A B C D E F G H I J K L M N O P Q R S T U V W X Y Z _

A

a() - Method in class org.drip.dynamics.hjm.G2PlusPlus

Retrieve A

a() - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver

Retrieve A

a() - Method in class org.drip.dynamics.sabr.ImpliedBlackVolatility

Retrieve A

a() - Method in class org.drip.function.r1tor1.AlmgrenEnhancedEulerUpdate

Retrieve the "A" Parameter

A() - Method in class org.drip.function.r1tor1.SABRLIBORCapVolatility

Return "A"

aap() - Method in class org.drip.param.quoting.YieldInterpreter

Retrieve the Act/Act Day Count Parameters

abs() - Method in class org.drip.quant.fourier.ComplexNumber

Retrieve the Absolute Value

absoluteTolerance() - Method in class org.drip.function.rdtor1solver.ConvergenceControl

Retrieve the Absolute Tolerance

absorb(PredictorResponseRelationSetup) - Method in class org.drip.state.estimator.PredictorResponseRelationSetup

Absorb the "Other" PRRS onto the current one

absorb(PredictorResponseWeightConstraint) - Method in class org.drip.state.estimator.PredictorResponseWeightConstraint

"Absorb" the other PRWC Instance into the Current One

ACCRUAL_COMPOUNDING_RULE_ARITHMETIC - Static variable in class org.drip.analytics.support.CompositePeriodBuilder

Accrual Compounding Rule - Arithmetic

ACCRUAL_COMPOUNDING_RULE_GEOMETRIC - Static variable in class org.drip.analytics.support.CompositePeriodBuilder

Accrual Compounding Rule - Geometric

accrualChange() - Method in class org.drip.historical.attribution.PositionChangeComponents

Retrieve the Accrual Interval Change

accrualCompoundingRule() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod

Retrieve the Accrual Compounding Rule

accrualCompoundingRule() - Method in class org.drip.analytics.cashflow.CompositePeriod

Retrieve the Accrual Compounding Rule

accrualCompoundingRule() - Method in class org.drip.market.definition.FloaterIndex

Retrieve the Accrual Compounding Rule

accrualCompoundingRule() - Method in class org.drip.market.otc.FixedStreamConvention

Retrieve the Accrual Compounding Rule

accrualCompoundingRule() - Method in class org.drip.param.period.UnitCouponAccrualSetting

Retrieve the Accrual Compounding Rule

accrualDC() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod

Retrieve the Accrual Day Count

accrualDC() - Method in class org.drip.param.period.UnitCouponAccrualSetting

Retrieve the Accrual Day Count

accrualDC() - Method in class org.drip.product.credit.BondComponent

accrualDC() - Method in class org.drip.product.definition.Bond

Return the bond's accrual day count

accrualDC() - Method in class org.drip.product.rates.Stream

Retrieve the Accrual Day Count

accrualDCF(int) - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod

Get the Period Accrual Day Count Fraction to an Accrual End Date

accrualDCF(int) - Method in class org.drip.analytics.cashflow.CompositePeriod

Compute the Coupon Accrual DCF to the specified Accrual End Date

accrualDCF() - Method in class org.drip.analytics.cashflow.LossQuadratureMetrics

Get the period's Accrual Day Count Fraction

accrualEOMAdjustment() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod

Retrieve the Accrual EOM Adjustment Flag

accrualEOMAdjustment() - Method in class org.drip.param.period.UnitCouponAccrualSetting

Retrieve the Accrual EOM Adjustment Flag

accrualEOMAdjustment() - Method in class org.drip.product.rates.Stream

Retrieve the Accrual EOM Adjustment

accrualMetrics(int, CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod

Compute the Coupon Accrual Measures to the specified Accrual End Date

accrualOnDefault() - Method in class org.drip.product.params.CreditSetting

Retrieve the Accrual On Default Flag

accrued() - Method in class org.drip.historical.attribution.CDSMarketSnap

Retrieve the Accrued

accrued(int, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.BondComponent

accrued(int, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.Bond

Calculate the bond's accrued for the period identified by the valuation date

accrued01() - Method in class org.drip.analytics.output.BondWorkoutMeasures

Retrieve the Accrued01

AccumulateMeasures(CaseInsensitiveTreeMap<Double>, String, CaseInsensitiveTreeMap<Double>) - Static method in class org.drip.analytics.support.Helper

Append the Prefixed Map Entries of the specified Input Map onto the Output Map

accumulatePartialFirstDerivative(int, int, double) - Method in class org.drip.quant.calculus.WengertJacobian

Accumulate {D(Wengert)}/{D(Parameter)}

ActActDCParams - Class in org.drip.analytics.daycount

This class contains parameters to represent Act/Act day count.

ActActDCParams(int, int) - Constructor for class org.drip.analytics.daycount.ActActDCParams

Constructs an ActActDCParams instance from the corresponding parameters

activeBeta() - Method in class org.drip.portfolioconstruction.asset.PortfolioBenchmarkMetrics

Retrieve the Portfolio-to-Benchmark Active Beta

activeConstraintLinearDependence(double[], boolean) - Method in class org.drip.optimization.constrained.OptimizationFramework

Active Constraint Set Linear Dependence Check

activeConstraintRank(double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework

Active Constraint Set Rank Computation

activeConstraintRankComparison(double[], int) - Method in class org.drip.optimization.constrained.OptimizationFramework

Compare the Active Constraint Set Rank at the specified against the specified Rank

activeConstraints(double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework

Retrieve the Array of Active Constraints

activeReturn() - Method in class org.drip.portfolioconstruction.asset.PortfolioBenchmarkMetrics

Retrieve the Portfolio-to-Benchmark Active Return

activeRisk() - Method in class org.drip.portfolioconstruction.asset.PortfolioBenchmarkMetrics

Retrieve the Portfolio-to-Benchmark Active Risk

adaptive(MarketState[]) - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator

Generate the Continuous Coordinated Variation Dynamic Adaptive Trajectory

AdaptiveOptimalCostTrajectory - Class in org.drip.sample.almgren2009

AdaptiveOptimalCostTrajectory traces a Sample Realization of the Adaptive Cost Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.

AdaptiveOptimalCostTrajectory() - Constructor for class org.drip.sample.almgren2009.AdaptiveOptimalCostTrajectory

AdaptiveOptimalHJBTrajectory - Class in org.drip.sample.almgren2009

AdaptiveOptimalHJBTrajectory simulates the Outstanding Holdings and the Trade Rate from the Sample Realization of the HJB Based Adaptive Cost Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.

AdaptiveOptimalHJBTrajectory() - Constructor for class org.drip.sample.almgren2009.AdaptiveOptimalHJBTrajectory

AdaptiveOptimalRollingHorizonTrajectory - Class in org.drip.sample.almgren2009

AdaptiveOptimalRollingHorizonTrajectory simulates the Outstanding Holdings and the Trade Rate from the Sample Realization of the Rolling Horizon Approximation of the HJB Based Adaptive Cost Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.

AdaptiveOptimalRollingHorizonTrajectory() - Constructor for class org.drip.sample.almgren2009.AdaptiveOptimalRollingHorizonTrajectory

AdaptiveOptimalStaticTrajectory - Class in org.drip.sample.almgren2009

AdaptiveOptimalStaticTrajectory determines the Outstanding Holdings and the Trade Rate from the "Mean Market State" Static Trajectory using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.

AdaptiveOptimalStaticTrajectory() - Constructor for class org.drip.sample.almgren2009.AdaptiveOptimalStaticTrajectory

AdaptiveStaticInitialHoldings - Class in org.drip.sample.almgren2012

AdaptiveStaticInitialHoldings simulates the Outstanding Holdings from the Sample Realization of the Adaptive Cost Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.

AdaptiveStaticInitialHoldings() - Constructor for class org.drip.sample.almgren2012.AdaptiveStaticInitialHoldings

AdaptiveStaticInitialTradeRate - Class in org.drip.sample.almgren2012

AdaptiveStaticInitialTradeRate simulates the Trade Rate from the Sample Realization of the Adaptive Cost Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.

AdaptiveStaticInitialTradeRate() - Constructor for class org.drip.sample.almgren2012.AdaptiveStaticInitialTradeRate

AdaptiveZeroInitialHoldings - Class in org.drip.sample.almgren2012

AdaptiveZeroInitialHoldings simulates the Outstanding Holdings from the Sample Realization of the Adaptive Cost Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.

AdaptiveZeroInitialHoldings() - Constructor for class org.drip.sample.almgren2012.AdaptiveZeroInitialHoldings

AdaptiveZeroInitialTradeRate - Class in org.drip.sample.almgren2012

AdaptiveZeroInitialTradeRate simulates the Trade Rate from the Sample Realization of the Adaptive Cost Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.

AdaptiveZeroInitialTradeRate() - Constructor for class org.drip.sample.almgren2012.AdaptiveZeroInitialTradeRate

add(String[]) - Method in class org.drip.feed.loader.CSVGrid

Add a String Array to the Grid

add(String, String, double, double) - Method in class org.drip.feed.loader.InstrumentSetTenorQuote

Add the Instrument/Tenor/Quote/Scale Field Set

Add(VariateInequalityConstraintMultiplier, VariateInequalityConstraintMultiplier, double, BoundMultivariate[]) - Static method in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier

Add the Specified VICM Instances together

Add(VariateInequalityConstraintMultiplier, VariateInequalityConstraintMultiplier, BoundMultivariate[]) - Static method in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier

Add the Specified VICM Instances together

add(String, double) - Method in class org.drip.historical.engine.MarketMeasureRollDown

Add the Custom Horizon Market Measure Roll Down Metric Value

add(int, String) - Method in class org.drip.json.simple.ItemList

add(String) - Method in class org.drip.json.simple.ItemList

add(JulianDate, LatentStateLabel, double) - Method in class org.drip.param.market.LatentStateFixingsContainer

Add the Fixing corresponding to the Date/Label Pair

add(int, LatentStateLabel, double) - Method in class org.drip.param.market.LatentStateFixingsContainer

Add the Latent State Fixing corresponding to the Date/Label Pair

Add(ComplexNumber, ComplexNumber) - Static method in class org.drip.quant.fourier.ComplexNumber

Add the 2 Complex Numbers

addAll(ItemList) - Method in class org.drip.json.simple.ItemList

addAll(String) - Method in class org.drip.json.simple.ItemList

addAll(String, String) - Method in class org.drip.json.simple.ItemList

addAll(String, String, boolean) - Method in class org.drip.json.simple.ItemList

addBase(SegmentResponseValueConstraint) - Method in class org.drip.spline.params.SegmentResponseConstraintSet

Add the Base Segment Response Value Constraint

addBound(String, double, double) - Method in class org.drip.portfolioconstruction.allocator.BoundedPortfolioConstructionParameters

Set the Bounds for the specified Asset

addBusDays(int, String) - Method in class org.drip.analytics.date.JulianDate

Add the given Number of Business Days and return a new JulianDate Instance

AddBusinessDays(int, int, String) - Static method in class org.drip.analytics.daycount.Convention

Add the specified Number of Business Days and Adjust According to the Calendar Set

addComponentQuote(String, ProductQuote) - Method in class org.drip.param.definition.ScenarioMarketParams

Add the component quote

addComponentQuote(CaseInsensitiveTreeMap<ProductQuote>) - Method in class org.drip.param.definition.ScenarioMarketParams

Add the full map of component quotes

addComponentQuote(String, ProductQuote) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer

addComponentQuote(CaseInsensitiveTreeMap<ProductQuote>) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer

addCovariance(String, String, double) - Method in class org.drip.measure.statistics.MultivariateMoments

Add the Co-variance for the Named Variate Pair

addDays(int) - Method in class org.drip.analytics.date.JulianDate

Add the given Number of Days and return a JulianDate Instance

addDResponseWeightDManifestMeasure(String, double, double) - Method in class org.drip.state.estimator.PredictorResponseWeightConstraint

Add a Predictor/Response Weight entry to the Linearized Constraint

addExecTime(long) - Method in class org.drip.regression.core.UnitRegressionStat

Add another run execution time

addFixedHoliday(int, int, String) - Method in class org.drip.analytics.eventday.Locale

Add a fixed holiday from the day and month

addFixing(JulianDate, LatentStateLabel, double) - Method in class org.drip.param.definition.ScenarioMarketParams

Add the fixing for the given Latent State Label and the given date

addFixing(JulianDate, LatentStateLabel, double) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer

addFloatingHoliday(int, int, int, boolean, String) - Method in class org.drip.analytics.eventday.Locale

Add a floating holiday from the week in month, the day in week, the month, and whether holidays are calculated from front/back.

addForward(double) - Method in class org.drip.service.api.ForwardRates

Add a Forward Rate to the List

addKRDNode(String, double) - Method in class org.drip.historical.sensitivity.TenorDurationNodeMetrics

Insert a KRD Node

addManifestMeasureSensitivity(String, SegmentResponseValueConstraint) - Method in class org.drip.spline.params.ResponseValueSensitivityConstraint

Add the SRVC Instance corresponding to the specified Manifest Measure

addManifestMeasureSnap(String, double, double, double) - Method in class org.drip.historical.attribution.PositionMarketSnap

Add an Instance of the Position Manifest Measure Snap from the Specified Inputs

addMean(String, double) - Method in class org.drip.measure.statistics.MultivariateMoments

Add the Mean for the Named Variate

addMergeLabel(LatentStateLabel) - Method in class org.drip.state.estimator.PredictorResponseWeightConstraint

Add a Merging Latent State Label

addMergeStretch(LatentStateMergeSubStretch) - Method in class org.drip.state.representation.MergeSubStretchManager

Add the Specified Merge Stretch

addMonths(int) - Method in class org.drip.analytics.date.JulianDate

Add the given Number of Months and return a New JulianDate Instance

addNativeForwardRate(String, String, double) - Method in class org.drip.historical.state.FundingCurveMetrics

Add the Native Forward Rate for the specified In/For Start/Forward Tenors

addNodeMetrics(TrinomialTreeNodeMetrics) - Method in class org.drip.dynamics.hullwhite.TrinomialTreeSequenceMetrics

Add the Hull-White Node Metrics Instance

addOptimalPortfolio(OptimizationOutput) - Method in class org.drip.portfolioconstruction.mpt.MarkovitzBullet

Add a Returns Constrained Optimal Portfolio

addPredictorResponseWeight(double, double) - Method in class org.drip.state.estimator.PredictorResponseRelationSetup

Add a Predictor/Response Weight entry to the Linearized Constraint

addPredictorResponseWeight(double, double) - Method in class org.drip.state.estimator.PredictorResponseWeightConstraint

Add a Predictor/Response Weight entry to the Linearized Constraint

addProjectionDistributionLoading(String, ProjectionDistributionLoading) - Method in class org.drip.measure.bayesian.ScopingProjectionVariateDistribution

Add the Named Projection Distribution Loading

addQuote(String, Quote, boolean) - Method in class org.drip.param.definition.ProductQuote

Add a regular or a market quote for the component

addQuote(String, Quote, boolean) - Method in class org.drip.param.quote.ProductMultiMeasure

addRecoveryRate(JulianDate, double) - Method in class org.drip.historical.state.CreditCurveMetrics

Add the Recovery Rate corresponding to the specified Date

addScenarioCreditCurve(String, CreditCurveScenarioContainer) - Method in class org.drip.param.definition.ScenarioMarketParams

Add the named scenario CC

addScenarioCreditCurve(String, CreditCurveScenarioContainer) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer

addScenarioDiscountCurve(String, DiscountCurveScenarioContainer) - Method in class org.drip.param.definition.ScenarioMarketParams

Add the named scenario DC

addScenarioDiscountCurve(String, DiscountCurveScenarioContainer) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer

addScenarioMarketParams(String, CurveSurfaceQuoteContainer) - Method in class org.drip.param.definition.ScenarioMarketParams

Add the named scenario Market Parameters

addScenarioMarketParams(String, CurveSurfaceQuoteContainer) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer

addSensitivity(SegmentResponseValueConstraint) - Method in class org.drip.spline.params.SegmentResponseConstraintSet

Add the Base Segment Response Value Constraint Sensitivity

addStandardWeekend() - Method in class org.drip.analytics.eventday.Locale

Add the regular SATURDAY/SUNDAY weekend

addStaticHoliday(JulianDate, String) - Method in class org.drip.analytics.eventday.Locale

Add the given date as a static holiday

addStaticHoliday(String, String) - Method in class org.drip.analytics.eventday.Locale

Add the given string date as a static holiday

addStretch(MultiSegmentSequence) - Method in class org.drip.spline.grid.AggregatedSpan

addStretch(MultiSegmentSequence) - Method in class org.drip.spline.grid.OverlappingStretchSpan

addStretch(MultiSegmentSequence) - Method in interface org.drip.spline.grid.Span

Add a Stretch to the Span

addSurvivalProbability(JulianDate, double) - Method in class org.drip.historical.state.CreditCurveMetrics

Add the Survival Probability corresponding to the specified Date

addTenor(String) - Method in class org.drip.analytics.date.JulianDate

Add the tenor to the JulianDate to create a new date

addTenorAndAdjust(String, String) - Method in class org.drip.analytics.date.JulianDate

Add the Tenor to the JulianDate and Adjust it to create a new Instance

addTransitionMetrics(TrinomialTreeTransitionMetrics) - Method in class org.drip.dynamics.hullwhite.TrinomialTreeSequenceMetrics

Add a Path Transition Metrics Instance

addTSYQuote(String, ProductQuote) - Method in class org.drip.param.definition.ScenarioMarketParams

Add the named Treasury Quote

addTSYQuote(String, ProductQuote) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer

addTurn(Turn) - Method in class org.drip.state.discount.TurnListDiscountFactor

Add a Turn Instance to the Discount Curve

addWeekend(int[]) - Method in class org.drip.analytics.eventday.Locale

Add the array of weekend days

addYears(int) - Method in class org.drip.analytics.date.JulianDate

Add the given Number of Years and return a new JulianDate Instance

Adjust(int, String, int) - Static method in class org.drip.analytics.daycount.Convention

Adjust the given Date in Accordance with the Adjustment Mode and the Calendar Set

adjustedMetrics() - Method in class org.drip.portfolioconstruction.bayesian.BlackLittermanOutput

Retrieve the Adjusted Forward Equilibrium Optimization Metrics

adjustedPrincipalDiscountExponent() - Method in class org.drip.execution.principal.OptimalMeasureDependence

Retrieve the Adjusted Principal Discount Dependence Exponent

adjustForAccrual(double, double, double, boolean) - Method in class org.drip.analytics.output.BondCouponMeasures

Adjust Measures for accrued

adjustForSettlement(double) - Method in class org.drip.analytics.output.BondCouponMeasures

Adjust the bond coupon measures by a cash settlement discount factor

adjustMode() - Method in class org.drip.param.valuation.CashSettleParams

Retrieve the Adjustment Mode

AEDHoliday - Class in org.drip.analytics.holset

AEDHoliday() - Constructor for class org.drip.analytics.holset.AEDHoliday

AffineBoundMultivariate - Class in org.drip.function.rdtor1

AffineBoundMultivariate implements a Bounded Planar Linear R^d To R^1 Function.

AffineBoundMultivariate(boolean, int, int, double) - Constructor for class org.drip.function.rdtor1.AffineBoundMultivariate

AffineBoundMultivariate Constructor

AffineMultivariate - Class in org.drip.function.rdtor1

AffineMultivariate implements a Planar Linear R^d To R^1 Function using a Multivariate Vector.

AffineMultivariate(double[], double) - Constructor for class org.drip.function.rdtor1.AffineMultivariate

AffineMultivariate Constructor

AffixRequestHeaders(JSONObject) - Static method in class org.drip.service.engine.RequestResponseDecorator

Affix the Headers on the JSON Request

AffixResponseHeaders(JSONObject, JSONObject) - Static method in class org.drip.service.engine.RequestResponseDecorator

Affix the Headers on the JSON Response

afterTaxIncome() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityCashFlow

Retrieve the Basic After-Tax Income

afterTaxIncome() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityStream

Retrieve the Basic After-Tax Income

AGB(JulianDate, JulianDate, double) - Static method in class org.drip.service.template.TreasuryBuilder

Construct an Instance of the Australian Treasury AUD AGB Bond

AGBBenchmarkAttribution - Class in org.drip.sample.treasurypnl

AGBBenchmarkAttribution demonstrates the Computation of the PnL Time Series Metrics for the AGB Benchmark Bond Series.

AGBBenchmarkAttribution() - Constructor for class org.drip.sample.treasurypnl.AGBBenchmarkAttribution

AGBReconstitutor - Class in org.drip.sample.treasuryfeed

AGBReconstitutor demonstrates the Cleansing and Re-constitution of the AGB Yield Marks obtained from Historical Yield Curve Prints.

AGBReconstitutor() - Constructor for class org.drip.sample.treasuryfeed.AGBReconstitutor

Age - Class in org.drip.assetbacked.loan

Age contains the current Loan Age - i.e., the Months in Balance of an Asset Backed Loan

Age(double) - Constructor for class org.drip.assetbacked.loan.Age

Age Constructor

age() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityCashFlow

Retrieve the Investor Age

agency() - Method in class org.drip.state.identifier.RatingLabel

Retrieve the Ratings Agency

AggregateComponentPeriods(Component[]) - Static method in class org.drip.analytics.support.Helper

Aggregate the period lists for an array of components

AggregatedSpan - Class in org.drip.spline.grid

AggregatedSpan implements the Span interface.

AggregatedSpan(List<Span>, List<Double>) - Constructor for class org.drip.spline.grid.AggregatedSpan

AggregatedSpan Constructor

AggregateTenor(String, String) - Static method in class org.drip.analytics.support.Helper

Aggregate the Base and the Roll Tenors onto a Composite Tenor

AgnosticConvexLearning(R1ToR1, double) - Static method in class org.drip.learning.bound.CoveringNumberBoundBuilder

Construct the Agnostic Convex Learning CoveringNumberProbabilityBound Instance

agnosticCoveringNumberBounds() - Method in class org.drip.spaces.functionclass.NormedR1ToL1R1Finite

agnosticCoveringNumberBounds() - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite

agnosticCoveringNumberBounds() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite

agnosticCoveringNumberBounds() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite

Retrieve the Agnostic Covering Number Upper/Lower Bounds for the Function Class

AgnosticLearning(R1ToR1, double) - Static method in class org.drip.learning.bound.CoveringNumberBoundBuilder

Construct the Agnostic Learning CoveringNumberProbabilityBound Instance

agnosticUpperBound() - Method in class org.drip.learning.kernel.EigenFunctionRdToR1

Retrieve the Agnostic Upper Bound of the Eigen-Function

agnosticVarianceBound() - Method in class org.drip.sequence.functional.BinaryIdempotentUnivariateRandom

agnosticVarianceBound() - Method in class org.drip.sequence.functional.BoundedIdempotentUnivariateRandom

Retrieve the Maximal Agnostic Variance Bound Over the Variate Range

AkimaC1(double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator

Generate a Akima C1 Array from the specified Array of Predictor Ordinates and the Response Values.

AkimaLocalC1Generator - Class in org.drip.spline.pchip

AkimaLocalC1Generator generates the local control C1 Slope using the Akima Cubic Algorithm: Akima (1970): A New Method of Interpolation and Smooth Curve Fitting based on Local Procedures, Journal of the Association for the Computing Machinery 17 (4), 589-602.

AlbrecherMayerSchoutensTistaert - Class in org.drip.sample.stochasticvolatility

AlbrecherMayerSchoutensTistaert displays the Heston (1993) Price/Vol Surface across the Range of Strikes and Maturities, demonstrating the smiles and the skews.

AlbrecherMayerSchoutensTistaert() - Constructor for class org.drip.sample.stochasticvolatility.AlbrecherMayerSchoutensTistaert

allocate(PortfolioConstructionParameters, AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.ConstrainedMeanVarianceOptimizer

allocate(PortfolioConstructionParameters, AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.MeanVarianceOptimizer

Allocate the Optimal Portfolio Weights given the Portfolio Construction Parameters

allocate(PortfolioConstructionParameters, AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.QuadraticMeanVarianceOptimizer

allocationAdjustmentTilt() - Method in class org.drip.portfolioconstruction.bayesian.BlackLittermanOutput

Retrieve the Array of the Black Litterman Allocation Adjustment Tilts

almgren2003() - Method in class org.drip.execution.athl.DynamicsParameters

Generate an Instance of the Almgren 2003 Dynamics Parameters

Almgren2003(ArithmeticPriceDynamicsSettings, BackgroundParticipationRateLinear, BackgroundParticipationRate) - Static method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParametersBuilder

Almgren 2003 Version of LinearPermanentExpectationParameters Instance

Almgren2003Estimator - Class in org.drip.execution.principal

Almgren2003Estimator generates the Gross Profit Distribution and the Information Ratio for a given Level of Principal Discount for an Optimal Trajectory that is generated using the Almgren (2003) Scheme.

Almgren2003Estimator(PowerImpactContinuous, LinearPermanentExpectationParameters) - Constructor for class org.drip.execution.principal.Almgren2003Estimator

Almgren2003Estimator Constructor

AlmgrenChriss(double, double, double) - Static method in class org.drip.execution.parameters.PriceMarketImpactLinear

Construct a Standard PriceMarketImpactLinear Instance

AlmgrenChrissDiscrete - Class in org.drip.execution.optimum

AlmgrenChrissDiscrete contains the Trading Trajectory generated by the Almgren and Chriss (2000) Scheme under the Criterion of No-Drift.

AlmgrenChrissDiscrete(double[], double[], double[], double, double, double, double, double) - Constructor for class org.drip.execution.optimum.AlmgrenChrissDiscrete

AlmgrenChrissDiscrete Constructor

AlmgrenChrissDriftDiscrete - Class in org.drip.execution.optimum

AlmgrenChrissDriftDiscrete contains the Trading Trajectory generated by the Almgren and Chrissb(2000) Scheme under the Criterion of Non-zero Drift.

AlmgrenChrissDriftDiscrete(double[], double[], double[], double[], double[], double, double, double, double, double, double, double) - Constructor for class org.drip.execution.optimum.AlmgrenChrissDriftDiscrete

AlmgrenChrissDriftDiscrete Constructor

AlmgrenConstantTradingEnhanced - Class in org.drip.sample.execution

AlmgrenConstantTradingEnhanced demonstrates the Generation of the Optimal Trading Trajectory under the Condition of Constant Trading Enhanced Volatility using a Numerical Optimization Technique.

AlmgrenConstantTradingEnhanced() - Constructor for class org.drip.sample.execution.AlmgrenConstantTradingEnhanced

AlmgrenEnhancedEulerUpdate - Class in org.drip.function.r1tor1

AlmgrenEnhancedEulerUpdate is a R^1 To R^1 Function that is used in Almgren (2009, 2012) to illustrate the Construction of the Enhanced Euler Update Scheme.

AlmgrenEnhancedEulerUpdate(double, double) - Constructor for class org.drip.function.r1tor1.AlmgrenEnhancedEulerUpdate

AlmgrenEnhancedEulerUpdate Constructor

AlmgrenLinearTradingEnhanced - Class in org.drip.sample.execution

AlmgrenLinearTradingEnhanced demonstrates the Generation of the Optimal Trading Trajectory under the Condition of Linear Trading Enhanced Volatility using a Numerical Optimization Technique.

AlmgrenLinearTradingEnhanced() - Constructor for class org.drip.sample.execution.AlmgrenLinearTradingEnhanced

alongAwayVariate(double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework

Compute the Along/Away "Naturally" Incremented Variates

alpha(int, int) - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver

Calculate the Alpha

alpha() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics

Retrieve the Node's Alpha

alpha() - Method in class org.drip.portfolioconstruction.mpt.AssetSecurityCharacteristicLine

Retrieve the Asset's Alpha

alternateNames() - Method in class org.drip.analytics.daycount.DC1_1

alternateNames() - Method in class org.drip.analytics.daycount.DC28_360

alternateNames() - Method in class org.drip.analytics.daycount.DC30_360

alternateNames() - Method in class org.drip.analytics.daycount.DC30_365

alternateNames() - Method in class org.drip.analytics.daycount.DC30_Act

alternateNames() - Method in class org.drip.analytics.daycount.DC30E_360

alternateNames() - Method in class org.drip.analytics.daycount.DC30E_360_ISDA

alternateNames() - Method in class org.drip.analytics.daycount.DC30EPLUS_360_ISDA

alternateNames() - Method in class org.drip.analytics.daycount.DCAct_360

alternateNames() - Method in class org.drip.analytics.daycount.DCAct_364

alternateNames() - Method in class org.drip.analytics.daycount.DCAct_365

alternateNames() - Method in class org.drip.analytics.daycount.DCAct_365L

alternateNames() - Method in class org.drip.analytics.daycount.DCAct_Act

alternateNames() - Method in class org.drip.analytics.daycount.DCAct_Act_ISDA

alternateNames() - Method in class org.drip.analytics.daycount.DCAct_Act_UST

alternateNames() - Method in interface org.drip.analytics.daycount.DCFCalculator

Retrieves the full set of alternate names corresponding to the DCF Calculator

alternateNames() - Method in class org.drip.analytics.daycount.DCNL_360

alternateNames() - Method in class org.drip.analytics.daycount.DCNL_365

alternateNames() - Method in class org.drip.analytics.daycount.DCNL_Act

AmortizingCapitalizingAccruingSwap - Class in org.drip.sample.fixfloat

AmortizingCapitalizingAccruingSwap demonstrates the construction and Valuation of in-advance Amortizing, Accruing, and Capitalizing Swaps.

AmortizingCapitalizingAccruingSwap() - Constructor for class org.drip.sample.fixfloat.AmortizingCapitalizingAccruingSwap

amount() - Method in class org.drip.assetbacked.borrower.MonthlyGrossIncome

Retrieve the Borrower's Monthly Gross Income

amount() - Method in class org.drip.assetbacked.loan.OriginalPrincipal

Retrieve the Original Principal Amount

amount() - Method in class org.drip.param.definition.ManifestMeasureTweak

Amount to be tweaked by

amount() - Method in class org.drip.portfolioconstruction.asset.AssetComponent

Retrieve the Asset Amount

amplitude() - Method in class org.drip.spline.params.SegmentFlexurePenaltyControl

Retrieve the Roughness Curvature Penalty Amplitude

AndersenPiterbargMeanReverter - Class in org.drip.function.r1tor1

AndersenPiterbargMeanReverter implements the mean-reverting Univariate Function detailed in: - Andersen and Piterbarg (2010): Interest Rate Modeling (3 Volumes), Atlantic Financial Press.

AndersenPiterbargMeanReverter(ExponentialDecay, R1ToR1) - Constructor for class org.drip.function.r1tor1.AndersenPiterbargMeanReverter

AndersenPiterbargMeanReverter constructor

ANGHoliday - Class in org.drip.analytics.holset

ANGHoliday() - Constructor for class org.drip.analytics.holset.ANGHoliday

annuity() - Method in class org.drip.analytics.output.BulletMetrics

Retrieve the Terminal Annuity in the Pay Currency

anterior() - Method in class org.drip.analytics.daycount.DateEOMAdjustment

Retrieve the Anterior Date Adjustment

AppendSegment(MultiSegmentSequence, double, SegmentResponseValueConstraint, SegmentCustomBuilderControl, BoundarySettings, int) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceModifier

Append a Segment to the Right of the Specified Stretch using the Supplied Constraint

AppendWengert(List<WengertJacobian>) - Static method in class org.drip.quant.common.CollectionUtil

Append the Wengert Jacobians inside the list onto one single composite

APPLY_BACKWARD - Static variable in class org.drip.quant.fourier.RotationCountPhaseTracker

APPLY_BACKWARD - Decrement Rotation Count

APPLY_FORWARD - Static variable in class org.drip.quant.fourier.RotationCountPhaseTracker

APPLY_FORWARD - Increment Rotation Count

APPLY_NONE - Static variable in class org.drip.quant.fourier.RotationCountPhaseTracker

APPLY_NONE - Do not Apply Rotation Count

ApplyMonotoneFilter(double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator

Apply the Monotone Filter in the Input C1 Entry

applyMonotoneFilter() - Method in class org.drip.state.estimator.LocalControlCurveParams

Retrieve the Apply Monotone Filter Flag

applySpread() - Method in class org.drip.market.otc.CrossFloatStreamConvention

Retrieve the "Apply Spread" Flag

applyYieldEOMAdj() - Method in class org.drip.param.valuation.ValuationCustomizationParams

Indicate if EOM Adjustment is to be made for the Yield Calculation

ApproximateLipschitzLossLearner - Class in org.drip.learning.rxtor1

ApproximateLipschitzLossLearner implements the Learner Class that holds the Space of Normed R^d To Normed R^1 Learning Functions for the Family of Loss Functions that are "approximately" Lipschitz, i.e., loss (ep) - loss (ep') Less Than max (C * |ep-ep'|, C') The References are: 1) Alon, N., S.

ApproximateLipschitzLossLearner(NormedRxToNormedR1Finite, CoveringNumberLossBound, RegularizationFunction, double, double) - Constructor for class org.drip.learning.rxtor1.ApproximateLipschitzLossLearner

ApproximateLipschitzLossLearner Constructor

APRIL - Static variable in class org.drip.analytics.date.DateUtil

Integer Month - April

ARAHoliday - Class in org.drip.analytics.holset

ARAHoliday() - Constructor for class org.drip.analytics.holset.ARAHoliday

ARFHoliday - Class in org.drip.analytics.holset

ARFHoliday() - Constructor for class org.drip.analytics.holset.ARFHoliday

argument() - Method in class org.drip.quant.fourier.ComplexNumber

Retrieve the Argument

arithmeticPriceDynamicsSettings() - Method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters

Retrieve the Arithmetic Price Dynamics Settings Instance

ArithmeticPriceDynamicsSettings - Class in org.drip.execution.parameters

ArithmeticPriceDynamicsSettings contains the Arithmetic Price Evolution Dynamics Parameters used in the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme.

ArithmeticPriceDynamicsSettings(double, R1ToR1, double) - Constructor for class org.drip.execution.parameters.ArithmeticPriceDynamicsSettings

ArithmeticPriceDynamicsSettings Constructor

ArithmeticPriceEvolutionParameters - Class in org.drip.execution.dynamics

ArithmeticPriceEvolutionParameters contains the Exogenous Parameters that determine the Dynamics of the Arithmetic Price Movements exhibited by an Asset owing to the Volatility and the Market Impact Factors.

ArithmeticPriceEvolutionParameters(ArithmeticPriceDynamicsSettings, BackgroundParticipationRate, BackgroundParticipationRate, BackgroundParticipationRate, BackgroundParticipationRate) - Constructor for class org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters

ArithmeticPriceEvolutionParameters Constructor

ArithmeticPriceEvolutionParametersBuilder - Class in org.drip.execution.dynamics

ArithmeticPriceEvolutionParametersBuilder constructs a variety of Arithmetic Price Evolution Parameters.

ArithmeticPriceEvolutionParametersBuilder() - Constructor for class org.drip.execution.dynamics.ArithmeticPriceEvolutionParametersBuilder

ArmijoEvolutionMetrics - Class in org.drip.sample.descentverifier

ArmijoEvolutionMetrics demonstrates the Impact of applying the Armijo Criterion on the Evolution of the R^d Fixed Point of a Constrained Minimization Search.

ArmijoEvolutionMetrics() - Constructor for class org.drip.sample.descentverifier.ArmijoEvolutionMetrics

ArmijoEvolutionVerifier - Class in org.drip.function.rdtor1descent

ArmijoEvolutionVerifier implements the Armijo Criterion used for the Inexact Line Search Increment Generation to ascertain that the Function has reduced sufficiently.

ArmijoEvolutionVerifier(double, boolean) - Constructor for class org.drip.function.rdtor1descent.ArmijoEvolutionVerifier

ArmijoEvolutionVerifier Constructor

ArmijoEvolutionVerifierMetrics - Class in org.drip.function.rdtor1descent

ArmijoEvolutionVerifierMetrics implements the Armijo Criterion used for the Inexact Line Search Increment Generation to ascertain that the Function has reduced sufficiently.

ArmijoEvolutionVerifierMetrics(double, boolean, UnitVector, double[], double, double, double, double[]) - Constructor for class org.drip.function.rdtor1descent.ArmijoEvolutionVerifierMetrics

ArmijoEvolutionVerifierMetrics Constructor

armijoParameter() - Method in class org.drip.function.rdtor1descent.ArmijoEvolutionVerifier

Retrieve the Armijo Parameter

armijoParameter() - Method in class org.drip.function.rdtor1descent.ArmijoEvolutionVerifierMetrics

Retrieve the Armijo Parameter

armijoParameter() - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifier

Retrieve the Armijo Parameter

armijoParameter() - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifierMetrics

Retrieve the Armijo Parameter

ARNHoliday - Class in org.drip.analytics.holset

ARNHoliday() - Constructor for class org.drip.analytics.holset.ARNHoliday

ARPHoliday - Class in org.drip.analytics.holset

ARPHoliday() - Constructor for class org.drip.analytics.holset.ARPHoliday

Array(String[]) - Static method in class org.drip.json.parser.Converter

Construct a JSON Array out of the String Array

Array(int[]) - Static method in class org.drip.json.parser.Converter

Construct a JSON Array out of the Integer Array

Array(double[]) - Static method in class org.drip.json.parser.Converter

Construct a JSON Array out of the Double Array

Array(double[][]) - Static method in class org.drip.json.parser.Converter

Construct a JSON 2D Array out of the 2D Double Array

Array(boolean[]) - Static method in class org.drip.json.parser.Converter

Construct a JSON Array out of the Boolean Array

Array(JulianDate[]) - Static method in class org.drip.json.parser.Converter

Construct a JSON Array out of the JulianDate Array

array() - Method in class org.drip.spaces.big.BigR1Array

Retrieve the Array Contents

Array2D - Class in org.drip.quant.common

Array2D the contains array of x and y.

ARSHoliday - Class in org.drip.analytics.holset

ARSHoliday() - Constructor for class org.drip.analytics.holset.ARSHoliday

ascendingNodeArray(double[], int) - Method in class org.drip.spaces.big.BinaryTree

Build a Consolidated Ascending Array of all the Constituent Nodes

ascendingNodeList(List<Double>) - Method in class org.drip.spaces.big.BinaryTree

Build a Consolidated Ascending List of all the Constituent Nodes

ascendingNodeList() - Method in class org.drip.spaces.big.BinaryTree

Build a Consolidated Ascending List of all the Constituent Nodes

asp(String) - Method in class org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties

Retrieve the ASP Instance corresponding to the specified ID

AssetBounds - Class in org.drip.portfolioconstruction.asset

AssetBounds holds the Upper/Lower Bounds on an Asset.

AssetBounds(double, double) - Constructor for class org.drip.portfolioconstruction.asset.AssetBounds

AssetBounds Constructor

AssetComponent - Class in org.drip.portfolioconstruction.asset

AssetComponent holds the Amount of an Asset given by the corresponding ID.

AssetComponent(String, double) - Constructor for class org.drip.portfolioconstruction.asset.AssetComponent

AssetComponent Constructor

assetExcessReturnsCovariance() - Method in class org.drip.portfolioconstruction.allocator.ForwardReverseOptimizationOutput

Retrieve the Excess Returns Co-variance Matrix between each Pair-wise Asset

assetFlowParameters() - Method in class org.drip.execution.athl.DynamicsParameters

Retrieve the Asset Flow Parameters Instance

assetFlowParameters() - Method in class org.drip.execution.athl.PermanentImpactNoArbitrage

Retrieve the Asset Flow Parameters

assetFlowParameters() - Method in class org.drip.execution.athl.PermanentImpactQuasiArbitrage

Retrieve the Asset Flow Parameters

assetFlowParameters() - Method in class org.drip.execution.athl.TemporaryImpact

Retrieve the Asset Flow Parameters

AssetFlowSettings - Class in org.drip.execution.parameters

AssetFlowSettings contains the Asset's Market Flow Parameters that are determined empirically from Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003).

AssetFlowSettings(String, double, double, double) - Constructor for class org.drip.execution.parameters.AssetFlowSettings

AssetFlowSettings Constructor

assetID() - Method in class org.drip.execution.parameters.AssetFlowSettings

Retrieve the Asset ID

assets() - Method in class org.drip.portfolioconstruction.allocator.PortfolioConstructionParameters

Retrieve the Asset ID Array

assets() - Method in class org.drip.portfolioconstruction.asset.Portfolio

Retrieve the Array of the Asset Components

AssetSecurityCharacteristicLine - Class in org.drip.portfolioconstruction.mpt

AssetSecurityCharacteristicLine holds the Asset's Alpha and Beta from which the Asset's Excess Returns over the Risk-Free Rate are estimated.

AssetSecurityCharacteristicLine(double, double) - Constructor for class org.drip.portfolioconstruction.mpt.AssetSecurityCharacteristicLine

AssetSecurityCharacteristicLine Constructor

assetSpaceLoading() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionSpecification

Retrieve the Matrix of Asset To-From Projection Portfolio Pick Weights

AssetSpaceProjectionCovariance(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel

Compute the Asset Space Projection Co-variance

AssetStatisticalProperties - Class in org.drip.portfolioconstruction.params

AssetStatisticalProperties holds the Statistical Properties of a given Asset.

AssetStatisticalProperties(String, String, double, double) - Constructor for class org.drip.portfolioconstruction.params.AssetStatisticalProperties

AssetStatisticalProperties Constructor

AssetTransactionSettings - Class in org.drip.execution.parameters

ArithmeticLinearMarketImpact contains the Arithmetic Linear Market Impact Inputs used in the Construction of the Impact Parameters for the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme.

AssetTransactionSettings(double, double, double) - Constructor for class org.drip.execution.parameters.AssetTransactionSettings

AssetTransactionSettings Constructor

AssetUniverseStatisticalProperties - Class in org.drip.portfolioconstruction.params

AssetUniverseStatisticalProperties holds the Statistical Properties of a Pool of Assets.

AssetUniverseStatisticalProperties(double) - Constructor for class org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties

AssetUniverseStatisticalProperties Constructor

asw() - Method in class org.drip.analytics.output.BondRVMeasures

Retrieve the Asset Swap Spread

aswFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent

aswFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

aswFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from Bond Basis to Work-out

aswFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from Bond Basis to Maturity

aswFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

aswFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from Bond Basis to Optimal Exercise

aswFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent

aswFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

aswFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from Credit Basis to Work-out

aswFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from Credit Basis to Maturity

aswFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

aswFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from Credit Basis to Optimal Exercise

aswFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent

aswFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

aswFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from Discount Margin to Work-out

aswFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from Discount Margin to Maturity

aswFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

aswFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from Discount Margin to Optimal Exercise

aswFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent

aswFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

aswFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from G Spread to Work-out

aswFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from G Spread to Maturity

aswFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

aswFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from G Spread to Optimal Exercise

aswFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent

aswFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

aswFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from I Spread to Work-out

aswFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from I Spread to Maturity

aswFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

aswFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from I Spread to Optimal Exercise

aswFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent

aswFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

aswFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from OAS to Work-out

aswFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from OAS to Maturity

aswFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

aswFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from OAS to Optimal Exercise

aswFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent

aswFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

aswFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from PECS to Work-out

aswFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from PECS to Maturity

aswFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

aswFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from PECS to Optimal Exercise

aswFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent

aswFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

aswFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from Price to Work-out

aswFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from Price to Maturity

aswFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

aswFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from Price to Optimal Exercise

aswFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent

aswFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

aswFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from TSY Spread to Work-out

aswFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from TSY Spread to Maturity

aswFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

aswFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from TSY Spread to Optimal Exercise

aswFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent

aswFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

aswFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from Yield to Work-out

aswFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from Yield to Maturity

aswFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent

aswFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

aswFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from Yield Spread to Work-out

aswFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from Yield Spread to Maturity

aswFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

aswFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from Yield Spread to Optimal Exercise

aswFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

aswFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from Yield to Optimal Exercise

aswFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent

aswFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

aswFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from Z Spread to Work-out

aswFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from Z Spread to Maturity

aswFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

aswFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate ASW from Z Spread to Optimal Exercise

asymptoticEnhancedEulerCorrection() - Method in class org.drip.execution.hjb.NonDimensionalCostEvolver

Retrieve the Asymptotic Enhanced Euler Correction Application Flag

asymptoticEulerUrgencyThreshold() - Method in class org.drip.execution.hjb.NonDimensionalCostEvolver

Retrieve the Asymptotic Euler Urgency Threshold

atmForwardRate() - Method in class org.drip.dynamics.sabr.ImpliedBlackVolatility

Retrieve the ATM Forward Rate

atmPriceFromVolatility(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.fra.FRAStandardCapFloor

Compute the ATM Cap/Floor Price from the Flat Volatility

ATMTermStructureSpline - Class in org.drip.sample.option

ATMTermStructureSpline contains an illustration of the Calibration and Extraction of the Deterministic ATM Price and Volatility Term Structures using Custom Splines.

ATMTermStructureSpline() - Constructor for class org.drip.sample.option.ATMTermStructureSpline

ATMTTESurface2D - Class in org.drip.sample.stretch

ATMTTESurface2D demonstrates the Surface 2D ATM/TTE (X/Y) Stretch Construction and usage API.

ATMTTESurface2D() - Constructor for class org.drip.sample.stretch.ATMTTESurface2D

ats() - Method in class org.drip.execution.parameters.PriceMarketImpact

Retrieve the AssetTransactionSettings Instance

ATSHoliday - Class in org.drip.analytics.holset

ATSHoliday() - Constructor for class org.drip.analytics.holset.ATSHoliday

AUD - Class in org.drip.template.irs

AUD contains a Templated Pricing of the OTC Fix-Float AUD IRS Instrument.

AUD() - Constructor for class org.drip.template.irs.AUD

AUDBBSW3M - Class in org.drip.template.forwardratefutures

AUDBBSW3M contains a Templated Pricing of the LIBOR 3M AUD Futures Instrument.

AUDBBSW3M() - Constructor for class org.drip.template.forwardratefutures.AUDBBSW3M

AUDHoliday - Class in org.drip.analytics.holset

AUDHoliday() - Constructor for class org.drip.analytics.holset.AUDHoliday

AUDIRSAttribution - Class in org.drip.sample.fixfloatpnl

AUDIRSAttribution generates the Historical PnL Attribution for AUD IRS.

AUDIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.AUDIRSAttribution

AUDOISSmoothReconstitutor - Class in org.drip.sample.overnightfeed

AUDOISSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the AUD Input OIS Marks.

AUDOISSmoothReconstitutor() - Constructor for class org.drip.sample.overnightfeed.AUDOISSmoothReconstitutor

AUDShapePreserving1YForward - Class in org.drip.sample.fundinghistorical

AUDShapePreserving1YForward Generates the Historical AUD Shape Preserving Funding Curve Native 1Y Compounded Forward Rate.

AUDShapePreserving1YForward() - Constructor for class org.drip.sample.fundinghistorical.AUDShapePreserving1YForward

AUDShapePreserving1YStart - Class in org.drip.sample.fundinghistorical

AUDShapePreserving1YStart Generates the Historical AUD Shape Preserving Funding Curve Native Compounded Forward Rate starting at 1Y Tenor.

AUDShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.AUDShapePreserving1YStart

AUDShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed

AUDShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the AUD Input Marks.

AUDShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.AUDShapePreservingReconstitutor

AUDSmooth1MForward - Class in org.drip.sample.overnighthistorical

AUDSmooth1MForward Generates the Historical AUD Smoothened Overnight Curve Native 1M Compounded Forward Rate.

AUDSmooth1MForward() - Constructor for class org.drip.sample.overnighthistorical.AUDSmooth1MForward

AUDSmooth1YForward - Class in org.drip.sample.fundinghistorical

AUDSmooth1YForward Generates the Historical AUD Smoothened Funding Curve Native 1Y Compounded Forward Rate.

AUDSmooth1YForward() - Constructor for class org.drip.sample.fundinghistorical.AUDSmooth1YForward

AUDSmoothReconstitutor - Class in org.drip.sample.fundingfeed

AUDSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the AUD Input Marks.

AUDSmoothReconstitutor() - Constructor for class org.drip.sample.fundingfeed.AUDSmoothReconstitutor

AUGUST - Static variable in class org.drip.analytics.date.DateUtil

Integer Month - August

available(JulianDate, LatentStateLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer

Indicates the Availability of the Fixing for the Specified LSL Label on the specified Date

available(int, LatentStateLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer

Indicates the Availability of the Fixing for the Specified LSL Label on the specified Date

available(JulianDate, LatentStateLabel) - Method in class org.drip.param.market.LatentStateFixingsContainer

Indicate the Availability of the Fixing for the Specified LSL Label on the specified Date

available(int, LatentStateLabel) - Method in class org.drip.param.market.LatentStateFixingsContainer

Indicate the Availability of the Fixing for the Specified LSL on the specified Date

AvailableDC() - Static method in class org.drip.analytics.daycount.Convention

Get all available DRIP day count conventions

availableMeasures() - Method in class org.drip.product.rates.Stream

Retrieve the set of the implemented measures

averageDailyVolume() - Method in class org.drip.execution.parameters.AssetFlowSettings

Retrieve the Average Daily Volume

AZMHoliday - Class in org.drip.analytics.holset

AZMHoliday() - Constructor for class org.drip.analytics.holset.AZMHoliday

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