fmp yield curve

4 files changed, 416 insertions, 0 deletions

diff --git a/openbb_platform/providers/fmp/openbb_fmp/__init__.py b/openbb_platform/providers/fmp/openbb_fmp/__init__.py
index 01f9a5019e5..d10dfdd2353 100644
--- a/openbb_platform/providers/fmp/openbb_fmp/__init__.py
+++ b/openbb_platform/providers/fmp/openbb_fmp/__init__.py
@@ -63,6 +63,8 @@ from openbb_fmp.models.risk_premium import FMPRiskPremiumFetcher
 from openbb_fmp.models.share_statistics import FMPShareStatisticsFetcher
 from openbb_fmp.models.treasury_rates import FMPTreasuryRatesFetcher
 from openbb_fmp.models.world_news import FMPWorldNewsFetcher
+from openbb_fmp.models.yield_curve import FMPYieldCurveFetcher
+
 
 fmp_provider = Provider(
     name="fmp",
@@ -134,6 +136,7 @@ stock market information (news, currencies, and stock prices).""",
         "TreasuryRates": FMPTreasuryRatesFetcher,
         "WorldNews": FMPWorldNewsFetcher,
         "EtfHistorical": FMPEquityHistoricalFetcher,
+        "YieldCurve": FMPYieldCurveFetcher,
     },
     repr_name="Financial Modeling Prep (FMP)",
     v3_credentials=["API_KEY_FINANCIALMODELINGPREP"],
diff --git a/openbb_platform/providers/fmp/openbb_fmp/models/yield_curve.py b/openbb_platform/providers/fmp/openbb_fmp/models/yield_curve.py
new file mode 100644
index 00000000000..8e2e3d8f245
--- /dev/null
+++ b/openbb_platform/providers/fmp/openbb_fmp/models/yield_curve.py
@@ -0,0 +1,126 @@
+"""FMP Yield Curve Model."""
+
+# pylint: disable=unused-argument
+
+from datetime import datetime, timedelta
+from typing import Any, Dict, List, Optional
+
+from openbb_core.provider.abstract.fetcher import Fetcher
+from openbb_core.provider.standard_models.yield_curve import (
+    YieldCurveData,
+    YieldCurveQueryParams,
+)
+from openbb_core.provider.utils.errors import EmptyDataError
+from openbb_core.provider.utils.helpers import amake_requests
+from pandas import Categorical, DataFrame, DatetimeIndex
+
+maturity_dict = {
+    "month1": "month_1",
+    "month2": "month_2",
+    "month3": "month_3",
+    "month6": "month_6",
+    "year1": "year_1",
+    "year2": "year_2",
+    "year3": "year_3",
+    "year5": "year_5",
+    "year7": "year_7",
+    "year10": "year_10",
+    "year20": "year_20",
+    "year30": "year_30",
+}
+
+
+class FMPYieldCurveQueryParams(YieldCurveQueryParams):
+    """FMP Yield Curve Query.
+
+    Source: https://site.financialmodelingprep.com/developer/docs/treasury-rates-api/
+    """
+
+    __json_schema_extra__ = {"date": {"multiple_items_allowed": True}}
+
+
+class FMPYieldCurveData(YieldCurveData):
+    """FMP Yield Curve Data."""
+
+
+class FMPYieldCurveFetcher(
+    Fetcher[
+        FMPYieldCurveQueryParams,
+        List[FMPYieldCurveData],
+    ]
+):
+    """FMP Yield Curve Fetcher."""
+
+    @staticmethod
+    def transform_query(params: Dict[str, Any]) -> FMPYieldCurveQueryParams:
+        """Transform the query params."""
+        transformed_params = params
+        if not transformed_params.get("date"):
+            transformed_params["date"] = datetime.now().strftime("%Y-%m-%d")
+        return FMPYieldCurveQueryParams(**transformed_params)
+
+    @staticmethod
+    async def aextract_data(
+        query: FMPYieldCurveQueryParams,
+        credentials: Optional[Dict[str, str]],
+        **kwargs: Any,
+    ) -> List[Dict]:
+        """Return the raw data from the FMP endpoint."""
+        api_key = credentials.get("fmp_api_key") if credentials else ""
+
+        def generate_url(date):
+            """Generate URL for a small window between each date."""
+            date = datetime.strptime(date, "%Y-%m-%d")
+            from_date = (date - timedelta(days=3)).strftime("%Y-%m-%d")
+            to_date = (date + timedelta(days=3)).strftime("%Y-%m-%d")
+            url = (
+                "https://financialmodelingprep.com/api/v4/treasury?"
+                + f"from={from_date}&to={to_date}&apikey={api_key}"
+            )
+            return url
+
+        dates = query.date.split(",")
+        urls = [generate_url(date) for date in dates]
+
+        return await amake_requests(urls, **kwargs)
+
+    @staticmethod
+    def transform_data(
+        query: FMPYieldCurveQueryParams, data: List[Dict], **kwargs: Any
+    ) -> List[FMPYieldCurveData]:
+        """Return the transformed data."""
+        if not data:
+            raise EmptyDataError("The request was returned empty.")
+        df = DataFrame(data).set_index("date")
+        dates = query.date.split(",") if query.date else [df.index.max()]
+        df.index = DatetimeIndex(df.index)
+        dates_list = DatetimeIndex(dates)
+        df = df.rename(columns=maturity_dict)
+        df.columns.name = "maturity"
+
+        # Find the nearest date in the DataFrame to each date in dates_list
+        nearest_dates = [df.index.asof(date) for date in dates_list]
+
+        # Filter for only the nearest dates
+        df = df[df.index.isin(nearest_dates)]
+
+        df = df.fillna("N/A").replace("N/A", None)
+
+        # Flatten the DataFrame
+        flattened_data = df.reset_index().melt(
+            id_vars="date", var_name="maturity", value_name="rate"
+        )
+        flattened_data = flattened_data.sort_values("date")
+        flattened_data["maturity"] = Categorical(
+            flattened_data["maturity"],
+            categories=list(maturity_dict.values()),
+            ordered=True,
+        )
+        flattened_data["rate"] = flattened_data["rate"].astype(float) / 100
+        flattened_data = flattened_data.sort_values(
+            by=["date", "maturity"]
+        ).reset_index(drop=True)
+        flattened_data.loc[:, "date"] = flattened_data["date"].dt.strftime("%Y-%m-%d")
+        records = flattened_data.to_dict(orient="records")
+
+        return [FMPYieldCurveData.model_validate(d) for d in records]
diff --git a/openbb_platform/providers/fmp/tests/record/http/test_fmp_fetchers/test_fmp_yield_curve_fetcher.yaml b/openbb_platform/providers/fmp/tests/record/http/test_fmp_fetchers/test_fmp_yield_curve_fetcher.yaml
new file mode 100644
index 00000000000..9bf46d6f9f5
--- /dev/null
+++ b/openbb_platform/providers/fmp/tests/record/http/test_fmp_fetchers/test_fmp_yield_curve_fetcher.yaml
@@ -0,0 +1,276 @@
+interactions:
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+    body: null
+    headers:
+      Accept:
+      - application/json
+      Accept-Encoding:
+      - gzip, deflate
+      Connection:
+      - keep-alive
+    method: GET
+    uri: https://financialmodelingprep.com/api/v4/treasury?apikey=MOCK_API_KEY&from=2020-05-11&to=2020-05-17
+  response:
+    body:
+      string: !!binary |
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+        YwdHBgAA
+    headers:
+      Access-Control-Allow-Credentials:
+      - 'true'
+      Access-Control-Allow-Headers:
+      - X-Requested-With, content-type, auth-token, Authorization, stripe-signature,
+        APPS, publicauthkey, privateauthkey
+      Access-Control-Allow-Methods:
+      - GET, POST, OPTIONS
+      Access-Control-Allow-Origin:
+      - '*'
+      Access-Control-Max-Age:
+      - '3600'
+      Connection:
+      - keep-alive
+      Content-Encoding:
+      - gzip
+      Content-Type:
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+      Etag:
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+      Transfer-Encoding:
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+      X-Frame-Options:
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+      X-Powered-By:
+      - Express
+    status:
+      code: 200
+      message: OK
+- request:
+    body: null
+    headers:
+      Accept:
+      - application/json
+      Accept-Encoding:
+      - gzip, deflate
+      Connection:
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+    method: GET
+    uri: https://financialmodelingprep.com/api/v4/treasury?apikey=MOCK_API_KEY&from=2023-05-11&to=2023-05-17
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+    headers:
+      Access-Control-Allow-Credentials:
+      - 'true'
+      Access-Control-Allow-Headers:
+      - X-Requested-With, content-type, auth-token, Authorization, stripe-signature,
+        APPS, publicauthkey, privateauthkey
+      Access-Control-Allow-Methods:
+      - GET, POST, OPTIONS
+      Access-Control-Allow-Origin:
+      - '*'
+      Access-Control-Max-Age:
+      - '3600'
+      Connection:
+      - keep-alive
+      Content-Encoding:
+      - gzip
+      Content-Type:
+      - application/json; charset=utf-8
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+      Etag:
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+      Transfer-Encoding:
+      - chunked
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+      - Accept-Encoding
+      X-Frame-Options:
+      - SAMEORIGIN
+      X-Powered-By:
+      - Express
+    status:
+      code: 200
+      message: OK
+- request:
+    body: null
+    headers:
+      Accept:
+      - application/json
+      Accept-Encoding:
+      - gzip, deflate
+      Connection:
+      - keep-alive
+    method: GET
+    uri: https://financialmodelingprep.com/api/v4/treasury?apikey=MOCK_API_KEY&from=2022-05-11&to=2022-05-17
+  response:
+    body:
+      string: !!binary |
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+      - 'true'
+      Access-Control-Allow-Headers:
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+        APPS, publicauthkey, privateauthkey
+      Access-Control-Allow-Methods:
+      - GET, POST, OPTIONS
+      Access-Control-Allow-Origin:
+      - '*'
+      Access-Control-Max-Age:
+      - '3600'
+      Connection:
+      - keep-alive
+      Content-Encoding:
+      - gzip
+      Content-Type:
+      - application/json; charset=utf-8
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+      X-Frame-Options:
+      - SAMEORIGIN
+      X-Powered-By:
+      - Express
+    status:
+      code: 200
+      message: OK
+- request:
+    body: null
+    headers:
+      Accept:
+      - application/json
+      Accept-Encoding:
+      - gzip, deflate
+      Connection:
+      - keep-alive
+    method: GET
+    uri: https://financialmodelingprep.com/api/v4/treasury?apikey=MOCK_API_KEY&from=2021-05-11&to=2021-05-17
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+    body:
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+    headers:
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+      - 'true'
+      Access-Control-Allow-Headers:
+      - X-Requested-With, content-type, auth-token, Authorization, stripe-signature,
+        APPS, publicauthkey, privateauthkey
+      Access-Control-Allow-Methods:
+      - GET, POST, OPTIONS
+      Access-Control-Allow-Origin:
+      - '*'
+      Access-Control-Max-Age:
+      - '3600'
+      Connection:
+      - keep-alive
+      Content-Encoding:
+      - gzip
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+      - application/json; charset=utf-8
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+      X-Powered-By:
+      - Express
+    status:
+      code: 200
+      message: OK
+- request:
+    body: null
+    headers:
+      Accept:
+      - application/json
+      Accept-Encoding:
+      - gzip, deflate
+      Connection:
+      - keep-alive
+    method: GET
+    uri: https://financialmodelingprep.com/api/v4/treasury?apikey=MOCK_API_KEY&from=2024-05-11&to=2024-05-17
+  response:
+    body:
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+      Access-Control-Allow-Credentials:
+      - 'true'
+      Access-Control-Allow-Headers:
+      - X-Requested-With, content-type, auth-token, Authorization, stripe-signature,
+        APPS, publicauthkey, privateauthkey
+      Access-Control-Allow-Methods:
+      - GET, POST, OPTIONS
+      Access-Control-Allow-Origin:
+      - '*'
+      Access-Control-Max-Age:
+      - '3600'
+      Connection:
+      - keep-alive
+      Content-Encoding:
+      - gzip
+      Content-Type:
+      - application/json; charset=utf-8
+      Date:
+      - Wed, 15 May 2024 04:17:01 GMT
+      Etag:
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+      Server:
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+      Transfer-Encoding:
+      - chunked
+      Vary:
+      - Accept-Encoding
+      X-Frame-Options:
+      - SAMEORIGIN
+      X-Powered-By:
+      - Express
+    status:
+      code: 200
+      message: OK
+version: 1
diff --git a/openbb_platform/providers/fmp/tests/test_fmp_fetchers.py b/openbb_platform/providers/fmp/tests/test_fmp_fetchers.py
index b740b6e8050..de3c82ef7c5 100644
--- a/openbb_platform/providers/fmp/tests/test_fmp_fetchers.py
+++ b/openbb_platform/providers/fmp/tests/test_fmp_fetchers.py
@@ -70,6 +70,7 @@ from openbb_fmp.models.risk_premium import FMPRiskPremiumFetcher
 from openbb_fmp.models.share_statistics import FMPShareStatisticsFetcher
 from openbb_fmp.models.treasury_rates import FMPTreasuryRatesFetcher
 from openbb_fmp.models.world_news import FMPWorldNewsFetcher
+from openbb_fmp.models.yield_curve import FMPYieldCurveFetcher
 
 test_credentials = UserService().default_user_settings.credentials.model_dump(
     mode="json"
@@ -746,3 +747,13 @@ def test_fmp_equity_forward_eps_fetcher(credentials=test_credentials):
     fetcher = FMPForwardEpsEstimatesFetcher()
     result = fetcher.test(params, credentials)
     assert result is None
+
+
+@pytest.mark.record_http
+def test_fmp_yield_curve_fetcher(credentials=test_credentials):
+    """Test FMP Yield Curve Fetcher."""
+    params = {"date": "2024-05-14,2023-05-14,2022-05-14,2021-05-14,2020-05-14"}
+
+    fetcher = FMPYieldCurveFetcher()
+    result = fetcher.test(params, credentials)
+    assert result is None