Financial Modelling in Python

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24 Financial Modelling in Python

Sum the Elements of an Array

The first example simply sums the elements of the incoming array.

double sum array(PyObject* input)

{

boost::shared

ptr<PyArrayObject> obj = ::ppf::util::python

::detail::object

as array(input, PyArray DOUBLE, 0, 0);

// compute size of array

int n = 1;

if(obj->nd > 0)

for(int i = 0; i < obj->nd; ++i)

n *= obj->dimensions[i];

double* array = reinterpret

cast<double*>(obj->data);

return std::accumulate(array, array + n, 0.);

}

In Python:

>>> import numpy

>>> from ppf.math.numpy

examples import *

>>> a = numpy.array([1., 2., 3., 4.])

>>> print sum

array(a)

10.0

Compute the Trace of an Array

The next function computes the trace of a two-dimensional array sum (of the main diagonal

elements).

double trace(PyObject* input)

{

boost::shared

ptr<PyArrayObject> obj = ::ppf::util::python

::detail::object

as array(input, PyArray DOUBLE, 2, 2);

int n = obj->dimensions[0];

if(n > obj->dimensions[1]) n = obj->dimensions[1];

double sum = 0.;

for(int i = 0; i < n; ++i)

sum += *reinterpret

cast<double*>(

obj->data + i*obj->strides[0] + i*obj->strides[1]);

return sum;

}

Continuing the above example interpreter session:

>>> a = numpy.zeros((3, 4))

>>> for i in range(3):

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