pyg-bond

Release 0.0.18

Utilities for converting australian bill/bond futures to price. Also simple price to yield and yield to price.

Homepage PyPI Python

License
GPL-3.0
Install
pip install pyg-bond==0.0.18

Documentation

pyg-bond

The package contains simple bond price manipulation needed for Futures trading:

  • conversion of australian bank bills quotes to prices (IR Comdty in Bloomberg)
  • conversion of australian bond futures quotes to prices (XMA/YMA Comdty in Bloomberg)
  • Simple derivation of price & duration from yield for bonds
  • Newton Raphson yield & duration calculation from a given price using gradient descent

Stats

Dependencies
3
Dependent packages
1
Dependent repositories
0
Total releases
15
Latest release
First release
Stars
0
Forks
0
Watchers
1
Contributors
1
Repository size
111 KB
SourceRank
8

Development practices

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Dependencies are managed
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Issue-free release available
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Releases

0.0.14
0.0.18
0.0.17
0.0.16
0.0.15
0.0.13
0.0.12
0.0.11
0.0.10
0.0.9
See all 15 releases

Contributors

Yoav Git


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