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 87
exercise date = shift(
roll
start
, shift
method, holiday centres)
# assume no notification lag
exercises.append(
exercise(exercise
date, exercise date, fee, fee currency))
day = exercise
date
i+=1
return exercises
Below is an example of the usage of generate exercise table():
>>> ex sched = generate exercise table(
... start = date(2007, Jun, 29)
... , end = date(2017, Jun, 29)
... , duration = months
... , period = 6
... , fee = 1000000
... , fee
currency = "EUR"
... , shift
method = shift convention.modified following)
>>> for ex in ex
sched: print ex
2007-Jun-29, 2007-Jun-29, 1000000.000000, EUR,
2007-Dec-31, 2007-Dec-31, 1000000.000000, EUR,
2008-Jun-30, 2008-Jun-30, 1000000.000000, EUR,
2008-Dec-29, 2008-Dec-29, 1000000.000000, EUR,
2009-Jun-29, 2009-Jun-29, 1000000.000000, EUR,
2009-Dec-29, 2009-Dec-29, 1000000.000000, EUR,
2010-Jun-29, 2010-Jun-29, 1000000.000000, EUR,
2010-Dec-29, 2010-Dec-29, 1000000.000000, EUR,
2011-Jun-29, 2011-Jun-29, 1000000.000000, EUR,
2011-Dec-29, 2011-Dec-29, 1000000.000000, EUR,
2012-Jun-29, 2012-Jun-29, 1000000.000000, EUR,
2012-Dec-31, 2012-Dec-31, 1000000.000000, EUR,
2013-Jun-28, 2013-Jun-28, 1000000.000000, EUR,
2013-Dec-30, 2013-Dec-30, 1000000.000000, EUR,
2014-Jun-30, 2014-Jun-30, 1000000.000000, EUR,
2014-Dec-29, 2014-Dec-29, 1000000.000000, EUR,
2015-Jun-29, 2015-Jun-29, 1000000.000000, EUR,
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