Fix yield spread

liquidity/compute/utils/yields.py

@@ -17,5 +17,5 @@ def compute_dividend_yield(prices: pd.DataFrame, dividends: pd.DataFrame) -> pd.
     def yield_formula(row: pd.Series[np.float64]) -> np.float64:
         return ((row[Fields.TTM_Dividend] or 0.0) / row[OHLCV.Close]) * 100.0
 
-    df[Fields.Yield] = df.apply(yield_formula, axis=1)
-    return df[[Fields.Yield]]
+    df[Fields.Yield.value] = df.apply(yield_formula, axis=1)
+    return df[[Fields.Yield.value]]

tests/unit/models/test_yield_spread.py

@@ -0,0 +1,76 @@
+import pandas as pd
+import pytest
+
+from liquidity.models.yield_spread import YieldSpread
+from liquidity.compute.utils.yields import compute_dividend_yield
+from liquidity.data.metadata.entities import AssetMetadata, AssetTypes
+
+
+class MockTicker:
+    def __init__(self, symbol, prices, dividends):
+        self.symbol = symbol
+        self._prices = prices
+        self._dividends = dividends
+        self.metadata = AssetMetadata(
+            ticker=symbol,
+            name=symbol,
+            type=AssetTypes.ETF,
+            subtype="Bonds",
+            currency="USD",
+            distributing=True,
+            distribution_frequency=12,
+        )
+
+    @property
+    def prices(self):
+        return self._prices
+
+    @property
+    def dividends(self):
+        return self._dividends
+
+    @property
+    def yields(self):
+        return compute_dividend_yield(self.prices, self.dividends)
+
+    @staticmethod
+    def for_symbol(symbol: str):
+        idx = pd.date_range("2023-01-01", periods=3)
+        data = {
+            "HYG": {
+                "prices": pd.DataFrame({"Close": [100, 100, 100]}, index=idx),
+                "dividends": pd.DataFrame({"TTM_Dividend": [5.5, 5.48, 5.51]}, index=idx)
+            },
+            "LQD": {
+                "prices": pd.DataFrame({"Close": [100, 100, 100]}, index=idx),
+                "dividends": pd.DataFrame({"TTM_Dividend": [3.2, 3.25, 3.19]}, index=idx)
+            }
+        }
+        return MockTicker(
+            symbol,
+            prices=data[symbol]["prices"],
+            dividends=data[symbol]["dividends"],
+        )
+
+
+@pytest.fixture
+def mock_tickers(monkeypatch):
+    monkeypatch.setattr("liquidity.models.yield_spread.Ticker", MockTicker)
+
+
+class TestYieldSpread:
+    def test_calculation(self, mock_tickers):
+        spread = YieldSpread("HYG", "LQD")
+        expected = pd.DataFrame(
+            {
+                "YieldHYG": [5.5, 5.48, 5.51],
+                "YieldLQD": [3.2, 3.25, 3.19],
+                "Spread": [
+                    5.5 - 3.2,
+                    5.48 - 3.25,
+                    5.51 - 3.19,
+                ],
+            },
+            index=pd.date_range("2023-01-01", periods=3),
+        )
+        pd.testing.assert_frame_equal(spread.df, expected)