Financial Modelling in Python

P1: JYS

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

Data Model 85

in the forthcoming chapters. The class leg from module ppf.core.leg provides an

implementation of the leg.

class leg:

def

init (self

, flows

, pay

or receive

, adjuvant

table = None

, payoff = None):

self.

flows = flows

self.

pay or receive = pay or receive

self.

adjuvant table = adjuvant table

self.

payoff = payoff

def flows(self):

return self.

flows

def pay

receive(self):

return self.

pay or receive

def has

adjuvant table(self):

return self.

adjuvant table <> None

def has

payoff(self):

return self.

payoff <> None

def adjuvant

table(self):

if self.

adjuvant table == None:

raise RuntimeError, "Null adjuvant table"

return self.

adjuvant table

def payoff(self):

if self.

payoff == None:

raise RuntimeError, "Null payoff"

return self.

payoff

6.5 EXERCISES

Many financial structures have exercise decisions embedded in them. An exercise decision or

opportunity is the right to exercise into or cancel a stream of cash flows at some point in time.

Typically the writer of the option will require some notification of exercise and so an exercise

decision is most generally associated with two dates: a notification date and an exercise date.

It may also be written into the contract that the holder of the option must pay a fee upon

exercise. These three data elements are bundled up into the class exercise in the module

ppf.core.exercise.

class exercise:

def

init (self

, notification ...