PYield 0.8.0__tar.gz → 0.8.2__tar.gz

{pyield-0.8.0 → pyield-0.8.2}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: PYield
-Version: 0.8.0
+Version: 0.8.2
 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>
@@ -31,7 +31,7 @@ Classifier: Operating System :: OS Independent
 Classifier: Intended Audience :: Financial and Insurance Industry
 Classifier: Topic :: Office/Business :: Financial :: Investment
 Project-URL: Source, https://github.com/crdcj/PYield
-Requires-Python: >=3.11
+Requires-Python: >=3.12
 Requires-Dist: pandas>=2.0.0
 Requires-Dist: numpy
 Requires-Dist: beautifulsoup4
@@ -74,23 +74,23 @@ pip install pyield
 
 # Count the number of business days between two dates
 # Start date is included, end date is excluded
->>> yd.count_bdays(start='2023-12-29', end='2024-01-02')
+>>> yd.count_bdays(start='29-12-2023', end='02-01-2024')
 1
 
 # Get the next business day after a given date (offset=1)
->>> yd.offset_bdays(dates="2023-12-29", offset=1)
+>>> yd.offset_bdays(dates="29-12-2023", offset=1)
 Timestamp('2024-01-02 00:00:00')
 
 # Get the next business day if it is not a business day (offset=0)
->>> yd.offset_bdays(dates="2023-12-30", offset=0)
+>>> yd.offset_bdays(dates="30-12-2023", offset=0)
 Timestamp('2024-01-02 00:00:00')
 
 # Since 2023-12-29 is a business day, it returns the same date (offset=0)
->>> yd.offset_bdays(dates="2023-12-29", offset=0)
+>>> yd.offset_bdays(dates="29-12-2023", offset=0)
 Timestamp('2023-12-29 00:00:00')
 
 # Generate a pandas series with the business days between two dates
->>> yd.generate_bdays(start='2023-12-29', end='2024-01-03')
+>>> yd.generate_bdays(start='29-12-2023', end='03-01-2024')
 0   2023-12-29
 1   2024-01-02
 2   2024-01-03
@@ -111,7 +111,7 @@ TradeTime      TickerSymbol ExpirationDate BDaysToExp ... MaxRate LastAskRate La
 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')
+>>> yd.fetch_asset(asset_code="DI1", reference_date='08-03-2024')
 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
@@ -127,7 +127,7 @@ TradeDate  TickerSymbol ExpirationDate BDaysToExp ... LastRate LastAskRate LastB
 # Fetch a DataFrame with the NTN-B data from ANBIMA
 # Anbima data is available for the last 5 working days
 # Obs: Anbima members have access to the full history
->>> yd.fetch_asset(asset_code="NTN-B", reference_date='2024-04-12')
+>>> yd.fetch_asset(asset_code="NTN-B", reference_date='12-04-2024')
 
 BondType ReferenceDate MaturityDate BidRate AskRate IndicativeRate       Price
    NTN-B    2024-04-12   2024-08-15 0.07540 0.07504        0.07523 4,271.43565
@@ -142,7 +142,7 @@ BondType ReferenceDate MaturityDate BidRate AskRate IndicativeRate       Price
 ### Spreads Calculation
 ```python
 # Calculate the spread between two DI Futures contracts and the pre-fix bonds
->>> yd.calculate_spreads(spread_type="di_vs_pre", reference_date="2024-4-11")
+>>> yd.calculate_spreads(spread_type="di_pre", reference_date="11-04-2024")
 
 BondType ReferenceDate MaturityDate  DISpread
      LTN    2024-04-11   2024-07-01    -20.28
@@ -157,15 +157,15 @@ BondType ReferenceDate MaturityDate  DISpread
 ### Indicators Data
 ```python
 # Fetch the SELIC target rate from the Central Bank of Brazil
->>> yd.fetch_indicator(indicator_code="SELIC", reference_date='2024-04-12')
+>>> yd.fetch_indicator(indicator_code="SELIC", reference_date='12-04-2024')
 0.1075  # 10.75%
 
 # Fetch the IPCA monthly inflation rate from IBGE
->>> yd.fetch_indicator(indicator_code="IPCA", reference_date='2024-03-18')
+>>> yd.fetch_indicator(indicator_code="IPCA", reference_date='18-03-2024')
 0.16  # 0.16%
 
 # If no data is yet available for the indicator, the function returns None
->>> yd.fetch_indicator(indicator_code="IPCA", reference_date='2024-04-10')
+>>> yd.fetch_indicator(indicator_code="IPCA", reference_date='10-04-2024')
 None
 ```
 

{pyield-0.8.0 → pyield-0.8.2}/README.md

@@ -31,23 +31,23 @@ pip install pyield
 
 # Count the number of business days between two dates
 # Start date is included, end date is excluded
->>> yd.count_bdays(start='2023-12-29', end='2024-01-02')
+>>> yd.count_bdays(start='29-12-2023', end='02-01-2024')
 1
 
 # Get the next business day after a given date (offset=1)
->>> yd.offset_bdays(dates="2023-12-29", offset=1)
+>>> yd.offset_bdays(dates="29-12-2023", offset=1)
 Timestamp('2024-01-02 00:00:00')
 
 # Get the next business day if it is not a business day (offset=0)
->>> yd.offset_bdays(dates="2023-12-30", offset=0)
+>>> yd.offset_bdays(dates="30-12-2023", offset=0)
 Timestamp('2024-01-02 00:00:00')
 
 # Since 2023-12-29 is a business day, it returns the same date (offset=0)
->>> yd.offset_bdays(dates="2023-12-29", offset=0)
+>>> yd.offset_bdays(dates="29-12-2023", offset=0)
 Timestamp('2023-12-29 00:00:00')
 
 # Generate a pandas series with the business days between two dates
->>> yd.generate_bdays(start='2023-12-29', end='2024-01-03')
+>>> yd.generate_bdays(start='29-12-2023', end='03-01-2024')
 0   2023-12-29
 1   2024-01-02
 2   2024-01-03
@@ -68,7 +68,7 @@ TradeTime      TickerSymbol ExpirationDate BDaysToExp ... MaxRate LastAskRate La
 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')
+>>> yd.fetch_asset(asset_code="DI1", reference_date='08-03-2024')
 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
@@ -84,7 +84,7 @@ TradeDate  TickerSymbol ExpirationDate BDaysToExp ... LastRate LastAskRate LastB
 # Fetch a DataFrame with the NTN-B data from ANBIMA
 # Anbima data is available for the last 5 working days
 # Obs: Anbima members have access to the full history
->>> yd.fetch_asset(asset_code="NTN-B", reference_date='2024-04-12')
+>>> yd.fetch_asset(asset_code="NTN-B", reference_date='12-04-2024')
 
 BondType ReferenceDate MaturityDate BidRate AskRate IndicativeRate       Price
    NTN-B    2024-04-12   2024-08-15 0.07540 0.07504        0.07523 4,271.43565
@@ -99,7 +99,7 @@ BondType ReferenceDate MaturityDate BidRate AskRate IndicativeRate       Price
 ### Spreads Calculation
 ```python
 # Calculate the spread between two DI Futures contracts and the pre-fix bonds
->>> yd.calculate_spreads(spread_type="di_vs_pre", reference_date="2024-4-11")
+>>> yd.calculate_spreads(spread_type="di_pre", reference_date="11-04-2024")
 
 BondType ReferenceDate MaturityDate  DISpread
      LTN    2024-04-11   2024-07-01    -20.28
@@ -114,15 +114,15 @@ BondType ReferenceDate MaturityDate  DISpread
 ### Indicators Data
 ```python
 # Fetch the SELIC target rate from the Central Bank of Brazil
->>> yd.fetch_indicator(indicator_code="SELIC", reference_date='2024-04-12')
+>>> yd.fetch_indicator(indicator_code="SELIC", reference_date='12-04-2024')
 0.1075  # 10.75%
 
 # Fetch the IPCA monthly inflation rate from IBGE
->>> yd.fetch_indicator(indicator_code="IPCA", reference_date='2024-03-18')
+>>> yd.fetch_indicator(indicator_code="IPCA", reference_date='18-03-2024')
 0.16  # 0.16%
 
 # If no data is yet available for the indicator, the function returns None
->>> yd.fetch_indicator(indicator_code="IPCA", reference_date='2024-04-10')
+>>> yd.fetch_indicator(indicator_code="IPCA", reference_date='10-04-2024')
 None
 ```
 

pyield-0.8.2/pyield/__about__.py

@@ -0,0 +1 @@
+__version__ = "0.8.2"

{pyield-0.8.0 → pyield-0.8.2}/pyield/bday.py

@@ -57,9 +57,9 @@ def is_bday(date: SingleDateTypes | None = None) -> bool:
         bool: True if the input date is a business day, False otherwise.
 
     Examples:
-        >>> yd.is_bday('2023-12-25') # Christmas
+        >>> yd.is_bday("2023-12-25")  # Christmas
         False
-        >>> yd.is_bday() # Check if today is a business day
+        >>> yd.is_bday()  # Check if today is a business day
         True
     """
     normalized_date = _normalize_input_dates(date)
@@ -140,11 +140,11 @@ def offset_bdays(
             `Series` of offset dates.
 
     Examples:
-        >>> date = '2023-12-23' # Saturday before Christmas
+        >>> date = "2023-12-23"  # Saturday before Christmas
         >>> yd.offset_bdays(date, 0)
         Timestamp('2023-12-26')
 
-        >>> date = '2023-12-22' # Friday before Christmas
+        >>> date = "2023-12-22"  # Friday before Christmas
         >>> yd.offset_bdays(date, 0)
         Timestamp('2023-12-22') # No offset because it's a business day
 
@@ -172,10 +172,15 @@ def offset_bdays(
         dates_np, offsets=offset, roll=roll, holidays=selected_holidays_np
     )
     if isinstance(offsetted_dates_np, np.datetime64):
-        return pd.Timestamp(offsetted_dates_np, unit="ns")
+        result = pd.Timestamp(offsetted_dates_np)
+        # Force to datetime[ns] if the input was a single date
+        result = result.as_unit("ns")
     else:
-        result = pd.to_datetime(offsetted_dates_np, unit="ns")
-        return pd.Series(result)
+        result = pd.to_datetime(offsetted_dates_np)
+        # Force the result to be a Series if the input was not a single date
+        result = pd.Series(result).astype("datetime64[ns]")
+
+    return result
 
 
 @overload
@@ -252,11 +257,11 @@ def count_bdays(
           https://numpy.org/doc/stable/reference/generated/numpy.busday_count.html.
 
     Examples:
-        >>> yd.count_bdays('2023-12-15', '2024-01-01')
+        >>> yd.count_bdays("2023-12-15", "2024-01-01")
         10
 
-        >>> start = '2023-01-01'
-        >>> end = pd.to_datetime(['2023-01-31', '2023-03-01'])
+        >>> start = "2023-01-01"
+        >>> end = pd.to_datetime(["2023-01-31", "2023-03-01"])
         >>> yd.count_bdays(start, end)
         pd.Series([22, 40], dtype='int64')
     """
@@ -315,7 +320,7 @@ def generate_bdays(
             start and end dates, considering the specified holidays.
 
     Examples:
-        >>> yd.generate_bdays(start='2023-12-22', end='2024-01-02')
+        >>> yd.generate_bdays(start="2023-12-22", end="2024-01-02")
         pd.Series(['2023-12-22', '2023-12-26', '2023-12-27', '2023-12-28', '2023-12-29',
             '2024-01-02'], dtype='datetime64[ns]')
 

{pyield-0.8.0 → pyield-0.8.2}/pyield/data_access.py

@@ -42,8 +42,8 @@ def fetch_asset(
         ValueError: If the asset code is not recognized or supported.
 
     Examples:
-        >>> fetch_asset('TRB', '31-05-2024')
-        >>> fetch_asset('DI1', '31-05-2024')
+        >>> fetch_asset("TRB", "31-05-2024")
+        >>> fetch_asset("DI1", "31-05-2024")
     """
     SUPPORTED_BONDS = ["LTN", "LFT", "NTN-F", "NTN-B"]
     SUPPORTED_FUTURES = ["DI1", "DDI", "FRC", "DAP", "DOL", "WDO", "IND", "WIN"]
@@ -99,11 +99,11 @@ def fetch_indicator(
         ValueError: If the indicator code is not recognized or supported.
 
     Examples:
-        >>> fetch_indicator('SELIC', '31-05-2024')
+        >>> fetch_indicator("SELIC", "31-05-2024")
         0.1075  # Indicates a SELIC target rate of 10.75% p.a.
-        >>> fetch_indicator('IPCA', '01-04-2024')
+        >>> fetch_indicator("IPCA", "01-04-2024")
         0.0038  # Indicates an IPCA monthly rate of 0.38% p.m.
-        >>> fetch_indicator('DI', '31-05-2024')
+        >>> fetch_indicator("DI", "31-05-2024")
         0.00040168  # Indicates a DI daily rate of 0.02% p.d.
     """
     normalized_date = dv.normalize_date(reference_date)
@@ -142,7 +142,7 @@ def fetch_projection(projection_code: str) -> pr.IndicatorProjection:
         ValueError: If the projection code is not recognized or supported.
 
     Examples:
-        >>> fetch_projection('IPCA_CM')
+        >>> 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'),
@@ -166,7 +166,7 @@ def calculate_spreads(
 
     Parameters:
         spread_type (str): The type of spread to calculate. Available options are:
-            - "DI_vs_PRE": the spread between DI Futures and Treasury Pre-Fixed bonds.
+            - "DI_PRE": the spread between DI Futures and Treasury Pre-Fixed bonds.
         reference_date (str | pd.Timestamp, optional): The reference date for the
             spread calculation. If None or not provided, defaults to the previous
             business day according to the Brazilian calendar.
@@ -180,7 +180,7 @@ def calculate_spreads(
     """
     # Normalize the reference date
     normalized_date = dv.normalize_date(reference_date)
-    if spread_type.upper() == "DI_VS_PRE":
+    if spread_type.upper() == "DI_PRE":
         return sp.calculate_di_spreads(normalized_date)
     else:
         raise ValueError("Invalid spread type.")

{pyield-0.8.0 → pyield-0.8.2}/pyield/futures/historical.py

@@ -119,7 +119,7 @@ def fetch_raw_df(asset_code: str, trade_date: pd.Timestamp) -> pd.DataFrame:
     url_date = trade_date.strftime("%d/%m/%Y")
     # url example: https://www2.bmf.com.br/pages/portal/bmfbovespa/boletim1/SistemaPregao_excel1.asp?Data=05/10/2023&Mercadoria=DI1
     url = f"https://www2.bmf.com.br/pages/portal/bmfbovespa/boletim1/SistemaPregao_excel1.asp?Data={url_date}&Mercadoria={asset_code}&XLS=false"
-    r = requests.get(url)
+    r = requests.get(url, timeout=10)
 
     text = r.text
     if "VENCTO" not in text:

{pyield-0.8.0 → pyield-0.8.2}/pyield/futures/intraday.py

@@ -1,10 +1,20 @@
+from io import StringIO
+
 import pandas as pd
 import requests
 
 from .. import bday
 
 
-def _fetch_raw_df(future_code: str) -> pd.DataFrame:
+# Função para salvar DataFrame em CSV e ler com read_csv
+def convert_with_read_csv(df):
+    buffer = StringIO()
+    df.to_csv(buffer, index=False)
+    buffer.seek(0)  # Reposiciona o cursor no início do buffer
+    return pd.read_csv(buffer, dtype_backend="numpy_nullable")
+
+
+def _fetch_b3_df(future_code: str) -> pd.DataFrame:
     """
     Fetch the latest data for a given future code from B3 derivatives quotation API.
 
@@ -21,47 +31,21 @@ def _fetch_raw_df(future_code: str) -> pd.DataFrame:
     url = f"https://cotacao.b3.com.br/mds/api/v1/DerivativeQuotation/{future_code}"
 
     try:
-        r = requests.get(url)
+        r = requests.get(url, timeout=10)
         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
 
-    if "Quotation not available" in r.text:
+    if "Quotation not available" in r.text or "curPrc" not in r.text:
         return pd.DataFrame()
 
     # 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 currante date
-    today = pd.Timestamp.now().normalize()
-    df["TradeDate"] = today
-
-    # 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["TradeTime"] = trade_ts
-
     # Convert DataFrame to use nullable data types for better type consistency
-    df = df.convert_dtypes(dtype_backend="numpy_nullable")
-
-    return df
+    return convert_with_read_csv(df)
 
 
 def _rename_columns(df: pd.DataFrame) -> pd.DataFrame:
@@ -101,6 +85,32 @@ def _rename_columns(df: pd.DataFrame) -> pd.DataFrame:
 def _process_df(raw_df: pd.DataFrame) -> pd.DataFrame:
     df = raw_df.copy()
 
+    # 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)
+
+    df = _rename_columns(df)
+
+    # Convert maturity codes to datetime and drop rows with missing values
+    df["ExpirationDate"] = pd.to_datetime(df["ExpirationDate"], errors="coerce")
+    df.dropna(subset=["ExpirationDate"], inplace=True)
+
+    # Sort the DataFrame by maturity code and reset the index
+    df.sort_values("ExpirationDate", inplace=True, ignore_index=True)
+
+    # Get currante date
+    today = pd.Timestamp.now().normalize()
+    df["TradeDate"] = today
+
+    # 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["TradeTime"] = trade_ts
+
     df["BDaysToExp"] = bday.count_bdays(df["TradeDate"], df["ExpirationDate"])
 
     df["DaysToExp"] = (df["ExpirationDate"] - df["TradeDate"]).dt.days
@@ -156,10 +166,9 @@ def fetch_intraday_df(future_code: str) -> pd.DataFrame:
     Returns:
         pd.DataFrame: A Pandas pd.DataFrame containing the latest DI futures data.
     """
-    raw_df = _fetch_raw_df(future_code)
+    raw_df = _fetch_b3_df(future_code)
     if raw_df.empty:
         return raw_df
-    df = _rename_columns(raw_df)
-    df = _process_df(df)
+    df = _process_df(raw_df)
     df = _select_and_reorder_columns(df)
     return df

{pyield-0.8.0 → pyield-0.8.2}/pyield/futures/xml.py

@@ -43,7 +43,7 @@ def _get_file_from_url(trade_date: pd.Timestamp, source_type: str) -> io.BytesIO
     else:
         raise ValueError("Invalid source type. Must be either 'PR' or 'SPR'.")
 
-    response = requests.get(url)
+    response = requests.get(url, timeout=10)
 
     # File will be considered invalid if it is too small
     if response.status_code != 200 or len(response.content) < 1024:
@@ -74,9 +74,15 @@ def _extract_xml_from_zip(zip_file: io.BytesIO) -> io.BytesIO:
 
 def _extract_data_from_xml(xml_file: io.BytesIO, asset_code: str) -> list[dict]:
     parser = etree.XMLParser(
-        ns_clean=True, remove_blank_text=True, remove_comments=True, recover=True
+        ns_clean=True,
+        remove_blank_text=True,
+        remove_comments=True,
+        recover=True,
+        resolve_entities=False,
+        no_network=True,
+        load_dtd=False,  # Disable DTD loading
     )
-    tree = etree.parse(xml_file, parser)
+    tree = etree.parse(xml_file, parser=parser)
 
     # XPath para encontrar elementos cujo texto começa com código do ativo: DI1, FRC...
     namespaces = {"ns": "urn:bvmf.217.01.xsd"}

{pyield-0.8.0 → pyield-0.8.2}/pyield/holidays/core.py

@@ -16,10 +16,13 @@ class BrHolidays:
         self.old_holidays = self._load_holidays(old_holidays_path)
 
     def _load_holidays(self, file_path: Path) -> pd.Series:
-        """Loads the list of holidays from a text file and returns it as a pd.Series of pd.Timestamp."""
+        """
+        Loads the holidays from a text file and returns it as a Series of Timestamps.
+        """
         df = pd.read_csv(file_path, header=None, names=["date"], comment="#")
         # Convert the dates to a pd.Series of pd.Timestamp
-        return pd.to_datetime(df["date"], format="%d/%m/%Y")
+        holidays = pd.to_datetime(df["date"], format="%d/%m/%Y")
+        return holidays.astype("datetime64[ns]")
 
     def get_applicable_holidays(
         self,
@@ -27,13 +30,14 @@ class BrHolidays:
         holiday_list: Literal["old", "new", "infer"] = "infer",
     ) -> pd.Series:
         """
-        Returns the correct list of holidays to use based on the most recent date in the input.
+        Returns the correct list of holidays to use based on the most recent date in
+        the input.
 
         Args:
             dates (pd.Timestamp | pd.Series): The date(s) to use to infer the holidays.
-            holiday_list (str): The holidays list to use. Valid options are 'old', 'new' or
-                'infer'. If 'infer' is used, the list of holidays is selected based on the
-                earliest (minimum) date in the input.
+            holiday_list (str): The holidays list to use. Valid options are 'old', 'new'
+                or 'infer'. If 'infer' is used, the list of holidays is selected based
+                on the earliest (minimum) date in the input.
 
         Returns:
             pd.Series: The list of holidays to use.

{pyield-0.8.0 → pyield-0.8.2}/pyield/indicators.py

@@ -30,7 +30,7 @@ def fetch_ipca_mr(reference_date: pd.Timestamp) -> float | None:
     api_url = f"https://servicodados.ibge.gov.br/api/v3/agregados/6691/periodos/{ipca_date}/variaveis/63?localidades=N1[all]"
 
     # Send a GET request to the API
-    response = requests.get(api_url)
+    response = requests.get(api_url, timeout=10)
 
     # Raises HTTPError, if one occurred
     response.raise_for_status()
@@ -50,7 +50,7 @@ def fetch_selic_target(reference_date: pd.Timestamp) -> float | None:
     # https://api.bcb.gov.br/dados/serie/bcdata.sgs.432/dados?formato=json&dataInicial=12/04/2024&dataFinal=12/04/2024
     selic_date = reference_date.strftime("%d/%m/%Y")
     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 = requests.get(api_url, timeout=10)
     response.raise_for_status()
 
     if selic_date in response.text:
@@ -64,7 +64,7 @@ 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 = requests.get(api_url, timeout=10)
     response.raise_for_status()
 
     if di_date in response.text:
@@ -78,9 +78,10 @@ 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_file = f"{reference_date.strftime('%Y%m%d')}APC238"
     url_vna = url_base + url_file
-    response = requests.get(url_vna)
+
+    response = requests.get(url_vna, timeout=10)
     response.raise_for_status()
     file_text = response.text
 

pyield-0.8.2/pyield/interpolator.py

@@ -0,0 +1,91 @@
+import bisect
+
+
+def interpolate_flat_forward(
+    prev_rate: float, prev_bdays: int, next_rate: float, next_bdays: int, bdays: int
+) -> float:
+    """Performs interest rate interpolation using the flat forward interpolation method
+    considering a base of 252 business days.
+
+    The interpolation is done between two known pairs of vertices (prev_rate,
+    prev_business_days) and (next_rate, next_business_days), for a third vertex defined
+    by the number of business days 'business_days' where 'prev_business_days <
+    business_days < next_business_days'. This third vertex is the point in time for
+    which the interest rate is being calculated.
+
+    Args:
+    - prev_rate (float): Interest rate of the previous vertex.
+    - prev_bdays (int): Number of business days of the previous vertex.
+    - next_rate (float): Interest rate of the next vertex.
+    - next_bdays (int): Number of business days of the next vertex.
+    - bdays (int): Number of business days for which the interest rate is to be
+      interpolated.
+
+    Example:
+    interpolated_rate = interpolate_flat_forward(0.045, 30, 0.05, 60, 45)
+
+    Returns:
+        float: The interpolated interest rate at the given `business_days`.
+    """
+    a = (1 + prev_rate) ** (prev_bdays / 252)
+    b = (1 + next_rate) ** (next_bdays / 252)
+    c = (bdays - prev_bdays) / (next_bdays - prev_bdays)
+
+    return (a * (b / a) ** c) ** (252 / bdays) - 1
+
+
+def find_and_interpolate_flat_forward(
+    bdays: int,
+    known_bdays: list[int],
+    known_rates: list[float],
+) -> float:
+    """
+    Finds the appropriate interpolation point and returns the interest rate
+    interpolated by the flat forward method from that point. Uses the `bisect` module
+    for binary search in ordered lists.
+
+
+    Args:
+        business_days (int): Number of business days for which the flat forward interest
+            rate is to be calculated.
+        known_business_days (List[int]): List of business days where interest rates are
+            known.
+        known_rates (List[float]): List of known interest rates.
+
+    Notes:
+        - It is assumed that `known_business_days` and `known_rates` are sorted and have
+          the same size.
+        - The method uses 252 business days per year in the interpolation, which is the
+          standard in the Brazilian market.
+        - Special cases are handled for situations where `business_days` is less than
+          the first known business day, greater than the last known business day, or
+          exactly equal to a known business day, avoiding the need for interpolation.
+
+    Example:
+    known_bdays = [30, 60, 90]
+    known_rates = [0.045, 0.05, 0.055]
+    interpolated_rate = find_and_interpolate_flat_forward(45, known_bdays, known_rates)
+
+    Returns:
+        float: The interest rate interpolated by the flat forward method for the given
+            number of business days.
+    """
+    # Special cases
+    if bdays <= known_bdays[0]:
+        return known_rates[0]
+    elif bdays >= known_bdays[-1]:
+        return known_rates[-1]
+    # Do not interpolate vertex whose rate is known
+    elif bdays in known_bdays:
+        return known_rates[known_bdays.index(bdays)]
+
+    # Find i such that known_business_days[i-1] < business_days < known_business_days[i]
+    i = bisect.bisect_left(known_bdays, bdays)
+
+    return interpolate_flat_forward(
+        known_rates[i - 1],
+        known_bdays[i - 1],
+        known_rates[i],
+        known_bdays[i],
+        bdays,
+    )