wilsonfreitas

Download de curvas da B3

library(rb3)

fname <- download_marketdata("TaxasReferenciais",
                             refdate = as.Date("2024-01-12"),
                             curve_name = "TR")
df &lt;- read_marketdata(fname, "TaxasReferenciais", TRUE)

wilsonfreitas

#!/usr/bin/env python
# -*- coding: utf-8 -*-
import requests,json,sys

# Script simples para consulta de dados na base dados nacional do SUS utilizando o CPF.
# Jhonathan Davi A.K.A jh00nbr / Insightl4b lab.insightsecurity.com.br
# Blog: lab.insightsecurity.com.br
# Github: github.com/jh00nbr
# Twitter @jh00nbr

wilsonfreitas

class B3FilesURLDownloader(SingleDownloader):
    calendar = bizdays.Calendar.load('ANBIMA.cal')
    def download(self, refdate=None):
        filename = self.attrs.get('filename')
        refdate = refdate or self.get_refdate()
        logging.info('refdate %s', refdate)
        date = refdate.strftime('%Y-%m-%d')
        url = f'https://arquivos.b3.com.br/api/download/requestname?fileName={filename}&date={date}&recaptchaToken='
        res = requests.get(url)
        msg = 'status_code = {} url = {}'.format(res.status_code, url)

wilsonfreitas

from functools import wraps

try:
    from functools import lru_cache
except ImportError:
    def lru_cache(user_function):
        cache = {}
        @wraps(user_function)
        def wrapper(*args):
            key = tuple(args)

wilsonfreitas

f <- function(x) cos(x*20)
expi <- function(x) cos(x) + sin(x)*1i
par(mfrow = c(1,2))
L <- 40
medias_Re <- c()
fs <- c()
as <- seq(0.01, 1, l = 140)

animation::saveGIF({
  for(a in as) {

wilsonfreitas

library(rb3)
library(tidyverse)

top_weight <- function(.data, n = 10) {
  top_10 <- .data |>
    arrange(desc(weight)) |>
    slice_head(n = n) |>
    select(symbol, weight)
  total_weight <- sum(top_10$weight)
  others <- tibble(

wilsonfreitas

forwardrate method, for a SpotRateCurve and with arguments t1 and t2, computes the forward rate between two future terms that exist in the term structure.

library(rb3)
library(fixedincome)

df_yc <- yc_get("2022-05-20")

crv &lt;- spotratecurve(

wilsonfreitas

{
  "nbformat": 4,
  "nbformat_minor": 0,
  "metadata": {
    "colab": {
      "name": "Untitled0.ipynb",
      "provenance": [],
      "collapsed_sections": [],
      "authorship_tag": "ABX9TyNsy4RaWWJJXRN8opuCmESy",
      "include_colab_link": true

wilsonfreitas

bvbg_download_handler <- function(obj, data_ref, dest_dir) {
  function () {
    data <- as.Date(data_ref)
    # if (obj$jump_to_current) {
    #   data <- today()
    # }
    data <- format(x=data, format="%y%m%d")
    url <- 'http://www.bmfbovespa.com.br/pesquisapregao/download?filelist='
    url <- paste(url, obj$url_file, data, '.zip', sep="")

wilsonfreitas

#' Computes option price via Black-76 formula.
#'
#' Black-76 formula implementation, pricing european options.
#'
#' @param type 'call' for call option, any other value for put.
#' @param future current future price.
#' @param strike the strike price.
#' @param time time to option expiration in years.
#' @param rate the risk-free interest rate.
#' @param sigma volatility of the future price.