我的世界大橙子做皮肤的网站/网络营销的新特点
# coding:utf-8
# 书中一个例子简单的短期利率类，折现是金融学中最基本的概念之一，在连续折现的固定短期利率世界中，日期t>0时未来现金流与当前日期t=0之间的折现因子为Do(t)=e(-rt)次方
import numpy as np
class ShortRate(object):
def __init__(self, name, rate):
self.name = name
self.rate = rate
def get_discount_factors(self, time_list):
time_list = np.array(time_list)
return np.exp(-self.rate * time_list)
class CashFlowSeries(object):
def __init__(self, name, time_list, cash_flows, short_rate):
self.name = name
self.time_list = time_list
self.cash_flows = cash_flows
self.short_rate = short_rate
def present_value_list(self):
df = self.short_rate.get_discount_factors(
self.time_list) # 想问这一行中为什么可以这样子不继承第一个类可以调用第一个类的函数呢
return np.array(self.cash_flows) * df
def net_present_value(self):
return np.sum(self.present_value_list())
class CfsSensitivity(CashFlowSeries):
def npv_sensitivity(self, ShortRates):
npvs = []
for rate in ShortRates:
sr.rate = rate # 这个实例化rate的意思是？
npvs.append(self.net_present_value())
return np.array(npvs)
ShortRates = [0.01, 0.025, 0.05, 0.075, 0.1, 0.125, 0.15, 0.2]
cash_flows = np.array([-100, 50, 75])
time_list = [0.0, 1.0, 2.0]
sr = ShortRate('r', 0.05)
print sr.get_discount_factors(time_list)
sr.rate = 0.05
cfs = CashFlowSeries('cfs0', time_list, cash_flows, sr)
print cfs.present_value_list()
cfs_sens = CfsSensitivity('cfs', time_list, cash_flows, sr)
npvs = cfs_sens.npv_sensitivity(ShortRates)
print npvs