pyacm 0.2__py3-none-any.whl → 0.4__py3-none-any.whl

pyacm/acm.py

@@ -130,7 +130,7 @@ class NominalACM:
 
         self.n_factors = n_factors
         self.curve = curve
-        self.curve_monthly = curve.resample('ME').mean()
+        self.curve_monthly = curve.resample('M').mean()
         self.t = self.curve_monthly.shape[0] - 1
         self.n = self.curve_monthly.shape[1]
         self.rx_m, self.rf_m = self._get_excess_returns()

{pyacm-0.2.dist-info → pyacm-0.4.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: pyacm
-Version: 0.2
+Version: 0.4
 Summary: ACM Term Premium
 Author: Tobias Adrian, Richard K. Crump, Emanuel Moench
 Maintainer: Gustavo Amarante
@@ -33,6 +33,7 @@ carries all the relevant variables as atributes:
 - Yields fitted by the model
 - Risk-neutral yields
 - Term premium
+- Historical in-sample expected returns 
 - Expected return loadings
 - Hypothesis testing (Not sure if correct, more info observations below)
 
@@ -42,6 +43,38 @@ carries all the relevant variables as atributes:
 pip install pyacm
 ```
 
+# Usage
+```python
+from pyacm import NominalACM
+
+acm = NominalACM(
+    curve=yield_curve,
+    n_factors=5,
+)
+```
+The tricky part of using this model is getting the correct data format. The 
+`yield_curve` dataframe in the expression above requires:
+- Annualized log-yields for zero-coupon bonds
+- Observations (index) must be in either monthly or daily frequency
+- Maturities (columns) must be equally spaced in **monthly** frequency and start 
+at month 1. This means that you need to construct a bootstraped curve for every 
+date and interpolate it at fixed monthly maturities
+- Whichever maturity you want to be the longest, your input data should have one
+column more. For example, if you want term premium estimate up to the 10-year 
+yield (120 months), your input data should include maturities up to 121 months. 
+This is needed to properly compute the returns.
+
+# Examples
+
+The estimates for the US are available on the [NY FED website](https://www.newyorkfed.org/research/data_indicators/term-premia-tabs#/overview).
+
+The jupyter notebook [`example_br`](https://github.com/gusamarante/pyacm/blob/main/example_br.ipynb) 
+contains an example application to the Brazilian DI futures curve that showcases all the available methods.
+
+<p align="center">
+  <img src="https://raw.githubusercontent.com/gusamarante/pyacm/refs/heads/main/images/DI%20term%20premium.png" alt="DI Term Premium"/>
+  <img src="https://raw.githubusercontent.com/gusamarante/pyacm/refs/heads/main/images/DI%20observed%20vs%20risk%20neutral.png" alt="Observed VS Risk Neutral"/>
+</p>
 
 # Original Article
 > Adrian, Tobias and Crump, Richard K. and Moench, Emanuel, 
@@ -56,14 +89,6 @@ but I found an earlier version of the paper on SSRN where the authors go deeper
 - To get daily / real-time estimates, the factor loadings estimated from the monthly frquency are used to transform the daily data
 
 
-# Usage
-The tricky part of using this model is getting the correct data format:
-- The model works with annualized log-yields for zero-coupon bonds
-- Observations (index) must be in either monthly or daily frequency
-- Maturities (columns) must be equally spaced in **monthly** frequency and start at month 1. This means that you need to construct a bootstraped curve for every date and interpolate it at fixed monthly maturities.
-- Whichever maturity you want to be the longest, your input data should have one column more. For example, if you want term premium estimate up to the 10-year yield (120 months), your input data should include maturities up to 121 months. This is needed to properly compute the returns.
-
-
 # Observations
 I am not completely sure that computations in the [inferences attributes][inference_atribute] 
 are correct. If you find any mistakes, please open a pull request following the contributing 

pyacm-0.4.dist-info/RECORD

@@ -0,0 +1,8 @@
+pyacm/__init__.py,sha256=pRFuR3Au_ybQAmkJduGrLMKGJd1pxjhGfhsfsjlK-mU,66
+pyacm/acm.py,sha256=5UxKhc5lptSE-K99Uo3b6hMkIfM-5y1P01qeb_K5xW0,14491
+pyacm/utils.py,sha256=-PmH9L3LpzqUP-QU5BHisoLSBYrq-3PaPgR-W1sS1z8,904
+pyacm-0.4.dist-info/LICENSE,sha256=YbUXx25Z6PzP4k4rsbs6tN58NiCwGIIrTMzql4iTeDs,1073
+pyacm-0.4.dist-info/METADATA,sha256=eRotNIVK0skIEzKi4f0u2bnInhd_Ap2CuStomM-KliU,4164
+pyacm-0.4.dist-info/WHEEL,sha256=PZUExdf71Ui_so67QXpySuHtCi3-J3wvF4ORK6k_S8U,91
+pyacm-0.4.dist-info/top_level.txt,sha256=xQy7q1eSKCnRtTnwb-Iz_spT0UDNdTyzKd43yz-ffrI,6
+pyacm-0.4.dist-info/RECORD,,

pyacm-0.2.dist-info/RECORD

@@ -1,8 +0,0 @@
-pyacm/__init__.py,sha256=pRFuR3Au_ybQAmkJduGrLMKGJd1pxjhGfhsfsjlK-mU,66
-pyacm/acm.py,sha256=sUtw0NMEDfrpCtRWmVTryvJqMQXFvXo6m9tRAH1PGEA,14492
-pyacm/utils.py,sha256=-PmH9L3LpzqUP-QU5BHisoLSBYrq-3PaPgR-W1sS1z8,904
-pyacm-0.2.dist-info/LICENSE,sha256=YbUXx25Z6PzP4k4rsbs6tN58NiCwGIIrTMzql4iTeDs,1073
-pyacm-0.2.dist-info/METADATA,sha256=UUo-0gkeAL5nudUKju0UQlsUCs5VCzrfrFGvbVkNLFE,3286
-pyacm-0.2.dist-info/WHEEL,sha256=PZUExdf71Ui_so67QXpySuHtCi3-J3wvF4ORK6k_S8U,91
-pyacm-0.2.dist-info/top_level.txt,sha256=xQy7q1eSKCnRtTnwb-Iz_spT0UDNdTyzKd43yz-ffrI,6
-pyacm-0.2.dist-info/RECORD,,