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LFT

data(date)

Fetch the LFT indicative rates for the given reference date from ANBIMA.

Parameters:

Name Type Description Default
date DateLike

The reference date for fetching the data.

 required

Returns:

Type Description
DataFrame

pl.DataFrame: DataFrame containing the following columns: - ReferenceDate: The reference date for the data. - BondType: The type of bond. - MaturityDate: The maturity date of the LFT bond. - IndicativeRate: The Anbima indicative rate for the LFT bond. - Price: The price of the LFT bond.

Examples:

>>> from pyield import lft
>>> lft.data("23-08-2024")
shape: (14, 14)
┌───────────────┬──────────┬───────────┬───────────────┬───┬───────────┬───────────┬────────────────┬──────────┐
│ ReferenceDate ┆ BondType ┆ SelicCode ┆ IssueBaseDate ┆ … ┆ BidRate   ┆ AskRate   ┆ IndicativeRate ┆ DIRate   │
│ ---           ┆ ---      ┆ ---       ┆ ---           ┆   ┆ ---       ┆ ---       ┆ ---            ┆ ---      │
│ date          ┆ str      ┆ i64       ┆ date          ┆   ┆ f64       ┆ f64       ┆ f64            ┆ f64      │
╞═══════════════╪══════════╪═══════════╪═══════════════╪═══╪═══════════╪═══════════╪════════════════╪══════════╡
│ 2024-08-23    ┆ LFT      ┆ 210100    ┆ 2000-07-01    ┆ … ┆ 0.000306  ┆ 0.000226  ┆ 0.000272       ┆ 0.10408  │
│ 2024-08-23    ┆ LFT      ┆ 210100    ┆ 2000-07-01    ┆ … ┆ -0.000397 ┆ -0.000481 ┆ -0.000418      ┆ 0.11082  │
│ 2024-08-23    ┆ LFT      ┆ 210100    ┆ 2000-07-01    ┆ … ┆ -0.000205 ┆ -0.000258 ┆ -0.00023       ┆ 0.114315 │
│ 2024-08-23    ┆ LFT      ┆ 210100    ┆ 2000-07-01    ┆ … ┆ 0.000085  ┆ 0.00006   ┆ 0.000075       ┆ 0.114982 │
│ 2024-08-23    ┆ LFT      ┆ 210100    ┆ 2000-07-01    ┆ … ┆ 0.000124  ┆ 0.000097  ┆ 0.000114       ┆ 0.114955 │
│ …             ┆ …        ┆ …         ┆ …             ┆ … ┆ …         ┆ …         ┆ …              ┆ …        │
│ 2024-08-23    ┆ LFT      ┆ 210100    ┆ 2000-07-01    ┆ … ┆ 0.001501  ┆ 0.001476  ┆ 0.001491       ┆ 0.11564  │
│ 2024-08-23    ┆ LFT      ┆ 210100    ┆ 2000-07-01    ┆ … ┆ 0.001597  ┆ 0.001571  ┆ 0.001587       ┆ 0.115773 │
│ 2024-08-23    ┆ LFT      ┆ 210100    ┆ 2000-07-01    ┆ … ┆ 0.001601  ┆ 0.001574  ┆ 0.001591       ┆ 0.115904 │
│ 2024-08-23    ┆ LFT      ┆ 210100    ┆ 2000-07-01    ┆ … ┆ 0.001649  ┆ 0.001627  ┆ 0.001641       ┆ 0.115854 │
│ 2024-08-23    ┆ LFT      ┆ 210100    ┆ 2000-07-01    ┆ … ┆ 0.001696  ┆ 0.00168   ┆ 0.001687       ┆ 0.115806 │
└───────────────┴──────────┴───────────┴───────────────┴───┴───────────┴───────────┴────────────────┴──────────┘
Source code in pyield/tn/lft.py 
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def data(date: DateLike) -> pl.DataFrame:
    """
    Fetch the LFT indicative rates for the given reference date from ANBIMA.

    Args:
        date (DateLike): The reference date for fetching the data.

    Returns:
        pl.DataFrame: DataFrame containing the following columns:
            - ReferenceDate: The reference date for the data.
            - BondType: The type of bond.
            - MaturityDate: The maturity date of the LFT bond.
            - IndicativeRate: The Anbima indicative rate for the LFT bond.
            - Price: The price of the LFT bond.

    Examples:
        >>> from pyield import lft
        >>> lft.data("23-08-2024")
        shape: (14, 14)
        ┌───────────────┬──────────┬───────────┬───────────────┬───┬───────────┬───────────┬────────────────┬──────────┐
        │ ReferenceDate ┆ BondType ┆ SelicCode ┆ IssueBaseDate ┆ … ┆ BidRate   ┆ AskRate   ┆ IndicativeRate ┆ DIRate   │
        │ ---           ┆ ---      ┆ ---       ┆ ---           ┆   ┆ ---       ┆ ---       ┆ ---            ┆ ---      │
        │ date          ┆ str      ┆ i64       ┆ date          ┆   ┆ f64       ┆ f64       ┆ f64            ┆ f64      │
        ╞═══════════════╪══════════╪═══════════╪═══════════════╪═══╪═══════════╪═══════════╪════════════════╪══════════╡
        │ 2024-08-23    ┆ LFT      ┆ 210100    ┆ 2000-07-01    ┆ … ┆ 0.000306  ┆ 0.000226  ┆ 0.000272       ┆ 0.10408  │
        │ 2024-08-23    ┆ LFT      ┆ 210100    ┆ 2000-07-01    ┆ … ┆ -0.000397 ┆ -0.000481 ┆ -0.000418      ┆ 0.11082  │
        │ 2024-08-23    ┆ LFT      ┆ 210100    ┆ 2000-07-01    ┆ … ┆ -0.000205 ┆ -0.000258 ┆ -0.00023       ┆ 0.114315 │
        │ 2024-08-23    ┆ LFT      ┆ 210100    ┆ 2000-07-01    ┆ … ┆ 0.000085  ┆ 0.00006   ┆ 0.000075       ┆ 0.114982 │
        │ 2024-08-23    ┆ LFT      ┆ 210100    ┆ 2000-07-01    ┆ … ┆ 0.000124  ┆ 0.000097  ┆ 0.000114       ┆ 0.114955 │
        │ …             ┆ …        ┆ …         ┆ …             ┆ … ┆ …         ┆ …         ┆ …              ┆ …        │
        │ 2024-08-23    ┆ LFT      ┆ 210100    ┆ 2000-07-01    ┆ … ┆ 0.001501  ┆ 0.001476  ┆ 0.001491       ┆ 0.11564  │
        │ 2024-08-23    ┆ LFT      ┆ 210100    ┆ 2000-07-01    ┆ … ┆ 0.001597  ┆ 0.001571  ┆ 0.001587       ┆ 0.115773 │
        │ 2024-08-23    ┆ LFT      ┆ 210100    ┆ 2000-07-01    ┆ … ┆ 0.001601  ┆ 0.001574  ┆ 0.001591       ┆ 0.115904 │
        │ 2024-08-23    ┆ LFT      ┆ 210100    ┆ 2000-07-01    ┆ … ┆ 0.001649  ┆ 0.001627  ┆ 0.001641       ┆ 0.115854 │
        │ 2024-08-23    ┆ LFT      ┆ 210100    ┆ 2000-07-01    ┆ … ┆ 0.001696  ┆ 0.00168   ┆ 0.001687       ┆ 0.115806 │
        └───────────────┴──────────┴───────────┴───────────────┴───┴───────────┴───────────┴────────────────┴──────────┘
    """  # noqa: E501
    return anbima.tpf_data(date, "LFT")

maturities(date)

Fetch the bond maturities available for the given reference date.

Parameters:

Name Type Description Default
date DateLike

The reference date for fetching the data.

 required

Returns:

Type Description
Series

pl.Series: A Series of bond maturities available for the reference date.

Examples:

>>> from pyield import lft
>>> lft.maturities("22-08-2024")
shape: (14,)
Series: 'MaturityDate' [date]
[
    2024-09-01
    2025-03-01
    2025-09-01
    2026-03-01
    2026-09-01
    …
    2029-03-01
    2029-09-01
    2030-03-01
    2030-06-01
    2030-09-01
]
Source code in pyield/tn/lft.py 
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def maturities(date: DateLike) -> pl.Series:
    """
    Fetch the bond maturities available for the given reference date.

    Args:
        date (DateLike): The reference date for fetching the data.

    Returns:
        pl.Series: A Series of bond maturities available for the reference date.

    Examples:
        >>> from pyield import lft
        >>> lft.maturities("22-08-2024")
        shape: (14,)
        Series: 'MaturityDate' [date]
        [
            2024-09-01
            2025-03-01
            2025-09-01
            2026-03-01
            2026-09-01
            …
            2029-03-01
            2029-09-01
            2030-03-01
            2030-06-01
            2030-09-01
        ]
    """
    return data(date)["MaturityDate"]

premium(lft_rate, di_rate)

Calculate the premium of the LFT bond over the DI Futures rate.

Parameters:

Name Type Description Default
lft_rate float

The annualized trading rate over the selic rate for the bond.

 required
di_rate float

The DI Futures annualized yield rate (interpolated to the same maturity as the LFT).

 required

Returns:

Name Type Description
float float

The premium of the LFT bond over the DI Futures rate.

Examples:

Calculate the premium of a LFT in 28/04/2025

>>> from pyield import lft
>>> lft_rate = 0.001124  # 0.1124%
>>> di_rate = 0.13967670224373396  # 13.967670224373396%
>>> lft.premium(lft_rate, di_rate)
1.008594331960501
Source code in pyield/tn/lft.py 
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def premium(lft_rate: float, di_rate: float) -> float:
    """
    Calculate the premium of the LFT bond over the DI Futures rate.

    Args:
        lft_rate (float): The annualized trading rate over the selic rate for the bond.
        di_rate (float): The DI Futures annualized yield rate (interpolated to the same
            maturity as the LFT).

    Returns:
        float: The premium of the LFT bond over the DI Futures rate.

    Examples:
        Calculate the premium of a LFT in 28/04/2025
        >>> from pyield import lft
        >>> lft_rate = 0.001124  # 0.1124%
        >>> di_rate = 0.13967670224373396  # 13.967670224373396%
        >>> lft.premium(lft_rate, di_rate)
        1.008594331960501
    """
    if has_nullable_args(lft_rate, di_rate):
        return float("nan")
    # daily rate
    ltt_factor = (lft_rate + 1) ** (1 / 252)
    di_factor = (di_rate + 1) ** (1 / 252)
    return (ltt_factor * di_factor - 1) / (di_factor - 1)

price(vna, quotation)

Calculate the LFT price using Brazilian Treasury rules.

Parameters:

Name Type Description Default
vna float

The nominal value of the LFT bond.

 required
quotation float

The LFT quotation in base 100.

 required

Returns: float: The LFT price truncated to 6 decimal places.

References
  • SEI Proccess 17944.005214/2024-09

Examples:

>>> from pyield import lft
>>> lft.price(15785.324502, 99.9291)
15774.132706
Source code in pyield/tn/lft.py 
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def price(
    vna: float,
    quotation: float,
) -> float:
    """
    Calculate the LFT price using Brazilian Treasury rules.

    Args:
        vna (float): The nominal value of the LFT bond.
        quotation (float): The LFT quotation in base 100.
    Returns:
        float: The LFT price truncated to 6 decimal places.

    References:
         - SEI Proccess 17944.005214/2024-09

    Examples:
        >>> from pyield import lft
        >>> lft.price(15785.324502, 99.9291)
        15774.132706
    """
    if has_nullable_args(vna, quotation):
        return float("nan")
    return tools.truncate(vna * quotation / 100, 6)

quotation(settlement, maturity, rate)

Calculate the quotation of a LFT bond using Anbima rules.

Parameters:

Name Type Description Default
settlement DateLike

The settlement date of the bond.

 required
maturity DateLike

The maturity date of the bond.

 required
rate float

The annualized yield rate of the bond

 required

Returns:

Name Type Description
float float

The quotation of the bond.

Examples:

Calculate the quotation of a LFT bond with a 0.02 yield rate:

>>> from pyield import lft
>>> lft.quotation(
...     settlement="24-07-2024",
...     maturity="01-09-2030",
...     rate=0.001717,  # 0.1717%
... )
98.9645

Nullable inputs return float('nan'):

>>> lft.quotation(settlement=None, maturity="01-09-2030", rate=0.001717)
nan
Source code in pyield/tn/lft.py 
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def quotation(
    settlement: DateLike,
    maturity: DateLike,
    rate: float,
) -> float:
    """
    Calculate the quotation of a LFT bond using Anbima rules.

    Args:
        settlement (DateLike): The settlement date of the bond.
        maturity (DateLike): The maturity date of the bond.
        rate (float): The annualized yield rate of the bond

    Returns:
        float: The quotation of the bond.

    Examples:
        Calculate the quotation of a LFT bond with a 0.02 yield rate:
        >>> from pyield import lft
        >>> lft.quotation(
        ...     settlement="24-07-2024",
        ...     maturity="01-09-2030",
        ...     rate=0.001717,  # 0.1717%
        ... )
        98.9645

        Nullable inputs return float('nan'):
        >>> lft.quotation(settlement=None, maturity="01-09-2030", rate=0.001717)
        nan
    """
    if has_nullable_args(settlement, maturity, rate):
        return float("nan")
    # The number of bdays between settlement (inclusive) and the maturity (exclusive)
    bdays = bday.count(settlement, maturity)

    # Calculate the number of periods truncated as per Anbima rules
    num_of_years = tools.truncate(bdays / 252, 14)

    discount_factor = 1 / (1 + rate) ** num_of_years

    return tools.truncate(100 * discount_factor, 4)