diff --git a/build_pip_package.sh b/build_pip_package.sh
new file mode 100755
index 0000000..ddf3161
--- /dev/null
+++ b/build_pip_package.sh
@@ -0,0 +1,50 @@
+#!/usr/bin/env bash
+# Copyright 2020, The TensorFlow Privacy Authors.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#      http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+#
+# Tool to build the TensorFlow Privacy pip package.
+#
+# Usage:
+#   bazel run //tensorflow_privacy/tools/development:build_pip_package -- \
+#       "/tmp/tensorflow_privacy"
+#
+# Arguments:
+#   output_dir: An output directory.
+set -e
+
+die() {
+  echo >&2 "$@"
+  exit 1
+}
+
+main() {
+  local output_dir="$1"
+
+  if [[ ! -d "${output_dir}" ]]; then
+    die "The output directory '${output_dir}' does not exist."
+  fi
+
+  # Create a virtual environment
+  virtualenv --python=python3 "venv"
+  source "venv/bin/activate"
+  pip install --upgrade pip
+
+  # Build pip package
+  pip install --upgrade setuptools wheel
+  python "setup.py" sdist bdist_wheel
+
+  cp "dist/"* "${output_dir}"
+}
+
+main "$@"
diff --git a/setup.py b/setup.py
index 4d23efe..388f720 100644
--- a/setup.py
+++ b/setup.py
@@ -17,7 +17,7 @@ from setuptools import setup
 
 setup(
     name='tensorflow_privacy',
-    version='0.3.0',
+    version='0.4.0',
     url='https://github.com/tensorflow/privacy',
     license='Apache-2.0',
     install_requires=[
diff --git a/tensorflow_privacy/__init__.py b/tensorflow_privacy/__init__.py
index 4942ca6..dd1ca07 100644
--- a/tensorflow_privacy/__init__.py
+++ b/tensorflow_privacy/__init__.py
@@ -1,4 +1,4 @@
-# Copyright 2019, The TensorFlow Privacy Authors.
+# Copyright 2020, The TensorFlow Privacy Authors.
 #
 # Licensed under the Apache License, Version 2.0 (the "License");
 # you may not use this file except in compliance with the License.
@@ -19,6 +19,8 @@ from __future__ import print_function
 
 import sys
 
+from tensorflow_privacy.version import __version__  # pylint: disable=g-bad-import-order
+
 # pylint: disable=g-import-not-at-top
 
 if hasattr(sys, 'skip_tf_privacy_import'):  # Useful for standalone scripts.
diff --git a/tensorflow_privacy/version.py b/tensorflow_privacy/version.py
new file mode 100644
index 0000000..92721a4
--- /dev/null
+++ b/tensorflow_privacy/version.py
@@ -0,0 +1,16 @@
+# Copyright 2020, The TensorFlow Privacy Authors.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#      http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+"""TensorFlow Privacy version."""
+
+__version__ = '0.4.0'