PYield 0.7.4__tar.gz → 0.7.6__tar.gz

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Files changed (28) hide show
  1. {pyield-0.7.4 → pyield-0.7.6}/PKG-INFO +52 -26
  2. {pyield-0.7.4 → pyield-0.7.6}/README.md +51 -25
  3. pyield-0.7.6/pyield/__about__.py +1 -0
  4. {pyield-0.7.4 → pyield-0.7.6}/pyield/futures/common.py +3 -2
  5. {pyield-0.7.4 → pyield-0.7.6}/pyield/futures/ddi.py +16 -49
  6. {pyield-0.7.4 → pyield-0.7.6}/pyield/futures/di.py +32 -51
  7. {pyield-0.7.4 → pyield-0.7.6}/pyield/futures/frc.py +9 -5
  8. {pyield-0.7.4 → pyield-0.7.6}/pyproject.toml +1 -1
  9. {pyield-0.7.4 → pyield-0.7.6}/tests/test_futures.py +3 -3
  10. pyield-0.7.4/pyield/__about__.py +0 -1
  11. {pyield-0.7.4 → pyield-0.7.6}/LICENSE +0 -0
  12. {pyield-0.7.4 → pyield-0.7.6}/pyield/__init__.py +0 -0
  13. {pyield-0.7.4 → pyield-0.7.6}/pyield/bday.py +0 -0
  14. {pyield-0.7.4 → pyield-0.7.6}/pyield/data_access.py +0 -0
  15. {pyield-0.7.4 → pyield-0.7.6}/pyield/data_analysis.py +0 -0
  16. {pyield-0.7.4 → pyield-0.7.6}/pyield/futures/__init__.py +0 -0
  17. {pyield-0.7.4 → pyield-0.7.6}/pyield/futures/di_xml.py +0 -0
  18. {pyield-0.7.4 → pyield-0.7.6}/pyield/holidays/__init__.py +0 -0
  19. {pyield-0.7.4 → pyield-0.7.6}/pyield/holidays/br_holidays_new.txt +0 -0
  20. {pyield-0.7.4 → pyield-0.7.6}/pyield/holidays/br_holidays_old.txt +0 -0
  21. {pyield-0.7.4 → pyield-0.7.6}/pyield/holidays/core.py +0 -0
  22. {pyield-0.7.4 → pyield-0.7.6}/pyield/indicators.py +0 -0
  23. {pyield-0.7.4 → pyield-0.7.6}/pyield/projections.py +0 -0
  24. {pyield-0.7.4 → pyield-0.7.6}/pyield/py.typed +0 -0
  25. {pyield-0.7.4 → pyield-0.7.6}/pyield/treasuries.py +0 -0
  26. {pyield-0.7.4 → pyield-0.7.6}/pyield/utils.py +0 -0
  27. {pyield-0.7.4 → pyield-0.7.6}/tests/__init__.py +0 -0
  28. {pyield-0.7.4 → pyield-0.7.6}/tests/test_bday.py +0 -0
{pyield-0.7.4 → pyield-0.7.6}/PKG-INFO RENAMED
@@ -1,6 +1,6 @@
1
1
  Metadata-Version: 2.1
2
2
  Name: PYield
3
- Version: 0.7.4
3
+ Version: 0.7.6
4
4
  Summary: A Python library for analysis of fixed income instruments in Brazil
5
5
  Keywords: fixed-income, brazil, finance, analysis, bonds
6
6
  Author-Email: Carlos Carvalho <cr.cj@outlook.com>
@@ -45,7 +45,7 @@ Description-Content-Type: text/markdown
45
45
  [![Made with Python](https://img.shields.io/badge/Python->=3.11-blue?logo=python&logoColor=white)](https://python.org "Go to Python homepage")
46
46
  [![License](https://img.shields.io/badge/License-MIT-blue)](#license)
47
47
 
48
- # PYield: Fixed Income Toolbox for Brazilian Markets
48
+ # PYield: Brazilian Fixed Income Toolkit
49
49
 
50
50
  ## Introduction
51
51
 
@@ -99,17 +99,27 @@ dtype: datetime64[ns]
99
99
 
100
100
  ### Futures Data
101
101
  ```python
102
- # Fetch a DataFrame with the DI Futures data from B3
102
+ # Fetch current DI Futures data from B3 (15 minutes delay)
103
+ >>> yd.fetch_asset(asset_code="DI1")
104
+ TradeTimestamp TickerSymbol ExpirationDate BDaysToExp ... MaxRate LastAskRate LastBidRate LastRate
105
+ 2024-04-21 13:37:39 DI1K24 2024-05-02 7 ... 0.10660 0.10652 0.10660 0.10660
106
+ 2024-04-21 13:37:39 DI1M24 2024-06-03 28 ... 0.10518 0.10510 0.10516 0.10518
107
+ 2024-04-21 13:37:39 DI1N24 2024-07-01 48 ... 0.10480 0.10456 0.10462 0.10460
108
+ ... ... ... ... ... ... ... ... ...
109
+ 2024-04-21 13:37:39 DI1F37 2037-01-02 3183 ... <NA> <NA> 0.11600 <NA>
110
+ 2024-04-21 13:37:39 DI1F38 2038-01-04 3432 ... <NA> <NA> 0.11600 <NA>
111
+ 2024-04-21 13:37:39 DI1F39 2039-01-03 3683 ... <NA> <NA> <NA> <NA>
112
+
113
+ # Fetch historical DI Futures data from B3
103
114
  >>> yd.fetch_asset(asset_code="DI1", reference_date='2024-03-08')
104
-
105
115
  TradeDate TickerSymbol ExpirationDate BDaysToExp ... LastRate LastAskRate LastBidRate SettlementRate
106
- 2024-03-08 DI1J24 2024-04-01 15 ... 10.952 10.952 10.956 10.956
107
- 2024-03-08 DI1K24 2024-05-02 37 ... 10.776 10.774 10.780 10.777
108
- 2024-03-08 DI1M24 2024-06-03 58 ... 10.604 10.602 10.604 10.608
109
- ... ... ... ... ... ... ... ... ...
110
- 2024-03-08 DI1F37 2037-01-02 3213 ... <NA> <NA> <NA> 10.859
111
- 2024-03-08 DI1F38 2038-01-04 3462 ... <NA> <NA> <NA> 10.859
112
- 2024-03-08 DI1F39 2039-01-03 3713 ... <NA> <NA> <NA> 10.85
116
+ 2024-03-08 DI1J24 2024-04-01 15 ... 10.952 10.952 10.956 10.956
117
+ 2024-03-08 DI1K24 2024-05-02 37 ... 10.776 10.774 10.780 10.777
118
+ 2024-03-08 DI1M24 2024-06-03 58 ... 10.604 10.602 10.604 10.608
119
+ ... ... ... ... ... ... ... ... ...
120
+ 2024-03-08 DI1F37 2037-01-02 3213 ... <NA> <NA> <NA> 10.859
121
+ 2024-03-08 DI1F38 2038-01-04 3462 ... <NA> <NA> <NA> 10.859
122
+ 2024-03-08 DI1F39 2039-01-03 3713 ... <NA> <NA> <NA> 10.85
113
123
  ```
114
124
 
115
125
  ### Treasury Bonds Data
@@ -119,14 +129,14 @@ TradeDate TickerSymbol ExpirationDate BDaysToExp ... LastRate LastAskRate LastB
119
129
  # Obs: Anbima members have access to the full history
120
130
  >>> yd.fetch_asset(asset_code="NTN-B", reference_date='2024-04-12')
121
131
 
122
- BondType ReferenceDate MaturityDate BidRate AskRate IndicativeRate Price
123
- NTN-B 2024-04-12 2024-08-15 0.07540 0.07504 0.07523 4,271.43565
124
- NTN-B 2024-04-12 2025-05-15 0.05945 0.05913 0.05930 4,361.34391
125
- NTN-B 2024-04-12 2026-08-15 0.05927 0.05897 0.05910 4,301.40082
126
- ... ... ... ... ... ... ...
127
- NTN-B 2024-04-12 2050-08-15 0.06039 0.06006 0.06023 4,299.28233
128
- NTN-B 2024-04-12 2055-05-15 0.06035 0.05998 0.06017 4,367.13360
129
- NTN-B 2024-04-12 2060-08-15 0.06057 0.06016 0.06036 4,292.26323
132
+ BondType ReferenceDate MaturityDate BidRate AskRate IndicativeRate Price
133
+ NTN-B 2024-04-12 2024-08-15 0.07540 0.07504 0.07523 4,271.43565
134
+ NTN-B 2024-04-12 2025-05-15 0.05945 0.05913 0.05930 4,361.34391
135
+ NTN-B 2024-04-12 2026-08-15 0.05927 0.05897 0.05910 4,301.40082
136
+ ... ... ... ... ... ... ...
137
+ NTN-B 2024-04-12 2050-08-15 0.06039 0.06006 0.06023 4,299.28233
138
+ NTN-B 2024-04-12 2055-05-15 0.06035 0.05998 0.06017 4,367.13360
139
+ NTN-B 2024-04-12 2060-08-15 0.06057 0.06016 0.06036 4,292.26323
130
140
  ```
131
141
 
132
142
  ### Spreads Calculation
@@ -135,13 +145,13 @@ NTN-B 2024-04-12 2060-08-15 0.06057 0.06016 0.06036 4,292.26323
135
145
  >>> yd.calculate_spreads(spread_type="di_vs_pre", reference_date="2024-4-11")
136
146
 
137
147
  BondType ReferenceDate MaturityDate DISpread
138
- LTN 2024-04-11 2024-07-01 -20.28000
139
- LTN 2024-04-11 2024-10-01 -10.19000
140
- LTN 2024-04-11 2025-01-01 -15.05000
141
- ... ... ... ...
142
- NTN-F 2024-04-11 2031-01-01 -0.66000
143
- NTN-F 2024-04-11 2033-01-01 -5.69000
144
- NTN-F 2024-04-11 2035-01-01 -1.27000
148
+ LTN 2024-04-11 2024-07-01 -20.28
149
+ LTN 2024-04-11 2024-10-01 -10.19
150
+ LTN 2024-04-11 2025-01-01 -15.05
151
+ ... ... ... ...
152
+ NTN-F 2024-04-11 2031-01-01 -0.66
153
+ NTN-F 2024-04-11 2033-01-01 -5.69
154
+ NTN-F 2024-04-11 2035-01-01 -1.27
145
155
  ```
146
156
 
147
157
  ### Indicators Data
@@ -158,3 +168,19 @@ NTN-F 2024-04-11 2035-01-01 -1.27000
158
168
  >>> yd.fetch_indicator(indicator_code="IPCA", reference_date='2024-04-10')
159
169
  None
160
170
  ```
171
+
172
+ ### Projections Data
173
+ ```python
174
+ # Fetch current month projection for IPCA from IBGE API
175
+ >>> ipca = yd.fetch_projection(projection_code="IPCA_CM")
176
+ >>> print(ipca)
177
+ IndicatorProjection(
178
+ last_updated=Timestamp('2024-04-19 18:55:00'),
179
+ reference_month_ts=Timestamp('2024-04-01 00:00:00'),
180
+ reference_month_br='ABR/2024',
181
+ projected_value=0.0035
182
+ )
183
+ >>> ipca.projected_value
184
+ 0.0035
185
+ ```
186
+
{pyield-0.7.4 → pyield-0.7.6}/README.md RENAMED
@@ -2,7 +2,7 @@
2
2
  [![Made with Python](https://img.shields.io/badge/Python->=3.11-blue?logo=python&logoColor=white)](https://python.org "Go to Python homepage")
3
3
  [![License](https://img.shields.io/badge/License-MIT-blue)](#license)
4
4
 
5
- # PYield: Fixed Income Toolbox for Brazilian Markets
5
+ # PYield: Brazilian Fixed Income Toolkit
6
6
 
7
7
  ## Introduction
8
8
 
@@ -56,17 +56,27 @@ dtype: datetime64[ns]
56
56
 
57
57
  ### Futures Data
58
58
  ```python
59
- # Fetch a DataFrame with the DI Futures data from B3
59
+ # Fetch current DI Futures data from B3 (15 minutes delay)
60
+ >>> yd.fetch_asset(asset_code="DI1")
61
+ TradeTimestamp TickerSymbol ExpirationDate BDaysToExp ... MaxRate LastAskRate LastBidRate LastRate
62
+ 2024-04-21 13:37:39 DI1K24 2024-05-02 7 ... 0.10660 0.10652 0.10660 0.10660
63
+ 2024-04-21 13:37:39 DI1M24 2024-06-03 28 ... 0.10518 0.10510 0.10516 0.10518
64
+ 2024-04-21 13:37:39 DI1N24 2024-07-01 48 ... 0.10480 0.10456 0.10462 0.10460
65
+ ... ... ... ... ... ... ... ... ...
66
+ 2024-04-21 13:37:39 DI1F37 2037-01-02 3183 ... <NA> <NA> 0.11600 <NA>
67
+ 2024-04-21 13:37:39 DI1F38 2038-01-04 3432 ... <NA> <NA> 0.11600 <NA>
68
+ 2024-04-21 13:37:39 DI1F39 2039-01-03 3683 ... <NA> <NA> <NA> <NA>
69
+
70
+ # Fetch historical DI Futures data from B3
60
71
  >>> yd.fetch_asset(asset_code="DI1", reference_date='2024-03-08')
61
-
62
72
  TradeDate TickerSymbol ExpirationDate BDaysToExp ... LastRate LastAskRate LastBidRate SettlementRate
63
- 2024-03-08 DI1J24 2024-04-01 15 ... 10.952 10.952 10.956 10.956
64
- 2024-03-08 DI1K24 2024-05-02 37 ... 10.776 10.774 10.780 10.777
65
- 2024-03-08 DI1M24 2024-06-03 58 ... 10.604 10.602 10.604 10.608
66
- ... ... ... ... ... ... ... ... ...
67
- 2024-03-08 DI1F37 2037-01-02 3213 ... <NA> <NA> <NA> 10.859
68
- 2024-03-08 DI1F38 2038-01-04 3462 ... <NA> <NA> <NA> 10.859
69
- 2024-03-08 DI1F39 2039-01-03 3713 ... <NA> <NA> <NA> 10.85
73
+ 2024-03-08 DI1J24 2024-04-01 15 ... 10.952 10.952 10.956 10.956
74
+ 2024-03-08 DI1K24 2024-05-02 37 ... 10.776 10.774 10.780 10.777
75
+ 2024-03-08 DI1M24 2024-06-03 58 ... 10.604 10.602 10.604 10.608
76
+ ... ... ... ... ... ... ... ... ...
77
+ 2024-03-08 DI1F37 2037-01-02 3213 ... <NA> <NA> <NA> 10.859
78
+ 2024-03-08 DI1F38 2038-01-04 3462 ... <NA> <NA> <NA> 10.859
79
+ 2024-03-08 DI1F39 2039-01-03 3713 ... <NA> <NA> <NA> 10.85
70
80
  ```
71
81
 
72
82
  ### Treasury Bonds Data
@@ -76,14 +86,14 @@ TradeDate TickerSymbol ExpirationDate BDaysToExp ... LastRate LastAskRate LastB
76
86
  # Obs: Anbima members have access to the full history
77
87
  >>> yd.fetch_asset(asset_code="NTN-B", reference_date='2024-04-12')
78
88
 
79
- BondType ReferenceDate MaturityDate BidRate AskRate IndicativeRate Price
80
- NTN-B 2024-04-12 2024-08-15 0.07540 0.07504 0.07523 4,271.43565
81
- NTN-B 2024-04-12 2025-05-15 0.05945 0.05913 0.05930 4,361.34391
82
- NTN-B 2024-04-12 2026-08-15 0.05927 0.05897 0.05910 4,301.40082
83
- ... ... ... ... ... ... ...
84
- NTN-B 2024-04-12 2050-08-15 0.06039 0.06006 0.06023 4,299.28233
85
- NTN-B 2024-04-12 2055-05-15 0.06035 0.05998 0.06017 4,367.13360
86
- NTN-B 2024-04-12 2060-08-15 0.06057 0.06016 0.06036 4,292.26323
89
+ BondType ReferenceDate MaturityDate BidRate AskRate IndicativeRate Price
90
+ NTN-B 2024-04-12 2024-08-15 0.07540 0.07504 0.07523 4,271.43565
91
+ NTN-B 2024-04-12 2025-05-15 0.05945 0.05913 0.05930 4,361.34391
92
+ NTN-B 2024-04-12 2026-08-15 0.05927 0.05897 0.05910 4,301.40082
93
+ ... ... ... ... ... ... ...
94
+ NTN-B 2024-04-12 2050-08-15 0.06039 0.06006 0.06023 4,299.28233
95
+ NTN-B 2024-04-12 2055-05-15 0.06035 0.05998 0.06017 4,367.13360
96
+ NTN-B 2024-04-12 2060-08-15 0.06057 0.06016 0.06036 4,292.26323
87
97
  ```
88
98
 
89
99
  ### Spreads Calculation
@@ -92,13 +102,13 @@ NTN-B 2024-04-12 2060-08-15 0.06057 0.06016 0.06036 4,292.26323
92
102
  >>> yd.calculate_spreads(spread_type="di_vs_pre", reference_date="2024-4-11")
93
103
 
94
104
  BondType ReferenceDate MaturityDate DISpread
95
- LTN 2024-04-11 2024-07-01 -20.28000
96
- LTN 2024-04-11 2024-10-01 -10.19000
97
- LTN 2024-04-11 2025-01-01 -15.05000
98
- ... ... ... ...
99
- NTN-F 2024-04-11 2031-01-01 -0.66000
100
- NTN-F 2024-04-11 2033-01-01 -5.69000
101
- NTN-F 2024-04-11 2035-01-01 -1.27000
105
+ LTN 2024-04-11 2024-07-01 -20.28
106
+ LTN 2024-04-11 2024-10-01 -10.19
107
+ LTN 2024-04-11 2025-01-01 -15.05
108
+ ... ... ... ...
109
+ NTN-F 2024-04-11 2031-01-01 -0.66
110
+ NTN-F 2024-04-11 2033-01-01 -5.69
111
+ NTN-F 2024-04-11 2035-01-01 -1.27
102
112
  ```
103
113
 
104
114
  ### Indicators Data
@@ -115,3 +125,19 @@ NTN-F 2024-04-11 2035-01-01 -1.27000
115
125
  >>> yd.fetch_indicator(indicator_code="IPCA", reference_date='2024-04-10')
116
126
  None
117
127
  ```
128
+
129
+ ### Projections Data
130
+ ```python
131
+ # Fetch current month projection for IPCA from IBGE API
132
+ >>> ipca = yd.fetch_projection(projection_code="IPCA_CM")
133
+ >>> print(ipca)
134
+ IndicatorProjection(
135
+ last_updated=Timestamp('2024-04-19 18:55:00'),
136
+ reference_month_ts=Timestamp('2024-04-01 00:00:00'),
137
+ reference_month_br='ABR/2024',
138
+ projected_value=0.0035
139
+ )
140
+ >>> ipca.projected_value
141
+ 0.0035
142
+ ```
143
+
pyield-0.7.6/pyield/__about__.py ADDED
@@ -0,0 +1 @@
1
+ __version__ = "0.7.6"
{pyield-0.7.4 → pyield-0.7.6}/pyield/futures/common.py RENAMED
@@ -133,7 +133,8 @@ def get_old_expiration_date(
133
133
 
134
134
  def fetch_past_raw_df(asset_code: str, trade_date: pd.Timestamp) -> pd.DataFrame:
135
135
  """
136
- Fetch the historical futures data from B3 for a specific trade date.
136
+ Fetch the historical futures data from B3 for a specific trade date. If the data is
137
+ not available, an empty DataFrame is returned.
137
138
 
138
139
  Args:
139
140
  trade_date (pd.Timestamp): The trade date for which the data should be fetched.
@@ -148,7 +149,7 @@ def fetch_past_raw_df(asset_code: str, trade_date: pd.Timestamp) -> pd.DataFrame
148
149
 
149
150
  text = r.text
150
151
  if "AJUSTE" not in text:
151
- raise ValueError(f"Could not fetch data for {url_date}.")
152
+ return pd.DataFrame()
152
153
 
153
154
  df = pd.read_html(
154
155
  io.StringIO(text),
{pyield-0.7.4 → pyield-0.7.6}/pyield/futures/ddi.py RENAMED
@@ -15,29 +15,8 @@ def _convert_prices_to_rates(prices: pd.Series, n_days: pd.Series) -> pd.Series:
15
15
  pd.Series: A pd.Series containing DDI futures rates.
16
16
  """
17
17
  rates = (100_000 / prices - 1) * (360 / n_days)
18
-
19
- # Return rates as percentage
20
- return 100 * rates
21
-
22
-
23
- def _convert_prices_in_older_contracts(df: pd.DataFrame) -> pd.DataFrame:
24
- # Prior to 01/01/2002, prices were not converted to rates
25
- convert_cols = [
26
- "FirstRate",
27
- "MinRate",
28
- "MaxRate",
29
- "AvgRate",
30
- "LastRate",
31
- "LastBidRate",
32
- "LastAskRate",
33
- ]
34
- for col in convert_cols:
35
- df[col] = _convert_prices_to_rates(df[col], df["DaysToExpiration"])
36
-
37
- # Invert low and high prices
38
- df["MinRate"], df["MaxRate"] = df["MaxRate"], df["MinRate"]
39
-
40
- return df
18
+ # Round to 5 (3 in %) dec. places (contract's current max. precision)
19
+ return rates.round(5)
41
20
 
42
21
 
43
22
  def _process_raw_df(df: pd.DataFrame, trade_date: pd.Timestamp) -> pd.DataFrame:
@@ -90,46 +69,34 @@ def _process_raw_df(df: pd.DataFrame, trade_date: pd.Timestamp) -> pd.DataFrame:
90
69
  else:
91
70
  df["ExpirationDate"] = df["ExpirationCode"].apply(common.get_expiration_date)
92
71
 
93
- df["DaysToExpiration"] = (df["ExpirationDate"] - trade_date).dt.days
72
+ df["DaysToExp"] = (df["ExpirationDate"] - trade_date).dt.days
94
73
  # Convert to nullable integer, since other columns use this data type
95
- df["DaysToExpiration"] = df["DaysToExpiration"].astype(pd.Int64Dtype())
74
+ df["DaysToExp"] = df["DaysToExp"].astype(pd.Int64Dtype())
75
+
96
76
  # Remove expired contracts
97
- df.query("DaysToExpiration > 0", inplace=True)
77
+ df.query("DaysToExp > 0", inplace=True)
98
78
 
99
79
  # Columns where 0 means NaN
100
- cols_with_nan = [
101
- "SettlementPrice",
102
- "FirstRate",
103
- "MinRate",
104
- "MaxRate",
105
- "AvgRate",
106
- "LastRate",
107
- "LastBidRate",
108
- "LastAskRate",
109
- ]
110
- for col in cols_with_nan:
111
- df[col] = df[col].replace(0, pd.NA)
80
+ rate_cols = [col for col in df.columns if "Rate" in col]
81
+ cols_with_nan = rate_cols + ["SettlementPrice"]
82
+ # Replace 0 with NaN in these columns
83
+ df[cols_with_nan] = df[cols_with_nan].replace(0, pd.NA)
112
84
 
113
- # Prior to 17/01/2002 (incluive), prices were not converted to rates
114
- if trade_date <= pd.Timestamp("2002-01-17"):
115
- df = _convert_prices_in_older_contracts(df)
85
+ df[rate_cols] = df[rate_cols].div(100).round(5)
116
86
 
87
+ # Calculate SettlementRate
117
88
  df["SettlementRate"] = _convert_prices_to_rates(
118
- df["SettlementPrice"], df["DaysToExpiration"]
89
+ df["SettlementPrice"], df["DaysToExp"]
119
90
  )
120
91
 
121
- # Remove percentage in all rate columns and round to 5 decimal places since it's the
122
- # precision used by B3. Obs: 5 decimal places = 3 decimal places in percentage
123
- rate_cols = [col for col in df.columns if "Rate" in col]
124
- for col in rate_cols:
125
- df[col] = (df[col] / 100).round(5)
92
+ df["TickerSymbol"] = "DI1" + df["ExpirationCode"]
126
93
 
127
94
  # Filter and order columns
128
95
  ordered_cols = [
129
96
  "TradeDate",
130
97
  "ExpirationCode",
131
98
  "ExpirationDate",
132
- "DaysToExpiration",
99
+ "DaysToExp",
133
100
  "OpenContracts",
134
101
  # "OpenContractsEndSession" since there is no OpenContracts at the end of the
135
102
  # day in XML data, it will be removed to avoid confusion with XML data
@@ -169,7 +136,7 @@ def fetch_past_ddi(trade_date: pd.Timestamp, return_raw: bool = False) -> pd.Dat
169
136
  >>> di.fetch_ddi(pd.Timestamp("2021-01-04"))
170
137
 
171
138
  Notes:
172
- - DaysToExpiration: number of business days to ExpirationDate.
139
+ - DaysToExp: number of business days to ExpirationDate.
173
140
  - OpenContracts: number of open contracts at the start of the trading day.
174
141
  """
175
142
  df_raw = common.fetch_past_raw_df(asset_code="DDI", trade_date=trade_date)
{pyield-0.7.4 → pyield-0.7.6}/pyield/futures/di.py RENAMED
@@ -1,7 +1,7 @@
1
1
  import pandas as pd
2
2
 
3
- from .. import bday
4
- from . import common
3
+ from .. import bday as bd
4
+ from . import common as cm
5
5
 
6
6
 
7
7
  def _convert_prices_to_rates(prices: pd.Series, bd: pd.Series) -> pd.Series:
@@ -17,22 +17,12 @@ def _convert_prices_to_rates(prices: pd.Series, bd: pd.Series) -> pd.Series:
17
17
  """
18
18
  rates = (100_000 / prices) ** (252 / bd) - 1
19
19
 
20
- # Return rates as percentage
21
- return 100 * rates
20
+ # Round to 5 (3 in %) dec. places (contract's current max. precision)
21
+ return rates.round(5)
22
22
 
23
23
 
24
- def _convert_prices_in_older_contracts(df: pd.DataFrame) -> pd.DataFrame:
25
- # Prior to 01/01/2002, prices were not converted to rates
26
- convert_cols = [
27
- "FirstRate",
28
- "MinRate",
29
- "MaxRate",
30
- "AvgRate",
31
- "CloseRate",
32
- "CloseBidRate",
33
- "CloseAskRate",
34
- ]
35
- for col in convert_cols:
24
+ def _adjust_older_contracts_rates(df: pd.DataFrame, rate_cols: list) -> pd.DataFrame:
25
+ for col in rate_cols:
36
26
  df[col] = _convert_prices_to_rates(df[col], df["BDaysToExp"])
37
27
 
38
28
  # Invert low and high prices
@@ -52,10 +42,6 @@ def _process_past_raw_df(df: pd.DataFrame, trade_date: pd.Timestamp) -> pd.DataF
52
42
  Returns:
53
43
  pd.DataFrame: Processed and transformed data as a Pandas pd.DataFrame.
54
44
  """
55
- # Check if the pd.DataFrame is empty
56
- if df.empty:
57
- return df
58
-
59
45
  rename_dict = {
60
46
  "VENCTO": "ExpirationCode",
61
47
  "CONTR. ABERT.(1)": "OpenContracts", # At the start of the day
@@ -86,43 +72,34 @@ def _process_past_raw_df(df: pd.DataFrame, trade_date: pd.Timestamp) -> pd.DataF
86
72
  # Contract code format was changed in 22/05/2006
87
73
  if trade_date < pd.Timestamp("2006-05-22"):
88
74
  df["ExpirationDate"] = df["ExpirationCode"].apply(
89
- common.get_old_expiration_date, args=(trade_date,)
75
+ cm.get_old_expiration_date, args=(trade_date,)
90
76
  )
91
77
  else:
92
- df["ExpirationDate"] = df["ExpirationCode"].apply(common.get_expiration_date)
78
+ df["ExpirationDate"] = df["ExpirationCode"].apply(cm.get_expiration_date)
79
+
80
+ df["BDaysToExp"] = bd.count_bdays(trade_date, df["ExpirationDate"])
93
81
 
94
- df["BDaysToExp"] = bday.count_bdays(trade_date, df["ExpirationDate"])
95
82
  # Remove expired contracts
96
83
  df.query("BDaysToExp > 0", inplace=True)
97
84
 
98
85
  # Columns where 0 means NaN
99
- cols_with_nan = [
100
- "SettlementPrice",
101
- "FirstRate",
102
- "MinRate",
103
- "MaxRate",
104
- "AvgRate",
105
- "CloseRate",
106
- "CloseBidRate",
107
- "CloseAskRate",
108
- ]
109
- for col in cols_with_nan:
110
- df[col] = df[col].replace(0, pd.NA)
111
-
112
- # Prior to 17/01/2002 (incluive), prices were not converted to rates
113
- if trade_date <= pd.Timestamp("2002-01-17"):
114
- df = _convert_prices_in_older_contracts(df)
86
+ rate_cols = [col for col in df.columns if "Rate" in col]
87
+ cols_with_nan = rate_cols + ["SettlementPrice"]
88
+ # Replace 0 with NaN in these columns
89
+ df[cols_with_nan] = df[cols_with_nan].replace(0, pd.NA)
90
+
91
+ # Prior to 17/01/2002 (inclusive), prices were not converted to rates
92
+ if trade_date > pd.Timestamp("2002-01-17"):
93
+ # Remove % and round to 5 (3 in %) dec. places in rate columns
94
+ df[rate_cols] = df[rate_cols].div(100).round(5)
95
+ else:
96
+ df = _adjust_older_contracts_rates(df, rate_cols)
115
97
 
98
+ # Calculate SettlementRate
116
99
  df["SettlementRate"] = _convert_prices_to_rates(
117
100
  df["SettlementPrice"], df["BDaysToExp"]
118
101
  )
119
102
 
120
- # Remove percentage in all rate columns and round to 5 decimal places since it's the
121
- # precision used by B3. Obs: 5 decimal places = 3 decimal places in percentage
122
- rate_cols = [col for col in df.columns if "Rate" in col]
123
- for col in rate_cols:
124
- df[col] = (df[col] / 100).round(5)
125
-
126
103
  df["TickerSymbol"] = "DI1" + df["ExpirationCode"]
127
104
 
128
105
  # Filter and order columns
@@ -178,7 +155,7 @@ def _process_last_raw_di_df(raw_df: pd.DataFrame) -> pd.DataFrame:
178
155
  # Rename columns
179
156
  df = df.rename(columns=rename_columns)
180
157
 
181
- df["BDaysToExp"] = bday.count_bdays(df["TradeTimestamp"], df["ExpirationDate"])
158
+ df["BDaysToExp"] = bd.count_bdays(df["TradeTimestamp"], df["ExpirationDate"])
182
159
 
183
160
  # Remove percentage in all rate columns
184
161
  rate_cols = [col for col in df.columns if "Rate" in col]
@@ -195,7 +172,7 @@ def fetch_last_di() -> pd.DataFrame:
195
172
  Returns:
196
173
  pd.DataFrame: A Pandas pd.DataFrame containing the latest DI futures data.
197
174
  """
198
- raw_df = common.fetch_last_raw_df(future_code="DI1")
175
+ raw_df = cm.fetch_last_raw_df(future_code="DI1")
199
176
  return _process_last_raw_di_df(raw_df)
200
177
 
201
178
 
@@ -204,11 +181,12 @@ def fetch_past_di(trade_date: pd.Timestamp, return_raw: bool = False) -> pd.Data
204
181
  Fetchs the DI futures data for a given date from B3.
205
182
 
206
183
  This function fetches and processes the DI futures data from B3 for a specific
207
- trade date. It's the primary external interface for accessing DI data.
184
+ trade date. It's the primary external interface for accessing DI data. If the data
185
+ is not available, an empty DataFrame is returned.
208
186
 
209
187
  Args:
210
188
  trade_date (pd.Timestamp): The trade date to fetch the DI futures data.
211
- raw (bool): If True, returns the raw data as a Pandas pd.DataFrame.
189
+ return_raw (bool): If True, returns the raw data as a Pandas pd.DataFrame.
212
190
  Defaults to False.
213
191
 
214
192
  Returns:
@@ -218,7 +196,10 @@ def fetch_past_di(trade_date: pd.Timestamp, return_raw: bool = False) -> pd.Data
218
196
  - BDaysToExp: number of business days to ExpirationDate.
219
197
  - OpenContracts: number of open contracts at the start of the trading day.
220
198
  """
221
- df_raw = common.fetch_past_raw_df(asset_code="DI1", trade_date=trade_date)
199
+ df_raw = cm.fetch_past_raw_df(asset_code="DI1", trade_date=trade_date)
222
200
  if return_raw:
223
201
  return df_raw
224
- return _process_past_raw_df(df_raw, trade_date)
202
+ if df_raw.empty:
203
+ return pd.DataFrame()
204
+ else:
205
+ return _process_past_raw_df(df_raw, trade_date)
{pyield-0.7.4 → pyield-0.7.6}/pyield/futures/frc.py RENAMED
@@ -41,14 +41,18 @@ def _process_past_data(df: pd.DataFrame, trade_date: pd.Timestamp) -> pd.DataFra
41
41
  # Convert to datetime64[ns] since it is pandas default type for timestamps
42
42
  df["TradeDate"] = df["TradeDate"].astype("datetime64[ns]")
43
43
 
44
- df["ExpirationDate"] = df["ExpirationCode"].apply(common.get_expiration_date)
44
+ # Contract code format was changed in 22/05/2006
45
+ if trade_date < pd.Timestamp("2006-05-22"):
46
+ df["ExpirationDate"] = df["ExpirationCode"].apply(
47
+ common.get_old_expiration_date, args=(trade_date,)
48
+ )
49
+ else:
50
+ df["ExpirationDate"] = df["ExpirationCode"].apply(common.get_expiration_date)
45
51
 
46
52
  # Replace 0 values in rate columns with pd.NA and remove percentage
47
53
  rate_cols = [col for col in df.columns if "Rate" in col]
48
- for col in rate_cols:
49
- df[col] = df[col].replace(0, pd.NA)
50
- # Round to 5 decimal places (3 in %) since it is the contract's precision
51
- df[col] = (df[col] / 100).round(5)
54
+ # Round to 5 decimal places (3 in %) since it is the contract's precision
55
+ df[rate_cols] = df[rate_cols].replace(0, pd.NA).div(100).round(5)
52
56
 
53
57
  df["TickerSymbol"] = "FRC" + df["ExpirationCode"]
54
58
 
{pyield-0.7.4 → pyield-0.7.6}/pyproject.toml RENAMED
@@ -32,7 +32,7 @@ dependencies = [
32
32
  "python-calamine>=0.2.0",
33
33
  ]
34
34
  dynamic = []
35
- version = "0.7.4"
35
+ version = "0.7.6"
36
36
 
37
37
  [project.license]
38
38
  file = "LICENSE"
{pyield-0.7.4 → pyield-0.7.6}/tests/test_futures.py RENAMED
@@ -1,5 +1,4 @@
1
1
  import pandas as pd
2
- import pytest
3
2
 
4
3
  from pyield import futures as ft
5
4
 
@@ -76,5 +75,6 @@ def test_settlement_rates_with_current_holiday_list():
76
75
 
77
76
  def test_non_business_day():
78
77
  non_business_day = pd.Timestamp("2023-12-24")
79
- with pytest.raises(ValueError):
80
- ft.fetch_past_di(trade_date=non_business_day)
78
+ # Test if it an empty DataFrame is returned
79
+ df = ft.fetch_past_di(trade_date=non_business_day)
80
+ assert df.empty
pyield-0.7.4/pyield/__about__.py DELETED
@@ -1 +0,0 @@
1
- __version__ = "0.7.4"
{pyield-0.7.4 → pyield-0.7.6}/LICENSE RENAMED
File without changes
{pyield-0.7.4 → pyield-0.7.6}/pyield/__init__.py RENAMED
File without changes
{pyield-0.7.4 → pyield-0.7.6}/pyield/bday.py RENAMED
File without changes
{pyield-0.7.4 → pyield-0.7.6}/pyield/data_access.py RENAMED
File without changes
{pyield-0.7.4 → pyield-0.7.6}/pyield/data_analysis.py RENAMED
File without changes
{pyield-0.7.4 → pyield-0.7.6}/pyield/futures/di_xml.py RENAMED
File without changes
{pyield-0.7.4 → pyield-0.7.6}/pyield/holidays/core.py RENAMED
File without changes
{pyield-0.7.4 → pyield-0.7.6}/pyield/indicators.py RENAMED
File without changes
{pyield-0.7.4 → pyield-0.7.6}/pyield/projections.py RENAMED
File without changes
{pyield-0.7.4 → pyield-0.7.6}/pyield/py.typed RENAMED
File without changes
{pyield-0.7.4 → pyield-0.7.6}/pyield/treasuries.py RENAMED
File without changes
{pyield-0.7.4 → pyield-0.7.6}/pyield/utils.py RENAMED
File without changes
{pyield-0.7.4 → pyield-0.7.6}/tests/__init__.py RENAMED
File without changes
{pyield-0.7.4 → pyield-0.7.6}/tests/test_bday.py RENAMED
File without changes