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highyieldbond

Simple python package for pricing high yield bonds using QuantLib

Requires:

  • Bloomberg access for yield curve and credit market data
  • PlotLy for visualization (in progress)

File and Directory Description:

  • market_data - directory that holds the yield curve and bond terms files
    • yield_curve.py - yield curve object; data pulled from Bloomberg
    • bond_terms.py - bond terms and callability schedule
  • credit_data - directory that holds the credit curve files
    • credit_curve.py - credit curve object; data pulled from Bloomberg
  • pricer.py - file that generates bond prices (fixed, callable, risky callable)
  • visualize.py - file that publishes bond analytics and graphs to PlotLy (in progress)

return_performance

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High Yield Bond Pricer

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