pycffex 0.1.1

cffex with python: gb futures, index futures, and options

CFFEX

A python package for China Financial Futures Exchange (CFFEX) products, including government bond futures, index futures, and index options.

Installation

pip install pycffex

GB Futures

• Attributes
  • tenor: int, tenor of underlying, 2, 5, 10, or 30
  • code: str, code of futures of the given tenor, 'TS', 'TF', 'T', 'TL'
  • listdate
• Methods
  • lasttradingday()
  • getcontracts(): contracts available on the given trading date
  • deliverable(): whether a given bond is deliverable for the given contract month
  • conversionfactor(): conversion factor of a given deliverable bond for the given contract month
  • invoiceprice(): invoice price for delivery
  • irr(): implied repo rate for a given deliverable bond
  • ...

Index Futures

Contracts

code	underlying	multiplier
IF	csi 300	300
IC	csi 500	200
IM	csi 1000	200
IH	sse 50	300

• contract month: current month, next month, subsequent 2 quarterly month
• last trading day: the 3rd Friday of contract month
• delivery method: cash settlement
• delivery date: last trading day

Attributes: underlying, code, listdate

Methods

• lasttradingday(contractmon)
• getcontracts(tradedate)
• spothist(startdate, enddate)
• futhist(startdate, enddate)
• ...

Index Options

Contracts

code	underlying	multiplier
IO	csi 300	100
MO	csi 1000	100
HO	sse 50	100

• contract months: current month, next 2 months, subseuently 3 quarterly months
• last trading day: the 3rd Friday of contract month
• delivery method: cash settlement
• delivery date: last trading day

Attributes: underlyings, multiplier, exercisetype, listdates

Methods

• contractcode()
• lasttradingday()
• contractcode()
• contractmons()
• exercisedata()
• impliedvolatility()