ppf.core.leg(
TradeServer.retrieve(flows, 'flows')
, eval("ppf.core."+pay_or_receive)
, adjuvants
, eval("ppf.pricer.payoffs."+payoff)())
TradeServer._legs[tag] = leg
return tag
except RuntimeError, e: utils.raise_com_exception(e)
def CreateTrade(
self
, tag
, legs
, exercise_sched
, exercise_type):
try:
tl = [TradeServer.retrieve(l, 'legs') for l in legs[1:]]
if exercise_sched:
exercises = TradeServer.retrieve(exercise_sched, 'exercises')
if not exercise_type:
raise RuntimeError, "missing exercise type"
call_cancel = eval("ppf.core.exercise_type."+exercise_type)
trade = ppf.core.trade(tl, (exercises, call_cancel))
else:
trade = ppf.core.trade(tl, None)
TradeServer._trades[tag] = trade
return tag
except RuntimeError, e: utils.raise_com_exception(e)
if __name__ == "__main__": utils.register_com_class(TradeServer)
_pricers = {}
retrieve = staticmethod(lambda tag, which: utils.retrieve(
'pricer_server', 'PricerServer', tag, which))
def CreateHullWhiteLatticePricer(self, tag, trade_id, env_id, num_states,
num_std_dev):
try:
from trade_server import TradeServer
from market_server import MarketServer
trade = TradeServer.retrieve(trade_id, 'trades')
env = MarketServer.retrieve(env_id, 'environments')
model_args = {"num states": num_states, "num std dev": num_std_dev}
factory = ppf.model.hull_white_lattice_model_factory()
model = factory(trade, env, model_args)
pricer = ppf.pricer.lattice_pricer(trade, model, env, None)
PricerServer._pricers[tag] = pricer
return tag
except RuntimeError, e:
ppf.com.utils.raise_com_exception(e)
def InvokePricer(self, tag):
try:
return PricerServer.retrieve(tag, 'pricers').__call__()
except RuntimeError, e:
utils.raise_com_exception(e)
if __name__ == "__main__":
utils.register_com_class(PricerServer)
leg = \
ppf.core.leg(
TradeServer.retrieve(flows, 'flows')
, eval("ppf.core."+pay_or_receive)
, adjuvants
, eval("ppf.pricer.payoffs."+payoff)())
TradeServer._legs[tag] = leg
return tag
except RuntimeError, e:
utils.raise_com_exception(e)
def CreateTrade(self, tag, legs, exercise_sched, exercise_type):
try:
tl = [TradeServer.retrieve(l, 'legs') for l in legs[1:]]
if exercise_sched:
exercises = TradeServer.retrieve(exercise_sched, 'exercises')
if not exercise_type:
raise RuntimeError, "missing exercise type"
call_cancel = eval("ppf.core.exercise_type." + exercise_type)
trade = ppf.core.trade(tl, (exercises, call_cancel))
else:
trade = ppf.core.trade(tl, None)
TradeServer._trades[tag] = trade
return tag
except RuntimeError, e:
utils.raise_com_exception(e)
if __name__ == "__main__":
utils.register_com_class(TradeServer)
try:
import ppf.math.interpolation
interp = eval("ppf.math.interpolation." + interp)
times, factors = [x[1]
for x in curve[1:]], [x[2] for x in curve[1:]]
MarketServer.retrieve(tag, 'environments').add_curve(
str(name), ppf.market.curve(times, factors, interp))
except RuntimeError, e:
utils.raise_com_exception(e)
def AddConstant(self, tag, name, value):
try:
MarketServer.retrieve(tag, 'environments').add_constant(
str(name), value)
except RuntimeError, e:
utils.raise_com_exception(e)
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)
if __name__ == "__main__":
utils.register_com_class(MarketServer)
import utils
class BlackScholesServer(object):
_public_methods_ = ["OptionPrice"]
_reg_progid_ = "ppf.black_scholes"
_reg_clsid_ = "{14B40B3E-DC9A-4E07-A512-F65DA07BDC09}"
def OptionPrice(self, spot, strike, rate, vol, time, call_put):
from ppf.core import black_scholes
try:
return black_scholes(
S=spot, K=strike, r=rate, sig=vol, T=time, CP=call_put)
except RuntimeError, e:
ppf.com.utils.raise_com_exception(e)
if __name__ == "__main__":
utils.register_com_class(BlackScholesServer)
MarketServer._environments[tag] = \
ppf.market.environment(utils.to_ppf_date(t))
return tag
except RuntimeError, e: utils.raise_com_exception(e)
def AddCurve(self, tag, name, curve, interp):
try:
import ppf.math.interpolation
interp = eval("ppf.math.interpolation."+interp)
times, factors = [x[1] for x in curve[1:]],[x[2] for x in curve[1:]]
MarketServer.retrieve(tag, 'environments').add_curve(
str(name), ppf.market.curve(times, factors, interp))
except RuntimeError, e: utils.raise_com_exception(e)
def AddConstant(self, tag, name, value):
try:
MarketServer.retrieve(tag, 'environments').add_constant(
str(name), value)
except RuntimeError, e: utils.raise_com_exception(e)
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)
if __name__ == "__main__": utils.register_com_class(MarketServer)
import utils
class BlackScholesServer(object):
_public_methods_ = ["OptionPrice"]
_reg_progid_ = "ppf.black_scholes"
_reg_clsid_ = "{14B40B3E-DC9A-4E07-A512-F65DA07BDC09}"
def OptionPrice(self, spot, strike, rate, vol, time, call_put):
from ppf.core import black_scholes
try:
return black_scholes(S=spot,
K=strike,
r=rate,
sig=vol,
T=time,
CP=call_put)
except RuntimeError, e:
ppf.com.utils.raise_com_exception(e)
if __name__ == "__main__":
utils.register_com_class(BlackScholesServer)
retrieve = staticmethod(
lambda tag, which :
utils.retrieve('pricer_server', 'PricerServer', tag, which))
def CreateHullWhiteLatticePricer(
self
, tag
, trade_id
, env_id
, num_states
, num_std_dev):
try:
from trade_server import TradeServer
from market_server import MarketServer
trade = TradeServer.retrieve(trade_id, 'trades')
env = MarketServer.retrieve(env_id, 'environments')
model_args = {"num states": num_states, "num std dev": num_std_dev}
factory = ppf.model.hull_white_lattice_model_factory()
model = factory(trade, env, model_args)
pricer = ppf.pricer.lattice_pricer(trade, model, env, None)
PricerServer._pricers[tag] = pricer
return tag
except RuntimeError, e: ppf.com.utils.raise_com_exception(e)
def InvokePricer(self, tag):
try:
return PricerServer.retrieve(tag, 'pricers').__call__()
except RuntimeError, e: utils.raise_com_exception(e)
if __name__ == "__main__": utils.register_com_class(PricerServer)
