Financial Modelling in Python

P1: JYS

c07 JWBK378-Fletcher April 24, 2009 8:16 Printer: Yet to come

94 Financial Modelling in Python

def str (self) :

s = "payment [%s, %s, %s, %s], " % \

(self.

pay rcv, self. leg id, self. reset id,

str(self.

flow))

return s

class exercise

event:

def

init (

self

, exercise

opportunity

, exercise

type):

self.

exercise opportunity \

, self.

exercise type = exercise opportunity, exercise type

def exercise

type(self) : return self. exercise type

def exercise

opportunity(self) : return self. exercise opportunity

def pay

currency(self) :

return self.

exercise opportunity.fee currency()

def

str (self) :

s = "exercise [%s, %s], " % \

(self.

exercise type, str(self. exercise opportunity))

return s

def is

pay event(event): return isinstance(event, pay event)

def is

exercise event(event): return isinstance(event, exercise event)

7.2 TIMELINE

Now that we have a clear understanding of an event, we move on to the timeline. Any

financial payoff can be interpreted as a sequence of cash flows and exercise decisions with

potentially more than one cash flow occurring at any one point in time. The purpose of

the class timeline from the ppf.core.timeline module is to transform the trade

representation into a sequence of events. The actual transformation occurs in the constructor

of the timeline. We begin by harvesting the observables from the trade to create instances of

the pay

event and follow on by harvesting the exercises from the trade to ...