pyield 0.42.5__tar.gz

pyield-0.42.5/.gitignore

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+# Byte-compiled / optimized / DLL files
+__pycache__/
+
+# Distribution / packaging
+build/
+dist/
+
+# uv
+uv.lock
+
+# Environments
+.env
+.venv
+
+# Dev folder
+dev/
+
+site/
+
+# Claude md file
+CLAUDE.md

pyield-0.42.5/LICENSE

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+MIT License
+
+Copyright (c) 2023 Carlos Carvalho
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

pyield-0.42.5/PKG-INFO

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+Metadata-Version: 2.4
+Name: pyield
+Version: 0.42.5
+Summary: A Python library for analysis of fixed income instruments in Brazil
+Project-URL: Homepage, https://github.com/crdcj/PYield
+Project-URL: Documentation, https://crdcj.github.io/PYield
+Project-URL: Source, https://github.com/crdcj/PYield
+Project-URL: Bug Tracker, https://github.com/crdcj/PYield/issues
+Author-email: Carlos Carvalho <cr.cj@outlook.com>
+License: MIT License
+        
+        Copyright (c) 2023 Carlos Carvalho
+        
+        Permission is hereby granted, free of charge, to any person obtaining a copy
+        of this software and associated documentation files (the "Software"), to deal
+        in the Software without restriction, including without limitation the rights
+        to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+        copies of the Software, and to permit persons to whom the Software is
+        furnished to do so, subject to the following conditions:
+        
+        The above copyright notice and this permission notice shall be included in all
+        copies or substantial portions of the Software.
+        
+        THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+        IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+        FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+        AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+        LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+        OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+        SOFTWARE.
+License-File: LICENSE
+Keywords: analysis,bonds,brazil,finance,fixed-income
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: License :: OSI Approved :: MIT License
+Classifier: Operating System :: OS Independent
+Classifier: Programming Language :: Python :: 3
+Classifier: Topic :: Office/Business :: Financial :: Investment
+Requires-Python: >=3.12
+Requires-Dist: lxml>=6.0.0
+Requires-Dist: polars[pyarrow]>=1.33.0
+Requires-Dist: python-dateutil>=2.8.0
+Requires-Dist: requests>=2.31.0
+Requires-Dist: tenacity>=9.0.0
+Description-Content-Type: text/markdown
+
+[![PyPI version](https://img.shields.io/pypi/v/pyield.svg)](https://pypi.python.org/pypi/pyield)
+[![Made with Python](https://img.shields.io/badge/Python->=3.12-blue?logo=python&logoColor=white)](https://python.org "Go to Python homepage")
+[![License](https://img.shields.io/badge/License-MIT-blue)](https://github.com/crdcj/PYield/blob/main/LICENSE)
+
+# PYield: Brazilian Fixed Income Toolkit
+
+PYield is a Python library for analyzing Brazilian fixed income instruments. It fetches and processes data from ANBIMA, BCB, IBGE and B3, returning Polars DataFrames for fast, type-safe data pipelines.
+
+## Installation
+
+```sh
+pip install pyield
+```
+
+## Quick Start
+
+```python
+import pyield as yd
+
+# Business days (foundation of all calculations)
+yd.bday.count("02-01-2025", "15-01-2025")  # -> 9
+yd.bday.offset("29-12-2023", 1)            # -> datetime.date(2024, 1, 2)
+
+# DI Futures curve
+df = yd.futures("31-05-2024", "DI1")
+# Columns: TradeDate, TickerSymbol, ExpirationDate, BDaysToExp, SettlementRate, ...
+
+# Rate interpolation (flat forward, 252 bdays/year convention)
+interp = yd.Interpolator("flat_forward", df["BDaysToExp"], df["SettlementRate"])
+interp(45)       # -> 0.04833...
+interp([30, 60]) # -> pl.Series with interpolated rates
+
+# Treasury bond pricing
+yd.ntnb.quotation("31-05-2024", "15-05-2035", 0.061490)  # -> 99.3651
+
+# BCB indicators
+yd.bc.selic_over("31-05-2024")  # -> 0.000414...
+```
+
+A Colab notebook with more examples is available:
+
+[![Open In Colab](https://colab.research.google.com/assets/colab-badge.svg)](https://colab.research.google.com/github/crdcj/PYield/blob/main/examples/pyield_quickstart.ipynb)
+
+## Core Building Blocks
+
+### Business Days (`bday`)
+
+The `bday` module is the foundation of PYield. All date calculations (pricing, duration, forward rates) depend on accurate business day counting with Brazilian holidays.
+
+```python
+from pyield import bday
+
+# Count business days (start inclusive, end exclusive)
+bday.count("29-12-2023", "02-01-2024")  # -> 1
+
+# Offset by N business days
+bday.offset("29-12-2023", 1)  # -> datetime.date(2024, 1, 2)
+
+# Adjust non-business day to next business day
+bday.offset("30-12-2023", 0)  # -> datetime.date(2024, 1, 2)
+
+# Generate business day range
+bday.generate("22-12-2023", "02-01-2024")
+# -> Series: [2023-12-22, 2023-12-26, 2023-12-27, 2023-12-28, 2023-12-29, 2024-01-02]
+
+# Check if date is business day
+bday.is_business_day("25-12-2023")  # -> False (Christmas)
+```
+
+All functions support vectorized operations with lists, Series, or arrays.
+
+### Rate Interpolation (`Interpolator`)
+
+The `Interpolator` class interpolates interest rates using the 252 business days/year convention standard in Brazil.
+
+```python
+from pyield import Interpolator
+
+known_bdays = [30, 60, 90]
+known_rates = [0.045, 0.05, 0.055]
+
+# Flat forward interpolation (market standard)
+interp = Interpolator("flat_forward", known_bdays, known_rates)
+interp(45)  # -> 0.04833...
+
+# Linear interpolation
+linear = Interpolator("linear", known_bdays, known_rates)
+linear(45)  # -> 0.0475
+
+# Vectorized
+interp([15, 45, 75])  # -> pl.Series with 3 rates
+
+# Extrapolation (disabled by default, returns NaN)
+interp(100)  # -> nan
+Interpolator("flat_forward", known_bdays, known_rates, extrapolate=True)(100)  # -> 0.055
+```
+
+### Forward Rates (`forward`, `forwards`)
+
+Calculate forward rates from spot curves:
+
+```python
+from pyield import forward, forwards
+
+# Single forward rate between two points
+forward(bday1=10, bday2=20, rate1=0.05, rate2=0.06)  # -> 0.0700952...
+
+# Vectorized forward curve from spot rates
+bdays = [10, 20, 30]
+rates = [0.05, 0.06, 0.07]
+forwards(bdays, rates)  # -> Series: [0.05, 0.070095, 0.090284]
+```
+
+## Modules Overview
+
+| Module | Purpose |
+|--------|---------|
+| `bday` | Business day calendar with Brazilian holidays |
+| `futures` | B3 futures data (DI1, DDI, FRC, DAP, DOL, WDO, IND, WIN) |
+| `Interpolator` | Rate interpolation (flat_forward, linear) |
+| `forward` / `forwards` | Forward rate calculation |
+| `ltn`, `ntnb`, `ntnf`, `lft`, `ntnc` | Treasury bond pricing and analytics |
+| `anbima` | ANBIMA data (TPF prices, yield curves, IMA indices) |
+| `bc` | BCB indicators (SELIC, PTAX, repo rates, VNA) |
+| `ipca` | Inflation data (historical and projections) |
+| `today` / `now` | Current date/time in Brazil (America/Sao_Paulo) |
+
+## Treasury Bonds
+
+```python
+from pyield import ltn, ntnb, ntnf
+
+# Fetch ANBIMA indicative rates
+ltn.data("23-08-2024")   # -> DataFrame with LTN bonds
+ntnb.data("23-08-2024")  # -> DataFrame with NTN-B bonds
+
+# Calculate bond quotation (base 100)
+ntnb.quotation("31-05-2024", "15-05-2035", 0.061490)  # -> 99.3651
+ntnb.quotation("31-05-2024", "15-08-2060", 0.061878)  # -> 99.5341
+
+# DI spreads (bps=True multiplies by 10,000)
+ntnf.di_spreads("30-05-2025", bps=True)
+# -> DataFrame: BondType, MaturityDate, DISpread
+```
+
+## Futures Data
+
+```python
+from pyield import futures
+
+# DI1 (Interbank Deposit Futures)
+futures("31-05-2024", "DI1")
+
+# Other contracts: DDI, FRC, DAP, DOL, WDO, IND, WIN
+futures("31-05-2024", "DAP")
+
+# Intraday data (when market is open)
+futures("16-01-2025", "DI1")  # Returns live data if called during trading hours
+```
+
+## Date Handling
+
+PYield accepts flexible date inputs (`DateLike`):
+- Strings: `"31-05-2024"`, `"31/05/2024"`, `"2024-05-31"`
+- `datetime.date`, `datetime.datetime`
+- `pandas.Timestamp`, `numpy.datetime64`
+
+Scalar functions return `datetime.date`. Vectorized functions return `polars.Series`.
+
+Null handling: scalar functions return `float('nan')` for missing inputs (propagates through calculations). Vectorized functions propagate `null` element-wise.
+
+```python
+from pyield import ntnb, bday
+
+ntnb.quotation(None, "15-05-2035", 0.06149)  # -> nan
+bday.count(["01-01-2024", None], "01-02-2024")  # -> Series: [22, null]
+```
+
+## Polars Migration (v0.40.0+)
+
+All functions return **Polars DataFrames/Series**. To convert to Pandas:
+
+```python
+df_pandas = df.to_pandas(use_pyarrow_extension_array=True)
+```
+
+## Documentation
+
+Full documentation: [crdcj.github.io/PYield](https://crdcj.github.io/PYield/)
+
+## Tests
+
+```sh
+pytest pyield --doctest-modules
+```

pyield-0.42.5/README.md

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+[![PyPI version](https://img.shields.io/pypi/v/pyield.svg)](https://pypi.python.org/pypi/pyield)
+[![Made with Python](https://img.shields.io/badge/Python->=3.12-blue?logo=python&logoColor=white)](https://python.org "Go to Python homepage")
+[![License](https://img.shields.io/badge/License-MIT-blue)](https://github.com/crdcj/PYield/blob/main/LICENSE)
+
+# PYield: Brazilian Fixed Income Toolkit
+
+PYield is a Python library for analyzing Brazilian fixed income instruments. It fetches and processes data from ANBIMA, BCB, IBGE and B3, returning Polars DataFrames for fast, type-safe data pipelines.
+
+## Installation
+
+```sh
+pip install pyield
+```
+
+## Quick Start
+
+```python
+import pyield as yd
+
+# Business days (foundation of all calculations)
+yd.bday.count("02-01-2025", "15-01-2025")  # -> 9
+yd.bday.offset("29-12-2023", 1)            # -> datetime.date(2024, 1, 2)
+
+# DI Futures curve
+df = yd.futures("31-05-2024", "DI1")
+# Columns: TradeDate, TickerSymbol, ExpirationDate, BDaysToExp, SettlementRate, ...
+
+# Rate interpolation (flat forward, 252 bdays/year convention)
+interp = yd.Interpolator("flat_forward", df["BDaysToExp"], df["SettlementRate"])
+interp(45)       # -> 0.04833...
+interp([30, 60]) # -> pl.Series with interpolated rates
+
+# Treasury bond pricing
+yd.ntnb.quotation("31-05-2024", "15-05-2035", 0.061490)  # -> 99.3651
+
+# BCB indicators
+yd.bc.selic_over("31-05-2024")  # -> 0.000414...
+```
+
+A Colab notebook with more examples is available:
+
+[![Open In Colab](https://colab.research.google.com/assets/colab-badge.svg)](https://colab.research.google.com/github/crdcj/PYield/blob/main/examples/pyield_quickstart.ipynb)
+
+## Core Building Blocks
+
+### Business Days (`bday`)
+
+The `bday` module is the foundation of PYield. All date calculations (pricing, duration, forward rates) depend on accurate business day counting with Brazilian holidays.
+
+```python
+from pyield import bday
+
+# Count business days (start inclusive, end exclusive)
+bday.count("29-12-2023", "02-01-2024")  # -> 1
+
+# Offset by N business days
+bday.offset("29-12-2023", 1)  # -> datetime.date(2024, 1, 2)
+
+# Adjust non-business day to next business day
+bday.offset("30-12-2023", 0)  # -> datetime.date(2024, 1, 2)
+
+# Generate business day range
+bday.generate("22-12-2023", "02-01-2024")
+# -> Series: [2023-12-22, 2023-12-26, 2023-12-27, 2023-12-28, 2023-12-29, 2024-01-02]
+
+# Check if date is business day
+bday.is_business_day("25-12-2023")  # -> False (Christmas)
+```
+
+All functions support vectorized operations with lists, Series, or arrays.
+
+### Rate Interpolation (`Interpolator`)
+
+The `Interpolator` class interpolates interest rates using the 252 business days/year convention standard in Brazil.
+
+```python
+from pyield import Interpolator
+
+known_bdays = [30, 60, 90]
+known_rates = [0.045, 0.05, 0.055]
+
+# Flat forward interpolation (market standard)
+interp = Interpolator("flat_forward", known_bdays, known_rates)
+interp(45)  # -> 0.04833...
+
+# Linear interpolation
+linear = Interpolator("linear", known_bdays, known_rates)
+linear(45)  # -> 0.0475
+
+# Vectorized
+interp([15, 45, 75])  # -> pl.Series with 3 rates
+
+# Extrapolation (disabled by default, returns NaN)
+interp(100)  # -> nan
+Interpolator("flat_forward", known_bdays, known_rates, extrapolate=True)(100)  # -> 0.055
+```
+
+### Forward Rates (`forward`, `forwards`)
+
+Calculate forward rates from spot curves:
+
+```python
+from pyield import forward, forwards
+
+# Single forward rate between two points
+forward(bday1=10, bday2=20, rate1=0.05, rate2=0.06)  # -> 0.0700952...
+
+# Vectorized forward curve from spot rates
+bdays = [10, 20, 30]
+rates = [0.05, 0.06, 0.07]
+forwards(bdays, rates)  # -> Series: [0.05, 0.070095, 0.090284]
+```
+
+## Modules Overview
+
+| Module | Purpose |
+|--------|---------|
+| `bday` | Business day calendar with Brazilian holidays |
+| `futures` | B3 futures data (DI1, DDI, FRC, DAP, DOL, WDO, IND, WIN) |
+| `Interpolator` | Rate interpolation (flat_forward, linear) |
+| `forward` / `forwards` | Forward rate calculation |
+| `ltn`, `ntnb`, `ntnf`, `lft`, `ntnc` | Treasury bond pricing and analytics |
+| `anbima` | ANBIMA data (TPF prices, yield curves, IMA indices) |
+| `bc` | BCB indicators (SELIC, PTAX, repo rates, VNA) |
+| `ipca` | Inflation data (historical and projections) |
+| `today` / `now` | Current date/time in Brazil (America/Sao_Paulo) |
+
+## Treasury Bonds
+
+```python
+from pyield import ltn, ntnb, ntnf
+
+# Fetch ANBIMA indicative rates
+ltn.data("23-08-2024")   # -> DataFrame with LTN bonds
+ntnb.data("23-08-2024")  # -> DataFrame with NTN-B bonds
+
+# Calculate bond quotation (base 100)
+ntnb.quotation("31-05-2024", "15-05-2035", 0.061490)  # -> 99.3651
+ntnb.quotation("31-05-2024", "15-08-2060", 0.061878)  # -> 99.5341
+
+# DI spreads (bps=True multiplies by 10,000)
+ntnf.di_spreads("30-05-2025", bps=True)
+# -> DataFrame: BondType, MaturityDate, DISpread
+```
+
+## Futures Data
+
+```python
+from pyield import futures
+
+# DI1 (Interbank Deposit Futures)
+futures("31-05-2024", "DI1")
+
+# Other contracts: DDI, FRC, DAP, DOL, WDO, IND, WIN
+futures("31-05-2024", "DAP")
+
+# Intraday data (when market is open)
+futures("16-01-2025", "DI1")  # Returns live data if called during trading hours
+```
+
+## Date Handling
+
+PYield accepts flexible date inputs (`DateLike`):
+- Strings: `"31-05-2024"`, `"31/05/2024"`, `"2024-05-31"`
+- `datetime.date`, `datetime.datetime`
+- `pandas.Timestamp`, `numpy.datetime64`
+
+Scalar functions return `datetime.date`. Vectorized functions return `polars.Series`.
+
+Null handling: scalar functions return `float('nan')` for missing inputs (propagates through calculations). Vectorized functions propagate `null` element-wise.
+
+```python
+from pyield import ntnb, bday
+
+ntnb.quotation(None, "15-05-2035", 0.06149)  # -> nan
+bday.count(["01-01-2024", None], "01-02-2024")  # -> Series: [22, null]
+```
+
+## Polars Migration (v0.40.0+)
+
+All functions return **Polars DataFrames/Series**. To convert to Pandas:
+
+```python
+df_pandas = df.to_pandas(use_pyarrow_extension_array=True)
+```
+
+## Documentation
+
+Full documentation: [crdcj.github.io/PYield](https://crdcj.github.io/PYield/)
+
+## Tests
+
+```sh
+pytest pyield --doctest-modules
+```

pyield-0.42.5/pyield/__about__.py

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+__version__ = "0.42.5"

pyield-0.42.5/pyield/__init__.py

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+import logging
+
+from pyield import anbima, b3, bc, bday, ipca, tn
+from pyield.__about__ import __version__
+from pyield.b3 import di1, futures
+from pyield.clock import now, today
+from pyield.fwd import forward, forwards
+from pyield.interpolator import Interpolator
+from pyield.tn import lft, ltn, ntnb, ntnb1, ntnbprinc, ntnc, ntnf, pre
+
+__all__ = [
+    "__version__",
+    "anbima",
+    "bc",
+    "b3",
+    "ipca",
+    "tn",
+    "bday",
+    "di1",
+    "forwards",
+    "forward",
+    "futures",
+    "Interpolator",
+    "today",
+    "now",
+    "lft",
+    "ltn",
+    "ntnb",
+    "ntnbprinc",
+    "ntnb1",
+    "ntnc",
+    "ntnf",
+    "pre",
+    "bday",
+]
+
+# Configura o logger do pacote principal com um NullHandler
+logging.getLogger(__name__).addHandler(logging.NullHandler())

pyield-0.42.5/pyield/anbima/__init__.py

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+from pyield.anbima.difusao import tpf_difusao
+from pyield.anbima.ettj_intraday import intraday_ettj
+from pyield.anbima.ettj_last import last_ettj
+from pyield.anbima.ima import last_ima
+from pyield.anbima.imaq import imaq
+from pyield.anbima.tpf import tpf_data, tpf_maturities
+
+__all__ = [
+    "last_ima",
+    "imaq",
+    "tpf_data",
+    "tpf_maturities",
+    "last_ettj",
+    "intraday_ettj",
+    "tpf_difusao",
+]