Financial Modelling in Python

P1: JYS

c12 JWBK378-Fletcher May 28, 2009 10:59 Printer: Yet to come

Python Excel Integration 173

a given enviroment,

def AddConstant(self, tag, name, value):

try:

MarketServer.retrieve(tag, ’environments’).add

constant(

str(name), value)

except RuntimeError, e: utils.raise

com exception(e)

should now be readily understandable.

AddSurface

The AddSurface function uses all the tricks uncovered in the explanation of the AddCurve

method (see subsection 12.2.2):

def AddSurface(self, tag, name, expiries, tenors, values):

try:

import numpy

exp, ten = expiries[1:], tenors[1:]

surface = [x[1:] for x in values[1:]]

MarketServer.retrieve(tag,’environments’).add

surface(

str(name),

ppf.market.surface(exp, ten, numpy.array-(surface)))

except RuntimeError, e: utils.raise

com exception(e)

In this function, exp is an array of M expiries (in years), tenors an array of N tenors (in

days) and surface the surface data as an M × N array. Figure 12.4 shows how the data for

the surface might be arranged in an Excel worksheet.

Figure 12.4 Adding a surface to a market environment.

P1: JYS

c12 JWBK378-Fletcher May 28, 2009 10:59 Printer: Yet to come

174 Financial Modelling in Python

Market VBA Client

The foregoing section detailed the workings of the COM object known by the ProgID

‘ppf.market’. What remains is client code on the Excel