Market Environments

Market environment is “just” a name for a collection of other data and Python objects.

However, it is rather convenient to work with this abstraction since it simplifies a number

of operations and also allows for a consistent modeling of recurring aspects.

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A market

environment mainly consists of three dictionaries to store the following types of data and

Python objects:

Constants

These can be, for example, model parameters or option maturity dates.

Lists

These are sequences of objects in general, like a list object of objects modeling

(risky) securities.

Curves

These are objects for discounting; for example, like an instance of the

constant_short_rate class.

Example 15-3 presents the market_environment class. Refer to Chapter 4 for a refresher

on the handling of dict objects.

Example 15-3. Class for modeling a market environment with constants, lists, and curves

DX Library Frame

market_environment.py

class market_environment(object):
”’ Class to model a market environment relevant for valuation.

            Attributes

            ==========

            name:   string

                            name    of  the market  environment

            pricing_date    :   datetime    object

                            date    of  the market  environment



            Methods

            =======

            add_constant    :

                            adds    a   constant    (e.g.   model   parameter)

            get_constant    :

                            gets    a   constant

            add_list    :

                            adds    a   list    (e.g.   underlyings)

            get_list    :

                            gets    a   list

            add_curve   :

                            adds    a   market  curve   (e.g.   yield   curve)

            get_curve   :

                            gets    a   market  curve

            add_environment :

                            adds    and overwrites  whole   market  environments

                            with    constants,  lists,  and curves

            ”’

def init(self, name, pricing_date):
self.name = name
self.pricing_date = pricing_date
self.constants = {}
self.lists = {}
self.curves = {}