Financial Modelling in Python

P1: JYS

Ind JWBK378-Fletcher May 23, 2009 6:5 Printer: Yet to come

Index

‘#’ (comments), Python basics 195

‘+’ (concatenation operator), Python basics 194

‘=’ (assignment operator), Python basics 194–5

‘[]’ (lists), Python basics 196–7

abscissae 31–4, 63–7

see also curves

abstraction 201–3, 208–9

access mechanisms, Python basics 203, 209

accrual periods, concepts 77–82

accrual

basis 79–82, 178–87

accrual

dcf 77–9

accrual

end date 79–82, 117–22

accrual

holiday centres 80–2

accrual

shift method 80–2

accrual

start date 79–82, 90

accrued

coupon 153–6

acos 48–9

ActiveState Python distribution 8, 193

see also Python

actual

cpn 154–6

add 66–7, 101–22, 170, 172–6

AddConstant 170, 172–6

add

constant 66–7, 106–22, 170, 172–6

AddCurve 170–6

add

curve 66–7, 101–22, 170–6

add

event 94–8

AddSurface 170, 173–6

add

surface 66–7, 101–22, 170, 173–6

adjuvants, concepts 82–4, 147–52, 153–6,

177–87

adjuvant

table 82–4, 147–52, 153–6,

180–7

aliases, Python basics 196–7

all

observables 72–9

alphas 132–42

American options 219–20

see also options

analytic/semi-analytic pricing formulae

99

antithetic 112–22

append 46, 47–9, 54–7, 73–9, 81–3, 87–90,

94–8, 124–8, 132–42, 151–2, 155–6

appendices 4, 191–220

arbitrage-free pricing 217–18

args 121, 188

array 38–44, 67, 115–22, 133–42, 152–6,

179–87

arrays 2–3, 17–26, 38–44, 67, 115–22, 133–42,

152–6, 170–6, 179–87, 196–7

see also NumPy

associated arrays 196–7

C++ 17–26

concepts 17–26, 152–6, 196–7

dictionaries 119–22, 181, 196–7, ...