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[Enhancement] Fixed Income Enhancements #6490

Merged
merged 29 commits into from
Jun 18, 2024
Merged

[Enhancement] Fixed Income Enhancements #6490

merged 29 commits into from
Jun 18, 2024

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deeleeramone
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@deeleeramone deeleeramone commented Jun 6, 2024

  1. Why?:

    • SOFR belongs under the rate section with the other similar items.
    • Ambiguous standard model for EFFR and CP.
    • Moody's bond indices can be moved to be with the other bond indices.
  2. What?:

    • Renames the "FED" standard model as: federal_funds_rate.
    • Renames the "CP" standard model as: commercial_paper.
      • multiple items allowed.
    • Add model definitions for all fields.
    • EFFR & SOFR: Standardizes the data from both FRED and the NY Fed API.
    • openbb-federal-reserve: Switch the source of the data to the NY Fed API and return a JSON.
    • openbb-fred: Add transform and frequency aggregation parameters. Return series metadata.
    • Moves SOFR to the fixedincome.rate router and add deprecation to the original item.
    • Add federal_reserve as provider to SOFR.
    • Return percentiles and notional volume for EFFR and SOFR.
    • Remove discontinued series from Ameribor and define the model with more information.
    • Add frequency and transform to Ameribor and allow multiple items. Renames "parameter" -> "maturity"
    • Adds overnight_bank_funding_rate as new route and data from FRED and Federal Reserve.
    • Adds "seasoned_corporate" as an "index" within the "us" category of bond_indices.
      • This returns the Moody's bond indices and the other endpoint can be retired - deprecation warning added.
    • Renames "hqm" files as "high_quality_market".
      • Changes the way data is fetched for "hqm" so that only 1 request per-date is made, and gets the 0.5-100 year range of yield curve for the spot rate.
      • Multiple dates allowed for 'hqm'.
    • Add Treasury Minus Fed Funds to Yield Curve as choice for FRED.
    • Renames "estr" -> "euro_short_term_rate"
      • Removes "parameter" paremeter and returns all items to a defined model.
    • Update associated tests.
  3. Impact:

    • The only breaking change is the FRED parameter named, 'parameter'.
      • The same results are obtained by using the frequency or maturity parameters.
    • Additional data fields are returned from both providers to this endpoint.
      • Target ranges, percentiles, notional volume.
    • All fields returning a % value are normalized and have json_schema_extra definitions for front end.
    • Improved type hinting.
    • Much faster response time from obb.fixedincome.corporate.hqm
  4. Testing Done:

    • Unit, Integration tests.
    • CLI

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Screenshot 2024-06-11 at 2 02 44 PM

@deeleeramone deeleeramone changed the title [Enhancement] Improve EFFR Function & Move SOFR to rate [Enhancement] Fixed Income Enhancements. Jun 7, 2024
@deeleeramone deeleeramone changed the title [Enhancement] Fixed Income Enhancements. [Enhancement] Fixed Income Enhancements Jun 7, 2024
@deeleeramone
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@IgorWounds, gotta cut myself here. No more additions to this PR. 🥲

@IgorWounds IgorWounds added this pull request to the merge queue Jun 18, 2024
Merged via the queue into develop with commit 1a990ba Jun 18, 2024
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@IgorWounds IgorWounds deleted the feature/effr branch June 19, 2024 12:18
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3 participants