August 2009
Intermediate to advanced
244 pages
9h 5m
English
Content preview from Financial Modelling in Python
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P1: JYS
c06 JWBK378-Fletcher May 12, 2009 18:55 Printer: Yet to come
Data Model 79
0, 0, USD, [2007-Jun-29, 2017-Jun-29],
1, 0, USD, [2008-Jun-30, 2018-Jun-29],
2, 0, USD, [2009-Jun-29, 2019-Jun-28],
3, 0, USD, [2010-Jun-29, 2020-Jun-29],
4, 0, USD, [2011-Jun-29, 2021-Jun-29],
5, 0, USD, [2012-Jun-29, 2022-Jun-29],
6, 0, USD, [2013-Jun-28, 2023-Jun-29],
7, 0, USD, [2014-Jun-30, 2024-Jun-28],
8, 0, USD, [2015-Jun-29, 2025-Jun-30],
9, 0, USD, [2016-Jun-29, 2026-Jun-29],
6.2 FLOWS
A flow describes a cash flow to be made at some point in time. The actual value of the cash flow
will depend on a number of things. Firstly, it will depend on the principal or notional of the
financial contract. Secondly, it depends on the currency in which the payment is made. Thirdly,
the payment is typically accrued over a period of time determined by the accrual start date
and the accrual end date. The actual formula for calculating the accrued amount is controlled
by the accrual basis. Fourthly, the date on which the payment is made will affect its overall
value. Lastly, the payment will depend in some way on the value of market observables. For
simplicity we treat known coupons, such as those on a coupon-bearing bond, as observables.
In other words, a flow will always have at least one observable.
The class flow models the characteristics of a flow and can be found in the
ppf.core.flow module. As well as accessors to the underlying ...
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