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

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  • License: GNU General Public License v3 (GPLv3)
  • Author: Yoav Git
  • Requires: Python >=3.6
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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

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  • License: GNU General Public License v3 (GPLv3)
  • Author: Yoav Git
  • Requires: Python >=3.6
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