tea-bond 0.3.6__cp310-abi3-win_amd64.whl → 0.3.8__cp310-abi3-win_amd64.whl

pybond/pd.py

@@ -4,6 +4,7 @@ import pandas as pd
 import polars as pl
 
 from .pl import Bonds as PlBonds
+from .pl import Futures as PlFutures
 from .pl import TfEvaluators as PlTfEvaluators
 
 
@@ -51,7 +52,6 @@ class TfEvaluators:
             }
         )
         self._evaluators = PlTfEvaluators(reinvest_rate=reinvest_rate)
-        # self.reinvest_rate = reinvest_rate
 
     @property
     def net_basis_spread(self):
@@ -258,6 +258,30 @@ class TfEvaluators:
             "remain_cp_num"
         ].to_pandas()
 
+    @property
+    def deliver_date(self):
+        """
+        Calculate delivery date (交割日).
+
+        Returns:
+            pd.Series: Delivery date values
+        """
+        return self.pl_df.select(deliver_date=self._evaluators.deliver_date)[
+            "deliver_date"
+        ].to_pandas()
+
+    @property
+    def last_trading_date(self):
+        """
+        Calculate last trading date (最后交易日).
+
+        Returns:
+            pd.Series: Last trading date values
+        """
+        return self.pl_df.select(last_trading_date=self._evaluators.last_trading_date)[
+            "last_trading_date"
+        ].to_pandas()
+
 
 class Bonds:
     """
@@ -355,6 +379,41 @@ class Bonds:
         ].to_pandas()
 
 
+class Futures:
+    def __init__(self, future: str | pd.Series):
+        self.future = future
+
+    def deliver_date(self):
+        """
+        Calculate delivery date (交割日).
+
+        Args:
+            date: Evaluation date(s)
+
+        Returns:
+            pd.Series: Delivery date values
+        """
+        df = pl.DataFrame({"future": self.future})
+        return df.select(deliver_date=PlFutures("future").deliver_date())[
+            "deliver_date"
+        ].to_pandas()
+
+    def last_trading_date(self):
+        """
+        Calculate last trading date (最后交易日).
+
+        Args:
+            date: Evaluation date(s)
+
+        Returns:
+            pd.Series: Last trading date values
+        """
+        df = pl.DataFrame({"future": self.future})
+        return df.select(last_trading_date=PlFutures("future").last_trading_date())[
+            "last_trading_date"
+        ].to_pandas()
+
+
 def find_workday(date: str | pd.Series, market: str, offset: int = 0):
     """
     Find the workday based on the given date and market calendar.

pybond/pl.py

@@ -38,6 +38,8 @@ class TfEvaluators:
         """
         if future is None:
             future = pl.lit(None).cast(str)
+        if bond is None:
+            bond = pl.lit(None).cast(str)
         self.future = parse_into_expr(future)
         self.bond = parse_into_expr(bond)
         self.date = parse_into_expr(date)
@@ -239,6 +241,26 @@ class TfEvaluators:
         """
         return self._call_plugin("evaluators_remain_cp_num")
 
+    @property
+    def deliver_date(self):
+        """
+        Calculate delivery date (交割日).
+
+        Returns:
+            Polars expression for delivery date
+        """
+        return self._call_plugin("evaluators_deliver_date")
+
+    @property
+    def last_trading_date(self):
+        """
+        Calculate last trading date (最后交易日).
+
+        Returns:
+            Polars expression for last trading date
+        """
+        return self._call_plugin("evaluators_last_trading_date")
+
 
 class Bonds:
     """
@@ -346,6 +368,61 @@ class Bonds:
     # TODO(Teamon): 实现向量化根据净价反推ytm的函数
 
 
+class Futures:
+    def __init__(self, future: IntoExpr = "symbol"):
+        """
+        Initialize Futures with future identifier.
+
+        Args:
+            future: Future code column expression (default: "symbol")
+        """
+        self.future = future
+
+    def _evaluator(self, date: IntoExpr | None = None) -> TfEvaluators:
+        """
+        Create a TfEvaluators instance for future-only calculations.
+
+        Args:
+            date: Evaluation date column expression
+
+        Returns:
+            TfEvaluators: Configured evaluator instance
+        """
+        return TfEvaluators(
+            future=self.future,
+            bond=None,
+            date=date,
+            bond_ytm=None,
+            future_price=None,
+            capital_rate=None,
+            reinvest_rate=None,
+        )
+
+    def deliver_date(self):
+        """
+        Calculate delivery date (交割日).
+
+        Args:
+            date: Evaluation date column expression
+
+        Returns:
+            Polars expression for delivery date
+        """
+        return self._evaluator().deliver_date
+
+    def last_trading_date(self):
+        """
+        Calculate last trading date (最后交易日).
+
+        Args:
+            date: Evaluation date column expression
+
+        Returns:
+            Polars expression for last trading date
+        """
+        return self._evaluator().last_trading_date
+
+
 def find_workday(date: IntoExpr, market: str | Ib | Sse, offset: int = 0):
     """
     Find the workday based on the given date and market calendar.

pybond/pnl.py

@@ -9,6 +9,52 @@ if TYPE_CHECKING:
 from .polars_utils import parse_into_expr, register_plugin
 
 
+class Fee:
+    """Represents a fee for a trade."""
+
+    def __init__(self, fee_str: str = ""):
+        self.str = fee_str
+
+    def __add__(self, other: Fee) -> Fee:
+        return Fee(self.str + "+" + other.str)
+
+    def __radd__(self, other: Fee) -> Fee:
+        return Fee(other.str + "+" + self.str)
+
+    @staticmethod
+    def trade(fee) -> TradeFee:
+        return TradeFee(fee)
+
+    @staticmethod
+    def qty(fee) -> QtyFee:
+        return QtyFee(fee)
+
+    @staticmethod
+    def percent(fee) -> PercentFee:
+        return PercentFee(fee)
+
+
+class TradeFee(Fee):
+    """Represents a fixed fee for a trade."""
+
+    def __init__(self, fee: float):
+        self.str = f"Trade({fee})"
+
+
+class QtyFee(Fee):
+    """Represents a fee based on the quantity of a trade."""
+
+    def __init__(self, fee: float):
+        self.str = f"Qty({fee})"
+
+
+class PercentFee(Fee):
+    """Represents a fee based on a percentage of the trade amount."""
+
+    def __init__(self, fee: float):
+        self.str = f"Percent({fee})"
+
+
 def calc_bond_trade_pnl(
     settle_time: IntoExpr,
     qty: IntoExpr,
@@ -17,11 +63,13 @@ def calc_bond_trade_pnl(
     symbol: str = "",
     bond_info_path: str | None = None,
     multiplier: float = 1,
-    c_rate: float = 0,
+    fee: str | Fee = "",
     borrowing_cost: float = 0,
     capital_rate: float = 0,
     begin_state=None,
 ) -> pl.Expr:
+    if isinstance(fee, Fee):
+        fee = fee.str
     settle_time = parse_into_expr(settle_time)
     qty = parse_into_expr(qty)
     clean_price = parse_into_expr(clean_price)
@@ -41,11 +89,12 @@ def calc_bond_trade_pnl(
             "unrealized_pnl": 0,
             "coupon_paid": 0,
             "amt": 0,
+            "fee": 0,
         }
     kwargs = {
         "symbol": symbol,
         "multiplier": multiplier,
-        "c_rate": c_rate,
+        "fee": fee,
         "borrowing_cost": borrowing_cost,
         "capital_rate": capital_rate,
         "begin_state": begin_state,

{tea_bond-0.3.6.dist-info → tea_bond-0.3.8.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: tea-bond
-Version: 0.3.6
+Version: 0.3.8
 Classifier: Programming Language :: Rust
 Classifier: Programming Language :: Python :: Implementation :: CPython
 Classifier: Programming Language :: Python :: Implementation :: PyPy

{tea_bond-0.3.6.dist-info → tea_bond-0.3.8.dist-info}/RECORD

@@ -15,12 +15,12 @@ pybond/nb/nb_datetime.py,sha256=sg3Vmg2n2P_A186QgOGSOKBq-Tr72ht_Yw064yYrWXE,1067
 pybond/nb/nb_duration.py,sha256=bndVSHdG_yV0_vEWeAHd9Lq_UQ-8nkPnEC9cN2A2ca4,1709
 pybond/nb/nb_evaluators.py,sha256=GBsW3UuGf8iVUWr2DTISXzdYoGV5ITEOVFJivBNmWkc,15544
 pybond/nb/nb_time.py,sha256=5KNrWYcPwZUHoxvZKvh3qdhjB0DjRkxbUzONSv6OfhY,8928
-pybond/pd.py,sha256=SzHyXRRm7CbytyQ4FCwwM4FazkjXwJLX5y-MZniCbi8,11985
-pybond/pl.py,sha256=DzI2YcCqQICKeeQxjjxwcWVBJBiwBjLpuCg_KHHs45s,11680
-pybond/pnl.py,sha256=eka1Yl_dO_BcflEuTO_EdrfEeRUm3WwIPKswNzOQYfc,1627
+pybond/pd.py,sha256=SSQdg4hzc9dLN53ICTI65UyAEkAvKnAt98u9EX09IqM,13575
+pybond/pl.py,sha256=kB0rxuJjZnD8tm_c5Vmy6iGxmstaB51qzr65M9vR4sA,13706
+pybond/pnl.py,sha256=RXC5GnQckD4LmTjgPwCePB-3GxsQ4liu0TW6hSdudLE,2752
 pybond/polars_utils.py,sha256=020Dy-l6v_NF-y7LXcKyJmWGAgH59NAxWKvjfnJO1tY,2663
-pybond/pybond.pyd,sha256=LIXFm_Dn1z8BHcw83W7JtaAQAUpLbQmI2wD_He4Ymvs,23506944
+pybond/pybond.pyd,sha256=mvYdCwkfJP-GuHltpv2c-Sn8GepMZ5QvEU-PAeUCJd0,23558656
 pybond/pybond.pyi,sha256=qzOfqoysuUW7rnZYxEmGEJXK_UrCjMvQ29Y_mJOBN1Y,11621
-tea_bond-0.3.6.dist-info/METADATA,sha256=bE4jcL34IITAPfiDtrul27hgpgLBxDn2m8KxscZgANw,258
-tea_bond-0.3.6.dist-info/WHEEL,sha256=G8mq-RexZGAfbjW58CyHDPQ4EbuJINRXbIh22TbaFhw,95
-tea_bond-0.3.6.dist-info/RECORD,,
+tea_bond-0.3.8.dist-info/METADATA,sha256=iFDD8dsw7ptVOSC_aR1cOepgVmUCQVxGKW423JB2BKU,258
+tea_bond-0.3.8.dist-info/WHEEL,sha256=G8mq-RexZGAfbjW58CyHDPQ4EbuJINRXbIh22TbaFhw,95
+tea_bond-0.3.8.dist-info/RECORD,,