pyacm 1.0__tar.gz → 1.2__tar.gz

{pyacm-1.0 → pyacm-1.2}/PKG-INFO

@@ -1,6 +1,6 @@
-Metadata-Version: 2.2
+Metadata-Version: 2.4
 Name: pyacm
-Version: 1.0
+Version: 1.2
 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-1.0 → pyacm-1.2}/README.md

@@ -45,10 +45,13 @@ 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"/>
@@ -61,5 +64,9 @@ 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-1.0 → pyacm-1.2}/pyacm/acm.py

@@ -410,7 +410,7 @@ class NominalACM:
             Bpb = np.kron(B[n - 1, :], B[n - 1, :])
             s0term = 0.5 * (Bpb @ self.s0 + self.omega[0, 0])
 
-            A[n] = A[n - 1] + B[n - 1, :] @ (self.mu - lambda0) + s0term + A[0]
+            A[n] = (A[n - 1] + B[n - 1, :] @ (self.mu - lambda0) + s0term + A[0])[0]
             B[n, :] = B[n - 1, :] @ (self.phi - lambda1) + B[0, :]
 
         return A, B
@@ -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 → pyacm-1.2}/pyacm.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
-Metadata-Version: 2.2
+Metadata-Version: 2.4
 Name: pyacm
-Version: 1.0
+Version: 1.2
 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-1.0 → pyacm-1.2}/setup.py

@@ -7,7 +7,7 @@ here = os.path.abspath(os.path.dirname(__file__))
 with codecs.open(os.path.join(here, "README.md"), encoding="utf-8") as fh:
     long_description = "\n" + fh.read()
 
-VERSION = '1.0'
+VERSION = '1.2'
 DESCRIPTION = 'ACM Term Premium'
 
 # Setting up