Financial Modelling in Python

P1: JYS

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

228 Index

gregorian calendar base 15–16, 160–3

GUI toolkits, Python integration benefits 2

Hammond, Mark 165

handle

zero derivative 36–7

has

constant 66–7

has

curve 66–7

has

exercise schedule 131–42

has

key 94–8

has

surface 66–7

‘Hello World’ C++ function, Boost.Python

library 207

help 27–8

helper functions 93–8, 161–3

high-bias estimators 131–2

high-level aspects of Python 1

historical

df 97–8, 146–57

holiday

centres 15–16, 75–84, 86–8

holidays 14–16, 75–84

Hull–White model 3–4, 6, 65–7, 99–122,

145–57, 168–89, 217–18

brief outline 217–18

calibration routine 100–1

component-based design 99–122

concepts 4, 99–122, 145–57, 168–89, 217–18

constants 65–7

evolve component 112–15

exercise component 115–22

filler component 101–22, 146–57

functionally orthogonal components 99–122

mathematics 4, 99–100, 217–18

Microsoft Excel 168–89

model factories 118–22, 149–52, 155–6,

188–9

requestor component 100–22

rollback component 108–12

state component 101–22, 145–52

hull

white... 67, 100–22, 151–2, 155–6,

188–9

hull

white monte carlo model

factory 121, 151–2, 155–6, 188–9

hwmodel 121–2

hybrid financial instruments, pricing approaches

99

‘Hybrid Systems’ 4, 159–63

if statements, Python basics 199–200

IMM dates, concepts 12–16, 159–63

immutable types, Python basics 195–7

impl 63–7

import directive, Python basics 203–5

import

array 23–4

in-the-money option prices 150–2

incremental

distribution