Conventions

This page defines the shared public conventions used across fuggers-py.

Bond prices

  • Bond clean_price and dirty_price stay in percent-of-par where the API already uses percent-of-par.

  • Coupon-per-price helpers that take bond prices assume the same per-100-face convention.

Unsuffixed yields, rates, and spreads

  • Shared/public unsuffixed yields, rates, and spreads use raw decimal units.

  • Example: 0.05 means 5%, 0.0025 means 25 bp.

  • Shared calc outputs follow the same rule for fields such as yield_to_maturity, current_yield, z_spread, g_spread, i_spread, discount_margin, and asset_swap_spread.

Display helpers

  • Use _pct helpers for quoted percentage display values.

  • Use _bps helpers for basis-point display values.

  • YAS is display-oriented, so YAS keeps quoted percentages and basis points in its output fields.

DV01, PV01, and BPV

  • dv01 is the canonical first-order risk name across the library.

  • pv01 remains a backward-compatible alias to dv01.

  • bpv remains a backward-compatible alias in the rates namespace.

  • Sign convention is signed and uniform: the value is positive when PV rises as rates or yields fall by 1 bp.

Methodology note

  • Bond dv01 may be computed from a bond-yield or YTM-based bump path, depending on the bond analytics being used.

  • Rates dv01 is typically computed from a parallel curve bump.

  • The naming and sign convention stay aligned even when the underlying bump methodology differs.