"""The point-in-time table, and the two ways its rows are dated.""" from __future__ import annotations from datetime import UTC, date, datetime import polars as pl from recipe.pit import build_pit, entity_for, term_code from recipe.schema import BILL_RATE_SCHEMA, CURVE_SCHEMA, RESULT_SCHEMA, align AUCTION_AT = datetime(2026, 9, 10, 17, 2, tzinfo=UTC) # 13:02 Eastern, stated CURVE_AT = datetime(2026, 9, 10, 22, 0, tzinfo=UTC) # 18:00 Eastern, modelled def test_auction_series_are_keyed_by_term_not_by_cusip(): """A series keyed on one CUSIP stops when that bond is issued.""" assert term_code("10-Year", "note") == "10Y" assert term_code("10-Year", "tips") == "10Y_TIPS" assert term_code("4-Week", "bill") == "4W" assert term_code("42-Day", "cmb") == "42D_CMB" assert term_code(None, "bill") is None def test_a_prefix_is_not_repeated(): assert entity_for("UST_CMT_", "10Y") == "UST_CMT_10Y" assert entity_for("UST_LT_", "LT_COMPOSITE") == "UST_LT_COMPOSITE" assert entity_for("UST_REAL_LT_", "LT_REAL_AVERAGE") == "UST_REAL_LT_REAL_AVERAGE" def _frames() -> dict[str, pl.DataFrame]: result = { "result_id": "UST_2026-09-10_912810UW6_RES", "auction_id": "UST_2026-09-10_912810UW6", "cusip": "912810UW6", "security_type": "bond", "security_term": "29-Year 11-Month", "auction_date": date(2026, 9, 10), "knowledge_at": AUCTION_AT, "knowledge_date": AUCTION_AT, "knowledge_time_precision": "minute", "high_yield": 5.308, "bid_to_cover": 2.61, "indirect_accepted_pct": 79.330688, "source_url": "https://example.invalid/artifact", "parser_version": "1.0.0", } curve = [ { "curve_id": f"nominal_2026-09-{day:02d}_10Y", "curve_date": date(2026, 9, day), "curve_type": "nominal", "maturity": "10Y", "maturity_years": 10.0, "yield_pct": value, "knowledge_at": datetime(2026, 9, day, 22, 0, tzinfo=UTC), "knowledge_date": datetime(2026, 9, day, 22, 0, tzinfo=UTC), "knowledge_time_precision": "modeled_conservative", "source_url": "https://example.invalid/rates", "parser_version": "1.0.0", } for day, value in ((9, 4.93), (10, 4.95)) ] bills = { "bill_rate_id": "bill_2026-09-10_13W", "rate_date": date(2026, 9, 10), "maturity": "13W", "maturity_weeks": 13.0, "bank_discount_rate": 3.93, "coupon_equivalent_rate": 4.03, "knowledge_at": CURVE_AT, "knowledge_date": CURVE_AT, "knowledge_time_precision": "modeled_conservative", "source_url": "https://example.invalid/rates", "parser_version": "1.0.0", } return { "auction_results": align(pl.DataFrame([result], infer_schema_length=None), RESULT_SCHEMA), "nominal_yield_curve": align(pl.DataFrame(curve, infer_schema_length=None), CURVE_SCHEMA), "real_yield_curve": pl.DataFrame(schema=dict(CURVE_SCHEMA)), "bill_rates": align(pl.DataFrame([bills], infer_schema_length=None), BILL_RATE_SCHEMA), } def test_an_auction_and_a_curve_from_the_same_day_are_hours_apart(): """The whole reason both belong in one table.""" pit = build_pit(_frames()) auction = pit.filter(pl.col("subset") == "auction_results")["knowledge_date"].max() curve = pit.filter(pl.col("subset") == "nominal_yield_curve")["knowledge_date"].max() assert auction < curve assert (curve - auction).total_seconds() >= 4 * 3600 def test_a_bill_becomes_two_series_because_it_is_quoted_two_ways(): pit = build_pit(_frames()) bills = set(pit.filter(pl.col("subset") == "bill_rates")["entity_id"]) assert bills == {"UST_BILL_13W_BD", "UST_BILL_13W_CE"} def test_derived_shares_are_labelled_derived(): pit = build_pit(_frames()) methods = dict(zip(pit["entity_id"], pit["value_method"], strict=True)) assert methods["UST_AUCTION_29Y_11M_HIGH_YIELD"] == "reported" assert methods["UST_AUCTION_29Y_11M_INDIRECT_PCT"] == "derived" def test_change_is_against_the_previous_publication_of_the_same_series(): pit = build_pit(_frames()).filter(pl.col("entity_id") == "UST_CMT_10Y").sort("knowledge_date") assert pit["actual"].to_list() == [4.93, 4.95] assert pit["previous"].to_list() == [None, 4.93] assert pit["change"].to_list()[1] == 0.02 def test_forecast_is_always_null(): """Consensus estimates are licensed data; this dataset carries none.""" pit = build_pit(_frames()) assert pit["forecast"].null_count() == pit.height def test_nothing_is_knowable_before_the_day_it_describes(): pit = build_pit(_frames()) early = pit.filter(pl.col("knowledge_date").dt.date() < pl.col("event_date")) assert early.height == 0