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
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