Financial Modelling in Python

P1: JYS

c08 JWBK378-Fletcher May 12, 2009 18:58 Printer: Yet to come

118 Financial Modelling in Python

expected libors = numpy.zeros(10)

expected

libors.fill(expected libor)

expected

swaps = numpy.zeros(10)

expected

swaps.fill(expected swap)

actual

libors = ret[:, 0]

actual

swaps = ret[:, 1]

assert seq close(actual libors, expected libors)

assert seq close(actual swaps, expected swaps)

8.2 THE MODEL AND MODEL FACTORIES

The model class brings all the components from the preceding sections together into one place.

The module ppf.model.model is illustrated below. A model is constructed by passing the

components into the constructor. An exception is thrown if both the evolve component and

the rollback component are null or both the evolve and rollback components are non-null.

Accessor methods to the contained components are also provided.

class model:

def

init (self, requestor, state, fill, rollback = None,

evolve = None\ , exercise = None):

self.

requestor = requestor

self.

state = state

self.

fill = fill

self.

rollback = rollback

self.

evolve = evolve

self.

exercise = exercise

# check that either the evolve or rollback policy isn’t None

if self.

rollback == None and self. evolve == None:

raise RuntimeError, \

"either the ’rollback’ or ’evolve’ must be defined"

if self.

rollback <> None and self. evolve <> None:

raise RuntimeError, \

"either the ’rollback’ or ’evolve’ must be defined"

# check that the exercise policy can only ...