Utilities for converting australian bill/bond futures to price. Also simple price to yield and yield to price.
Project description
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
Release history Release notifications | RSS feed
Download files
Download the file for your platform. If you're not sure which to choose, learn more about installing packages.
Source Distribution
pyg-bond-0.0.10.tar.gz
(22.6 kB
view details)
Built Distribution
pyg_bond-0.0.10-py3-none-any.whl
(24.6 kB
view details)
File details
Details for the file pyg-bond-0.0.10.tar.gz.
File metadata
- Download URL: pyg-bond-0.0.10.tar.gz
- Upload date:
- Size: 22.6 kB
- Tags: Source
- Uploaded using Trusted Publishing? No
- Uploaded via: twine/4.0.1 CPython/3.9.13
File hashes
| Algorithm | Hash digest | |
|---|---|---|
| SHA256 | 8c08661928876a2564cb57365233d0647b12fee5961e6d293f510a7bc55ecd9a |
|
| MD5 | 0824c3d4b53643facd90995d360ed8fc |
|
| BLAKE2b-256 | dde7f0d32406d6fbfe236c91127ac6f19e13c13bbc0ec95246a742a73aacfb9a |
File details
Details for the file pyg_bond-0.0.10-py3-none-any.whl.
File metadata
- Download URL: pyg_bond-0.0.10-py3-none-any.whl
- Upload date:
- Size: 24.6 kB
- Tags: Python 3
- Uploaded using Trusted Publishing? No
- Uploaded via: twine/4.0.1 CPython/3.9.13
File hashes
| Algorithm | Hash digest | |
|---|---|---|
| SHA256 | 70e4f6942c5a9c2b497867098f23ff2c28aacdeb905c876282c601fcd07c44f8 |
|
| MD5 | 1fa916bb4572c362ff400d56f6b3ea60 |
|
| BLAKE2b-256 | 698b5d7e71f85db35b1744bc0f5d671ce610eafa180f85ef29b48b7bb51e42e7 |
