pyacm 1.0__py3-none-any.whl → 1.1__py3-none-any.whl

pyacm/acm.py

@@ -445,7 +445,7 @@ class NominalACM:
         # Historical estimate
         exp_ret = (self.B @ (self.lambda1 @ self.pc_factors_d.T + self.lambda0.reshape(-1, 1))).values
         conv_adj = np.diag(self.B @ self.Sigma @ self.B.T) + self.omega[0, 0]
-        er_hist = (exp_ret + conv_adj[:, None]).T
+        er_hist = (exp_ret - 0.5 * conv_adj[:, None]).T
         er_hist_d = pd.DataFrame(
             data=er_hist,
             index=self.pc_factors_d.index,

{pyacm-1.0.dist-info → pyacm-1.1.dist-info}/METADATA

@@ -1,6 +1,6 @@
-Metadata-Version: 2.2
+Metadata-Version: 2.4
 Name: pyacm
-Version: 1.0
+Version: 1.1
 Summary: ACM Term Premium
 Author: Tobias Adrian, Richard K. Crump, Emanuel Moench
 Maintainer: Gustavo Amarante
@@ -17,6 +17,7 @@ Dynamic: author
 Dynamic: description
 Dynamic: description-content-type
 Dynamic: keywords
+Dynamic: license-file
 Dynamic: maintainer
 Dynamic: maintainer-email
 Dynamic: requires-dist
@@ -70,10 +71,13 @@ date and interpolate it at fixed monthly maturities
 
 
 # Examples
-The estimates for the US are available on the [NY FED website](https://www.newyorkfed.org/research/data_indicators/term-premia-tabs#/overview).
+Updated estimates for the US are available on the [NY FED website](https://www.newyorkfed.org/research/data_indicators/term-premia-tabs#/overview). 
+The file [`example_us`](https://github.com/gusamarante/pyacm/blob/main/example_us.py) reproduces the original outputs using the same 
+dataset as the authors.
 
 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.
+contains an example application to the Brazilian DI futures curve that 
+showcases all the available methods and attributes.
 
 <p align="center">
   <img src="https://raw.githubusercontent.com/gusamarante/pyacm/refs/heads/main/images/DI%20term%20premium.png" alt="DI Term Premium"/>
@@ -86,5 +90,9 @@ contains an example application to the Brazilian DI futures curve that showcases
 > FRB of New York Staff Report No. 340, 
 > Available at SSRN: https://ssrn.com/abstract=1362586 or http://dx.doi.org/10.2139/ssrn.1362586
 
-I would like to thank Emanuel Moench for sending me his original MATLAB code in 
+I would like to thank Emanuel Moench for sharing his original MATLAB code in 
 order to perfectly replicate these results.
+
+# Citation
+> Gustavo Amarante (2025). pyacm: Python Implementation of the ACM Term Premium 
+> Model. Retrieved from https://github.com/gusamarante/pyacm

pyacm-1.1.dist-info/RECORD

@@ -0,0 +1,7 @@
+pyacm/__init__.py,sha256=pRFuR3Au_ybQAmkJduGrLMKGJd1pxjhGfhsfsjlK-mU,66
+pyacm/acm.py,sha256=mpcGjZR5reW25jkkyt_u2g2h_JOGmc1BD4FnBe1M5zQ,15528
+pyacm-1.1.dist-info/licenses/LICENSE,sha256=YbUXx25Z6PzP4k4rsbs6tN58NiCwGIIrTMzql4iTeDs,1073
+pyacm-1.1.dist-info/METADATA,sha256=kTyQaKG5q0VwGEoRK1Vj32BDm_tgfHY5XSds5SmHYck,3524
+pyacm-1.1.dist-info/WHEEL,sha256=_zCd3N1l69ArxyTb8rzEoP9TpbYXkqRFSNOD5OuxnTs,91
+pyacm-1.1.dist-info/top_level.txt,sha256=xQy7q1eSKCnRtTnwb-Iz_spT0UDNdTyzKd43yz-ffrI,6
+pyacm-1.1.dist-info/RECORD,,

{pyacm-1.0.dist-info → pyacm-1.1.dist-info}/WHEEL

@@ -1,5 +1,5 @@
 Wheel-Version: 1.0
-Generator: setuptools (75.8.0)
+Generator: setuptools (80.9.0)
 Root-Is-Purelib: true
 Tag: py3-none-any
 

pyacm-1.0.dist-info/RECORD

@@ -1,7 +0,0 @@
-pyacm/__init__.py,sha256=pRFuR3Au_ybQAmkJduGrLMKGJd1pxjhGfhsfsjlK-mU,66
-pyacm/acm.py,sha256=cIjn4AGYUmRwHZTYmJ4QobVgz1lMFJRQ0BPDiTIuyCU,15522
-pyacm-1.0.dist-info/LICENSE,sha256=YbUXx25Z6PzP4k4rsbs6tN58NiCwGIIrTMzql4iTeDs,1073
-pyacm-1.0.dist-info/METADATA,sha256=YzI_izcpgkAdi1MH24zpff6gk_Kwv-ZgaJ-PTEDADhM,3172
-pyacm-1.0.dist-info/WHEEL,sha256=In9FTNxeP60KnTkGw7wk6mJPYd_dQSjEZmXdBdMCI-8,91
-pyacm-1.0.dist-info/top_level.txt,sha256=xQy7q1eSKCnRtTnwb-Iz_spT0UDNdTyzKd43yz-ffrI,6
-pyacm-1.0.dist-info/RECORD,,