Financial Modelling in Python

P1: JYS

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

Timeline: Events and Controller 97

7.3 CONTROLLER

As already discussed in the introduction, the controller provides the main glue between the

trade representation (or more correctly its transformation into events) and the pricing models.

Essentially the controller is constructed from the trade, the model and the market environment.

The final argument of the constructor is used to control how historical discount factors are

treated and we defer further discussion on this point to later chapters. The main job of the

controller is to maintain a dictionary of variables whose values will be updated and retrieved

by the pricing models. The controller is also the conduit for the pricing models to evaluate

the payoffs in the trade representation. The payoffs are evaluated by first setting the event

followed by an invocation of the function call operator. The following excerpt from the

ppf.core.controller module illustrates the essential details of the controller class.

class controller:

def

init (self, trade, model, env, historic df):

self.

trade = trade

self.

model = model

self.

env = env

self.

historical df = historical df

self.

symbol table = {}

self.

event = None

def get

trade(self):

return self.

trade

def get

model(self):

return self.

model

def get

environment(self):

return self.

env

def get

event(self):

return self.

event

def set

event(self, event):

self.

event ...