- oas() - Method in class org.drip.analytics.output.BondRVMeasures
-
Retrieve the OAS
- oasFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from ASW to Work-out
- oasFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from ASW to Maturity
- oasFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from ASW to Optimal Exercise
- oasFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Bond Basis to Work-out
- oasFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Bond Basis to Maturity
- oasFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Bond Basis to Optimal Exercise
- oasFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Credit Basis to Work-out
- oasFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Credit Basis to Maturity
- oasFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Credit Basis to Optimal Exercise
- oasFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Discount Margin to Work-out
- oasFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Discount Margin to Maturity
- oasFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Discount Margin to Optimal Exercise
- oasFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from G Spread to Work-out
- oasFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from G Spread to Maturity
- oasFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from G Spread to Optimal Exercise
- oasFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from I Spread to Work-out
- oasFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from I Spread to Maturity
- oasFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from I Spread to Optimal Exercise
- oasFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from PECS to Work-out
- oasFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from PECS to Maturity
- oasFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from PECS to Optimal Exercise
- oasFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Price to Work-out
- oasFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Price to Maturity
- oasFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Price to Optimal Exercise
- oasFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from TSY Spread to Work-out
- oasFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from TSY Spread to Maturity
- oasFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from TSY Spread to Optimal Exercise
- oasFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Yield to Work-out
- oasFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Yield to Maturity
- oasFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Yield Spread to Work-out
- oasFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Yield Spread to Maturity
- oasFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Yield Spread to Optimal Exercise
- oasFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Yield to Optimal Exercise
- oasFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Z Spread to Work-out
- oasFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Z Spread to Maturity
- oasFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Z Spread to Optimal Exercise
- OAT1 - Class in org.drip.sample.treasuryfuturesapi
-
OAT1 demonstrates the Invocation and Examination of the OAT1 10Y FRTR Treasury Futures.
- OAT1() - Constructor for class org.drip.sample.treasuryfuturesapi.OAT1
-
- OAT1Attribution - Class in org.drip.sample.treasuryfuturespnl
-
OAT1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the
OAT1 Series.
- OAT1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.OAT1Attribution
-
- OAT1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
-
OAT1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated OAT1 Closes Feed.
- OAT1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.OAT1ClosesReconstitutor
-
- OAT1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
-
OAT1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the OAT1 Treasury Futures.
- OAT1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.OAT1KeyRateDuration
-
- OBJECTIVE_FUNCTION_SEQUENCE_CONVERGENCE - Static variable in class org.drip.function.rdtor1solver.ConvergenceControl
-
Solve Using the Convergence of the Objective Function Realization
- objectiveCoefficient() - Method in class org.drip.optimization.constrained.FritzJohnMultipliers
-
Retrieve the Fritz John Objective Function Multiplier
- ObjectiveConstraintVariateSet - Class in org.drip.function.rdtor1
-
ObjectiveConstraintVariateSet holds the R^d and R^1 Variates corresponding to the Objective Function and
the Constraint Function respectively.
- ObjectiveConstraintVariateSet(double[], double[]) - Constructor for class org.drip.function.rdtor1.ObjectiveConstraintVariateSet
-
ObjectiveConstraintVariate Constructor
- objectiveFunction() - Method in class org.drip.function.rdtor1.LagrangianMultivariate
-
Retrieve the Objective R^d To R^1 Function Instance
- objectiveFunction() - Method in class org.drip.function.rdtor1solver.BarrierFixedPointFinder
-
Retrieve the Objective Function
- objectiveFunction() - Method in class org.drip.function.rdtor1solver.FixedRdFinder
-
Retrieve the Objective Function
- objectiveFunction() - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Retrieve the R^d To R^1 Objective Function
- objectiveFunctionDimension() - Method in class org.drip.function.rdtor1.LagrangianMultivariate
-
Retrieve the Objective Function Dimension
- objectiveFunctionDimension() - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Retrieve the Objective Function Dimension
- ObjectiveFunctionPointMetrics - Class in org.drip.function.rdtor1solver
-
ObjectiveFunctionPointMetrics holds the R^d Point Base and Sensitivity Metrics of the Objective Function.
- ObjectiveFunctionPointMetrics(double[], double[][]) - Constructor for class org.drip.function.rdtor1solver.ObjectiveFunctionPointMetrics
-
ObjectiveFunctionPointMetrics Constructor
- objectiveUtility() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
-
Retrieve the Mean Variance Objective Utility Function
- objectiveUtility() - Method in class org.drip.execution.nonadaptive.StaticOptimalScheme
-
Retrieve the Optimizer Objective Utility Function
- ObjectiveUtility - Interface in org.drip.execution.risk
-
ObjectiveUtility exposes the Objective Utility Function that needs to be optimized to extract the
Optimal Execution Trajectory.
- objectiveVariates() - Method in class org.drip.function.rdtor1.ObjectiveConstraintVariateSet
-
Retrieve the Array of the Objective Function Variates
- OCTOBER - Static variable in class org.drip.analytics.date.DateUtil
-
Integer Month - October
- OE1 - Class in org.drip.sample.treasuryfuturesapi
-
OE1 demonstrates the Invocation and Examination of the OE1 5Y DBR BOBL Treasury Futures.
- OE1() - Constructor for class org.drip.sample.treasuryfuturesapi.OE1
-
- OE1Attribution - Class in org.drip.sample.treasuryfuturespnl
-
OE1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the
OE1 Series.
- OE1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.OE1Attribution
-
- OE1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
-
OE1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated OE1 Closes Feed.
- OE1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.OE1ClosesReconstitutor
-
- OE1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
-
OE1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the OE1 Treasury Futures.
- OE1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.OE1KeyRateDuration
-
- offset() - Method in class org.drip.execution.athl.PermanentImpactNoArbitrage
-
- offset() - Method in class org.drip.execution.impact.ParticipationRateLinear
-
Retrieve the Offset Market Impact Parameter
- offset() - Method in class org.drip.execution.impact.TransactionFunctionLinear
-
Retrieve the Offset Market Impact Parameter
- offset() - Method in class org.drip.function.r1tor1.OffsetIdempotent
-
Retrieve the Offset
- offset() - Method in class org.drip.learning.svm.RdDecisionFunction
-
Retrieve the Offset
- OffsetIdempotent - Class in org.drip.function.r1tor1
-
OffsetIdempotent provides the Implementation of the Offset Idempotent Operator - f(x) = x - C.
- OffsetIdempotent(double) - Constructor for class org.drip.function.r1tor1.OffsetIdempotent
-
OffsetIdempotent Constructor
- OISCurveQuoteSensitivity - Class in org.drip.sample.sensitivity
-
OISCurveQuoteSensitivity demonstrates the calculation of the OIS discount curve sensitivity to the
calibration instrument quotes.
- OISCurveQuoteSensitivity() - Constructor for class org.drip.sample.sensitivity.OISCurveQuoteSensitivity
-
- OISFixFloat(JulianDate, String, String, double, boolean) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Construct an Instance of OTC OIS Fix Float Swap
- OISFixFloat(JulianDate, String, String[], double[], boolean) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Construct an Array of OTC Fix Float OIS Instances
- OISFixFloatFutures(JulianDate, String, String[], String[], double[], boolean) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Construct an Array of OTC OIS Fix-Float Futures
- OISFromLIBORSwapFedFundBasis(double, double) - Static method in class org.drip.analytics.support.Helper
-
Compute the uncompounded OIS Rate from the LIBOR Swap Rate and the LIBOR Swap Rate - Fed Fund Basis.
- OISFromLIBORSwapFedFundBasis2(double, double) - Static method in class org.drip.analytics.support.Helper
-
Compute the Daily Compounded OIS Rate from the LIBOR Swap Rate and the LIBOR Swap Rate - Fed Fund
Basis.
- omdHorizon() - Method in class org.drip.execution.principal.HorizonInformationRatioDependence
-
Retrieve the Optimal Measure Dependence for the Time Horizon
- omdInformationRatio() - Method in class org.drip.execution.principal.HorizonInformationRatioDependence
-
Retrieve the Optimal Measure Dependence for the Time Horizon
- OpenRegressorSet - Class in org.drip.regression.fixedpointfinder
-
OpenRegressorSet implements the regression run for the Open (i.e., Newton) Fixed Point Search Method.
- OpenRegressorSet() - Constructor for class org.drip.regression.fixedpointfinder.OpenRegressorSet
-
- OperatorClassCoveringBounds - Interface in org.drip.spaces.cover
-
- operatorNorm() - Method in class org.drip.spaces.cover.MaureyOperatorCoveringBounds
-
Retrieve the Operator Norm of Interest
- operatorPopulationMetricNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
-
- operatorPopulationMetricNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
- operatorPopulationMetricNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
-
Compute the Operator Population Metric Norm
- operatorPopulationSupremumNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
-
- operatorPopulationSupremumNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
- operatorPopulationSupremumNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
-
Compute the Operator Population Supremum Norm
- operatorSampleMetricNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
-
- operatorSampleMetricNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
- operatorSampleMetricNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
-
Compute the Operator Sample Metric Norm
- operatorSampleSupremumNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
-
- operatorSampleSupremumNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
- operatorSampleSupremumNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
-
Compute the Operator Sample Supremum Norm
- optimalInformationRatio(double) - Method in class org.drip.execution.principal.Almgren2003Estimator
-
Compute the Optimal Information Ratio
- optimalInformationRatioHorizon(double) - Method in class org.drip.execution.principal.Almgren2003Estimator
-
Generate the Horizon that results in the Optimal Information Ratio
- OptimalMeasureDependence - Class in org.drip.execution.principal
-
OptimalMeasureDependence contains the Dependence Exponents on Liquidity, Trade Size, and Permanent Impact
Adjusted Principal Discount for the Optimal Principal Horizon and the Optional Information Ratio.
- OptimalMeasureDependence(double, double, double, double, double) - Constructor for class org.drip.execution.principal.OptimalMeasureDependence
-
OptimalMeasureDependence Constructor
- optimalMeasures() - Method in class org.drip.execution.principal.Almgren2003Estimator
-
Generate the Constant/Exponent Dependencies on the Market Parameters for the Optimal Execution Horizon
/ Information Ratio
- OptimalMeasuresConstantExponent - Class in org.drip.sample.principal
-
OptimalMeasuresConstantExponent demonstrates the Dependence Exponents on Liquidity, Trade Size, and
Permanent Impact Adjusted Principal Discount for the Optimal Principal Horizon and the Optional
Information Ratio.
- OptimalMeasuresConstantExponent() - Constructor for class org.drip.sample.principal.OptimalMeasuresConstantExponent
-
- OptimalMeasuresDiscountDependence - Class in org.drip.sample.principal
-
OptimalMeasuresDiscountDependence demonstrates the Dependence of the Optimal Principal Measures on the
Discount.
- OptimalMeasuresDiscountDependence() - Constructor for class org.drip.sample.principal.OptimalMeasuresDiscountDependence
-
- OptimalMeasuresReconciler - Class in org.drip.sample.principal
-
OptimalMeasuresReconciler reconciles the Dependence Exponents on Liquidity, Trade Size, and Permanent
Impact Adjusted Principal Discount for the Optimal Principal Horizon and the Optional Information Ratio
with Almgren and Chriss (2003).
- OptimalMeasuresReconciler() - Constructor for class org.drip.sample.principal.OptimalMeasuresReconciler
-
- optimalMetrics() - Method in class org.drip.portfolioconstruction.allocator.OptimizationOutput
-
Retrieve the Optimal Portfolio Metrics
- optimalPortfolio() - Method in class org.drip.portfolioconstruction.allocator.OptimizationOutput
-
Retrieve the Optimal Portfolio Instance
- optimalPortfolios() - Method in class org.drip.portfolioconstruction.mpt.MarkovitzBullet
-
Retrieve the Map of Optimal Portfolios
- OptimalSerialCorrelationAdjustment - Class in org.drip.execution.discrete
-
OptimalSerialCorrelationAdjustment contains an Estimate of the Optimal Adjustments attributable to Cross
Period Serial Price Correlations over the Slice Time Interval.
- OptimalSerialCorrelationAdjustment(double, double) - Constructor for class org.drip.execution.discrete.OptimalSerialCorrelationAdjustment
-
OptimalSerialCorrelationAdjustment Constructor
- OptimalSerialCorrelationImpact - Class in org.drip.sample.almgrenchriss
-
OptimalSerialCorrelationImpact estimates the Optimal Adjustment to the Optimal Trading Trajectory
attributable to Serial Correlation in accordance with the Specification of Almgren and Chriss (2000) for
the given Risk Aversion Parameter without the Asset Drift.
- OptimalSerialCorrelationImpact() - Constructor for class org.drip.sample.almgrenchriss.OptimalSerialCorrelationImpact
-
- OptimalTrajectoryDRI - Class in org.drip.sample.athl
-
OptimalTrajectoryDRI demonstrates the Trade Scheduling using the Equity Market Impact Functions determined
empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for
DRI.
- OptimalTrajectoryDRI() - Constructor for class org.drip.sample.athl.OptimalTrajectoryDRI
-
- OptimalTrajectoryIBM - Class in org.drip.sample.athl
-
OptimalTrajectoryIBM demonstrates the Trade Scheduling using the Equity Market Impact Functions determined
empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for
IBM.
- OptimalTrajectoryIBM() - Constructor for class org.drip.sample.athl.OptimalTrajectoryIBM
-
- OptimalTrajectoryMeasures - Class in org.drip.sample.principal
-
OptimalTrajectoryMeasures demonstrates the Trade Scheduling using the Equity Market Impact Functions
determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren
(2003) for IBM.
- OptimalTrajectoryMeasures() - Constructor for class org.drip.sample.principal.OptimalTrajectoryMeasures
-
- OptimalTrajectoryNoDrift - Class in org.drip.sample.almgrenchriss
-
OptimalTrajectoryNoDrift demonstrates the Generation of the Optimal Trading Trajectory in accordance with
the Specification of Almgren and Chriss (2000) for the given Risk Aversion Parameter without the Asset
Drift.
- OptimalTrajectoryNoDrift() - Constructor for class org.drip.sample.almgrenchriss.OptimalTrajectoryNoDrift
-
- OptimalTrajectoryNoDrift - Class in org.drip.sample.lvar
-
OptimalTrajectoryNoDrift generates the Trade/Holdings List of Optimal Execution Schedule based on the
Evolution Walk Parameters specified according to the Liquidity VaR Optimal Objective Function, exclusive
of Drift.
- OptimalTrajectoryNoDrift() - Constructor for class org.drip.sample.lvar.OptimalTrajectoryNoDrift
-
- OptimalTrajectoryTradeAnalysis - Class in org.drip.sample.athl
-
OptimalTrajectoryTradeAnalysis analyzes the Impact of Input Parameters on the Trade Scheduling using the
Equity Market Impact Functions determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using
the Parameterization of Almgren (2003) for IBM.
- OptimalTrajectoryTradeAnalysis() - Constructor for class org.drip.sample.athl.OptimalTrajectoryTradeAnalysis
-
- OptimalTrajectoryVolatilityAnalysis - Class in org.drip.sample.athl
-
OptimalTrajectoryVolatilityAnalysis analyzes the Impact of Input Parameters on the Trade Scheduling using
the Equity Market Impact Functions determined empirically by Almgren, Thum, Hauptmann, and Li (2005),
using the Parameterization of Almgren (2003) for IBM.
- OptimalTrajectoryVolatilityAnalysis() - Constructor for class org.drip.sample.athl.OptimalTrajectoryVolatilityAnalysis
-
- OptimalTrajectoryWithDrift - Class in org.drip.sample.almgrenchriss
-
OptimalTrajectoryWithDrift demonstrates the Generation of the Optimal Trading Trajectory in accordance with
the Specification of Almgren and Chriss (2000) for the given Risk Aversion Parameter inclusive of the
Asset Drift.
- OptimalTrajectoryWithDrift() - Constructor for class org.drip.sample.almgrenchriss.OptimalTrajectoryWithDrift
-
- OptimalTrajectoryWithDrift - Class in org.drip.sample.lvar
-
OptimalTrajectoryWithDrift generates the Trade/Holdings List of Optimal Execution Schedule based on the
Evolution Walk Parameters specified according to the Liquidity VaR Optimal Objective Function, inclusive
of Drift.
- OptimalTrajectoryWithDrift() - Constructor for class org.drip.sample.lvar.OptimalTrajectoryWithDrift
-
- OptimizationFramework - Class in org.drip.optimization.constrained
-
OptimizationFramework holds the Non Linear Objective Function and the Collection of Equality and the
Inequality Constraints that correspond to the Optimization Setup.
- OptimizationFramework(RdToR1, RdToR1[], RdToR1[]) - Constructor for class org.drip.optimization.constrained.OptimizationFramework
-
OptimizationFramework Constructor
- OptimizationOutput - Class in org.drip.portfolioconstruction.allocator
-
OptimizationOutput holds the Output of an Optimal Portfolio Construction Run, i.e., the Optimal Asset
Weights in the Portfolio and the related Portfolio Metrics.
- OptimizationOutput(Portfolio, PortfolioMetrics) - Constructor for class org.drip.portfolioconstruction.allocator.OptimizationOutput
-
OptimizationOutput Constructor
- optimizeClassificationHyperplane(short[], double, double) - Method in class org.drip.learning.svm.RdDecisionFunction
-
Optimize the Hyper-plane for the Purposes of Classification
- optimizeRegressionHyperplane(double[], double, double) - Method in class org.drip.learning.svm.RdDecisionFunction
-
Optimize the Hyper-plane for the Purposes of Regression
- optimizerSettings() - Method in class org.drip.portfolioconstruction.allocator.PortfolioConstructionParameters
-
Retrieve the Instance of the Quadratic Custom Risk Utility Settings
- OptionComponent - Class in org.drip.product.option
-
OptionComponent extends ComponentMarketParamRef and provides the following methods:
- Get the component's initial notional, notional, and coupon.
- OptionHelper - Class in org.drip.analytics.support
-
OptionHelper contains the collection of the option valuation related utility functions used by the modules.
- OptionHelper() - Constructor for class org.drip.analytics.support.OptionHelper
-
- optionPV() - Method in class org.drip.product.calib.VolatilityProductQuoteSet
-
Retrieve the PV of an Option on the Product
- OracleInit(String) - Static method in class org.drip.param.config.ConfigLoader
-
Initialize the Oracle database from the connection parameters set in the XML Configuration file
- order() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectoryControl
-
Generate the Order Specification corresponding to the Trajectory Control
- order() - Method in class org.drip.optimization.necessary.ConditionQualifier
-
Retrieve the Condition Qualifier Order
- orderedComponents(double[][]) - Method in class org.drip.quant.eigen.QREigenComponentExtractor
-
Generate the Ordered List of Eigen Components arranged by Ascending Eigenvalue
- orderedEigenList(EigenOutput) - Method in class org.drip.quant.eigen.QREigenComponentExtractor
-
Generate the Order List of Eigenvalues for the specified Eigen-output
- orderSize() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryDeterminant
-
Retrieve the Order Size
- orderSpecification() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
-
Retrieve the Order Specification
- orderSpecification() - Method in class org.drip.execution.nonadaptive.StaticOptimalSchemeContinuous
-
Retrieve the Order Specification
- OrderSpecification - Class in org.drip.execution.strategy
-
OrderSpecification contains the Parameters that constitute an Order, namely the Size and the Execution
Time.
- OrderSpecification(double, double) - Constructor for class org.drip.execution.strategy.OrderSpecification
-
OrderSpecification Constructor
- org.drip.analytics.cashflow - package org.drip.analytics.cashflow
-
- org.drip.analytics.date - package org.drip.analytics.date
-
- org.drip.analytics.daycount - package org.drip.analytics.daycount
-
- org.drip.analytics.definition - package org.drip.analytics.definition
-
- org.drip.analytics.eventday - package org.drip.analytics.eventday
-
- org.drip.analytics.holset - package org.drip.analytics.holset
-
- org.drip.analytics.input - package org.drip.analytics.input
-
- org.drip.analytics.output - package org.drip.analytics.output
-
- org.drip.analytics.support - package org.drip.analytics.support
-
- org.drip.assetbacked.borrower - package org.drip.assetbacked.borrower
-
- org.drip.assetbacked.loan - package org.drip.assetbacked.loan
-
- org.drip.dynamics.evolution - package org.drip.dynamics.evolution
-
- org.drip.dynamics.hjm - package org.drip.dynamics.hjm
-
- org.drip.dynamics.hullwhite - package org.drip.dynamics.hullwhite
-
- org.drip.dynamics.lmm - package org.drip.dynamics.lmm
-
- org.drip.dynamics.sabr - package org.drip.dynamics.sabr
-
- org.drip.execution.adaptive - package org.drip.execution.adaptive
-
- org.drip.execution.athl - package org.drip.execution.athl
-
- org.drip.execution.bayesian - package org.drip.execution.bayesian
-
- org.drip.execution.capture - package org.drip.execution.capture
-
- org.drip.execution.cost - package org.drip.execution.cost
-
- org.drip.execution.discrete - package org.drip.execution.discrete
-
- org.drip.execution.dynamics - package org.drip.execution.dynamics
-
- org.drip.execution.evolution - package org.drip.execution.evolution
-
- org.drip.execution.hjb - package org.drip.execution.hjb
-
- org.drip.execution.impact - package org.drip.execution.impact
-
- org.drip.execution.latent - package org.drip.execution.latent
-
- org.drip.execution.nonadaptive - package org.drip.execution.nonadaptive
-
- org.drip.execution.optimum - package org.drip.execution.optimum
-
- org.drip.execution.parameters - package org.drip.execution.parameters
-
- org.drip.execution.principal - package org.drip.execution.principal
-
- org.drip.execution.profiletime - package org.drip.execution.profiletime
-
- org.drip.execution.risk - package org.drip.execution.risk
-
- org.drip.execution.sensitivity - package org.drip.execution.sensitivity
-
- org.drip.execution.strategy - package org.drip.execution.strategy
-
- org.drip.execution.tradingtime - package org.drip.execution.tradingtime
-
- org.drip.feed.loader - package org.drip.feed.loader
-
- org.drip.feed.metric - package org.drip.feed.metric
-
- org.drip.feed.transformer - package org.drip.feed.transformer
-
- org.drip.function.definition - package org.drip.function.definition
-
- org.drip.function.r1tor1 - package org.drip.function.r1tor1
-
- org.drip.function.r1tor1solver - package org.drip.function.r1tor1solver
-
- org.drip.function.rdtor1 - package org.drip.function.rdtor1
-
- org.drip.function.rdtor1descent - package org.drip.function.rdtor1descent
-
- org.drip.function.rdtor1solver - package org.drip.function.rdtor1solver
-
- org.drip.historical.attribution - package org.drip.historical.attribution
-
- org.drip.historical.engine - package org.drip.historical.engine
-
- org.drip.historical.sensitivity - package org.drip.historical.sensitivity
-
- org.drip.historical.state - package org.drip.historical.state
-
- org.drip.json.assetallocation - package org.drip.json.assetallocation
-
- org.drip.json.parser - package org.drip.json.parser
-
- org.drip.json.simple - package org.drip.json.simple
-
- org.drip.learning.bound - package org.drip.learning.bound
-
- org.drip.learning.kernel - package org.drip.learning.kernel
-
- org.drip.learning.regularization - package org.drip.learning.regularization
-
- org.drip.learning.rxtor1 - package org.drip.learning.rxtor1
-
- org.drip.learning.svm - package org.drip.learning.svm
-
- org.drip.market.definition - package org.drip.market.definition
-
- org.drip.market.exchange - package org.drip.market.exchange
-
- org.drip.market.issue - package org.drip.market.issue
-
- org.drip.market.otc - package org.drip.market.otc
-
- org.drip.measure.bayesian - package org.drip.measure.bayesian
-
- org.drip.measure.continuousjoint - package org.drip.measure.continuousjoint
-
- org.drip.measure.continuousmarginal - package org.drip.measure.continuousmarginal
-
- org.drip.measure.discretemarginal - package org.drip.measure.discretemarginal
-
- org.drip.measure.gaussian - package org.drip.measure.gaussian
-
- org.drip.measure.lebesgue - package org.drip.measure.lebesgue
-
- org.drip.measure.statistics - package org.drip.measure.statistics
-
- org.drip.optimization.constrained - package org.drip.optimization.constrained
-
- org.drip.optimization.necessary - package org.drip.optimization.necessary
-
- org.drip.optimization.regularity - package org.drip.optimization.regularity
-
- org.drip.param.config - package org.drip.param.config
-
- org.drip.param.creator - package org.drip.param.creator
-
- org.drip.param.definition - package org.drip.param.definition
-
- org.drip.param.market - package org.drip.param.market
-
- org.drip.param.period - package org.drip.param.period
-
- org.drip.param.pricer - package org.drip.param.pricer
-
- org.drip.param.quote - package org.drip.param.quote
-
- org.drip.param.quoting - package org.drip.param.quoting
-
- org.drip.param.valuation - package org.drip.param.valuation
-
- org.drip.portfolioconstruction.allocator - package org.drip.portfolioconstruction.allocator
-
- org.drip.portfolioconstruction.alm - package org.drip.portfolioconstruction.alm
-
- org.drip.portfolioconstruction.asset - package org.drip.portfolioconstruction.asset
-
- org.drip.portfolioconstruction.bayesian - package org.drip.portfolioconstruction.bayesian
-
- org.drip.portfolioconstruction.mpt - package org.drip.portfolioconstruction.mpt
-
- org.drip.portfolioconstruction.params - package org.drip.portfolioconstruction.params
-
- org.drip.pricer.option - package org.drip.pricer.option
-
- org.drip.product.calib - package org.drip.product.calib
-
- org.drip.product.creator - package org.drip.product.creator
-
- org.drip.product.credit - package org.drip.product.credit
-
- org.drip.product.definition - package org.drip.product.definition
-
- org.drip.product.fra - package org.drip.product.fra
-
- org.drip.product.fx - package org.drip.product.fx
-
- org.drip.product.govvie - package org.drip.product.govvie
-
- org.drip.product.option - package org.drip.product.option
-
- org.drip.product.params - package org.drip.product.params
-
- org.drip.product.rates - package org.drip.product.rates
-
- org.drip.quant.calculus - package org.drip.quant.calculus
-
- org.drip.quant.common - package org.drip.quant.common
-
- org.drip.quant.eigen - package org.drip.quant.eigen
-
- org.drip.quant.fourier - package org.drip.quant.fourier
-
- org.drip.quant.linearalgebra - package org.drip.quant.linearalgebra
-
- org.drip.quant.stochastic - package org.drip.quant.stochastic
-
- org.drip.regression.core - package org.drip.regression.core
-
- org.drip.regression.curve - package org.drip.regression.curve
-
- org.drip.regression.curvejacobian - package org.drip.regression.curvejacobian
-
- org.drip.regression.fixedpointfinder - package org.drip.regression.fixedpointfinder
-
- org.drip.regression.spline - package org.drip.regression.spline
-
- org.drip.sample.algo - package org.drip.sample.algo
-
- org.drip.sample.alm - package org.drip.sample.alm
-
- org.drip.sample.almgren2003 - package org.drip.sample.almgren2003
-
- org.drip.sample.almgren2009 - package org.drip.sample.almgren2009
-
- org.drip.sample.almgren2012 - package org.drip.sample.almgren2012
-
- org.drip.sample.almgrenchriss - package org.drip.sample.almgrenchriss
-
- org.drip.sample.assetallocation - package org.drip.sample.assetallocation
-
- org.drip.sample.assetallocationexcel - package org.drip.sample.assetallocationexcel
-
- org.drip.sample.assetbacked - package org.drip.sample.assetbacked
-
- org.drip.sample.athl - package org.drip.sample.athl
-
- org.drip.sample.blacklitterman - package org.drip.sample.blacklitterman
-
- org.drip.sample.bloomberg - package org.drip.sample.bloomberg
-
- org.drip.sample.bond - package org.drip.sample.bond
-
- org.drip.sample.bondapi - package org.drip.sample.bondapi
-
- org.drip.sample.capfloor - package org.drip.sample.capfloor
-
- org.drip.sample.classifier - package org.drip.sample.classifier
-
- org.drip.sample.cms - package org.drip.sample.cms
-
- org.drip.sample.collateral - package org.drip.sample.collateral
-
- org.drip.sample.coveringnumber - package org.drip.sample.coveringnumber
-
- org.drip.sample.credit - package org.drip.sample.credit
-
- org.drip.sample.creditfeed - package org.drip.sample.creditfeed
-
- org.drip.sample.credithistorical - package org.drip.sample.credithistorical
-
- org.drip.sample.creditindexpnl - package org.drip.sample.creditindexpnl
-
- org.drip.sample.creditoption - package org.drip.sample.creditoption
-
- org.drip.sample.cross - package org.drip.sample.cross
-
- org.drip.sample.date - package org.drip.sample.date
-
- org.drip.sample.descentverifier - package org.drip.sample.descentverifier
-
- org.drip.sample.dual - package org.drip.sample.dual
-
- org.drip.sample.efficientfrontier - package org.drip.sample.efficientfrontier
-
- org.drip.sample.efronstein - package org.drip.sample.efronstein
-
- org.drip.sample.env - package org.drip.sample.env
-
- org.drip.sample.execution - package org.drip.sample.execution
-
- org.drip.sample.fedfund - package org.drip.sample.fedfund
-
- org.drip.sample.fixfloat - package org.drip.sample.fixfloat
-
- org.drip.sample.fixfloatoption - package org.drip.sample.fixfloatoption
-
- org.drip.sample.fixfloatpnl - package org.drip.sample.fixfloatpnl
-
- org.drip.sample.floatfloat - package org.drip.sample.floatfloat
-
- org.drip.sample.forward - package org.drip.sample.forward
-
- org.drip.sample.forwardratefutures - package org.drip.sample.forwardratefutures
-
- org.drip.sample.forwardratefuturesfeed - package org.drip.sample.forwardratefuturesfeed
-
- org.drip.sample.forwardratefuturespnl - package org.drip.sample.forwardratefuturespnl
-
- org.drip.sample.forwardvolatility - package org.drip.sample.forwardvolatility
-
- org.drip.sample.fra - package org.drip.sample.fra
-
- org.drip.sample.funding - package org.drip.sample.funding
-
- org.drip.sample.fundingfeed - package org.drip.sample.fundingfeed
-
- org.drip.sample.fundinghistorical - package org.drip.sample.fundinghistorical
-
- org.drip.sample.fx - package org.drip.sample.fx
-
- org.drip.sample.govvie - package org.drip.sample.govvie
-
- org.drip.sample.helitterman - package org.drip.sample.helitterman
-
- org.drip.sample.hjm - package org.drip.sample.hjm
-
- org.drip.sample.hullwhite - package org.drip.sample.hullwhite
-
- org.drip.sample.idzorek - package org.drip.sample.idzorek
-
- org.drip.sample.json - package org.drip.sample.json
-
- org.drip.sample.lmm - package org.drip.sample.lmm
-
- org.drip.sample.lvar - package org.drip.sample.lvar
-
- org.drip.sample.matrix - package org.drip.sample.matrix
-
- org.drip.sample.measure - package org.drip.sample.measure
-
- org.drip.sample.multicurve - package org.drip.sample.multicurve
-
- org.drip.sample.numerical - package org.drip.sample.numerical
-
- org.drip.sample.ois - package org.drip.sample.ois
-
- org.drip.sample.oisapi - package org.drip.sample.oisapi
-
- org.drip.sample.optimizer - package org.drip.sample.optimizer
-
- org.drip.sample.option - package org.drip.sample.option
-
- org.drip.sample.overnight - package org.drip.sample.overnight
-
- org.drip.sample.overnightfeed - package org.drip.sample.overnightfeed
-
- org.drip.sample.overnighthistorical - package org.drip.sample.overnighthistorical
-
- org.drip.sample.principal - package org.drip.sample.principal
-
- org.drip.sample.rdtor1 - package org.drip.sample.rdtor1
-
- org.drip.sample.sabr - package org.drip.sample.sabr
-
- org.drip.sample.semidefinite - package org.drip.sample.semidefinite
-
- org.drip.sample.sensitivity - package org.drip.sample.sensitivity
-
- org.drip.sample.sequence - package org.drip.sample.sequence
-
- org.drip.sample.service - package org.drip.sample.service
-
- org.drip.sample.spline - package org.drip.sample.spline
-
- org.drip.sample.statistics - package org.drip.sample.statistics
-
- org.drip.sample.stochasticvolatility - package org.drip.sample.stochasticvolatility
-
- org.drip.sample.stretch - package org.drip.sample.stretch
-
- org.drip.sample.treasury - package org.drip.sample.treasury
-
- org.drip.sample.treasuryfeed - package org.drip.sample.treasuryfeed
-
- org.drip.sample.treasuryfutures - package org.drip.sample.treasuryfutures
-
- org.drip.sample.treasuryfuturesapi - package org.drip.sample.treasuryfuturesapi
-
- org.drip.sample.treasuryfuturesfeed - package org.drip.sample.treasuryfuturesfeed
-
- org.drip.sample.treasuryfuturespnl - package org.drip.sample.treasuryfuturespnl
-
- org.drip.sample.treasuryfuturesrisk - package org.drip.sample.treasuryfuturesrisk
-
- org.drip.sample.treasurypnl - package org.drip.sample.treasurypnl
-
- org.drip.sample.trend - package org.drip.sample.trend
-
- org.drip.sample.xccy - package org.drip.sample.xccy
-
- org.drip.sequence.custom - package org.drip.sequence.custom
-
- org.drip.sequence.functional - package org.drip.sequence.functional
-
- org.drip.sequence.metrics - package org.drip.sequence.metrics
-
- org.drip.sequence.random - package org.drip.sequence.random
-
- org.drip.service.api - package org.drip.service.api
-
- org.drip.service.engine - package org.drip.service.engine
-
- org.drip.service.env - package org.drip.service.env
-
- org.drip.service.json - package org.drip.service.json
-
- org.drip.service.product - package org.drip.service.product
-
- org.drip.service.state - package org.drip.service.state
-
- org.drip.service.template - package org.drip.service.template
-
- org.drip.spaces.big - package org.drip.spaces.big
-
- org.drip.spaces.cover - package org.drip.spaces.cover
-
- org.drip.spaces.functionclass - package org.drip.spaces.functionclass
-
- org.drip.spaces.instance - package org.drip.spaces.instance
-
- org.drip.spaces.iterator - package org.drip.spaces.iterator
-
- org.drip.spaces.metric - package org.drip.spaces.metric
-
- org.drip.spaces.rxtor1 - package org.drip.spaces.rxtor1
-
- org.drip.spaces.rxtord - package org.drip.spaces.rxtord
-
- org.drip.spaces.tensor - package org.drip.spaces.tensor
-
- org.drip.spline.basis - package org.drip.spline.basis
-
- org.drip.spline.bspline - package org.drip.spline.bspline
-
- org.drip.spline.grid - package org.drip.spline.grid
-
- org.drip.spline.multidimensional - package org.drip.spline.multidimensional
-
- org.drip.spline.params - package org.drip.spline.params
-
- org.drip.spline.pchip - package org.drip.spline.pchip
-
- org.drip.spline.segment - package org.drip.spline.segment
-
- org.drip.spline.stretch - package org.drip.spline.stretch
-
- org.drip.spline.tension - package org.drip.spline.tension
-
- org.drip.state.basis - package org.drip.state.basis
-
- org.drip.state.boot - package org.drip.state.boot
-
- org.drip.state.creator - package org.drip.state.creator
-
- org.drip.state.credit - package org.drip.state.credit
-
- org.drip.state.curve - package org.drip.state.curve
-
- org.drip.state.discount - package org.drip.state.discount
-
- org.drip.state.estimator - package org.drip.state.estimator
-
- org.drip.state.forward - package org.drip.state.forward
-
- org.drip.state.fx - package org.drip.state.fx
-
- org.drip.state.govvie - package org.drip.state.govvie
-
- org.drip.state.identifier - package org.drip.state.identifier
-
- org.drip.state.inference - package org.drip.state.inference
-
- org.drip.state.nonlinear - package org.drip.state.nonlinear
-
- org.drip.state.repo - package org.drip.state.repo
-
- org.drip.state.representation - package org.drip.state.representation
-
- org.drip.state.volatility - package org.drip.state.volatility
-
- org.drip.template.forwardratefutures - package org.drip.template.forwardratefutures
-
- org.drip.template.irs - package org.drip.template.irs
-
- org.drip.template.state - package org.drip.template.state
-
- org.drip.template.statebump - package org.drip.template.statebump
-
- org.drip.template.ust - package org.drip.template.ust
-
- OrientedPassageTimeBound - Class in org.drip.sample.efronstein
-
OrientedPassageTimeBound demonstrates the Computation of the Probabilistic Bounds for the First Passage
Time in a Grid of Oriented Percolation using Variants of the Efron-Stein Methodology.
- OrientedPassageTimeBound() - Constructor for class org.drip.sample.efronstein.OrientedPassageTimeBound
-
- OrientedPercolationFirstPassage - Class in org.drip.sequence.custom
-
OrientedPercolationFirstPassage contains Variance Bounds on the Critical Measures of the Standard Problem
of First Passage Time in Oriented Percolation.
- OrientedPercolationFirstPassage(double, double) - Constructor for class org.drip.sequence.custom.OrientedPercolationFirstPassage
-
OrientedPercolationFirstPassage Constructor
- OriginalPrincipal - Class in org.drip.assetbacked.loan
-
OriginalPrincipal contains the Origination Loan Principal.
- OriginalPrincipal(double) - Constructor for class org.drip.assetbacked.loan.OriginalPrincipal
-
OriginalPrincipal Constructor
- originalReferenceCoupon() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
-
Retrieve the Original Reference Coupon
- OriginationFICO - Class in org.drip.assetbacked.borrower
-
OriginationFICO contains the Borrower's FICO Score at a given Loan's Origination.
- OriginationFICO(double) - Constructor for class org.drip.assetbacked.borrower.OriginationFICO
-
OriginationFICO Constructor
- originationMonth() - Method in class org.drip.assetbacked.loan.Vintage
-
Retrieve the Origination Month
- originationYear() - Method in class org.drip.assetbacked.loan.Vintage
-
Retrieve the Origination Year
- OrnsteinUhlenbeck - Interface in org.drip.quant.stochastic
-
OrnsteinUhlenbeck Interface exposes the Reference Parameter Scales the guide the Random Variable Evolution
according to Ornstein-Uhlenbeck Mean Reverting Process.
- OrnsteinUhlenbeckProcess1D - Class in org.drip.quant.stochastic
-
OrnsteinUhlenbeckProcess1D guides the Random Variable Evolution according to 1D Ornstein-Uhlenbeck Mean
Reverting Process.
- OrnsteinUhlenbeckProcess1D(double, double, double) - Constructor for class org.drip.quant.stochastic.OrnsteinUhlenbeckProcess1D
-
OrnsteinUhlenbeckProcess1D Constructor
- OrnsteinUhlenbeckProcess2D - Class in org.drip.quant.stochastic
-
OrnsteinUhlenbeckProcess2D guides the Random Variable Evolution according to 2D Ornstein-Uhlenbeck Mean
Reverting Process.
- OrnsteinUhlenbeckProcess2D(OrnsteinUhlenbeckProcess1D, OrnsteinUhlenbeckProcess1D, double) - Constructor for class org.drip.quant.stochastic.OrnsteinUhlenbeckProcess2D
-
OrnsteinUhlenbeckProcess2D Constructor
- OrnsteinUhlenbeckSequence - Class in org.drip.execution.latent
-
OrnsteinUhlenbeckSequence holds the Sequence of the Market State that drives the Liquidity and the
Volatility Market States driven using an Ornstein-Uhlenbeck Process.
- ornsteinUnlenbeckProcess() - Method in class org.drip.execution.hjb.NonDimensionalCostEvolver
-
Retrieve the Reference Ornstein-Unlenbeck Process
- OTCCrossCurrencyDefinitions - Class in org.drip.sample.xccy
-
OTCFloatFloatDefinitions contains all the pre-fixed Definitions of the OTC Cross-Currency Float-Float Swap
Contracts.
- OTCCrossCurrencyDefinitions() - Constructor for class org.drip.sample.xccy.OTCCrossCurrencyDefinitions
-
- OTCCrossCurrencySwaps - Class in org.drip.sample.xccy
-
OTCCrossCurrencySwaps demonstrates the Construction and Valuation of the Cross-Currency Floating Swap of
OTC contracts.
- OTCCrossCurrencySwaps() - Constructor for class org.drip.sample.xccy.OTCCrossCurrencySwaps
-
- OTCInstrumentBuilder - Class in org.drip.service.template
-
OTCInstrumentBuilder contains static Helper API to facilitate Construction of OTC Instruments.
- OTCInstrumentBuilder() - Constructor for class org.drip.service.template.OTCInstrumentBuilder
-
- OTCSwapOptionSettlements - Class in org.drip.sample.multicurve
-
OTCSwapOptionSettlements contains all the pre-fixed Definitions of the OTC Swap Option Settlements.
- OTCSwapOptionSettlements() - Constructor for class org.drip.sample.multicurve.OTCSwapOptionSettlements
-
- OToole2013 - Class in org.drip.sample.blacklitterman
-
OToole2013 reconciles the Outputs of the Black-Litterman Model Process.
- OToole2013() - Constructor for class org.drip.sample.blacklitterman.OToole2013
-
- output() - Method in class org.drip.function.definition.VariateOutputPair
-
Retrieve the Function Output Value Array
- output() - Method in class org.drip.service.api.DateDiscountCurvePair
-
Retrieve the Output Dump
- outputDimension() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
-
Compute the Output Dimension
- outputMetricVectorSpace() - Method in class org.drip.learning.kernel.IntegralOperatorEigenContainer
-
Retrieve the Eigen Output Space
- outputMetricVectorSpace() - Method in class org.drip.learning.kernel.SymmetricRdToNormedR1Kernel
-
Retrieve the Output R^1 Metric Vector Space
- outputMetricVectorSpace() - Method in class org.drip.learning.kernel.SymmetricRdToNormedRdKernel
-
Retrieve the Output R^d Metric Vector Space
- outputMetricVectorSpace() - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
-
- outputMetricVectorSpace() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
- outputMetricVectorSpace() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
-
Retrieve the Output Vector Space
- outputMetricVectorSpace() - Method in class org.drip.spaces.rxtor1.NormedR1ToNormedR1
-
- outputMetricVectorSpace() - Method in class org.drip.spaces.rxtor1.NormedRdToNormedR1
-
- outputMetricVectorSpace() - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
-
Retrieve the Output Metric Vector Space
- outputMetricVectorSpace() - Method in class org.drip.spaces.rxtord.NormedR1ToNormedRd
-
- outputMetricVectorSpace() - Method in class org.drip.spaces.rxtord.NormedRdToNormedRd
-
- outputMetricVectorSpace() - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
-
Retrieve the Output Metric Vector Space
- outputVectorMetricSpace() - Method in class org.drip.learning.kernel.IntegralOperator
-
Retrieve the Kernel Integral Operator Output Space
- outright() - Method in class org.drip.product.calib.FXForwardQuoteSet
-
Retrieve the Terminal FX Forward Outright
- outstandingFactorSchedule() - Method in class org.drip.product.params.NotionalSetting
-
Retrieve the Outstanding Factor Schedule
- outstandingUnits() - Method in class org.drip.execution.parameters.AssetFlowSettings
-
Retrieve the Outstanding Number of the Traded Units
- overlap(LatentStateMergeSubStretch) - Method in class org.drip.state.representation.LatentStateMergeSubStretch
-
Identify if the Supplied Merge Stretch overlaps with the provided one.
- OverlappingStretchSpan - Class in org.drip.spline.grid
-
OverlappingStretchSpan implements the Span interface, and the collection functionality of overlapping
Stretches.
- OverlappingStretchSpan(MultiSegmentSequence) - Constructor for class org.drip.spline.grid.OverlappingStretchSpan
-
OverlappingStretchSpan constructor
- overnight() - Method in class org.drip.state.identifier.ForwardLabel
-
Indicate if the Index is an Overnight Index
- overnight() - Method in class org.drip.state.identifier.OvernightLabel
-
Indicate if the Index is an Overnight Index
- OvernightArithmeticCompoundingConvexity - Class in org.drip.sample.ois
-
OvernightArithmeticCompoundingConvexity contains an assessment of the impact of the Overnight Index
Volatility, the Funding Numeraire Volatility, and the ON Index/Funding Correlation on the Overnight
Floating Stream.
- OvernightArithmeticCompoundingConvexity() - Constructor for class org.drip.sample.ois.OvernightArithmeticCompoundingConvexity
-
- OvernightCurve(JulianDate, String, String[], double[], String, String[], double[], String, String[], String[], double[], String, String[], double[], String, SegmentCustomBuilderControl) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct an Overnight Curve from Overnight Exchange/OTC Market Instruments
- OvernightCurve(JulianDate, String, String[], double[], String, String[], double[], String, String[], String[], double[], String, String[], double[], String, int) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct an Overnight Curve from Overnight Exchange/OTC Market Instruments
- OvernightCurveAPI - Class in org.drip.service.state
-
OvernightCurveAPI computes the Metrics associated the Overnight Curve State.
- OvernightCurveAPI() - Constructor for class org.drip.service.state.OvernightCurveAPI
-
- OvernightDeposit(JulianDate, String, String) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Construct an OTC Overnight Deposit Instrument from the Spot Date and the Maturity Tenor
- OvernightDeposit(JulianDate, String, String[]) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Construct an Array of OTC Overnight Deposit Instrument from their Maturity Tenors
- OvernightEdgeDates(JulianDate, JulianDate, String) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
-
Generate the List of Overnight Edge Dates between the specified dates, using the specified Calendar
- OvernightEdgeDates(int, int, String) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
-
Generate the List of Overnight Edge Dates between the specified dates, using the specified Calendar
- OvernightFedFundLIBORSwap - Class in org.drip.sample.fedfund
-
OvernightFedFundLIBORSwap demonstrates the Construction, the Valuation, and Bloomberg Metrics Analysis for
the Composite Fed Fund vs.
- OvernightFedFundLIBORSwap() - Constructor for class org.drip.sample.fedfund.OvernightFedFundLIBORSwap
-
- OvernightFixedFloatContainer - Class in org.drip.market.otc
-
OvernightFixedFloatContainer holds the settings of the standard OTC Overnight Fix-Float Swap Contract
Conventions.
- OvernightFixedFloatContainer() - Constructor for class org.drip.market.otc.OvernightFixedFloatContainer
-
- OvernightIndex - Class in org.drip.market.definition
-
OvernightIndex contains the definitions of the overnight indexes of different jurisdictions.
- OvernightIndex(String, String, String, String, String, String, int, int) - Constructor for class org.drip.market.definition.OvernightIndex
-
OvernightIndex Constructor
- overnightIndex() - Method in class org.drip.state.identifier.OvernightLabel
-
Retrieve the Overnight Index
- OvernightIndexContainer - Class in org.drip.market.definition
-
OvernightIndexContainer holds the definitions of the overnight index definitions corresponding to
different jurisdictions.
- OvernightIndexContainer() - Constructor for class org.drip.market.definition.OvernightIndexContainer
-
- OvernightIndexCurve - Class in org.drip.sample.forward
-
OvernightIndexCurve illustrates the Construction and Usage of the Overnight Index Discount Curve.
- OvernightIndexCurve() - Constructor for class org.drip.sample.forward.OvernightIndexCurve
-
- OvernightIndexMarksReconstitutor - Class in org.drip.feed.transformer
-
OvernightIndexMarksReconstitutor transforms the Overnight Instrument Manifest Measures (e.g., Deposits and
OIS) Feed Inputs into Formats appropriate for Overnight Curve Construction and Measure Generation.
- OvernightIndexMarksReconstitutor() - Constructor for class org.drip.feed.transformer.OvernightIndexMarksReconstitutor
-
- OvernightIndexSwapAPI - Class in org.drip.service.product
-
OvernightIndexSwapAPI exposes the Pricing and the Scenario Runs for an Overnight Index Swap.
- OvernightIndexSwapAPI() - Constructor for class org.drip.service.product.OvernightIndexSwapAPI
-
- OvernightJurisdictionIndexDefinition - Class in org.drip.sample.ois
-
OvernightJurisdictionIndexDefinition demonstrates the functionality to retrieve the Overnight Index
Settings across the various Jurisdictions.
- OvernightJurisdictionIndexDefinition() - Constructor for class org.drip.sample.ois.OvernightJurisdictionIndexDefinition
-
- OvernightLabel - Class in org.drip.state.identifier
-
OvernightLabel contains the Index Parameters referencing an Overnight Index.
- overnightOvernightCorrelation(OvernightLabel, OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Pair of Overnight Latent States
- overnightPaydownCorrelation(OvernightLabel, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Overnight and the Pay-down Latent States
- overnightRatingCorrelation(OvernightLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Overnight and the Rating Latent States
- overnightRecoveryCorrelation(OvernightLabel, RecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Overnight and the Recovery Latent States
- overnightRepoCorrelation(OvernightLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Overnight and the Repo Latent States
- overnightState(OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Overnight Latent State Corresponding to the Label
- OvernightState - Class in org.drip.template.state
-
OvernightState sets up the Calibration and the Construction of the Overnight Latent State and examine the
Emitted Metrics.
- OvernightState() - Constructor for class org.drip.template.state.OvernightState
-
- OvernightStateShifted - Class in org.drip.template.statebump
-
OvernightStateShifted demonstrates the Generation of the Tenor Bumped Overnight Curves.
- OvernightStateShifted() - Constructor for class org.drip.template.statebump.OvernightStateShifted
-
- overnightVolatility(OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Volatility Curve for the Overnight Latent State Label