Add in Euribor Rates and Fix Tests

README.md

@@ -2661,6 +2661,10 @@ The marginal lending facility rate is the interest rate banks pay when they borr
 
 The deposit facility rate is one of the three interest rates the ECB sets every six weeks as part of its monetary policy. The rate defines the interest banks receive for depositing money with the central bank overnight. Find the documentation [here](https://www.jeroenbouma.com/projects/financetoolkit/docs/fixedincome#get_european_central_bank_rates).
 
+> **Euribor Rates**
+
+The Euro Interbank Offered Rate (Euribor) is a daily reference rate based on the averaged interest rates at which Eurozone banks offer to lend unsecured funds to other banks in the euro wholesale money market. It is widely used as the base rate for a variety of financial products, including mortgages, savings accounts, and derivatives. Find the documentation [here](https://www.jeroenbouma.com/projects/financetoolkit/docs/fixedincome#get_euribor_rates).
+
 > **Effective Federal Funds Rate**
 
 The effective federal funds rate (EFFR) is calculated as a volume-weighted median of overnight federal funds transactions reported in the FR 2420 Report of Selected Money Market Rates. Find the documentation [here](https://www.jeroenbouma.com/projects/financetoolkit/docs/fixedincome#get_federal_reserve_rates).
@@ -2677,7 +2681,7 @@ The TGCR is calculated as a volume-weighted median of transaction-level tri-part
 
 The BGCR is calculated as a volume-weighted median of transaction-level tri-party repo data collected from the Bank of New York Mellon as well as GCF Repo transaction data obtained from the U.S. Department of the Treasury’s Office of Financial Research (OFR). Find the documentation [here](https://www.jeroenbouma.com/projects/financetoolkit/docs/fixedincome#get_federal_reserve_rates).
 
-> **Secured Overnight Financing Rate**
+> **Secured Overnight Financing Rate (SOFR)**
 
 The SOFR is calculated as a volume-weighted median of transaction-level tri-party repo data collected from the Bank of New York Mellon as well as GCF Repo transaction data and data on bilateral Treasury repo transactions cleared through FICC’s DVP service, which are obtained from the U.S. Department of the Treasury’s Office of Financial Research (OFR). Find the documentation [here](https://www.jeroenbouma.com/projects/financetoolkit/docs/fixedincome#get_federal_reserve_rates).
 
@@ -2686,29 +2690,29 @@ The SOFR is calculated as a volume-weighted median of transaction-level tri-part
 <details>
     <summary><b>Government Bonds</b></summary>
 
-It is possible to view both short-term (3-month) and long-term (10-year) interest rates for each of the available countries. These rates relate to the interest rates at which countries issue government bonds.
+It is possible to view both short-term (3-month) and long-term (10-year) interest rates for each of the available countries. These rates relate to the interest rates at which countries issue government bonds and are used as a benchmark for other interest rates in the economy. For example, the German government bond yield is an overall indicator of the European economy.
 
-These interest rates can be obtained with `get_long_term_interest_rate` or `get_short_term_interest_rate`. As an example:
+These interest rates can be obtained with `get_government_bond_yield`. As an example:
 
 ```python
 from financetoolkit import FixedIncome
 
 fixedincome = FixedIncome()
 
-fixedincome.get_long_term_interest_rate()
+fixedincome.get_government_bond_yield()
 ```
 
 > **Long Term Interest Rates (10 year)**
 
 Long-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. Find the documentation [here](https://www.jeroenbouma.com/projects/financetoolkit/docs/fixedincome#get_long_term_interest_rate).
+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. Find the documentation [here](https://www.jeroenbouma.com/projects/financetoolkit/docs/fixedincome#get_government_bond_yield).
 
 > **Short Term Interest Rates (3 month)**
 
 Short-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”. Find the documentation [here](https://www.jeroenbouma.com/projects/financetoolkit/docs/fixedincome#get_short_term_interest_rate).
+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”. Find the documentation [here](https://www.jeroenbouma.com/projects/financetoolkit/docs/fixedincome#get_government_bond_yield).
 
 </details>
 

financetoolkit/fixedincome/derivative_model.py

@@ -5,7 +5,7 @@
 
 
 def get_black_price(
-    fixed_rate: float,
+    forward_rate: float,
     strike_rate: float,
     volatility: float,
     years_to_maturity: float,
@@ -25,7 +25,7 @@ def get_black_price(
     For more information, see: https://en.wikipedia.org/wiki/Black_model
 
     Args:
-        fixed_rate (float): Fixed rate of the underlying swap.
+        forward_rate (float): Forward rate of the underlying swap.
         strike_rate (float): Strike rate of the swaption.
         volatility (float): Volatility of the underlying swap.
         years_to_maturity (float): years to maturity of the swaption.
@@ -38,14 +38,14 @@ def get_black_price(
         tuple[float, float]: A tuple containing the price of the swaption and the payoff of the underlying option.
     """
     d1 = (
-        np.log(fixed_rate / strike_rate) + 0.5 * volatility**2 * years_to_maturity
+        np.log(forward_rate / strike_rate) + 0.5 * volatility**2 * years_to_maturity
     ) / (volatility * np.sqrt(years_to_maturity))
     d2 = d1 - volatility * np.sqrt(years_to_maturity)
 
     if is_receiver:
-        payoff = -fixed_rate * norm.cdf(-d1) + strike_rate * norm.cdf(-d2)
+        payoff = -forward_rate * norm.cdf(-d1) + strike_rate * norm.cdf(-d2)
     else:
-        payoff = fixed_rate * norm.cdf(d1) - strike_rate * norm.cdf(d2)
+        payoff = forward_rate * norm.cdf(d1) - strike_rate * norm.cdf(d2)
 
     present_value = np.exp(-risk_free_rate * years_to_maturity)
     swaption_price = notional * present_value * payoff
@@ -54,7 +54,7 @@ def get_black_price(
 
 
 def get_bachelier_price(
-    fixed_rate: float,
+    forward_rate: float,
     strike_rate: float,
     volatility: float,
     years_to_maturity: float,
@@ -71,7 +71,7 @@ def get_bachelier_price(
     For more information, see: https://en.wikipedia.org/wiki/Bachelier_model
 
     Args:
-        fixed_rate (float): Fixed rate of the underlying swap.
+        forward_rate (float): Forward rate of the underlying swap.
         strike_rate (float): Strike rate of the swaption.
         volatility (float): Volatility of the underlying swap.
         years_to_maturity (float): years to maturity of the swaption.
@@ -82,14 +82,14 @@ def get_bachelier_price(
     Returns:
         tuple[float, float]: A tuple containing the price of the swaption and the payoff of the underlying option.
     """
-    d = (fixed_rate - strike_rate) / (volatility * np.sqrt(years_to_maturity))
+    d = (forward_rate - strike_rate) / (volatility * np.sqrt(years_to_maturity))
 
     if is_receiver:
-        payoff = (strike_rate - fixed_rate) * norm.cdf(-d) + volatility * np.sqrt(
+        payoff = (strike_rate - forward_rate) * norm.cdf(-d) + volatility * np.sqrt(
             years_to_maturity
         ) * norm.pdf(-d)
     else:
-        payoff = (fixed_rate - strike_rate) * norm.cdf(d) + volatility * np.sqrt(
+        payoff = (forward_rate - strike_rate) * norm.cdf(d) + volatility * np.sqrt(
             years_to_maturity
         ) * norm.pdf(d)
 

financetoolkit/fixedincome/ecb_model.py

@@ -3,32 +3,7 @@
 
 import pandas as pd
 
-BASE_URL = "https://data-api.ecb.europa.eu/service/data/FM/"
-EXTENSIONS = "?format=csvdata"
-
-
-def collect_ecb_data(ecb_data_string: str) -> pd.DataFrame:
-    """
-    Collect the data from the ECB API and return it as a DataFrame.
-
-    Args:
-        ecb_data_string (str): The string that is appended to the base URL to
-            get the data from the ECB API.
-
-    Returns:
-       pd.DataFrame: A DataFrame containing the data from the ECB API.
-    """
-    ecb_data = pd.read_csv(f"{BASE_URL}{ecb_data_string}{EXTENSIONS}")
-
-    ecb_data = ecb_data.set_index("TIME_PERIOD")
-
-    ecb_data.index = pd.PeriodIndex(data=ecb_data.index, freq="D")
-
-    ecb_data.index.name = None
-
-    ecb_data = ecb_data["OBS_VALUE"]
-
-    return ecb_data
+from financetoolkit.fixedincome.helpers import collect_ecb_data
 
 
 def get_main_refinancing_operations() -> pd.DataFrame:
@@ -42,7 +17,9 @@ def get_main_refinancing_operations() -> pd.DataFrame:
     """
     ecb_data_string = "D.U2.EUR.4F.KR.MRR_RT.LEV"
 
-    main_refinancing_operations = collect_ecb_data(ecb_data_string)
+    main_refinancing_operations = collect_ecb_data(
+        ecb_data_string=ecb_data_string, dataset="FM", frequency="D"
+    )
 
     # Convert to percentage
     main_refinancing_operations = main_refinancing_operations / 100
@@ -64,7 +41,9 @@ def get_marginal_lending_facility() -> pd.DataFrame:
     """
     ecb_data_string = "D.U2.EUR.4F.KR.MLFR.LEV"
 
-    marginal_lending_facility = collect_ecb_data(ecb_data_string)
+    marginal_lending_facility = collect_ecb_data(
+        ecb_data_string=ecb_data_string, dataset="FM", frequency="D"
+    )
 
     # Convert to percentage
     marginal_lending_facility = marginal_lending_facility / 100
@@ -83,7 +62,9 @@ def get_deposit_facility() -> pd.DataFrame:
     """
     ecb_data_string = "D.U2.EUR.4F.KR.DFR.LEV"
 
-    deposit_facility = collect_ecb_data(ecb_data_string)
+    deposit_facility = collect_ecb_data(
+        ecb_data_string=ecb_data_string, dataset="FM", frequency="D"
+    )
 
     # Convert to percentage
     deposit_facility = deposit_facility / 100

financetoolkit/fixedincome/euribor_model.py

@@ -0,0 +1,33 @@
+"""ECB Model"""
+__docformat__ = "google"
+
+import pandas as pd
+
+from financetoolkit.fixedincome.helpers import collect_ecb_data
+
+
+def get_euribor_rate(maturity: str, nominal: bool = True) -> pd.DataFrame:
+    """
+    Get the Main Refinancing Operations from the European Central Bank over
+    time. The Main Refinancing Operations are the rate at which banks can
+    borrow money from the central bank for the duration of one week.
+
+    Returns:
+       pd.DataFrame: A DataFrame containing the Main Refinancing Operations over time.
+    """
+    if maturity not in ["1M", "3M", "6M", "1Y"]:
+        raise ValueError("Invalid maturity. Please choose from 1M, 3M, 6M, 1Y.")
+
+    if nominal:
+        ecb_data_string = f"M.U2.EUR.RT.MM.EURIBOR{maturity}D_.HSTA"
+    else:
+        ecb_data_string = f"M.U2.EUR.4F.MM.R_EURIBOR{maturity}D_.HSTA"
+
+    euribor_rate = collect_ecb_data(
+        ecb_data_string=ecb_data_string, dataset="FM", frequency="M"
+    )
+
+    # Convert to percentage
+    euribor_rate = euribor_rate / 100
+
+    return euribor_rate