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
Project details
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-0.0.16.tar.gz
(26.3 kB
view hashes)
Built Distribution
pyg_bond-0.0.16-py3-none-any.whl
(27.2 kB
view hashes)
Close
Hashes for pyg_bond-0.0.16-py3-none-any.whl
Algorithm | Hash digest | |
---|---|---|
SHA256 | e5543bc1c7482804f3de8229c303757ef188a4b45e57d33323d8846d49e82dd0 |
|
MD5 | 2328d20d0a855bc553ea6733e687b6a0 |
|
BLAKE2b-256 | 59c45c5921d21aa48e440fb40187694af3cfa388ff6714e16025497f74ad7000 |