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e7a06085b3
* changes to the hqm output * typo --------- Co-authored-by: Igor Radovanovic <74266147+IgorWounds@users.noreply.github.com>
111 lines
3.4 KiB
Python
111 lines
3.4 KiB
Python
"""FRED High Quality Market Corporate Bond Model."""
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from datetime import datetime, timedelta
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from typing import Any, Dict, List, Optional
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from openbb_core.provider.abstract.fetcher import Fetcher
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from openbb_core.provider.standard_models.hqm import (
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HighQualityMarketCorporateBondData,
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HighQualityMarketCorporateBondQueryParams,
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)
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from openbb_fred.utils.fred_base import Fred
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from openbb_fred.utils.fred_helpers import (
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YIELD_CURVE_SERIES_CORPORATE_PAR,
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YIELD_CURVE_SERIES_CORPORATE_SPOT,
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)
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from pydantic import Field, field_validator
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class FREDHighQualityMarketCorporateBondQueryParams(
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HighQualityMarketCorporateBondQueryParams
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):
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"""FRED High Quality Market Corporate Bond Query."""
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class FREDHighQualityMarketCorporateBondData(HighQualityMarketCorporateBondData):
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"""FRED High Quality Market Corporate Bond Data."""
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__alias_dict__ = {"rate": "value"}
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series_id: str = Field(description="FRED series id.")
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@field_validator("rate", mode="before", check_fields=False)
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@classmethod
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def value_validate(cls, v):
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"""Validate rate."""
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try:
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return float(v)
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except ValueError:
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return None
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class FREDHighQualityMarketCorporateBondFetcher(
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Fetcher[
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FREDHighQualityMarketCorporateBondQueryParams,
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List[FREDHighQualityMarketCorporateBondData],
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]
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):
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"""Transform the query, extract and transform the data from the FRED endpoints."""
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@staticmethod
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def transform_query(
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params: Dict[str, Any]
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) -> FREDHighQualityMarketCorporateBondQueryParams:
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"""Transform query."""
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return FREDHighQualityMarketCorporateBondQueryParams(**params)
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@staticmethod
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def extract_data(
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query: FREDHighQualityMarketCorporateBondQueryParams,
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credentials: Optional[Dict[str, str]],
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**kwargs: Any
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) -> list:
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"""Extract data."""
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key = credentials.get("fred_api_key") if credentials else ""
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fred = Fred(key)
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data = []
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today = datetime.today().date()
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if query.date and query.date >= today:
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raise ValueError("Date must be in the past.")
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start_date = (
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query.date - timedelta(days=50)
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if query.date
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else today - timedelta(days=50)
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)
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if query.yield_curve == "spot":
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fred_series = YIELD_CURVE_SERIES_CORPORATE_SPOT
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elif query.yield_curve == "par":
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fred_series = YIELD_CURVE_SERIES_CORPORATE_PAR
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else:
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raise ValueError("Invalid yield curve type.")
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for maturity, id_ in fred_series.items():
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d = fred.get_series(
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series_id=id_,
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start_date=start_date,
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**kwargs,
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)
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for observation in d:
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series_data = {
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"series_id": id_,
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"maturity": maturity,
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"yield_curve": query.yield_curve,
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"date": observation["date"],
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"value": observation["value"],
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}
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data.append(series_data)
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return data
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@staticmethod
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def transform_data(
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query: FREDHighQualityMarketCorporateBondQueryParams, data: list, **kwargs: Any
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) -> List[FREDHighQualityMarketCorporateBondData]:
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"""Transform data."""
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return [FREDHighQualityMarketCorporateBondData.model_validate(d) for d in data]
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