To maximize the utility of B3's existing datasets, several functions integrate data from multiple
sources to generate specialized datasets for specific analytical needs. For instance,
cotahist_equity_options_superset() combines data from COTAHIST datasets
(b3-cotahist-yearly, b3-cotahist-monthly, and b3-cotahist-daily) and Reference Rates
(b3-reference-rates) to construct a dataset containing stock options data. This dataset
includes details such as the closing price of the underlying stock, its ticker symbol, and the
applicable interest rate at option expiration. This comprehensive data enables users to perform
option pricing and calculate implied volatility.
Usage
cotahist_options_by_symbols_get(symbols)
yc_brl_with_futures_get(refdate)
yc_usd_with_futures_get(refdate)
yc_ipca_with_futures_get(refdate)Value
The function cotahist_options_by_symbol_superset() return an object that inherits from a arrow_dplyr_query
since it tries to preserve the lazy evaluation and avoids collecting the data before its return.
The functions yc_brl_with_futures_get(), yc_usd_with_futures_get() and yc_ipca_with_futures_get() return
a data.frame containing the yield curve data merged with futures contract information.
The data is pre-collected (not lazy) and includes all columns from the respective yield curve
function plus a symbol column identifying the corresponding futures contract.
Details
The functions cotahist_equity_options_superset(), cotahist_funds_options_superset(),
cotahist_index_options_superset(), and cotahist_options_by_symbol_superset() use
information from the COTAHIST datasets (b3-cotahist-yearly, b3-cotahist-monthly,
and b3-cotahist-daily) and Reference Rates (b3-reference-rates) and return a dataframe
containing stock option data, including the closing price of the underlying stocks, the ticker
of the underlying asset, and the interest rate at the option's expiration. The returned dataframe
contains the following columns: "refdate", "symbol", "type", "symbol_underlying",
"strike_price", "maturity_date", "r_252", "close", "close_underlying", "volume",
"trade_quantity", and "traded_contracts".
cotahist_options_by_symbol_superset() returns the same dataset but filtered for the specified asset ticker.
Returned objects preserve lazy evaluation whenever possible and avoid being
collected until the last possible moment. Exceptions occur when operations
cannot be performed using Arrow's operators — in such cases, data will be
collected and data.frames will be returned. Please refer to the documentation
to identify the situations where this behavior applies.
These functions retrieve yield curve data merged with corresponding futures contract information:
yc_brl_with_futures_get(): BRL nominal rates with DI1 futures contractsyc_usd_with_futures_get(): USD rates (Cupom Cambial) with DDI futures contractsyc_ipca_with_futures_get(): Real (inflation-indexed) rates with DAP futures contracts
These functions combine data from B3 Reference Rates (b3-reference-rates) and
Futures Settlement Prices (b3-futures-settlement-prices) to create comprehensive yield curve datasets.
The resulting data highlights key vertices along the curve with their corresponding futures contracts,
providing insight into the term structure of interest rates.
Each function requires a specific reference date to prevent excessive memory usage and ensure optimal performance.
Examples
if (FALSE) { # \dontrun{
date <- preceding(Sys.Date() - 1, "Brazil/ANBIMA")
bova_options <- cotahist_options_by_symbols_get("BOVA11") |> filter(refdate == date)
petr_options <- cotahist_options_by_symbols_get(c("PETR4", "PETR3")) |> filter(refdate == date)
} # }
if (FALSE) { # \dontrun{
# Get data for the last business day
date <- preceding(Sys.Date() - 1, "Brazil/ANBIMA")
# Retrieve BRL yield curve with DI1 futures
brl_curve <- yc_brl_with_futures_get(date)
head(brl_curve)
# Retrieve USD yield curve with DDI futures
usd_curve <- yc_usd_with_futures_get(date)
# Retrieve inflation-indexed yield curve with DAP futures
ipca_curve <- yc_ipca_with_futures_get(date)
} # }