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Add treasury rates

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northern-64bit
2023-02-05 17:06:58 +01:00
parent 16fed56ef2
commit e142ed5e81
8 changed files with 1232 additions and 13 deletions
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175
openbb_terminal/fixedincome/econdb_model.py Normal file
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@@ -0,0 +1,175 @@
""" EconDB Model """
__docformat__ = "numpy"
import logging
from typing import Dict, Any, Optional
from datetime import datetime
import pandas as pd
import pandas_datareader.data as web
from openbb_terminal.decorators import log_start_end
from openbb_terminal.rich_config import console
logger = logging.getLogger(__name__)
TREASURIES: Dict = {
"frequencies": {
"annually": 203,
"monthly": 129,
"weekly": 21,
"daily": 9,
},
"instruments": {
"nominal": {
"identifier": "TCMNOM",
"maturities": {
"1m": "1-month",
"3m": "3-month",
"6m": "6-month",
"1y": "1-year",
"2y": "2-year",
"3y": "3-year",
"5y": "5-year",
"7y": "7-year",
"10y": "10-year",
"20y": "20-year",
"30y": "30-year",
},
},
"inflation": {
"identifier": "TCMII",
"maturities": {
"5y": "5-year",
"7y": "7-year",
"10y": "10-year",
"20y": "20-year",
"30y": "30-year",
},
},
"average": {
"identifier": "LTAVG",
"maturities": {
"Longer than 10-year": "Longer than 10-year",
},
},
"secondary": {
"identifier": "TB",
"maturities": {
"4w": "4-week",
"3m": "3-month",
"6m": "6-month",
"1y": "1-year",
},
},
},
}
@log_start_end(log=logger)
def get_treasuries(
instruments: list = None,
maturities: list = None,
frequency: str = "monthly",
start_date: str = "1900-01-01",
end_date: Optional[str] = None,
) -> pd.DataFrame:
"""Get U.S. Treasury rates [Source: EconDB]
Parameters
----------
instruments: list
Type(s) of treasuries, nominal, inflation-adjusted (long term average) or secondary market.
Available options can be accessed through economy.treasury_maturities().
maturities : list
Treasury maturities to get. Available options can be accessed through economy.treasury_maturities().
frequency : str
Frequency of the data, this can be annually, monthly, weekly or daily.
start_date : str
Starting date, format "YEAR-MONTH-DAY", i.e. 2010-12-31.
end_date : Optional[str]
End date, format "YEAR-MONTH-DAY", i.e. 2020-06-05.
Returns
-------
treasury_data: pd.Dataframe
Holds data of the selected types and maturities
"""
if end_date is None:
end_date = datetime.today().strftime("%Y-%m-%d")
if instruments is None:
instruments = ["nominal"]
if maturities is None:
maturities = ["10y"]
treasury_data: Dict[Any, Dict[Any, pd.Series]] = {}
for instrument in instruments:
if instrument not in TREASURIES["instruments"]:
console.print(
f"{instrument} is not an option. Please choose between: "
f"{', '.join(TREASURIES['instruments'].keys())}"
)
else:
instrument_identifier = TREASURIES["instruments"][instrument]["identifier"]
frequency_number = TREASURIES["frequencies"][frequency]
df = web.DataReader(
"&".join(
[
"dataset=FRB_H15",
"v=Instrument",
"h=TIME",
f"instrument=[{instrument_identifier}]",
f"from={start_date}",
f"to={end_date}",
f"freq=[{frequency_number}",
"UNIT=[PERCENT:_PER_YEAR]",
]
),
"econdb",
)
if instrument == "average":
maturities_list = ["Longer than 10-year"]
type_string = "Long-term average"
else:
maturities_list = maturities
type_string = instrument.capitalize()
treasury_data[type_string] = {}
for maturity in maturities_list:
if maturity not in TREASURIES["instruments"][instrument]["maturities"]:
console.print(
f"The maturity {maturity} is not an option for {instrument}. Please choose between "
f"{', '.join(TREASURIES['instruments'][instrument]['maturities'].keys())}"
)
else:
maturity_string = TREASURIES["instruments"][instrument][
"maturities"
][maturity]
for column in df.columns:
# check if type inside the name and maturity inside the maturity string
if (
type_string.lower() in column[2].lower()
and maturity_string in column[3]
):
treasury_data[type_string][maturity_string] = df[
column
].dropna()
break
if maturity_string not in treasury_data[type_string]:
console.print(
f"No data found for the combination {instrument} and {maturity}."
)
df = pd.DataFrame.from_dict(treasury_data, orient="index").stack().to_frame()
df = pd.DataFrame(df[0].values.tolist(), index=df.index).T
df.columns = ["_".join(column) for column in df.columns]
return df

238
openbb_terminal/fixedincome/econdb_view.py Normal file
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@@ -0,0 +1,238 @@
""" EconDB view """
__docformat__ = "numpy"
from typing import Optional, List
from itertools import cycle
import logging
import os
from matplotlib import pyplot as plt
from openbb_terminal.config_terminal import theme
from openbb_terminal.config_plot import PLOT_DPI
from openbb_terminal.decorators import log_start_end, check_api_key
from openbb_terminal.helper_funcs import (
export_data,
plot_autoscale,
is_valid_axes_count,
)
from openbb_terminal.fixedincome import econdb_model
logger = logging.getLogger(__name__)
MATURITY_TO_ID = {
"4_week": "4w",
"3_month": "3m",
"6_month": "6m",
"1_year": "1y",
"1_month": "1m",
"2_year": "2y",
"3_year": "3y",
"5_year": "5y",
"7_year": "7y",
"10_year": "10y",
"20_year": "20y",
"30_year": "30y"
}
@log_start_end(log=logger)
@check_api_key(["API_FRED_KEY"])
def plot_cmn(
maturity: str = "3_month",
start_date: Optional[str] = None,
end_date: Optional[str] = None,
export: str = "",
external_axes: Optional[List[plt.Axes]] = None,
):
"""Plot Treasury Constant Maturity Nominal Market Yield.
Yields on Treasury nominal securities at “constant maturity” are interpolated by the U.S. Treasury from the daily
yield curve for non-inflation-indexed Treasury securities. This curve, which relates the yield on a security to
its time to maturity, is based on the closing market bid yields on actively traded Treasury securities in the
over-the-counter market. These market yields are calculated from composites of quotations obtained by the Federal
Reserve Bank of New York. The constant maturity yield values are read from the yield curve at fixed maturities,
currently 1, 3, and 6 months and 1, 2, 3, 5, 7, 10, 20, and 30 years. This method provides a yield for a 10-year
maturity, for example, even if no outstanding security has exactly 10 years remaining to maturity. Similarly,
yields on inflation-indexed securities at “constant maturity” are interpolated from the daily yield curve for
Treasury inflation protected securities in the over-the-counter market. The inflation-indexed constant maturity
yields are read from this yield curve at fixed maturities, currently 5, 7, 10, 20, and 30 years.
Parameters
----------
maturity: str
Maturity to plot, options: ['1_month', '3_month', '6_month', '1_year', '2_year', '3_year', '5_year', '7_year', '10_year', '20_year', '30_year']
start_date: Optional[str]
Start date, formatted YYYY-MM-DD
end_date: Optional[str]
End date, formatted YYYY-MM-DD
export: str
Export data to csv or excel file
external_axes: Optional[List[plt.Axes]]
External axes (1 axis is expected in the list)
"""
df = econdb_model.get_treasuries(instruments=["nominal"], maturities=[MATURITY_TO_ID[maturity]], frequency="daily", start_date=start_date, end_date=end_date)
# This plot has 1 axis
if not external_axes:
_, ax = plt.subplots(figsize=plot_autoscale(), dpi=PLOT_DPI)
elif is_valid_axes_count(external_axes, 1):
(ax,) = external_axes
else:
return
colors = cycle(theme.get_colors())
ax.plot(
df.index,
df.values,
marker="o",
linestyle="dashed",
linewidth=2,
markersize=4,
color=next(colors, "#FCED00"),
)
ax.set_title(f"{maturity.replace('-', ' ')} Treasury Constant Maturity Nominal Market Yield [Percent]")
theme.style_primary_axis(ax)
if external_axes is None:
theme.visualize_output()
export_data(
export,
os.path.dirname(os.path.abspath(__file__)),
f"cmn, {maturity}",
df,
)
@log_start_end(log=logger)
@check_api_key(["API_FRED_KEY"])
def plot_tips(
maturity: str = "10_year",
start_date: Optional[str] = None,
end_date: Optional[str] = None,
export: str = "",
external_axes: Optional[List[plt.Axes]] = None,
):
"""Plot Yields on Treasury inflation protected securities (TIPS) adjusted to constant maturities.
Yields on Treasury nominal securities at “constant maturity” are interpolated by the U.S. Treasury from the daily
yield curve for non-inflation-indexed Treasury securities. This curve, which relates the yield on a security to
its time to maturity, is based on the closing market bid yields on actively traded Treasury securities in the
over-the-counter market. These market yields are calculated from composites of quotations obtained by the Federal
Reserve Bank of New York. The constant maturity yield values are read from the yield curve at fixed maturities,
currently 1, 3, and 6 months and 1, 2, 3, 5, 7, 10, 20, and 30 years. This method provides a yield for a 10-year
maturity, for example, even if no outstanding security has exactly 10 years remaining to maturity. Similarly,
yields on inflation-indexed securities at “constant maturity” are interpolated from the daily yield curve for
Treasury inflation protected securities in the over-the-counter market. The inflation-indexed constant maturity
yields are read from this yield curve at fixed maturities, currently 5, 7, 10, 20, and 30 years.
Parameters
----------
maturity: str
Maturity to plot, options: ['5_year', '7_year', '10_year', '20_year', '30_year']
start_date: Optional[str]
Start date, formatted YYYY-MM-DD
end_date: Optional[str]
End date, formatted YYYY-MM-DD
export: str
Export data to csv or excel file
external_axes: Optional[List[plt.Axes]]
External axes (1 axis is expected in the list)
"""
df = econdb_model.get_treasuries(instruments=["inflation"], maturities=[MATURITY_TO_ID[maturity]], frequency="daily", start_date=start_date, end_date=end_date)
# This plot has 1 axis
if not external_axes:
_, ax = plt.subplots(figsize=plot_autoscale(), dpi=PLOT_DPI)
elif is_valid_axes_count(external_axes, 1):
(ax,) = external_axes
else:
return
colors = cycle(theme.get_colors())
ax.plot(
df.index,
df.values,
marker="o",
linestyle="dashed",
linewidth=2,
markersize=4,
color=next(colors, "#FCED00"),
)
ax.set_title(f"{maturity.replace('-', ' ')} Yields on Treasury inflation protected securities (TIPS) adjusted to "
f"constant maturities [Percent]")
theme.style_primary_axis(ax)
if external_axes is None:
theme.visualize_output()
export_data(
export,
os.path.dirname(os.path.abspath(__file__)),
f"tips, {maturity}",
df,
)
@log_start_end(log=logger)
@check_api_key(["API_FRED_KEY"])
def plot_tbill(
maturity: str = "3_month",
start_date: Optional[str] = None,
end_date: Optional[str] = None,
export: str = "",
external_axes: Optional[List[plt.Axes]] = None,
):
"""Plot the Treasury Bill Secondary Market Rate.
A Treasury Bill (T-Bill) is a short-term U.S. government debt obligation backed by the Treasury Department with a
maturity of one year or less. Treasury bills are usually sold in denominations of $1,000. However, some can reach
a maximum denomination of $5 million in non-competitive bids. These securities are widely regarded as low-risk
and secure investments.
Parameters
----------
maturity: str
Maturity to plot, options: ['4_week', '3_month', '6_month', '1_year']
start_date: Optional[str]
Start date, formatted YYYY-MM-DD
end_date: Optional[str]
End date, formatted YYYY-MM-DD
export: str
Export data to csv or excel file
external_axes: Optional[List[plt.Axes]]
External axes (1 axis is expected in the list)
"""
df = econdb_model.get_treasuries(instruments=["secondary"], maturities=[MATURITY_TO_ID[maturity]], frequency="daily", start_date=start_date, end_date=end_date)
# This plot has 1 axis
if not external_axes:
_, ax = plt.subplots(figsize=plot_autoscale(), dpi=PLOT_DPI)
elif is_valid_axes_count(external_axes, 1):
(ax,) = external_axes
else:
return
colors = cycle(theme.get_colors())
ax.plot(
df.index,
df.values,
marker="o",
linestyle="dashed",
linewidth=2,
markersize=4,
color=next(colors, "#FCED00"),
)
ax.set_title(f"{maturity.replace('-', ' ')} Treasury Bill Secondary Market Rate, Discount Basis [Percent]")
theme.style_primary_axis(ax)
if external_axes is None:
theme.visualize_output()
export_data(
export,
os.path.dirname(os.path.abspath(__file__)),
f"tbill, {maturity}",
df,
)

349
openbb_terminal/fixedincome/fixedincome_controller.py
View File

@@ -12,7 +12,7 @@ from openbb_terminal.custom_prompt_toolkit import NestedCompleter
from openbb_terminal import feature_flags as obbff
from openbb_terminal.decorators import log_start_end
from openbb_terminal.fixedincome import ecb_view, nyfed_view, oecd_view
from openbb_terminal.fixedincome import ecb_view, nyfed_view, oecd_view, econdb_view, yfinance_view
from openbb_terminal.fixedincome import fred_view
from openbb_terminal.helper_funcs import (
@@ -53,6 +53,11 @@ class FixedIncomeController(BaseController):
"ycrv",
"iiycrv",
"ecbycrv",
"tbill",
"tips",
"cmn",
"tbffr",
"ty"
]
PATH = "/fixedincome/"
@@ -153,6 +158,37 @@ class FixedIncomeController(BaseController):
"5_year": "T5YFF",
"1_year": "T1YFF",
"6_month": "T6MFF",
"3_month": "T3MFF",
}
tbill_parameter_to_fred_id = {
"4_week": "DTB4WK",
"3_month": "TB3MS",
"6_month": "DTB6",
"1_year": "DTB1YR",
}
tips_parameter_to_fred_id = {
"5_year": "DFII5",
"7_year": "DFII7",
"10_year": "DFII10",
"20_year": "DFII20",
"30_year": "DFII30",
}
cmn_parameter_to_fred_id = {
"1_month": "DGS1MO",
"3_month": "DGS3MO",
"6_month": "DGS6MO",
"1_year": "DGS1",
"2_year": "DGS2",
"3_year": "DGS3",
"5_year": "DGS5",
"7_year": "DGS7",
"10_year": "DGS10",
"20_year": "DGS20",
"30_year": "DGS30",
}
tbffr_parameter_to_fred_id = {
"3_month": "TB3SMFFM",
"6_month": "TB6SMFFM",
}
def __init__(self, queue: List[str] = None):
@@ -187,14 +223,21 @@ class FixedIncomeController(BaseController):
mt.add_cmd("stir")
mt.add_cmd("ltir")
mt.add_raw("\n")
mt.add_info("_constant_maturities_spreads_")
mt.add_cmd("tmc")
mt.add_cmd("ffrmc")
mt.add_raw("\n")
mt.add_info("_yield_curves_")
mt.add_cmd("ycrv")
mt.add_cmd("iiycrv")
mt.add_cmd("ecbycrv")
mt.add_raw("\n")
mt.add_info("_us_government_securities_")
mt.add_cmd("tbill")
mt.add_cmd("cmn")
mt.add_cmd("tips")
mt.add_cmd("ty")
mt.add_raw("\n")
mt.add_info("_spreads_")
mt.add_cmd("tmc")
mt.add_cmd("ffrmc")
mt.add_cmd("tbffr")
console.print(text=mt.menu_text, menu="Fixed Income")
@@ -889,7 +932,12 @@ class FixedIncomeController(BaseController):
add_help=False,
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
prog="str",
description='Plot short term interest rates from selected countries. \nShort-term interest rates are the rates at which short-term borrowings are effected between financial institutions or the rate at which short-term government paper is issued or traded in the market. Short-term interest rates are generally averages of daily rates, measured as a percentage. Short-term interest rates are based on three-month money market rates where available. Typical standardised names are "money market rate" and "treasury bill rate".',
description='Plot short term interest rates from selected countries. \nShort-term interest rates are the '
'rates at which short-term borrowings are effected between financial institutions or the rate '
'at which short-term government paper is issued or traded in the market. Short-term interest '
'rates are generally averages of daily rates, measured as a percentage. Short-term interest '
'rates are based on three-month money market rates where available. Typical standardised '
'names are "money market rate" and "treasury bill rate".',
)
parser.add_argument(
"-c",
@@ -947,7 +995,16 @@ class FixedIncomeController(BaseController):
add_help=False,
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
prog="str",
description="Plot long term interest rates from selected countries. \nLong-term interest rates refer to government bonds maturing in ten years. Rates are mainly determined by the price charged by the lender, the risk from the borrower and the fall in the capital value. Long-term interest rates are generally averages of daily rates, measured as a percentage. These interest rates are implied by the prices at which the government bonds are traded on financial markets, not the interest rates at which the loans were issued. In all cases, they refer to bonds whose capital repayment is guaranteed by governments. Long-term interest rates are one of the determinants of business investment. Low long-term interest rates encourage investment in new equipment and high interest rates discourage it. Investment is, in turn, a major source of economic growth.",
description="Plot long term interest rates from selected countries. \nLong-term interest rates refer to "
"government bonds maturing in ten years. Rates are mainly determined by the price charged by "
"the lender, the risk from the borrower and the fall in the capital value. Long-term interest "
"rates are generally averages of daily rates, measured as a percentage. These interest rates "
"are implied by the prices at which the government bonds are traded on financial markets, "
"not the interest rates at which the loans were issued. In all cases, they refer to bonds "
"whose capital repayment is guaranteed by governments. Long-term interest rates are one of "
"the determinants of business investment. Low long-term interest rates encourage investment "
"in new equipment and high interest rates discourage it. Investment is, in turn, "
"a major source of economic growth.",
)
parser.add_argument(
"-c",
@@ -1263,3 +1320,281 @@ class FixedIncomeController(BaseController):
raw=ns_parser.raw,
export=ns_parser.export,
)
@log_start_end(log=logger)
def call_tbill(self, other_args: List[str]):
"""Process tbill command"""
parser = argparse.ArgumentParser(
add_help=False,
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
prog="tbill",
description="Plot the Treasury Bill Secondary Market Rate.\nA Treasury Bill (T-Bill) is a short-term U.S. "
"government debt obligation backed by the Treasury Department with a maturity of one year or "
"less. Treasury bills are usually sold in denominations of $1,000. However, some can reach a "
"maximum denomination of $5 million in non-competitive bids. These securities are widely "
"regarded as low-risk and secure investments.",
)
parser.add_argument(
"-p",
"--parameter",
dest="parameter",
type=str,
help="Specific Treasury Bill Secondary Market Rate data to plot",
default="3_month",
choices=list(self.tbill_parameter_to_fred_id.keys()),
)
parser.add_argument(
"-s",
"--start",
dest="start_date",
type=valid_date,
help="Starting date (YYYY-MM-DD) of data",
default="1980-01-01",
)
parser.add_argument(
"-e",
"--end",
dest="end_date",
type=valid_date,
help="Ending date (YYYY-MM-DD) of data",
default=None,
)
ns_parser = self.parse_known_args_and_warn(
parser, other_args, EXPORT_BOTH_RAW_DATA_AND_FIGURES
)
if ns_parser:
if ns_parser.source == "FRED":
fred_view.plot_tbill(
self.tbill_parameter_to_fred_id[ns_parser.parameter],
ns_parser.start_date,
ns_parser.end_date,
ns_parser.export,
)
elif ns_parser.source == "EconDB":
econdb_view.plot_tbill(
ns_parser.parameter,
ns_parser.start_date,
ns_parser.end_date,
ns_parser.export,
)
@log_start_end(log=logger)
def call_cmn(self, other_args: List[str]):
"""Process cmn command"""
parser = argparse.ArgumentParser(
add_help=False,
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
prog="cmn",
description="Plot the Treasury Constant Maturity Nominal Market Yield. \nYields on Treasury nominal "
"securities at “constant maturity” are interpolated by the U.S. Treasury from the daily yield "
"curve for non-inflation-indexed Treasury securities. This curve, which relates the yield on "
"a security to its time to maturity, is based on the closing market bid yields on actively "
"traded Treasury securities in the over-the-counter market. These market yields are "
"calculated from composites of quotations obtained by the Federal Reserve Bank of New York. "
"The constant maturity yield values are read from the yield curve at fixed maturities, "
"currently 1, 3, and 6 months and 1, 2, 3, 5, 7, 10, 20, and 30 years. This method provides a "
"yield for a 10-year maturity, for example, even if no outstanding security has exactly 10 "
"years remaining to maturity. Similarly, yields on inflation-indexed securities at “constant "
"maturity” are interpolated from the daily yield curve for Treasury inflation protected "
"securities in the over-the-counter market. The inflation-indexed constant maturity yields "
"are read from this yield curve at fixed maturities, currently 5, 7, 10, 20, and 30 years.",
)
parser.add_argument(
"-p",
"--parameter",
dest="parameter",
type=str,
help="Specific Treasury Constant Maturity Nominal Market Yield data to plot",
default="3_month",
choices=list(self.cmn_parameter_to_fred_id.keys()),
)
parser.add_argument(
"-s",
"--start",
dest="start_date",
type=valid_date,
help="Starting date (YYYY-MM-DD) of data",
default="1980-01-01",
)
parser.add_argument(
"-e",
"--end",
dest="end_date",
type=valid_date,
help="Ending date (YYYY-MM-DD) of data",
default=None,
)
ns_parser = self.parse_known_args_and_warn(
parser, other_args, EXPORT_BOTH_RAW_DATA_AND_FIGURES
)
if ns_parser:
if ns_parser.source == "FRED":
fred_view.plot_cmn(
self.cmn_parameter_to_fred_id[ns_parser.parameter],
ns_parser.start_date,
ns_parser.end_date,
ns_parser.export,
)
elif ns_parser.source == "EconDB":
econdb_view.plot_cmn(
ns_parser.parameter,
ns_parser.start_date,
ns_parser.end_date,
ns_parser.export,
)
@log_start_end(log=logger)
def call_tips(self, other_args: List[str]):
"""Process tips command"""
parser = argparse.ArgumentParser(
add_help=False,
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
prog="tips",
description="Plot Yields on Treasury inflation protected securities (TIPS) adjusted to constant "
"maturities. \nYields on Treasury nominal securities at “constant maturity” are interpolated "
"by the U.S. Treasury from the daily yield curve for non-inflation-indexed Treasury "
"securities. This curve, which relates the yield on a security to its time to maturity, "
"is based on the closing market bid yields on actively traded Treasury securities in the "
"over-the-counter market. These market yields are calculated from composites of quotations "
"obtained by the Federal Reserve Bank of New York. The constant maturity yield values are "
"read from the yield curve at fixed maturities, currently 1, 3, and 6 months and 1, 2, 3, 5, "
"7, 10, 20, and 30 years. This method provides a yield for a 10-year maturity, for example, "
"even if no outstanding security has exactly 10 years remaining to maturity. Similarly, "
"yields on inflation-indexed securities at “constant maturity” are interpolated from the "
"daily yield curve for Treasury inflation protected securities in the over-the-counter "
"market. The inflation-indexed constant maturity yields are read from this yield curve at "
"fixed maturities, currently 5, 7, 10, 20, and 30 years.",
)
parser.add_argument(
"-p",
"--parameter",
dest="parameter",
type=str,
help="Specific Yields on TIPS adjusted to constant maturities data to plot",
default="10_year",
choices=list(self.tips_parameter_to_fred_id.keys()),
)
parser.add_argument(
"-s",
"--start",
dest="start_date",
type=valid_date,
help="Starting date (YYYY-MM-DD) of data",
default="1980-01-01",
)
parser.add_argument(
"-e",
"--end",
dest="end_date",
type=valid_date,
help="Ending date (YYYY-MM-DD) of data",
default=None,
)
ns_parser = self.parse_known_args_and_warn(
parser, other_args, EXPORT_BOTH_RAW_DATA_AND_FIGURES
)
if ns_parser:
if ns_parser.source == "FRED":
fred_view.plot_tips(
self.tips_parameter_to_fred_id[ns_parser.parameter],
ns_parser.start_date,
ns_parser.end_date,
ns_parser.export,
)
elif ns_parser.source == "EconDB":
econdb_view.plot_tips(
ns_parser.parameter,
ns_parser.start_date,
ns_parser.end_date,
ns_parser.export,
)
@log_start_end(log=logger)
def call_tbffr(self, other_args: List[str]):
"""Process tbffr command"""
parser = argparse.ArgumentParser(
add_help=False,
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
prog="tbffr",
description="Get Selected Treasury Bill Minus Federal Funds Rate.",
)
parser.add_argument(
"-p",
"--parameter",
dest="parameter",
type=str,
help="Selected Treasury Bill",
default="3_month",
choices=list(self.tbffr_parameter_to_fred_id.keys()),
)
parser.add_argument(
"-s",
"--start",
dest="start_date",
type=valid_date,
help="Starting date (YYYY-MM-DD) of data",
default=None,
)
parser.add_argument(
"-e",
"--end",
dest="end_date",
type=valid_date,
help="Ending date (YYYY-MM-DD) of data",
default=None,
)
ns_parser = self.parse_known_args_and_warn(
parser, other_args, EXPORT_BOTH_RAW_DATA_AND_FIGURES
)
if ns_parser:
fred_view.plot_tbffr(
self.tbffr_parameter_to_fred_id[ns_parser.parameter],
ns_parser.start_date,
ns_parser.end_date,
ns_parser.export,
)
@log_start_end(log=logger)
def call_ty(self, other_args: List[str]):
"""Process ty command"""
parser = argparse.ArgumentParser(
add_help=False,
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
prog="ty",
description="Plot Selected Treasury Yield.",
)
parser.add_argument(
"-p",
"--parameter",
dest="parameter",
type=str,
help="Selected Treasury Yield",
default="10_year",
choices=["5_year", "10_year", "30_year"],
)
parser.add_argument(
"-s",
"--start",
dest="start_date",
type=valid_date,
help="Starting date (YYYY-MM-DD) of data",
default=None,
)
parser.add_argument(
"-e",
"--end",
dest="end_date",
type=valid_date,
help="Ending date (YYYY-MM-DD) of data",
default=None,
)
ns_parser = self.parse_known_args_and_warn(
parser, other_args, EXPORT_BOTH_RAW_DATA_AND_FIGURES
)
if ns_parser:
yfinance_view.plot_ty(
ns_parser.parameter,
ns_parser.start_date,
ns_parser.end_date,
ns_parser.export,
)

306
openbb_terminal/fixedincome/fred_view.py
View File

@@ -101,6 +101,37 @@ ID_TO_NAME_FFRMC = {
"T5YFF": "5-Year",
"T1YFF": "1-Year",
"T6MFF": "6-Month",
"T3MFF": "3-Month",
}
ID_TO_NAME_SECONDARY = {
"TB3MS": "3-Month",
"DTB4WK": "4-Week",
"DTB1YR": "1-Year",
"DTB6": "6-Month"
}
ID_TO_NAME_TIPS = {
"DFII5": "5-Year",
"DFII7": "7-Year",
"DFII10": "10-Year",
"DFII20": "20-Year",
"DFII30": "30-Year",
}
ID_TO_NAME_CMN = {
"DGS1MO": "1 Month",
"DGS3MO": "3 Month",
"DGS6MO": "6 Month",
"DGS1": "1 Year",
"DGS2": "2 Year",
"DGS3": "3 Year",
"DGS5": "5 Year",
"DGS7": "7 Year",
"DGS10": "10 Year",
"DGS20": "20 Year",
"DGS30": "30 Year",
}
ID_TO_NAME_TBFFR = {
"TB3SMFFM": "3 Month",
"TB6SMFFM": "6 Month",
}
@@ -1184,7 +1215,7 @@ def plot_ffrmc(
Parameters
----------
series_id: str
FRED ID of FFRMC data to plot, options: ['T10YFF', 'T5YFF', 'T1YFF', 'T6MFF']
FRED ID of FFRMC data to plot, options: ['T10YFF', 'T5YFF', 'T1YFF', 'T6MFF', 'T3MFF']
start_date: Optional[str]
Start date, formatted YYYY-MM-DD
end_date: Optional[str]
@@ -1228,7 +1259,7 @@ def plot_ffrmc(
export_data(
export,
os.path.dirname(os.path.abspath(__file__)),
f"tmc, {series_id}",
f"ffrmc, {series_id}",
df,
)
@@ -1377,3 +1408,274 @@ def display_inflation_indexed_yield_curve(
"iiycrv",
rates,
)
@log_start_end(log=logger)
@check_api_key(["API_FRED_KEY"])
def plot_tbill(
series_id: str = "TB3MS",
start_date: Optional[str] = None,
end_date: Optional[str] = None,
export: str = "",
external_axes: Optional[List[plt.Axes]] = None,
):
"""Plot Treasury Bill Secondary Market Rate.
A Treasury Bill (T-Bill) is a short-term U.S. government debt obligation backed by the Treasury Department with a
maturity of one year or less. Treasury bills are usually sold in denominations of $1,000. However, some can reach
a maximum denomination of $5 million in non-competitive bids. These securities are widely regarded as low-risk
and secure investments.
Parameters
----------
series_id: str
FRED ID of Treasury Bill Secondary Market Rate data to plot, options: ['TB3MS', 'DTB4WK', 'DTB1YR', 'DTB6']
start_date: Optional[str]
Start date, formatted YYYY-MM-DD
end_date: Optional[str]
End date, formatted YYYY-MM-DD
export: str
Export data to csv or excel file
external_axes: Optional[List[plt.Axes]]
External axes (1 axis is expected in the list)
"""
df = fred_model.get_series_data(
series_id=series_id, start_date=start_date, end_date=end_date
)
# This plot has 1 axis
if not external_axes:
_, ax = plt.subplots(figsize=plot_autoscale(), dpi=PLOT_DPI)
elif is_valid_axes_count(external_axes, 1):
(ax,) = external_axes
else:
return
colors = cycle(theme.get_colors())
ax.plot(
df.index,
df.values,
marker="o",
linestyle="dashed",
linewidth=2,
markersize=4,
color=next(colors, "#FCED00"),
)
ax.set_title(f"{ID_TO_NAME_SECONDARY[series_id]} Treasury Bill Secondary Market Rate, Discount Basis [Percent]")
theme.style_primary_axis(ax)
if external_axes is None:
theme.visualize_output()
export_data(
export,
os.path.dirname(os.path.abspath(__file__)),
f"tbill, {series_id}",
df,
)
@log_start_end(log=logger)
@check_api_key(["API_FRED_KEY"])
def plot_cmn(
series_id: str = "DGS10",
start_date: Optional[str] = None,
end_date: Optional[str] = None,
export: str = "",
external_axes: Optional[List[plt.Axes]] = None,
):
"""Plot Treasury Constant Maturity Nominal Market Yield.
Yields on Treasury nominal securities at “constant maturity” are interpolated by the U.S. Treasury from the daily
yield curve for non-inflation-indexed Treasury securities. This curve, which relates the yield on a security to
its time to maturity, is based on the closing market bid yields on actively traded Treasury securities in the
over-the-counter market. These market yields are calculated from composites of quotations obtained by the Federal
Reserve Bank of New York. The constant maturity yield values are read from the yield curve at fixed maturities,
currently 1, 3, and 6 months and 1, 2, 3, 5, 7, 10, 20, and 30 years. This method provides a yield for a 10-year
maturity, for example, even if no outstanding security has exactly 10 years remaining to maturity. Similarly,
yields on inflation-indexed securities at “constant maturity” are interpolated from the daily yield curve for
Treasury inflation protected securities in the over-the-counter market. The inflation-indexed constant maturity
yields are read from this yield curve at fixed maturities, currently 5, 7, 10, 20, and 30 years.
Parameters
----------
series_id: str
FRED ID of Treasury Constant Maturity Nominal Market Yield data to plot, options: ['DGS1MO', 'DGS3MO', 'DGS6MO', 'DGS1', 'DGS2', 'DGS3', 'DGS5', 'DGS7', 'DGS10', 'DGS20', DGS30']
start_date: Optional[str]
Start date, formatted YYYY-MM-DD
end_date: Optional[str]
End date, formatted YYYY-MM-DD
export: str
Export data to csv or excel file
external_axes: Optional[List[plt.Axes]]
External axes (1 axis is expected in the list)
"""
df = fred_model.get_series_data(
series_id=series_id, start_date=start_date, end_date=end_date
)
# This plot has 1 axis
if not external_axes:
_, ax = plt.subplots(figsize=plot_autoscale(), dpi=PLOT_DPI)
elif is_valid_axes_count(external_axes, 1):
(ax,) = external_axes
else:
return
colors = cycle(theme.get_colors())
ax.plot(
df.index,
df.values,
marker="o",
linestyle="dashed",
linewidth=2,
markersize=4,
color=next(colors, "#FCED00"),
)
ax.set_title(f"{ID_TO_NAME_CMN[series_id]} Treasury Constant Maturity Nominal Market Yield [Percent]")
theme.style_primary_axis(ax)
if external_axes is None:
theme.visualize_output()
export_data(
export,
os.path.dirname(os.path.abspath(__file__)),
f"cmn, {series_id}",
df,
)
@log_start_end(log=logger)
@check_api_key(["API_FRED_KEY"])
def plot_tips(
series_id: str = "DFII10",
start_date: Optional[str] = None,
end_date: Optional[str] = None,
export: str = "",
external_axes: Optional[List[plt.Axes]] = None,
):
"""Plot Plot Yields on Treasury inflation protected securities (TIPS) adjusted to constant maturities.
Yields on Treasury nominal securities at “constant maturity” are interpolated by the U.S. Treasury from the daily
yield curve for non-inflation-indexed Treasury securities. This curve, which relates the yield on a security to
its time to maturity, is based on the closing market bid yields on actively traded Treasury securities in the
over-the-counter market. These market yields are calculated from composites of quotations obtained by the Federal
Reserve Bank of New York. The constant maturity yield values are read from the yield curve at fixed maturities,
currently 1, 3, and 6 months and 1, 2, 3, 5, 7, 10, 20, and 30 years. This method provides a yield for a 10-year
maturity, for example, even if no outstanding security has exactly 10 years remaining to maturity. Similarly,
yields on inflation-indexed securities at “constant maturity” are interpolated from the daily yield curve for
Treasury inflation protected securities in the over-the-counter market. The inflation-indexed constant maturity
yields are read from this yield curve at fixed maturities, currently 5, 7, 10, 20, and 30 years.
Parameters
----------
series_id: str
FRED ID of TIPS adjusted to constant maturities data to plot, options: ['DFII5', 'DFII7', 'DFII10', 'DFII20', 'DFII30']
start_date: Optional[str]
Start date, formatted YYYY-MM-DD
end_date: Optional[str]
End date, formatted YYYY-MM-DD
export: str
Export data to csv or excel file
external_axes: Optional[List[plt.Axes]]
External axes (1 axis is expected in the list)
"""
df = fred_model.get_series_data(
series_id=series_id, start_date=start_date, end_date=end_date
)
# This plot has 1 axis
if not external_axes:
_, ax = plt.subplots(figsize=plot_autoscale(), dpi=PLOT_DPI)
elif is_valid_axes_count(external_axes, 1):
(ax,) = external_axes
else:
return
colors = cycle(theme.get_colors())
ax.plot(
df.index,
df.values,
marker="o",
linestyle="dashed",
linewidth=2,
markersize=4,
color=next(colors, "#FCED00"),
)
ax.set_title(f"{ID_TO_NAME_TIPS[series_id]} Yields on Treasury inflation protected securities (TIPS) adjusted to "
f"constant maturities [Percent]")
theme.style_primary_axis(ax)
if external_axes is None:
theme.visualize_output()
export_data(
export,
os.path.dirname(os.path.abspath(__file__)),
f"tips, {series_id}",
df,
)
@log_start_end(log=logger)
@check_api_key(["API_FRED_KEY"])
def plot_tbffr(
series_id: str = "TB3SMFFM",
start_date: Optional[str] = None,
end_date: Optional[str] = None,
export: str = "",
external_axes: Optional[List[plt.Axes]] = None,
):
"""Plot Selected Treasury Bill Minus Federal Funds Rate data.
Parameters
----------
series_id: str
FRED ID of TBFFR data to plot, options: ['TB3SMFFM', 'TB6SMFFM']
start_date: Optional[str]
Start date, formatted YYYY-MM-DD
end_date: Optional[str]
End date, formatted YYYY-MM-DD
export: str
Export data to csv or excel file
external_axes: Optional[List[plt.Axes]]
External axes (1 axis is expected in the list)
"""
df = fred_model.get_series_data(
series_id=series_id, start_date=start_date, end_date=end_date
)
# This plot has 1 axis
if not external_axes:
_, ax = plt.subplots(figsize=plot_autoscale(), dpi=PLOT_DPI)
elif is_valid_axes_count(external_axes, 1):
(ax,) = external_axes
else:
return
colors = cycle(theme.get_colors())
ax.plot(
df.index,
df.values,
marker="o",
linestyle="dashed",
linewidth=2,
markersize=4,
color=next(colors, "#FCED00"),
)
ax.set_title(
ID_TO_NAME_TBFFR[series_id]
+ " Treasury Bill Minus Federal Funds Rate [Percent]"
)
theme.style_primary_axis(ax)
if external_axes is None:
theme.visualize_output()
export_data(
export,
os.path.dirname(os.path.abspath(__file__)),
f"tbffr, {series_id}",
df,
)

77
openbb_terminal/fixedincome/yfinance_model.py Normal file
View File

@@ -0,0 +1,77 @@
""" Yahoo Finance Model """
__docformat__ = "numpy"
import logging
from datetime import datetime
from typing import Optional
import pandas as pd
import yfinance as yf
from openbb_terminal.decorators import log_start_end
from openbb_terminal.rich_config import console
logger = logging.getLogger(__name__)
@log_start_end(log=logger)
def get_series(
series_id: str,
interval: str = "1d",
start_date: Optional[str] = None,
end_date: Optional[str] = None,
column: str = "Adj Close",
) -> pd.Series:
"""Obtain data on any index [Source: Yahoo Finance]
Parameters
----------
series_id: str
The series you wish to collect data for.
start_date : Optional[str]
the selected country
end_date : Optional[str]
The currency you wish to convert the data to.
interval : str
Valid intervals: 1m, 2m, 5m, 15m, 30m, 60m, 90m, 1h, 1d, 5d, 1wk, 1mo or 3mo
Intraday data cannot extend last 60 days
column : str
The column you wish to select, by default this is Adjusted Close.
Returns
-------
pd.Series
A series with the requested index
"""
try:
if start_date:
datetime.strptime(str(start_date), "%Y-%m-%d")
if end_date:
datetime.strptime(str(end_date), "%Y-%m-%d")
except ValueError:
console.print("[red]Please format date as YYYY-MM-DD[/red]\n")
return pd.Series(dtype="object")
index_data = yf.download(
series_id,
start=start_date,
end=end_date,
interval=interval,
progress=False,
show_errors=False,
)
if column not in index_data.columns:
console.print(
f"The chosen column is not available for {series_id}. Please choose "
f"between: {', '.join(index_data.columns)}\n"
)
return pd.Series(dtype="float64")
if index_data.empty or len(index_data) < 2:
console.print(
f"The chosen index {series_id}, returns no data. Please check if "
f"there is any data available.\n"
)
return pd.Series(dtype="float64")
return index_data[column]

81
openbb_terminal/fixedincome/yfinance_view.py Normal file
View File

@@ -0,0 +1,81 @@
""" Yahoo Finance view """
__docformat__ = "numpy"
from typing import Optional, List
from itertools import cycle
import logging
import os
from matplotlib import pyplot as plt
from openbb_terminal.config_terminal import theme
from openbb_terminal.config_plot import PLOT_DPI
from openbb_terminal.decorators import log_start_end, check_api_key
from openbb_terminal.helper_funcs import (
export_data,
plot_autoscale,
is_valid_axes_count,
)
from openbb_terminal.fixedincome import yfinance_model
logger = logging.getLogger(__name__)
TY_TO_ID = {
"5_year": "^FVX",
"10_year": "^TNX",
"30_year": "^TYX",
}
@log_start_end(log=logger)
@check_api_key(["API_FRED_KEY"])
def plot_ty(
maturity: str = "3_month",
start_date: Optional[str] = None,
end_date: Optional[str] = None,
export: str = "",
external_axes: Optional[List[plt.Axes]] = None,
):
"""Plot Treasury Yield.
Parameters
----------
maturity: str
Maturity to plot, options: ['5_year', '10_year', '30_year']
start_date: Optional[str]
Start date, formatted YYYY-MM-DD
end_date: Optional[str]
End date, formatted YYYY-MM-DD
export: str
Export data to csv or excel file
external_axes: Optional[List[plt.Axes]]
External axes (1 axis is expected in the list)
"""
df = yfinance_model.get_series(TY_TO_ID[maturity], start_date=start_date, end_date=end_date)
# This plot has 1 axis
if not external_axes:
_, ax = plt.subplots(figsize=plot_autoscale(), dpi=PLOT_DPI)
elif is_valid_axes_count(external_axes, 1):
(ax,) = external_axes
else:
return
colors = cycle(theme.get_colors())
ax.plot(
df.index,
df.values,
color=next(colors, "#FCED00"),
)
ax.set_title(f"{maturity.replace('-', ' ')} Treasury Yield [Percent]")
theme.style_primary_axis(ax)
if external_axes is None:
theme.visualize_output()
export_data(
export,
os.path.dirname(os.path.abspath(__file__)),
f"ty, {maturity}",
df,
)

7
openbb_terminal/miscellaneous/data_sources_default.json vendored
View File

@@ -525,7 +525,12 @@
"ffrmc": ["FRED"],
"ycrv": ["FRED"],
"iiycrv": ["FRED"],
"ecbycrv": ["ECB"]
"ecbycrv": ["ECB"],
"tbill": ["FRED", "EconDB"],
"cmn": ["FRED", "EconDB"],
"tips": ["FRED", "EconDB"],
"tbffr": ["FRED"],
"ty": ["YahooFinance"]
},
"alternative": {
"oss": {

12
openbb_terminal/miscellaneous/i18n/en.yml vendored
View File

@@ -790,13 +790,19 @@ en:
fixedincome/ecbmrofr: ECB main refinancing operations rate, fixed rate tender
fixedincome/stir: plot countries (incl. forecasted) short term interest rate
fixedincome/ltir: plot countries (incl. forecasted) long term interest rate
fixedincome/_constant_maturities_spreads_: Constant Maturity Spreads
fixedincome/tmc: 10-year treasury constant maturity minus selected treasury constant maturity
fixedincome/ffrmc: selected treasury constant maturity minus federal funds rate
fixedincome/_yield_curves_: Yield curves
fixedincome/ycrv: plot US yield curve
fixedincome/iiycrv: plot US inflation-indexed yield curve
fixedincome/ecbycrv: plot euro area yield curve
fixedincome/_us_government_securities_: US government securities
fixedincome/tbill: plot secondary market rate of treasury bills
fixedincome/cmn: plot nominal constant maturity treasuries
fixedincome/tips: plot treasury inflation protected securities (tips)
fixedincome/ty: plot treasury yields
fixedincome/_spreads_: Spreads
fixedincome/tmc: 10-year treasury constant maturity minus selected treasury constant maturity
fixedincome/ffrmc: selected treasury constant maturity minus federal funds rate
fixedincome/tbffr: selected treasury bill minus federal funds rate
forex/_ticker: Ticker
forex/_from: From
forex/_to: To