Welcome to Python p. 1
Why Python? p. 1
Python is a general-purpose high-level programming language p. 1
Python integrates well with data analysis, visualisation and GUI toolkits p. 2
Python 'plays well with others' p. 2
Common misconceptions about Python p. 2
Roadmap for this book p. 3
The PPF Package p. 5
PPF topology p. 5
Unit testing p. 6
doctest p. 6
PyUnit p. 7
Building and installing PPF p. 7
Prerequisites and dependencies p. 7
Building the C++ extension modules p. 8
Installing the PPF package p. 9
Testing a PPF installation p. 9
Extending Python from C++ p. 11
Boost.Date_Time types p. 11
Examples p. 12
Boost.MultiArray and special functions p. 17
NumPy arrays p. 19
Accessing array data in C++ p. 19
Examples p. 23
Basic Mathematical Tools p. 27
Random number generation p. 27
N(.) p. 28
Interpolation p. 29
Linear interpolation p. 31
Loglinear interpolation p. 32
Linear on zero interpolation p. 32
Cubic spline interpolation p. 33
Root finding p. 35
Bisection method p. 35
Newton-Raphson method p. 36
Linear algebra p. 38
Matrix multiplication p. 38
Matrix inversion p. 38
Matrix pseudo-inverse p. 39
Solving linear systems p. 39
Solving tridiagonal systems p. 39
Solving upper diagonal systems p. 40
Singular value decomposition p. 42
Generalised linear least squares p. 44
Quadratic and cubic roots p. 46
Integration p. 49
Piecewise constant polynomial fitting p. 49
Piecewise polynomial integration p. 51
Semi-analytic conditional expectations p. 57
Market: Curves and Surfaces p. 63
Curves p. 63
Surfaces p. 64
Environment p. 65
Data Model p. 69
Observables p. 69
LIBOR p. 70
Swap rate p. 74
Flows p. 79
Adjuvants p. 82
Legs p. 84
Exercises p. 85
Trades p. 87
Trade utilities p. 88
Timeline: Events and Controller p. 93
Events p. 93
Timeline p. 94
Controller p. 97
The Hull-White Model p. 99
A component-based design p. 99
Requestor p. 100
State p. 101
Filler p. 104
Rollback p. 108
Evolve p. 112
Exercise p. 115
The model and model factories p. 118
Concluding remarks p. 121
Pricing using Numerical Methods p. 123
A lattice pricing framework p. 123
A Monte-Carlo pricing framework p. 128
Pricing non-callable trades p. 129
Pricing callable trades p. 131
Concluding remarks p. 142
Pricing Financial Structures in Hull-White p. 145
Pricing a Bermudan p. 145
Pricing a TARN p. 152
Concluding remarks p. 157
Hybrid Python/C++ Pricing Systems p. 159
nth_imm_of_year revisited p. 159
Exercising nth_imm_of_year from C++ p. 161
Python Excel Integration p. 165
Black-scholes COM server p. 165
VBS client p. 167
VBA client p. 167
Numerical pricing with PPF in Excel p. 168
Common utilities p. 168
Market server p. 169
Trade server p. 176
Pricer server p. 187
Appendices p. 191
Python p. 193
Python interpreter modes p. 193
Interactive mode p. 193
Batch mode p. 193
Basic Python p. 194
Simple expressions p. 194
Built-in data types p. 195
Control flow statements p. 197
Functions p. 200
Classes p. 201
Modules and packages p. 203
Conclusion p. 205
Boost.Python p. 207
Hello world p. 207
Classes, constructors and methods p. 207
Inheritance p. 209
Python operators p. 212
Functions p. 212
Enums p. 214
Embedding p. 214
Conclusion p. 216
Hull-White Model Mathematics p. 217
Pickup Value Regression p. 219
Bibliography p. 221
Index p. 223