Financial Modelling in Python

P1: JYS

c06 JWBK378-Fletcher May 12, 2009 18:55 Printer: Yet to come

84 Financial Modelling in Python

for tenor in tenors:

end = start

date+roll duration(tenor)

if end < day:

raise RuntimeError, "tenors are not monotonically increasing"

i=0

while day < end:

roll

start = start+roll duration(i*roll period)

roll

end = start+roll duration((i+1)*roll period)

pay = shift(roll

end, shift method, holiday centres)

day = pay

dates.append(day)

indices.append(cnt)

i+=1

cnt += 1

start = end

import numpy

all

values = numpy.zeros((len(keys), len(dates)))

for i in range(len(keys)):

for j in range(len(dates)):

idx = indices[j]

all

values[i][j] = values[i][idx]

return adjuvant

table(keys, dates, all values)

A sample invocation of the generate adjuvant table() function is shown below:

>>> from ppf.date time import *

>>> from numpy import *

>>> adjuvants = generate

adjuvant table(

... keys = ["spread","coupon"]

... , tenors = [12,24,36]

... , values = array([[0.005, 0.006, 0.007], [0.05, 0.06, 0.07]])

... , start

date = date(2008, May, 1)

... , roll

period = 6

... , shift

method = shift convention.modified following)

>>> print adjuvants

{’coupon’: {2455137: 0.06, 2455683: 0.07, 2454953: 0.05,

2455502: 0.07, 2454772: 0.05, 2455318: 0.06},

’spread’: {2455137: 0.006, 2455683: 0.007,

2454953: 0.005, 2455502: 0.007,

2454772: 0.005, 2455318: 0.006}}

6.4 LEGS

In essence, a leg is simply a collection of flows. However, we also need to know whether the

cash