From b34c136036a0063cfe1dbb9a1e6c83305110cbdf Mon Sep 17 00:00:00 2001 From: Evgeny Pogrebnyak Date: Mon, 3 Oct 2022 00:23:29 +0300 Subject: [PATCH] Yield curves for #9 and #10 --- example.py | 11 + finec/__init__.py | 2 - finec/yield_curve.py | 52 +- poetry.lock | 4444 +++++++++++++++---------------------- pyproject.toml | 1 + tests/test_finec.py | 5 - tests/test_yield_curve.py | 31 +- 7 files changed, 1870 insertions(+), 2676 deletions(-) delete mode 100644 tests/test_finec.py diff --git a/example.py b/example.py index 6255e78..3db665c 100644 --- a/example.py +++ b/example.py @@ -131,3 +131,14 @@ def bonds_dataframe(): CURRENCIES # %% + +from finec.yield_curve import YieldCurve, get_yields_from_cbr + +y = YieldCurve("2022-09-28") +r1 = y.rate(t=1) +# 830.2383903307176 + +rs = get_yields_from_cbr("2022-09-28") +# {'0.25': 8.2, '0.50': 8.19, '0.75': 8.23, '1.00': 8.3, '2.00': 8.74, '3.00': 9.22, '5.00': 9.91, '7.00': 10.27, '10.00': 10.5, '15.00': 10.69, '20.00': 10.8, '30.00': 10.9} + +# %% diff --git a/finec/__init__.py b/finec/__init__.py index c0c1e44..e69de29 100644 --- a/finec/__init__.py +++ b/finec/__init__.py @@ -1,2 +0,0 @@ -def start(): - return 1 diff --git a/finec/yield_curve.py b/finec/yield_curve.py index 1a29e1d..4f7d13b 100644 --- a/finec/yield_curve.py +++ b/finec/yield_curve.py @@ -7,7 +7,7 @@ from dataclasses import dataclass import numpy as np from finec.moex import Endpoint - +from typing import Dict, Optional #%% a1 = 0 @@ -15,26 +15,26 @@ k = 1.6 -def a(n: int): +def fa(n: int): if n == 1: return a1 if n == 2: return a2 - return a(n - 1) + a(2) * k ** (n - 2) + return fa(n - 1) + fa(2) * k ** (n - 2) -def b(n: int): +def fb(n: int): if n == 1: - return a(2) + return fa(2) else: - return b(n - 1) * k + return fb(n - 1) * k def s(t, params): res = 0 for i in range(1, 9 + 1): g = params[f"g{i}"] - res += g * np.exp(-((t - a(i)) ** 2) / b(i) ** 2) + res += g * np.exp(-((t - fa(i)) ** 2) / fb(i) ** 2) return res @@ -65,3 +65,41 @@ def yield_curve(date: str, t: float): params = yield_curve_parameters(date)[-1] return Y(t, params) + +@dataclass +class YieldCurve: + iso_date: str + params: Optional[Dict] = None + + def __post_init__(self): + self.params = yield_curve_parameters(self.iso_date) + + @property + def last(self): + return self.params[-1] + + def rate(self, t: float): + return Y(t, self.last) + + +#%% +import pandas as pd +from datetime import datetime + + +def make_date(iso_date: str): + return datetime.strptime(iso_date, "%Y-%m-%d").strftime("%d.%m.%Y") + + +def make_url(iso_date: str): + return "https://www.cbr.ru/hd_base/zcyc_params/zcyc/?DateTo={}".format( + make_date(iso_date) + ) + + +def get_yields_from_cbr(iso_date: str) -> Dict[str, float]: + df = pd.read_html(make_url(iso_date))[0] + return df.iloc[:, 1:].T.to_dict()[0] + + +# %% diff --git a/poetry.lock b/poetry.lock index 1626d74..1ba3a4f 100644 --- a/poetry.lock +++ b/poetry.lock @@ -1,2660 +1,1784 @@ -[[package]] -name = "altair" -version = "4.2.0" -description = "Altair: A declarative statistical visualization library for Python." -category = "dev" -optional = false -python-versions = ">=3.7" - 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deleted file mode 100644 index 0a55362..0000000 --- a/tests/test_finec.py +++ /dev/null @@ -1,5 +0,0 @@ -from finec import start - - -def test_start(): - assert start() == 1 diff --git a/tests/test_yield_curve.py b/tests/test_yield_curve.py index 50c9b50..8b71d71 100644 --- a/tests/test_yield_curve.py +++ b/tests/test_yield_curve.py @@ -1,4 +1,4 @@ -from finec.yield_curve import Y, yield_curve +from finec.yield_curve import Y, yield_curve, get_yields_from_cbr, make_date, YieldCurve params = { "tradedate": "2022-09-28", @@ -18,8 +18,35 @@ "g9": 0.0, } + def test_Y(): - assert round(Y(1, params),2) == 830.24 + assert round(Y(1, params), 2) == 830.24 + def test_yield_curve(): assert round(yield_curve("2022-09-28", 1), 2) == 830.24 + + +def test_YieldCurve(): + assert round(YieldCurve("2022-09-28").rate(t=1), 2) == 830.24 + + +def test_make_date(): + assert make_date("2022-09-28") == "28.09.2022" + + +def test_get_yields_from_cbr(): + assert get_yields_from_cbr("2022-09-28") == { + "0.25": 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