → pyield-0.7.5}/pyproject.toml RENAMED Viewed

@@ -29,9 +29,10 @@ dependencies = [
     "beautifulsoup4",
     "html5lib",
     "lxml",
+    "python-calamine>=0.2.0",
 ]
 dynamic = []
-version = "0.7.3"
+version = "0.7.5"
 [project.license]
 file = "LICENSE"

{pyield-0.7.3 → pyield-0.7.5}/tests/test_futures.py RENAMED Viewed

@@ -1,5 +1,4 @@
 import pandas as pd
-import pytest
 from pyield import futures as ft
@@ -43,7 +42,7 @@ def test_settlement_rate_with_old_holiday_list():
     # 22-12-2023 is before the new holiday calendar
     test_date = pd.Timestamp("2023-12-22")
-    df = ft.fetch_past_di_data(trade_date=test_date)
+    df = ft.fetch_past_di(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())
@@ -68,7 +67,7 @@ def test_settlement_rates_with_current_holiday_list():
         "DI1F33": 0.10331,
     }
     test_date = pd.Timestamp("2023-12-26")
-    df = ft.fetch_past_di_data(trade_date=test_date)
+    df = ft.fetch_past_di(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())
@@ -76,5 +75,6 @@ def test_settlement_rates_with_current_holiday_list():
 def test_non_business_day():
     non_business_day = pd.Timestamp("2023-12-24")
-    with pytest.raises(ValueError):
-        ft.fetch_past_di_data(trade_date=non_business_day)
+    # Test if it an empty DataFrame is returned
+    df = ft.fetch_past_di(trade_date=non_business_day)
+    assert df.empty

pyield-0.7.3/pyield/__about__.py DELETED Viewed

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

pyield-0.7.3/pyield/data_access.py DELETED Viewed

@@ -1,95 +0,0 @@
-import pandas as pd
-from . import futures as ft
-from . import indicators as it
-from . import treasuries as tr
-from .utils import _normalize_date
-def fetch_asset(
-    asset_code: str,
-    reference_date: str | pd.Timestamp | None = None,
-    **kwargs,
-) -> pd.DataFrame:
-    """
-    Fetches data for a specified asset based on type and reference date.
-    Args:
-        asset_code (str): The asset code identifying the type of financial asset.
-        Supported options:
-            - "TRB": Treasury bonds (indicative rates from ANBIMA).
-            - "LTN", "LFT", "NTN-F", "NTN-B": Specific types of Brazilian treasury bonds
-                  (indicative rates from ANBIMA).
-            - "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 last business day if None.
-        **kwargs: Additional keyword arguments, specifically:
-            - return_raw (bool): Whether to return raw data without processing. Defaults
-              to False.
-    Returns:
-        pd.DataFrame: A DataFrame containing the fetched data for the specified asset.
-    Raises:
-        ValueError: If the asset code is not recognized or supported.
-    Examples:
-        >>> fetch_asset('TRB', '2023-04-01')
-        >>> fetch_asset('DI1', '2023-04-01', return_raw=True)
-    """
-    return_raw = kwargs.get("return_raw", False)
-    normalized_date = _normalize_date(reference_date)
-    if asset_code.lower() == "trb":
-        return tr.fetch_bonds(reference_date=normalized_date, return_raw=return_raw)
-    elif asset_code.lower() in ["ltn", "lft", "ntn-f", "ntn-b"]:
-        df = tr.fetch_bonds(reference_date=normalized_date)
-        return df.query(f"BondType == '{asset_code.upper()}'")
-    elif asset_code.lower() == "di1":
-        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:
-        raise ValueError("Asset type not supported.")
-def fetch_indicator(
-    indicator_code: str,
-    reference_date: str | pd.Timestamp | None = None,
-) -> float | None:
-    """
-    Fetches data for a specified economic indicator and reference date.
-    Args:
-        indicator_code (str): The code for the economic indicator. Supported options:
-            - "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 last business day if None.
-    Returns:
-        pd.Series: A Series containing the fetched data for the specified indicator.
-    Raises:
-        ValueError: If the indicator code is not recognized or supported.
-    Examples:
-        >>> fetch_indicator('SELIC', '2023-04-01')
-        >>> fetch_indicator('IPCA', '2023-04-01')
-    """
-    normalized_date = _normalize_date(reference_date)
-    if indicator_code.lower() == "selic":
-        return it.fetch_selic_target(reference_date=normalized_date)
-    elif indicator_code.lower() == "ipca":
-        return it.fetch_ipca_mr(reference_date=normalized_date)
-    else:
-        raise ValueError("Indicator type not supported.")

pyield-0.7.3/pyield/futures/__init__.py DELETED Viewed

@@ -1,11 +0,0 @@
-from .common import get_expiration_date, get_old_expiration_date
-from .ddi import fetch_ddi
-from .di import fetch_last_di_data, fetch_past_di_data
-__all__ = [
-    "fetch_past_di_data",
-    "fetch_last_di_data",
-    "fetch_ddi",
-    "get_expiration_date",
-    "get_old_expiration_date",
-]