- PABHoliday - Class in org.drip.analytics.holset
-
- PABHoliday() - Constructor for class org.drip.analytics.holset.PABHoliday
-
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.analytics.definition.MarketSurface
-
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.analytics.definition.NodeStructure
-
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.basis.BasisCurve
-
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.curve.DerivedZeroRate
-
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
-
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
-
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
-
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
-
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.forward.ForwardCurve
-
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.fx.FXCurve
-
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.govvie.GovvieCurve
-
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
-
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.nonlinear.ForwardHazardCreditCurve
-
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.repo.RepoCurve
-
- parallelShiftManifestMeasure(String, double) - Method in interface org.drip.state.representation.LatentState
-
Create a LatentState Instance from the Manifest Measure Parallel Shift
- parallelShiftQuantificationMetric(double) - Method in class org.drip.analytics.definition.MarketSurface
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.analytics.definition.NodeStructure
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.basis.BasisCurve
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.curve.DerivedZeroRate
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.forward.ForwardCurve
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.fx.FXCurve
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.govvie.GovvieCurve
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.nonlinear.ForwardHazardCreditCurve
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.repo.RepoCurve
-
- parallelShiftQuantificationMetric(double) - Method in interface org.drip.state.representation.LatentState
-
Create a LatentState Instance from the Quantification Metric Parallel Shift
- paramType() - Method in class org.drip.param.definition.CreditManifestMeasureTweak
-
Retrieve the Tweak Parameter Type
- parent() - Method in class org.drip.spaces.big.BinaryTree
-
Retrieve the Parent BinaryTree Instance
- parForwardRate() - Method in class org.drip.product.calib.FRAComponentQuoteSet
-
Retrieve the Par Forward Rate
- parse(String) - Method in class org.drip.json.parser.JSONParser
-
- parse(String, ContainerFactory) - Method in class org.drip.json.parser.JSONParser
-
Parse the JSON String
- parse(Reader) - Method in class org.drip.json.parser.JSONParser
-
- parse(Reader, ContainerFactory) - Method in class org.drip.json.parser.JSONParser
-
Parse JSON text into java object from the input source.
- parse(String, ContentHandler) - Method in class org.drip.json.parser.JSONParser
-
- parse(String, ContentHandler, boolean) - Method in class org.drip.json.parser.JSONParser
-
- parse(Reader, ContentHandler) - Method in class org.drip.json.parser.JSONParser
-
- parse(Reader, ContentHandler, boolean) - Method in class org.drip.json.parser.JSONParser
-
Stream processing of JSON text.
- parse(Reader) - Static method in class org.drip.json.simple.JSONValue
-
Parse JSON text into java object from the input source.
- parse(String) - Static method in class org.drip.json.simple.JSONValue
-
- ParseException - Exception in org.drip.json.parser
-
ParseException is an Adaptation of the ParseException Class from the RFC4627 compliant JSON Simple
(https://code.google.com/p/json-simple/).
- ParseException(int) - Constructor for exception org.drip.json.parser.ParseException
-
- ParseException(int, Object) - Constructor for exception org.drip.json.parser.ParseException
-
- ParseException(int, int, Object) - Constructor for exception org.drip.json.parser.ParseException
-
- ParseFromBBGDCCode(String) - Static method in class org.drip.analytics.support.Helper
-
Convert the Bloomberg day count code to DRIP day count code.
- ParseFromUnitaryString(String) - Static method in class org.drip.quant.common.StringUtil
-
Check if the string represents an unitary boolean
- parseWithException(Reader) - Static method in class org.drip.json.simple.JSONValue
-
Parse JSON text into java object from the input source.
- parseWithException(String) - Static method in class org.drip.json.simple.JSONValue
-
- parSwapDV01(int) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
Calculate the DV01 of the Par Swap that Matures at the given date
- ParticipationRateLinear - Class in org.drip.execution.impact
-
ParticipationRateLinear implements a Linear Temporary/Permanent Market Impact Function where the Price
Change scales linearly with the Trade Rate, along with an Offset.
- ParticipationRateLinear(double, double) - Constructor for class org.drip.execution.impact.ParticipationRateLinear
-
ParticipationRateLinear Constructor
- ParticipationRatePower - Class in org.drip.execution.impact
-
ParticipationRatePower implements a Power-Law Based Temporary/Permanent Market Impact Function where the
Price Change scales as a Power of the Trade Rate.
- ParticipationRatePower(double, double) - Constructor for class org.drip.execution.impact.ParticipationRatePower
-
ParticipationRatePower Constructor
- Partition(double[], int) - Static method in class org.drip.function.rdtor1.ObjectiveConstraintVariateSet
-
Partition the Variate Array into the Objective Function Input Variates and the Constraint Variate
- partOfMergeState(double, LatentStateLabel) - Method in class org.drip.state.representation.MergeSubStretchManager
-
Indicates whether the specified Latent State Label is Part of the Merge Stretch
- pathResponse(int, int, double) - Method in class org.drip.spaces.big.BigR2Array
-
Compute the Path Response Associated with all the Nodes in the Path up to the Current One.
- PathwiseQMRealization - Class in org.drip.dynamics.lmm
-
PathwiseQMRealization contains the Sequence of the Simulated Target Point State QM Realizations and their
corresponding Date Nodes.
- PathwiseQMRealization(int[], double[]) - Constructor for class org.drip.dynamics.lmm.PathwiseQMRealization
-
PathwiseQMRealization Constructor
- payCurrency() - Method in class org.drip.analytics.cashflow.Bullet
-
Retrieve the Pay Currency
- payCurrency() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Retrieve the Pay Currency
- payCurrency() - Method in class org.drip.param.period.CompositePeriodSetting
-
Retrieve the Pay Currency
- payCurrency() - Method in class org.drip.product.credit.BondComponent
-
- payCurrency() - Method in class org.drip.product.credit.CDSComponent
-
- payCurrency() - Method in interface org.drip.product.definition.BasketMarketParamRef
-
Get the Pay Currency
- payCurrency() - Method in class org.drip.product.definition.BasketProduct
-
- payCurrency() - Method in interface org.drip.product.definition.ComponentMarketParamRef
-
Get the Pay Currency
- payCurrency() - Method in class org.drip.product.fx.FXForwardComponent
-
- payCurrency() - Method in class org.drip.product.govvie.TreasuryFutures
-
- payCurrency() - Method in class org.drip.product.option.CDSEuropeanOption
-
- payCurrency() - Method in class org.drip.product.option.FixFloatEuropeanOption
-
- payCurrency() - Method in class org.drip.product.option.OptionComponent
-
- payCurrency() - Method in class org.drip.product.rates.FixFloatComponent
-
- payCurrency() - Method in class org.drip.product.rates.FloatFloatComponent
-
- payCurrency() - Method in class org.drip.product.rates.RatesBasket
-
- payCurrency() - Method in class org.drip.product.rates.SingleStreamComponent
-
- payCurrency() - Method in class org.drip.product.rates.Stream
-
Retrieve the Pay Currency
- payCurrencyCollateralCurrencyCurve(String, String) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Discount Curve associated with the Pay Cash-flow Collateralized using a different
Collateral Currency Numeraire
- payDate() - Method in class org.drip.analytics.cashflow.Bullet
-
Return the period Pay Date
- payDate() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Return the Period Pay Date
- payDate() - Method in class org.drip.analytics.output.BulletMetrics
-
Retrieve the Pay Date
- PaydownLabel - Class in org.drip.state.identifier
-
PaydownLabel contains the Identifier Parameters referencing the Latent State of the named Paydown Curve.
- paydownPaydownCorrelation(PaydownLabel, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Pay-down Latent State Pair
- paydownRatingCorrelation(PaydownLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Pay-down and the Rating Latent States
- paydownRecoveryCorrelation(PaydownLabel, RecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Pay-down and the Recovery Latent States
- paydownRepoCorrelation(PaydownLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Pay-down and the Repo Latent States
- paydownState(PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Pay-down State for the specified Pay-down Latent State Label
- paydownVolaitlity(PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Volatility Curve for the specified Pay-down Latent State
- payoff(double, double, double, double, boolean, boolean, double, boolean) - Method in class org.drip.pricer.option.BlackNormalAlgorithm
-
- payoff(double, double, double, double, boolean, boolean, double, boolean) - Method in class org.drip.pricer.option.BlackScholesAlgorithm
-
- payoff(double, double, double, double, boolean, boolean, double, boolean) - Method in class org.drip.pricer.option.FokkerPlanckGenerator
-
Compute the Expected Payoff of the Option from the Inputs
- payoff(int, int, double, MergedDiscountForwardCurve, double, boolean, boolean, double, boolean) - Method in class org.drip.pricer.option.FokkerPlanckGenerator
-
Compute the Expected Payoff of the Option from the Inputs
- payoff(int, int, double, MergedDiscountForwardCurve, double, boolean, boolean, R1ToR1, boolean) - Method in class org.drip.pricer.option.FokkerPlanckGenerator
-
Compute the Expected Payoff of the Option from the Inputs
- payoff(double, double, double, double, boolean, boolean, double, boolean) - Method in class org.drip.pricer.option.HestonStochasticVolatilityAlgorithm
-
- PAYOFF_TRANSFORM_SCHEME_AMST_2007 - Static variable in class org.drip.pricer.option.HestonStochasticVolatilityAlgorithm
-
Payoff Transformation Type - The Albrecher, Mayer, Schoutens, and Tistaert Scheme
- PAYOFF_TRANSFORM_SCHEME_HESTON_1993 - Static variable in class org.drip.pricer.option.HestonStochasticVolatilityAlgorithm
-
Payoff Transformation Type - The Original Heston 1993 Scheme
- payoffTransformScheme() - Method in class org.drip.param.pricer.HestonOptionPricerParams
-
Return the Payoff Fourier Transformation Scheme
- pecs() - Method in class org.drip.analytics.output.BondRVMeasures
-
Retrieve the PECS
- pecsFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from ASW to Work-out
- pecsFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from ASW to Maturity
- pecsFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from ASW to Optimal Exercise
- pecsFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Bond Basis to Work-out
- pecsFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Bond Basis to Maturity
- pecsFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Bond Basis to Optimal Exercise
- pecsFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Credit Basis to Work-out
- pecsFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Credit Basis to Maturity
- pecsFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Credit Basis to Optimal Exercise
- pecsFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Discount Margin to Work-out
- pecsFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Discount Margin to Maturity
- pecsFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Discount Margin to Optimal Exercise
- pecsFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from G Spread to Work-out
- pecsFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from G Spread to Maturity
- pecsFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from G Spread to Optimal Exercise
- pecsFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from I Spread to Work-out
- pecsFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from I Spread to Maturity
- pecsFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from I Spread to Optimal Exercise
- pecsFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from OAS to Work-out
- pecsFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from OAS to Maturity
- pecsFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from OAS to Optimal Exercise
- pecsFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Price to Work-out
- pecsFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Price to Maturity
- pecsFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Price to Optimal Exercise
- pecsFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from TSY Spread to Work-out
- pecsFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from TSY Spread to Maturity
- pecsFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from TSY Spread to Optimal Exercise
- pecsFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Yield to Work-out
- pecsFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Yield to Maturity
- pecsFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Yield Spread to Work-out
- pecsFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Yield Spread to Maturity
- pecsFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Yield Spread to Optimal Exercise
- pecsFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Yield to Optimal Exercise
- pecsFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Z Spread to Work-out
- pecsFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Z Spread to Maturity
- pecsFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Z Spread to Optimal Exercise
- PEFHoliday - Class in org.drip.analytics.holset
-
- PEFHoliday() - Constructor for class org.drip.analytics.holset.PEFHoliday
-
- PenalizedCurvatureFitTest() - Static method in class org.drip.sample.stretch.CurvatureRoughnessPenaltyFit
-
- PenalizedCurvatureLengthFitTest() - Static method in class org.drip.sample.stretch.CurvatureLengthRoughnessPenalty
-
- PENHoliday - Class in org.drip.analytics.holset
-
- PENHoliday() - Constructor for class org.drip.analytics.holset.PENHoliday
-
- pensionBenefits() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityCashFlow
-
Retrieve the Investor Pension Benefits
- pensionBenefitsDF() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityCashFlow
-
Retrieve the Investor Pension Benefits Discount Factor
- pensionBenefitsIncomeDF(double) - Method in class org.drip.portfolioconstruction.alm.DiscountRate
-
Retrieve the Pension Benefits Income Discount Factor
- pensionBenefitsIncomePV() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityMetrics
-
Retrieve the PV of the Pension Benefits Income
- pensionBenefitsIncomeRate() - Method in class org.drip.portfolioconstruction.alm.DiscountRate
-
Retrieve the Pension Benefits Income Discount Rate
- pensionBenefitsIncomeSpread() - Method in class org.drip.portfolioconstruction.alm.DiscountRate
-
Retrieve the Pension Benefits Income Spread
- period(int) - Method in class org.drip.product.params.BondStream
-
Retrieve the period corresponding to the given index
- PERIOD_AMORT_AT_END - Static variable in class org.drip.product.params.NotionalSetting
-
Period amortization proxies to the period end factor
- PERIOD_AMORT_AT_START - Static variable in class org.drip.product.params.NotionalSetting
-
Period amortization proxies to the period start factor
- PERIOD_AMORT_EFFECTIVE - Static variable in class org.drip.product.params.NotionalSetting
-
Period amortization proxies to the period effective factor
- PERIOD_DAY_STEPS_MINIMUM - Static variable in class org.drip.param.pricer.CreditPricerParams
-
Minimum number of days per unit
- PERIOD_DISCRETIZATION_DAY_STEP - Static variable in class org.drip.param.pricer.CreditPricerParams
-
Discretization as a sequence of day steps
- PERIOD_DISCRETIZATION_FULL_COUPON - Static variable in class org.drip.param.pricer.CreditPricerParams
-
No discretization at all - just the full coupon period
- PERIOD_DISCRETIZATION_PERIOD_STEP - Static variable in class org.drip.param.pricer.CreditPricerParams
-
Discretization as a sequence of time space divided periods
- periodAmortizationMode() - Method in class org.drip.product.params.NotionalSetting
-
Retrieve the Period Amortization Mode
- periodCurveFloatingRate() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the Period Curve Floating Rate
- periodFixedRate() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the Period Fixed Rate
- periodFixingDate(int) - Method in class org.drip.product.credit.BondComponent
-
- periodFixingDate(int) - Method in class org.drip.product.definition.Bond
-
Get the bond's reset date for the period identified by the valuation date
- periodFloatingRateUsed() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the Period Floating Rate Used
- periodIndex(int) - Method in class org.drip.product.params.BondStream
-
Return the period index containing the specified date
- periodProductFloatingRate() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the Period Product Floating Rate
- periodQuoteSet(ProductQuoteSet, CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositeFixedPeriod
-
- periodQuoteSet(ProductQuoteSet, CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositeFloatingPeriod
-
- periodQuoteSet(ProductQuoteSet, CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Retrieve the Period Calibration Quotes from the specified product quote set
- periods() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Retrieve the List of Composable Periods
- periods() - Method in class org.drip.product.rates.Stream
-
Retrieve a list of the component's coupon periods
- periodWiseConvexityAdjustment(int, CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Compute the Convexity Adjustment for the composable periods that use arithmetic compounding using the
specified value date using the market data provided
- PERMANENT_IMPACT_COEFFICIENT - Static variable in class org.drip.execution.athl.CalibrationEmpirics
-
Universal Permanent Impact Coefficient
- PERMANENT_IMPACT_COEFFICIENT_ONE_SIGMA - Static variable in class org.drip.execution.athl.CalibrationEmpirics
-
Universal Permanent Impact Coefficient One Sigma
- PERMANENT_IMPACT_EXPONENT - Static variable in class org.drip.execution.athl.CalibrationEmpirics
-
Universal Permanent Impact Exponent
- PERMANENT_IMPACT_EXPONENT_ATHL2005 - Static variable in class org.drip.execution.athl.CalibrationEmpirics
-
Almgren, Thum, Hauptmann, and Li (2005) Universal Permanent Impact Exponent
- PERMANENT_IMPACT_EXPONENT_ATHL2005_ONE_SIGMA - Static variable in class org.drip.execution.athl.CalibrationEmpirics
-
Almgren, Thum, Hauptmann, and Li (2005) Universal Permanent Impact Exponent One Sigma
- PERMANENT_IMPACT_EXPONENT_QUASI_ARBITRAGE_FREE - Static variable in class org.drip.execution.athl.CalibrationEmpirics
-
Quasi-Arbitrage Free Universal Permanent Impact Exponent
- PERMANENT_IMPACT_INVERSE_TURNOVER_EXPONENT - Static variable in class org.drip.execution.athl.CalibrationEmpirics
-
The Universal Permanent Impact Inverse Turnover Coefficient
- PERMANENT_IMPACT_INVERSE_TURNOVER_EXPONENT_ATHL2005 - Static variable in class org.drip.execution.athl.CalibrationEmpirics
-
The ATHL2005 Permanent Impact Inverse Turnover Coefficient
- PERMANENT_IMPACT_INVERSE_TURNOVER_EXPONENT_ATHL2005_ONE_SIGMA - Static variable in class org.drip.execution.athl.CalibrationEmpirics
-
The ATHL2005 Permanent Impact Inverse Turnover Coefficient One Sigma Error
- permanentExpectation() - Method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters
-
Retrieve the Background Participation Permanent Market Impact Expectation Function
- permanentImpact() - Method in class org.drip.execution.evolution.MarketImpactComponent
-
Retrieve the Permanent Market Impact Contribution
- permanentImpactDrift() - Method in class org.drip.execution.discrete.EvolutionIncrement
-
Retrieve the Change induced by the Deterministic Asset Price Permanent Market Impact Drivers
- permanentImpactExpectation(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
-
- permanentImpactExpectation() - Method in class org.drip.execution.discrete.ShortfallIncrementDistribution
-
Retrieve the Permanent Market Impact Expectation Component
- permanentImpactExpectation(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
-
- permanentImpactExpectation(ArithmeticPriceEvolutionParameters) - Method in interface org.drip.execution.sensitivity.ControlNodesGreekGenerator
-
Generate the Permanent Impact Expectation Contribution
- permanentImpactFactor() - Method in class org.drip.execution.parameters.PriceMarketImpact
-
Retrieve the Fraction of the Daily Volume that triggers One Bid-Ask of Permanent Impact Cost
- PermanentImpactNoArbitrage - Class in org.drip.execution.athl
-
PermanentImpactNoArbitrage implements the Linear Permanent Market Impact with Coefficients that have been
determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the no Quasi-Arbitrage Criterion
identified by Huberman and Stanzl (2004).
- PermanentImpactNoArbitrage(AssetFlowSettings) - Constructor for class org.drip.execution.athl.PermanentImpactNoArbitrage
-
PermanentImpactNoArbitrage Constructor
- PermanentImpactQuasiArbitrage - Class in org.drip.execution.athl
-
PermanentImpactQuasiArbitrage implements the Linear Permanent Market Impact with Coefficients that have
been determined empirically by Almgren, Thum, Hauptmann, and Li (2005), independent of the no
Quasi-Arbitrage Criterion identified by Huberman and Stanzl (2004).
- PermanentImpactQuasiArbitrage(AssetFlowSettings) - Constructor for class org.drip.execution.athl.PermanentImpactQuasiArbitrage
-
PermanentImpactQuasiArbitrage Constructor
- permanentImpactVariance(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
-
- permanentImpactVariance() - Method in class org.drip.execution.discrete.ShortfallIncrementDistribution
-
Retrieve the Permanent Market Impact Variance Component
- permanentImpactVariance(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
-
- permanentImpactVariance(ArithmeticPriceEvolutionParameters) - Method in interface org.drip.execution.sensitivity.ControlNodesGreekGenerator
-
Generate the Permanent Impact Variance Contribution
- permanentImpactWander() - Method in class org.drip.execution.discrete.EvolutionIncrement
-
Retrieve the Change induced by the Stochastic Asset Price Permanent Market Impact Drivers
- permanentImpactWanderer() - Method in class org.drip.execution.dynamics.WalkSuite
-
Retrieve the Previous Instance of the Permanent Impact Walk Wanderer
- permanentMarketImpactFunction() - Method in class org.drip.execution.athl.TransactionRealization
-
Retrieve the Permanent Market Impact Transaction Function
- permanentTransactionFunction() - Method in class org.drip.execution.parameters.PriceMarketImpact
-
Generate the Permanent Impact Transaction Function
- permanentTransactionFunction() - Method in class org.drip.execution.parameters.PriceMarketImpactLinear
-
Generate the Permanent Impact Transaction Function
- permanentTransactionFunction() - Method in class org.drip.execution.parameters.PriceMarketImpactPower
-
Generate the Permanent Impact Transaction Function
- permanentVolatility() - Method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters
-
Retrieve the Background Participation Permanent Market Impact Volatility Function
- perpetual() - Method in class org.drip.product.credit.BondComponent
-
- perpetual() - Method in class org.drip.product.definition.Bond
-
Indicate if the bond is perpetual
- perpetual() - Method in class org.drip.product.params.TerminationSetting
-
Indicate if the contract is perpetual
- PESHoliday - Class in org.drip.analytics.holset
-
- PESHoliday() - Constructor for class org.drip.analytics.holset.PESHoliday
-
- phase(double) - Method in class org.drip.portfolioconstruction.alm.InvestorCliffSettings
-
Retrieve the Investment Phase corresponding to the specified Age
- PhaseAdjuster - Class in org.drip.quant.fourier
-
PhaseAdjuster implements the functionality specifically meant for enhancing stability of the Fourier
numerical Routines.
- PhaseAdjuster() - Constructor for class org.drip.quant.fourier.PhaseAdjuster
-
- PhaseTrackerComparison - Class in org.drip.sample.numerical
-
PhaseTrackerComparison demonstrates the Log + Power Complex Number Phase Correction Functionality
implemented by three different ways for the calculation of the Inverse Fourier Transforms.
- PhaseTrackerComparison() - Constructor for class org.drip.sample.numerical.PhaseTrackerComparison
-
- phaseTrackerType() - Method in class org.drip.param.pricer.HestonOptionPricerParams
-
Return the Multi Valued Principal Branch Maintaining Phase Tracker Type
- phi(int, int) - Method in class org.drip.dynamics.hjm.G2PlusPlus
-
Compute the G2++ Phi
- PHPHoliday - Class in org.drip.analytics.holset
-
- PHPHoliday() - Constructor for class org.drip.analytics.holset.PHPHoliday
-
- piecewiseDensities() - Method in class org.drip.measure.lebesgue.R1PiecewiseLinear
-
Retrieve the Array of Piecewise Densities
- piecewiseDensitySlopes() - Method in class org.drip.measure.lebesgue.R1PiecewiseDisplaced
-
Retrieve the Array of Piecewise Density Slopes
- PiecewiseDisplacedLebesgue - Class in org.drip.sample.measure
-
PiecewiseDisplacedLebesgue demonstrates the Generation, the Reconciliation, and the Usage of a Piece-wise
Displaced Linear Lebesgue Measure.
- PiecewiseDisplacedLebesgue() - Constructor for class org.drip.sample.measure.PiecewiseDisplacedLebesgue
-
- PiecewiseForward(JulianDate, String, int[], double[]) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
Create a discount curve from an array of dates/rates
- PiecewiseLinearLebesgue - Class in org.drip.sample.measure
-
PiecewiseLinearLebesgue demonstrates the Generation, the Reconciliation, and the Usage of a Piece-wise
Linear Lebesgue Measure.
- PiecewiseLinearLebesgue() - Constructor for class org.drip.sample.measure.PiecewiseLinearLebesgue
-
- pip() - Method in class org.drip.product.calib.FXForwardQuoteSet
-
Retrieve the Terminal FX Forward PIP
- pipFactor() - Method in class org.drip.product.params.CurrencyPair
-
Get the PIP Factor
- Pivot(double[][], double[]) - Static method in class org.drip.quant.linearalgebra.LinearSystemSolver
-
Pivots the matrix A (Refer to wikipedia to find out what "pivot a matrix" means ;))
- PIVOT_ANCHOR_TYPE_CUSTOM - Static variable in class org.drip.sequence.metrics.PivotedDepartureBounds
-
PIVOT ANCHOR TYPE - CUSTOM
- PIVOT_ANCHOR_TYPE_MEAN - Static variable in class org.drip.sequence.metrics.PivotedDepartureBounds
-
PIVOT ANCHOR TYPE - MEAN
- PIVOT_ANCHOR_TYPE_ZERO - Static variable in class org.drip.sequence.metrics.PivotedDepartureBounds
-
PIVOT ANCHOR TYPE - ZERO
- pivotAnchorType() - Method in class org.drip.sequence.metrics.PivotedDepartureBounds
-
Retrieve the Pivot Anchor Type
- PivotDiagonal(double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Pivot the Diagonal of the Input Matrix
- PivotedDepartureBounds - Class in org.drip.sequence.metrics
-
PivotedDepartureBounds holds the Lower/Upper Probability Bounds in regards to the Specified Pivot-Centered
Sequence.
- PivotedDepartureBounds(int, double, double, double) - Constructor for class org.drip.sequence.metrics.PivotedDepartureBounds
-
PivotedDepartureBounds Constructor
- pivotedDifferenceSequenceMetrics(MultivariateRandom) - Method in class org.drip.sequence.functional.EfronSteinMetrics
-
Compute the Function Sequence Agnostic Metrics associated with each Variate around the Pivot Point
provided by the Pivot Function
- pivotVarianceUpperBound(MultivariateRandom) - Method in class org.drip.sequence.functional.EfronSteinMetrics
-
Compute the Function Variance Upper Bound using the supplied Multivariate Pivoting Function
- PLN - Class in org.drip.template.irs
-
PLN contains a Templated Pricing of the OTC Fix-Float PLN IRS Instrument.
- PLN() - Constructor for class org.drip.template.irs.PLN
-
- PLN3M6MUSD3M6M - Class in org.drip.sample.dual
-
PLN3M6MUSD3M6M demonstrates the setup and construction of the USD 3M Forward Curve from PLN3M6MUSD3M6M
CCBS, PLN 3M, PLN 6M, and USD 6M Quotes.
- PLN3M6MUSD3M6M() - Constructor for class org.drip.sample.dual.PLN3M6MUSD3M6M
-
- PLNHoliday - Class in org.drip.analytics.holset
-
- PLNHoliday() - Constructor for class org.drip.analytics.holset.PLNHoliday
-
- PLNIRSAttribution - Class in org.drip.sample.fixfloatpnl
-
PLNIRSAttribution generates the Historical PnL Attribution for PLN IRS.
- PLNIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.PLNIRSAttribution
-
- PLNShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
-
PLNShapePreserving1YStart Generates the Historical PLN Shape Preserving Funding Curve Native Compounded
Forward Rate starting at 1Y Tenor.
- PLNShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.PLNShapePreserving1YStart
-
- PLNShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
-
PLNShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the
PLN Input Marks.
- PLNShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.PLNShapePreservingReconstitutor
-
- PLZHoliday - Class in org.drip.analytics.holset
-
- PLZHoliday() - Constructor for class org.drip.analytics.holset.PLZHoliday
-
- pmsFirst() - Method in class org.drip.historical.attribution.PositionChangeComponents
-
Retrieve the First Position Market Snapshot Instance
- pmsSecond() - Method in class org.drip.historical.attribution.PositionChangeComponents
-
Retrieve the Second Position Market Snapshot Instance
- pnlMetric() - Method in class org.drip.service.api.InstrMetric
-
Retrieve the PnL Metric
- pNorm() - Method in interface org.drip.spaces.metric.GeneralizedMetricVectorSpace
-
Retrieve the P-Norm Index of the Metric Space
- pNorm() - Method in class org.drip.spaces.metric.R1Combinatorial
-
- pNorm() - Method in class org.drip.spaces.metric.R1Continuous
-
- pNorm() - Method in class org.drip.spaces.metric.RdCombinatorialBanach
-
- pNorm() - Method in class org.drip.spaces.metric.RdContinuousBanach
-
- PointAncillaryMetricsDynamics - Class in org.drip.sample.lmm
-
PointAncillaryMetricsDynamics demonstrates the Construction and Usage of the Point LIBOR State Evolver,
and the eventual Evolution of the related Ancillary bDiscount/Forward Latent State Quantification
Metrics.
- PointAncillaryMetricsDynamics() - Constructor for class org.drip.sample.lmm.PointAncillaryMetricsDynamics
-
- PointCoreMetricsDynamics - Class in org.drip.sample.lmm
-
PointCoreMetricsDynamics demonstrates the Construction and Usage of the Point LIBOR State Evolver, and the
eventual Evolution of the related Core bDiscount/Forward Latent State Quantification Metrics.
- PointCoreMetricsDynamics() - Constructor for class org.drip.sample.lmm.PointCoreMetricsDynamics
-
- PointStateEvolver - Interface in org.drip.dynamics.evolution
-
PointStateEvolver is the Interface on top of which the Point State Evolution Dynamics is constructed.
- pointVolatilityModulus(int, int) - Method in class org.drip.dynamics.hjm.MultiFactorVolatility
-
Compute the Point Volatility Modulus
- pointVolatilityModulusDerivative(int, int, int, boolean) - Method in class org.drip.dynamics.hjm.MultiFactorVolatility
-
Compute the Point Volatility Modulus Derivative
- Poisson - Class in org.drip.sequence.random
-
Poisson implements the Poisson Random Number Generator.
- Poisson(double) - Constructor for class org.drip.sequence.random.Poisson
-
Construct a Poisson Random Number Generator
- PoissonDistribution - Class in org.drip.measure.discretemarginal
-
PoissonDistribution implements the Univariate Poisson Distribution using the specified Mean/Variance.
- PoissonDistribution(double) - Constructor for class org.drip.measure.discretemarginal.PoissonDistribution
-
Construct a PoissonDistribution Instance
- PoissonRandomSequenceBound - Class in org.drip.sample.sequence
-
PoissonRandomSequenceBound demonstrates the Computation of the Probabilistic Bounds for a Sample Random
Poisson Sequence.
- PoissonRandomSequenceBound() - Constructor for class org.drip.sample.sequence.PoissonRandomSequenceBound
-
- PoissonSequenceAgnosticMetrics - Class in org.drip.sequence.metrics
-
PoissonSequenceAgnosticMetrics contains the Sample Distribution Metrics and Agnostic Bounds related to the
specified Poisson Sequence.
- PoissonSequenceAgnosticMetrics(double[], double) - Constructor for class org.drip.sequence.metrics.PoissonSequenceAgnosticMetrics
-
PoissonSequenceAgnosticMetrics Constructor
- Polynomial - Class in org.drip.function.r1tor1
-
Polynomial provides the evaluation of the n-th order Polynomial and its derivatives for a specified
variate.
- Polynomial(int) - Constructor for class org.drip.function.r1tor1.Polynomial
-
Polynomial constructor
- PolynomialBasisSet(PolynomialFunctionSetParams) - Static method in class org.drip.spline.basis.FunctionSetBuilder
-
This function implements the elastic coefficients for the segment using polynomial basis splines
inside [0,...,1) - Globally [x_0,...,x_1):
y = Sum (A_i*x^i) i = 0,...,n (0 and n inclusive)
where x is the normalized ordinate mapped as
x .gte.
- PolynomialBasisSpline - Class in org.drip.sample.spline
-
PolynomialBasisSpline implements Samples for the Construction and the usage of polynomial (both regular
and Hermite) basis spline functions.
- PolynomialBasisSpline() - Constructor for class org.drip.sample.spline.PolynomialBasisSpline
-
- PolynomialFunctionSetParams - Class in org.drip.spline.basis
-
PolynomialFunctionSetParams implements per-segment basis set parameters for the polynomial basis spline -
currently it holds the number of basis functions.
- PolynomialFunctionSetParams(int) - Constructor for class org.drip.spline.basis.PolynomialFunctionSetParams
-
PolynomialFunctionSetParams constructor
- PolynomialSegmentControlParams(int, SegmentInelasticDesignControl, ResponseScalingShapeControl) - Static method in class org.drip.sample.stretch.CurvatureLengthRoughnessPenalty
-
- PolynomialSegmentControlParams(int, SegmentInelasticDesignControl, ResponseScalingShapeControl) - Static method in class org.drip.sample.stretch.CurvatureRoughnessPenaltyFit
-
- polynomialTensionDegree() - Method in class org.drip.spline.basis.KaklisPandelisSetParams
-
Get the Segment Polynomial Tension Degree
- populationCoveringNumber(double) - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
-
Estimate for the Function Class Population Covering Number
- populationCoveringNumber(double[]) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
Estimate for the Function Class Population Covering Number Array, one for each dimension
- populationCoveringNumber(double) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
Estimate for the Function Class Population Covering Number Array, one for each dimension
- populationCoveringNumber(double) - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
-
Retrieve the Population Covering Number
- populationCoveringNumber(double) - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
-
Retrieve the Population Covering Number Array
- populationDistribution() - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Retrieve the Population Distribution
- populationESS() - Method in class org.drip.spaces.rxtor1.NormedR1ToNormedR1
-
- populationESS() - Method in class org.drip.spaces.rxtor1.NormedRdToNormedR1
-
- populationESS() - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
-
Retrieve the Population ESS (Essential Spectrum)
- populationESS() - Method in class org.drip.spaces.rxtord.NormedR1ToNormedRd
-
- populationESS() - Method in class org.drip.spaces.rxtord.NormedRdToNormedRd
-
- populationESS() - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
-
Retrieve the Population ESS (Essential Spectrum) Array
- populationMean() - Method in class org.drip.sequence.metrics.PoissonSequenceAgnosticMetrics
-
Retrieve the Mean of the Underlying Distribution
- populationMean() - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Retrieve the Population Mean
- populationMean() - Method in class org.drip.sequence.metrics.UnitSequenceAgnosticMetrics
-
Retrieve the Mean of the Underlying Distribution
- populationMetricCoveringBounds() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
-
Compute the Maurey Covering Number Upper Bounds for Operator Population Metric Norm
- populationMetricEntropyNorm(int, boolean) - Method in class org.drip.spaces.cover.CarlStephaniProductBounds
-
Compute the Population Metric Carl-Stephani Entropy Number Upper Bound using either the
Metric/Supremum Population Norm
- populationMetricEntropyNumber(int, int) - Method in class org.drip.spaces.cover.CarlStephaniProductBounds
-
Compute the Upper Bound for the Entropy Number of the Operator Population Metric Covering Number
Convolution Product Product across both the Function Classes
- populationMetricNorm() - Method in interface org.drip.spaces.metric.GeneralizedMetricVectorSpace
-
Retrieve the Population Metric Norm
- populationMetricNorm() - Method in class org.drip.spaces.metric.R1Combinatorial
-
- populationMetricNorm() - Method in class org.drip.spaces.metric.R1Continuous
-
- populationMetricNorm() - Method in class org.drip.spaces.metric.RdCombinatorialBanach
-
- populationMetricNorm() - Method in class org.drip.spaces.metric.RdContinuousBanach
-
- populationMetricNorm() - Method in class org.drip.spaces.rxtor1.NormedR1CombinatorialToR1Continuous
-
- populationMetricNorm() - Method in class org.drip.spaces.rxtor1.NormedR1ContinuousToR1Continuous
-
- populationMetricNorm() - Method in class org.drip.spaces.rxtor1.NormedRdCombinatorialToR1Continuous
-
- populationMetricNorm() - Method in class org.drip.spaces.rxtor1.NormedRdContinuousToR1Continuous
-
- populationMetricNorm() - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
-
Retrieve the Population Metric Norm
- populationMetricNorm() - Method in class org.drip.spaces.rxtord.NormedR1CombinatorialToRdContinuous
-
- populationMetricNorm() - Method in class org.drip.spaces.rxtord.NormedR1ContinuousToRdContinuous
-
- populationMetricNorm() - Method in class org.drip.spaces.rxtord.NormedRdCombinatorialToRdContinuous
-
- populationMetricNorm() - Method in class org.drip.spaces.rxtord.NormedRdContinuousToRdContinuous
-
- populationMetricNorm() - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
-
Retrieve the Population Metric Norm Array
- populationMode() - Method in class org.drip.spaces.metric.R1Combinatorial
-
- populationMode() - Method in class org.drip.spaces.metric.R1Continuous
-
- populationMode() - Method in interface org.drip.spaces.metric.R1Normed
-
Retrieve the Population Mode
- populationMode() - Method in class org.drip.spaces.metric.RdCombinatorialBanach
-
- populationMode() - Method in class org.drip.spaces.metric.RdContinuousBanach
-
- populationMode() - Method in interface org.drip.spaces.metric.RdNormed
-
Retrieve the Population Mode
- populationRdESS() - Method in class org.drip.spaces.rxtord.NormedRdToNormedRd
-
Retrieve the Population R^d ESS (Essential Spectrum) Array
- populationRdMetricNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
Compute the Population R^d Metric Norm
- populationRdSupremumNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
Compute the Population R^d Supremum Norm
- populationRdSupremumNorm() - Method in class org.drip.spaces.rxtord.NormedRdToNormedRd
-
Retrieve the Population R^d Supremum Norm
- populationSupremumCoveringBounds() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
-
Compute the Maurey Covering Number Upper Bounds for Operator Population Supremum Norm
- populationSupremumCoveringNumber(double) - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
-
Estimate for the Function Class Population Supremum Covering Number
- populationSupremumCoveringNumber(double[]) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
Estimate for the Function Class Population Supremum Covering Number Array, one for each dimension
- populationSupremumCoveringNumber(double) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
Estimate for the Function Class Population Supremum Covering Number Array, one for each dimension
- populationSupremumCoveringNumber(double) - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
-
Retrieve the Population Supremum Covering Number
- populationSupremumCoveringNumber(double) - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
-
Retrieve the Population Supremum Covering Number Array
- populationSupremumEntropyNorm(int, boolean) - Method in class org.drip.spaces.cover.CarlStephaniProductBounds
-
Compute the Population Supremum Carl-Stephani Entropy Number Upper Bound using either the
Metric/Supremum Population Norm
- populationSupremumEntropyNumber(int, int) - Method in class org.drip.spaces.cover.CarlStephaniProductBounds
-
Compute the Upper Bound for the Entropy Number of the Operator Population Supremum Covering Number
Convolution Product across both the Function Classes
- populationSupremumMetricNorm() - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
-
Retrieve the Population Supremum Metric Norm
- populationSupremumNorm() - Method in class org.drip.spaces.metric.RdCombinatorialBanach
-
- populationSupremumNorm() - Method in class org.drip.spaces.metric.RdContinuousBanach
-
- populationSupremumNorm() - Method in interface org.drip.spaces.metric.RdNormed
-
Compute the Population Supremum Norm of the Sample
- populationSupremumNorm() - Method in class org.drip.spaces.rxtord.NormedRdToNormedRd
-
- populationSupremumNorm() - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
-
Retrieve the Population Supremum Norm Array
- populationVariance() - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Retrieve the Population Variance
- Portfolio - Class in org.drip.portfolioconstruction.asset
-
Portfolio implements an Instance of the Portfolio of Assets.
- Portfolio(AssetComponent[]) - Constructor for class org.drip.portfolioconstruction.asset.Portfolio
-
Portfolio Constructor
- PortfolioAndBenchmarkMetrics - Class in org.drip.sample.idzorek
-
PortfolioAndBenchmarkMetrics demonstrates the Prior-Posterior Portfolio Statistics using the
Black-Litterman Model augmented with the Idzorek Model.
- PortfolioAndBenchmarkMetrics() - Constructor for class org.drip.sample.idzorek.PortfolioAndBenchmarkMetrics
-
- PortfolioBenchmarkMetrics - Class in org.drip.portfolioconstruction.asset
-
PortfolioBenchmarkMetrics holds the Metrics that result from a Relative Valuation of a Portfolio with
respect to a Benchmark.
- PortfolioBenchmarkMetrics(double, double, double, double, double, double) - Constructor for class org.drip.portfolioconstruction.asset.PortfolioBenchmarkMetrics
-
PortfolioBenchmarkMetrics Constructor
- PortfolioConstructionParameters - Class in org.drip.portfolioconstruction.allocator
-
PortfolioConstructionParameters holds the Parameters needed to construct the Portfolio.
- PortfolioConstructionParameters(String[], CustomRiskUtilitySettings, PortfolioEqualityConstraintSettings) - Constructor for class org.drip.portfolioconstruction.allocator.PortfolioConstructionParameters
-
PortfolioConstructionParameters Constructor
- PortfolioConstructionProcessor - Class in org.drip.json.assetallocation
-
PortfolioConstructionProcessor Sets Up and Executes a JSON Based In/Out Processing Service for Constrained
and Unconstrained Portfolio Construction.
- PortfolioConstructionProcessor() - Constructor for class org.drip.json.assetallocation.PortfolioConstructionProcessor
-
- PortfolioEqualityConstraintSettings - Class in org.drip.portfolioconstruction.allocator
-
PortfolioEqualityConstraintSettings holds the Parameters required to generate the Mandatory Constraints
for the Portfolio.
- PortfolioEqualityConstraintSettings(int, double) - Constructor for class org.drip.portfolioconstruction.allocator.PortfolioEqualityConstraintSettings
-
PortfolioEqualityConstraintSettings Constructor
- PortfolioMetrics - Class in org.drip.portfolioconstruction.asset
-
PortfolioMetrics holds the Expected Portfolio Returns and the Standard Deviation.
- PortfolioMetrics(double, double, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.asset.PortfolioMetrics
-
PortfolioMetrics Constructor
- PositionChangeComponents - Class in org.drip.historical.attribution
-
PositionChangeComponents contains the Decomposition of the Components of the Interval Change for a given
Position.
- PositionChangeComponents(boolean, PositionMarketSnap, PositionMarketSnap, double, CaseInsensitiveHashMap<Double>) - Constructor for class org.drip.historical.attribution.PositionChangeComponents
-
PositionChangeComponents Constructor
- PositionManifestMeasureSnap - Class in org.drip.historical.attribution
-
PositionManifestMeasureSnap contains the Metrics Snapshot associated with a Specified Manifest Measure
for a given Position.
- PositionManifestMeasureSnap(double, double, double) - Constructor for class org.drip.historical.attribution.PositionManifestMeasureSnap
-
PositionManifestMeasureSnap Constructor
- PositionMarketSnap - Class in org.drip.historical.attribution
-
PositionMarketSnap contains the Metrics Snapshot associated with the relevant Manifest Measures for a
given Position.
- PositionMarketSnap(JulianDate, double) - Constructor for class org.drip.historical.attribution.PositionMarketSnap
-
PositionMarketSnap Constructor
- PositiveLinearlyIndependent(double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Indicate if the Array Entries are Positive Linearly Independent
- PositiveOrZero(double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Indicate if the Array Entries are Positive or Zero
- positiveProbability() - Method in class org.drip.sequence.functional.BinaryIdempotentUnivariateRandom
-
Retrieve the Probability of reaching 1
- positiveProbability() - Method in class org.drip.sequence.random.Binary
-
Retrieve the Positive Instance Probability
- posterior() - Method in class org.drip.analytics.daycount.DateEOMAdjustment
-
Retrieve the Posterior Date Adjustment
- posterior() - Method in class org.drip.measure.bayesian.JointPosteriorMetrics
-
Retrieve the Posterior Distribution
- posteriorDriftDistribution(double) - Method in class org.drip.execution.bayesian.PriorConditionalCombiner
-
Generate the Posterior Drift Distribution
- postRegression(RegressionRunDetail) - Method in class org.drip.regression.core.UnitRegressionExecutor
-
Clean-up of the objects set-up for the regression
- postRegression(RegressionRunDetail) - Method in class org.drip.regression.spline.BasisSplineRegressor
-
- postRegression(RegressionRunDetail) - Method in class org.drip.regression.spline.HermiteBasisSplineRegressor
-
- postRegression(RegressionRunDetail) - Method in class org.drip.regression.spline.LagrangePolynomialStretchRegressor
-
- postRegression(RegressionRunDetail) - Method in class org.drip.regression.spline.LocalControlBasisSplineRegressor
-
- PowerImpactContinuous - Class in org.drip.execution.optimum
-
PowerImpactContinuous contains the Trading Trajectory generated by the Almgren (2003) Power Impact Scheme
under the Criterion of No-Drift.
- PowerImpactContinuous(double, double, double, double, double, double, double, R1ToR1, R1ToR1, R1ToR1, R1ToR1) - Constructor for class org.drip.execution.optimum.PowerImpactContinuous
-
PowerImpactContinuous Constructor
- PowerIterationComponentExtractor - Class in org.drip.quant.eigen
-
PowerIterationComponentExtractor extracts the Linear System Components using the Power Iteration Method.
- PowerIterationComponentExtractor(int, double, boolean) - Constructor for class org.drip.quant.eigen.PowerIterationComponentExtractor
-
PowerIterationComponentExtractor Constructor
- PowerLawOptimalTrajectory - Class in org.drip.sample.almgren2003
-
PowerLawOptimalTrajectory sketches out the Optimal Trajectories for 3 different values of k - representing
Concave, Linear, and Convex Power's respectively.
- PowerLawOptimalTrajectory() - Constructor for class org.drip.sample.almgren2003.PowerLawOptimalTrajectory
-
- PowerLogPhaseTracker(ComplexNumber, ComplexNumber, int, int) - Static method in class org.drip.quant.fourier.PhaseAdjuster
-
Handling the Branch Switching of the Complex Power Function according Kahl-Jackel algorithm:
- http://www.pjaeckel.webspace.virginmedia.com/NotSoComplexLogarithmsInTheHestonModel.pdf
- PowerVarianceObjectiveUtility - Class in org.drip.execution.risk
-
PowerVarianceObjectiveUtility implements the Mean-Power-Variance Objective Utility Function that needs to
be optimized to extract the Optimal Execution Trajectory.
- PowerVarianceObjectiveUtility(double, double) - Constructor for class org.drip.execution.risk.PowerVarianceObjectiveUtility
-
PowerVarianceObjectiveUtility Constructor
- PreceedingManifestSensitivityControl - Class in org.drip.spline.params
-
PreceedingManifestSensitivityControl provides the control parameters that determine the behavior of
non-local manifest sensitivity.
- PreceedingManifestSensitivityControl(boolean, int, BasisEvaluator) - Constructor for class org.drip.spline.params.PreceedingManifestSensitivityControl
-
PreceedingManifestSensitivityControl constructor
- preceedingManifestSensitivityControl() - Method in class org.drip.spline.params.SegmentCustomBuilderControl
-
Retrieve the Preceeding Manifest Sensitivity Control Parameters
- precisionMatrix() - Method in class org.drip.measure.gaussian.Covariance
-
Retrieve the Precision Matrix
- predictorOrdinate() - Method in class org.drip.spline.params.SegmentBestFitResponse
-
Retrieve the Array of Predictor Ordinates
- predictorOrdinate(int) - Method in class org.drip.spline.params.SegmentBestFitResponse
-
Retrieve the Indexed Predictor Ordinate Element
- predictorOrdinate() - Method in class org.drip.spline.params.StretchBestFitResponse
-
Retrieve the Array of Predictor Ordinates
- predictorOrdinate(int) - Method in class org.drip.spline.params.StretchBestFitResponse
-
Retrieve the Indexed Predictor Ordinate Element
- predictorOrdinates() - Method in class org.drip.measure.lebesgue.R1PiecewiseDisplaced
-
Retrieve the Array of Predictor Ordinates
- predictorOrdinates() - Method in class org.drip.measure.lebesgue.R1PiecewiseLinear
-
Retrieve the Array of Predictor Ordinates
- predictorOrdinates() - Method in class org.drip.spline.basis.BSplineSequenceParams
-
Retrieve the Array of Predictor Ordinates
- predictorOrdinates() - Method in class org.drip.spline.params.SegmentResponseValueConstraint
-
Retrieve the Array of Predictor Ordinates
- predictorOrdinates() - Method in class org.drip.spline.params.SegmentStateCalibrationInputs
-
Retrieve the Array of the Calibration Predictor Ordinates
- predictorOrdinates() - Method in class org.drip.spline.pchip.MonotoneConvexHaganWest
-
Retrieve the Array of Predictor Ordinates
- PredictorResponseRelationSetup - Class in org.drip.state.estimator
-
PredictorResponseRelationSetup holds the Linearized Constraints (and, optionally, their quote
sensitivities) necessary needed for the Linear Calibration.
- PredictorResponseRelationSetup() - Constructor for class org.drip.state.estimator.PredictorResponseRelationSetup
-
Empty PredictorResponseRelationSetup constructor
- PredictorResponseWeightConstraint - Class in org.drip.state.estimator
-
PredictorResponseWeightConstraint holds the Linearized Constraints (and, optionally, their quote
sensitivities) necessary needed for the Linear Calibration.
- PredictorResponseWeightConstraint() - Constructor for class org.drip.state.estimator.PredictorResponseWeightConstraint
-
Empty PredictorResponseWeightConstraint constructor
- predictorSpace() - Method in class org.drip.learning.svm.RdDecisionFunction
-
Retrieve the Input Predictor Metric Vector Space
- PrefixKeys(CaseInsensitiveTreeMap<Double>, String) - Static method in class org.drip.quant.common.CollectionUtil
-
Prefix the keys in the input map, and return them in a new map
- premiumType() - Method in class org.drip.market.exchange.TreasuryFuturesOptionConvention
-
Retrieve the Trading Type PREMIUM/MARGIN
- PrePad(int) - Static method in class org.drip.quant.common.FormatUtil
-
Pre-pad a single digit integer with zeros
- Prepay(String, JulianDate, String, int, String, int, double, double, double, double, double) - Static method in class org.drip.product.creator.ConstantPaymentBondBuilder
-
Construct an Instance of the Constant Payment Bond with a Deterministic Pre-payment Rate
- PrepayableConstantPaymentBond - Class in org.drip.sample.assetbacked
-
PrepayableConstantPaymentBond demonstrates the Construction and Valuation of a Custom Constant Payment
Mortgage Bond.
- PrepayableConstantPaymentBond() - Constructor for class org.drip.sample.assetbacked.PrepayableConstantPaymentBond
-
- PrepayAssetBackedClient - Class in org.drip.sample.service
-
PrepayAssetBackedClient demonstrates the Invocation and Examination of the JSON-based Pre-payable
Constant Payment Asset Backed Loan Service Client.
- PrepayAssetBackedClient() - Constructor for class org.drip.sample.service.PrepayAssetBackedClient
-
- PrepayAssetBackedProcessor - Class in org.drip.service.json
-
PrepayAssetBackedProcessor Sets Up and Executes a JSON Based In/Out Product Pre-payable Asset Backed Loan
Processor.
- PrepayAssetBackedProcessor() - Constructor for class org.drip.service.json.PrepayAssetBackedProcessor
-
- preRegression() - Method in class org.drip.regression.core.UnitRegressionExecutor
-
One-time initialization to set up the objects needed for the regression
- preRegression() - Method in class org.drip.regression.spline.BasisSplineRegressor
-
- preRegression() - Method in class org.drip.regression.spline.LagrangePolynomialStretchRegressor
-
- preRegression() - Method in class org.drip.regression.spline.LocalControlBasisSplineRegressor
-
- Preset(double[], int) - Static method in class org.drip.function.rdtor1.ObjectiveConstraintVariateSet
-
Make a Variate Set using a Pre-set Objective Variate Array with/without Constraint
- previousCouponDate(JulianDate) - Method in class org.drip.product.credit.BondComponent
-
- previousCouponDate(JulianDate) - Method in class org.drip.product.definition.Bond
-
Return the coupon date for the period prior to the specified date
- previousCouponRate(JulianDate, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.BondComponent
-
- previousCouponRate(JulianDate, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.Bond
-
Return the coupon rate for the period prior to the specified date
- previousEquilibriumPrice() - Method in class org.drip.execution.discrete.PriceIncrement
-
Retrieve the Previous Equilibrium Price
- previousStep() - Method in class org.drip.execution.evolution.MarketImpactComponent
-
Retrieve the Previous Step Contribution
- previousWanderer() - Method in class org.drip.execution.dynamics.WalkSuite
-
Retrieve the Previous Instance of the Walk Wanderer
- price() - Method in class org.drip.analytics.output.BondRVMeasures
-
Retrieve the Price
- price() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
-
Retrieve the Price
- price() - Method in class org.drip.execution.parameters.AssetTransactionSettings
-
Retrieve the Asset Price
- price() - Method in class org.drip.pricer.option.Greeks
-
The Option Price
- price() - Method in class org.drip.product.calib.FuturesComponentQuoteSet
-
Retrieve the Price
- price(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.fra.FRAStandardCapFloorlet
-
Compute the Caplet/Floorlet Price from the Inputs
- price() - Method in class org.drip.service.api.CDXCOB
-
The COB Price
- priceEvolutionParameters() - Method in class org.drip.execution.nonadaptive.StaticOptimalScheme
-
Retrieve the Asset Arithmetic Price Evolution Parameters
- priceFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from ASW to Work-out
- priceFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from ASW to Maturity
- priceFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from ASW to Optimal Exercise
- priceFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Bond Basis to Work-out
- priceFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Bond Basis to Maturity
- priceFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Bond Basis to Optimal Exercise
- priceFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Credit Basis to Work-out
- priceFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Credit Basis to Maturity
- priceFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Credit Basis to Optimal Exercise
- priceFromCreditCurve(ValuationParams, CurveSurfaceQuoteContainer, int, double, double, boolean) - Method in class org.drip.product.credit.BondComponent
-
- priceFromCreditCurve(ValuationParams, CurveSurfaceQuoteContainer, int, double, double, boolean) - Method in class org.drip.product.definition.Bond
-
Calculate the bond's credit risky theoretical price from the bumped credit curve
- priceFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Discount Margin to Work-out
- priceFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Discount Margin to Maturity
- priceFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Discount Margin to Optimal Exercise
- priceFromFlatVolatility(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.fra.FRAStandardCapFloor
-
Compute the Cap/Floor Price from the Flat Volatility
- priceFromFundingCurve(ValuationParams, CurveSurfaceQuoteContainer, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromFundingCurve(ValuationParams, CurveSurfaceQuoteContainer, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate the bond's non-credit risky theoretical price from the Bumped Funding curve
- priceFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from G Spread to Work-out
- priceFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from G Spread to Maturity
- priceFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from G Spread to Optimal Exercise
- priceFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from I Spread to Work-out
- priceFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from I Spread to Maturity
- priceFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from I Spread to Optimal Exercise
- priceFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from OAS to Work-out
- priceFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from OAS to Maturity
- priceFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from OAS to Optimal Exercise
- priceFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from PECS to Work-out
- priceFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from PECS to Maturity
- priceFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from PECS to Optimal Exercise
- priceFromTreasuryCurve(ValuationParams, CurveSurfaceQuoteContainer, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromTreasuryCurve(ValuationParams, CurveSurfaceQuoteContainer, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate the bond's non-credit risky theoretical price from the Bumped Funding curve
- priceFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from TSY Spread to Work-out
- priceFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from TSY Spread to Maturity
- priceFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from TSY Spread to Optimal Exercise
- priceFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Yield to Work-out
- priceFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Yield to Maturity
- priceFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Yield Spread to Work-out
- priceFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Yield Spread to Maturity
- priceFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Yield Spread to Optimal Exercise
- priceFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Yield to Optimal Exercise
- priceFromZeroCurve(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromZeroCurve(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate the bond's non-credit risky theoretical price from the Bumped Zero Curve
- priceFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Z Spread to Work-out
- priceFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Z Spread to Maturity
- priceFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Z Spread to Optimal Exercise
- priceIncrement() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
-
Retrieve the Price Increment
- PriceIncrement - Class in org.drip.execution.discrete
-
PriceIncrement contains the Realized Stochastic Evolution Increments of the Price Movements exhibited by
an Asset owing to the Volatility and the Market Impact Factors over the Slice Time Interval.
- PriceIncrement(double, MarketImpactComponent, MarketImpactComponent) - Constructor for class org.drip.execution.discrete.PriceIncrement
-
PriceIncrement Constructor
- priceIncrementRealization(double, WalkSuite, ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
-
Generate the Price Evolution Increment Unit Realization given the Walk Realization
- PriceMarketImpact - Class in org.drip.execution.parameters
-
PriceMarketImpact contains the Price Market Impact Inputs used in the Construction of the Impact
Parameters for the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme.
- PriceMarketImpactLinear - Class in org.drip.execution.parameters
-
PriceMarketImpactLinear contains the Linear Price Market Impact Inputs used in the Construction of the
Impact Parameters for the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme.
- PriceMarketImpactLinear(AssetTransactionSettings, double, double) - Constructor for class org.drip.execution.parameters.PriceMarketImpactLinear
-
PriceMarketImpactLinear Constructor
- PriceMarketImpactPower - Class in org.drip.execution.parameters
-
PriceMarketImpactPower contains the Power Law based Price Market Impact Inputs used in the Construction of
the Impact Parameters for the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme.
- PriceMarketImpactPower(AssetTransactionSettings, double, double, double, double) - Constructor for class org.drip.execution.parameters.PriceMarketImpactPower
-
PriceMarketImpactPower Constructor
- priceOffOfOriginalNotional() - Method in class org.drip.product.params.NotionalSetting
-
Retrieve "Price Off Of Original Notional" Flag
- pricer() - Method in class org.drip.product.fra.FRAStandardCapFloorlet
-
Retrieve the Underlying Pricer Instance
- pricerParameter() - Method in class org.drip.analytics.input.BootCurveConstructionInput
-
- pricerParameter() - Method in interface org.drip.analytics.input.CurveConstructionInputSet
-
Retrieve the Pricer Parameters
- pricerParameter() - Method in class org.drip.analytics.input.LatentStateShapePreservingCCIS
-
Retrieve the Pricer Parameters
- PricerParams - Interface in org.drip.param.pricer
-
GenericPricerParams exposes the Parameters needed for the Pricing Run.
- priceVolatility() - Method in class org.drip.execution.bayesian.ConditionalPriceDistribution
-
Retrieve the Distribution Price Volatility
- priceVolatilitySwing() - Method in class org.drip.execution.bayesian.ConditionalPriceDistribution
-
Generate s Single Price Volatility Swings
- priceVolatilitySwings(int) - Method in class org.drip.execution.bayesian.ConditionalPriceDistribution
-
Generate the given Number of Price Volatility Swings
- primalFeasibility() - Method in class org.drip.optimization.constrained.NecessarySufficientConditions
-
Retrieve the Primal Feasibility Necessary Condition
- primalFeasibilityCheck(double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Check the Candidate Point for Primal Feasibility
- primary() - Method in class org.drip.product.params.TreasuryBenchmarks
-
Return the Primary Treasury Benchmark
- primaryCode() - Method in class org.drip.product.credit.BondComponent
-
- primaryCode() - Method in class org.drip.product.credit.CDSComponent
-
- primaryCode() - Method in class org.drip.product.definition.CalibratableComponent
-
Return the primary code
- primaryCode() - Method in class org.drip.product.fx.FXForwardComponent
-
- primaryCode() - Method in class org.drip.product.option.OptionComponent
-
- primaryCode() - Method in class org.drip.product.rates.FixFloatComponent
-
- primaryCode() - Method in class org.drip.product.rates.FloatFloatComponent
-
- primaryCode() - Method in class org.drip.product.rates.RatesBasket
-
- primaryCode() - Method in class org.drip.product.rates.SingleStreamComponent
-
- primitive(Object) - Method in interface org.drip.json.parser.ContentHandler
-
Receive notification of the JSON primitive values:
java.lang.String,
java.lang.Number,
java.lang.Boolean
null
- principalComponent(double[][]) - Method in interface org.drip.quant.eigen.ComponentExtractor
-
Compute the Principal Component of the Specified Matrix
- principalComponent(double[][]) - Method in class org.drip.quant.eigen.PowerIterationComponentExtractor
-
- principalComponent(double[][]) - Method in class org.drip.quant.eigen.QREigenComponentExtractor
-
- PrincipalComponent - Class in org.drip.sample.matrix
-
PrincipalComponent demonstrates how to generate the Principal eigenvalue and eigenvector for the Input
Matrix.
- PrincipalComponent() - Constructor for class org.drip.sample.matrix.PrincipalComponent
-
- PrincipalComponentDynamics - Class in org.drip.sample.hjm
-
PrincipalComponentDynamics demonstrates the Construction and Usage of the PCA-Based Multi-Factor Gaussian
Model Dynamics for the Evolution of the Instantaneous Forward Rate, the Price, and the Short Rate.
- PrincipalComponentDynamics() - Constructor for class org.drip.sample.hjm.PrincipalComponentDynamics
-
- PrincipalComponentQMDynamics - Class in org.drip.sample.hjm
-
PrincipalComponentQMDynamics demonstrates the Construction and Usage of the Principal Component-Based
Gaussian Model Dynamics for the Evolution of the Discount Factor Quantification Metrics - the
Instantaneous Forward Rate, the LIBOR Forward Rate, the Shifted LIBOR Forward Rate, the Short Rate, the
Compounded Short Rate, and the Price.
- PrincipalComponentQMDynamics() - Constructor for class org.drip.sample.hjm.PrincipalComponentQMDynamics
-
- principalCurrency() - Method in class org.drip.product.credit.BondComponent
-
- principalCurrency() - Method in class org.drip.product.credit.CDSComponent
-
- principalCurrency() - Method in interface org.drip.product.definition.BasketMarketParamRef
-
Get the Principal Currency
- principalCurrency() - Method in class org.drip.product.definition.BasketProduct
-
- principalCurrency() - Method in interface org.drip.product.definition.ComponentMarketParamRef
-
Get the Principal Currency
- principalCurrency() - Method in class org.drip.product.fx.FXForwardComponent
-
- principalCurrency() - Method in class org.drip.product.govvie.TreasuryFutures
-
- principalCurrency() - Method in class org.drip.product.option.CDSEuropeanOption
-
- principalCurrency() - Method in class org.drip.product.option.FixFloatEuropeanOption
-
- principalCurrency() - Method in class org.drip.product.option.OptionComponent
-
- principalCurrency() - Method in class org.drip.product.rates.FixFloatComponent
-
- principalCurrency() - Method in class org.drip.product.rates.FloatFloatComponent
-
- principalCurrency() - Method in class org.drip.product.rates.RatesBasket
-
- principalCurrency() - Method in class org.drip.product.rates.SingleStreamComponent
-
- principalDiscountHurdle(double) - Method in class org.drip.execution.principal.Almgren2003Estimator
-
Compute the Principal Discount Hurdle given the Information Ratio
- PrincipalFactorSequenceGenerator - Class in org.drip.sequence.random
-
PrincipalFactorSequenceGenerator implements the Principal Factors Based Multivariate Random Sequence
Generator Functionality.
- PrincipalFactorSequenceGenerator(UnivariateSequenceGenerator[], double[][], int) - Constructor for class org.drip.sequence.random.PrincipalFactorSequenceGenerator
-
PrincipalFactorSequenceGenerator Constructor
- principalMeasure(double) - Method in class org.drip.execution.principal.GrossProfitEstimator
-
Generate R^1 Univariate Normal Gross Profit Distribution from the specified Principal Discount
- Print1DArray(String, double[], boolean) - Static method in class org.drip.quant.common.NumberUtil
-
Print the contents of the 1D array
- Print1DArray(String, double[], int, boolean) - Static method in class org.drip.quant.common.NumberUtil
-
Print the contents of the 1D array to the Specified Decimal Location
- Print2DArray(String, double[][], boolean) - Static method in class org.drip.quant.common.NumberUtil
-
Print the contents of the 2D array
- Print2DArrayPair(String, String, double[][], double[][], boolean) - Static method in class org.drip.quant.common.NumberUtil
-
Print the Contents of the 2D Array Pair
- Print2DArrayTriplet(String, String, String, double[][], double[][], double[][], boolean) - Static method in class org.drip.quant.common.NumberUtil
-
Print the Contents of the 2D Array Triplet
- PrintMatrix(String, double[][]) - Static method in class org.drip.quant.common.NumberUtil
-
- prior() - Method in class org.drip.execution.bayesian.PriorConditionalCombiner
-
Retrieve the Prior Drift Distribution Instance
- prior() - Method in class org.drip.measure.bayesian.JointPosteriorMetrics
-
Retrieve the Prior Distribution
- PriorConditionalCombiner - Class in org.drip.execution.bayesian
-
PriorConditionalCombiner holds the Distributions associated with the Prior Drift and the Conditional Price
Distributions.
- PriorConditionalCombiner(PriorDriftDistribution, ConditionalPriceDistribution) - Constructor for class org.drip.execution.bayesian.PriorConditionalCombiner
-
PriorConditionalCombiner Constructor
- PriorControlSpecification - Class in org.drip.portfolioconstruction.bayesian
-
PriorControlSpecification contains the Black Litterman Prior Specification Settings.
- PriorControlSpecification(boolean, double, double) - Constructor for class org.drip.portfolioconstruction.bayesian.PriorControlSpecification
-
PriorControlSpecification Constructor
- PriorDriftDistribution - Class in org.drip.execution.bayesian
-
PriorDriftDistribution holds the Prior Belief Distribution associated with the Directional Drift.
- PriorDriftDistribution(double, double) - Constructor for class org.drip.execution.bayesian.PriorDriftDistribution
-
Construct an Instance of Prior Drift Distribution
- PriorPosteriorMetricsComparison - Class in org.drip.sample.idzorek
-
PriorPosteriorMetricsComparison reconciles the Prior-Posterior Black-Litterman Model Process Metrics
generated using the Idzorek Model.
- PriorPosteriorMetricsComparison() - Constructor for class org.drip.sample.idzorek.PriorPosteriorMetricsComparison
-
- priorViewComponent() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionExposure
-
Retrieve the Prior/View Joint Contribution Component
- prob1() - Method in class org.drip.pricer.option.Greeks
-
The Prob 1 Term
- prob2() - Method in class org.drip.pricer.option.Greeks
-
The Prob 2 Term
- probabilityDown() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
-
Retrieve the Probability of the Down Stochastic Shift
- probabilityStay() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
-
Retrieve the Probability of the No Shift
- probabilityUp() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
-
Retrieve the Probability of the Up Stochastic Shift
- probEqualToZeroUpperBound() - Method in class org.drip.sequence.metrics.IntegerSequenceAgnosticMetrics
-
Retrieve the Upper Bound on Probability of X = 0
- probGreaterThanZeroUpperBound() - Method in class org.drip.sequence.metrics.IntegerSequenceAgnosticMetrics
-
Retrieve the Upper Bound on Probability of X gt 0
- procBasisDerivOrder() - Method in class org.drip.spline.basis.BSplineSequenceParams
-
Retrieve the Processed Basis Derivative Order
- process(R1Multivariate, R1Multivariate, R1Multivariate) - Method in interface org.drip.measure.bayesian.JointR1CombinationEngine
-
Generate the Joint R^1 Multivariate Combined Distribution
- process(R1Multivariate, R1Multivariate, R1Multivariate) - Method in class org.drip.measure.bayesian.JointR1NormalCombinationEngine
-
- processCouponWindow(double, double) - Method in class org.drip.product.params.CouponSetting
-
Trim the component coupon if it falls outside the (optionally) specified coupon window.
- PROCESSED_CUBIC_RATIONAL - Static variable in class org.drip.spline.bspline.BasisHatPairGenerator
-
Processed Cubic Rational B Spline Basis Hat Phy and Psy
- PROCESSED_TENSION_HYPERBOLIC - Static variable in class org.drip.spline.bspline.BasisHatPairGenerator
-
Processed Tension Hyperbolic B Spline Basis Hat Phy and Psy
- ProcessedCubicRationalHatPair(String, double, double, double, int, double) - Static method in class org.drip.spline.bspline.BasisHatPairGenerator
-
Generate the array of the Cubic Rational Phy and Psy Hat Function Pair From their Raw Counterparts
- ProcessedHyperbolicTensionHatPair(double, double, double, int, double) - Static method in class org.drip.spline.bspline.BasisHatPairGenerator
-
Generate the array of the Hyperbolic Phy and Psy Hat Function Pair From their Raw Counterparts
- ProcessInputForNULL(String, boolean) - Static method in class org.drip.quant.common.StringUtil
-
Check the Input String to Check for NULL - and return it
- Product(double[][], double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Compute the Product of an Input Matrix and a Column
- Product(double[], double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Compute the Product of an input column and a matrix
- Product(double[][], double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Compute the Product of the input matrices
- ProductDailyPnL - Class in org.drip.service.api
-
ProductDailyPnL contains the following daily measures computed:
- 1D Carry, Roll Down, Curve Shift, and Full Return PnL
- 3D Carry and Roll Down PnL
- 3M Carry and Roll Down PnL
- Current DV01
- ProductDailyPnL(double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, int, int, double, double, double, double, double, double) - Constructor for class org.drip.service.api.ProductDailyPnL
-
ProductDailyPnL constructor
- productFeatureOperatorNorm() - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
-
Compute the Decision Function Entropy Number Upper Bound using the Product of the Feature Space's
Norm for the Upper Bound of the Entropy Number and the Scaling Operator Norm
- productID() - Method in class org.drip.param.quote.ProductTick
-
Retrieve the Product ID
- ProductInfo(String, String) - Static method in class org.drip.market.exchange.DeliverableSwapFuturesContainer
-
Retrieve the Deliverable Swap Futures Info from the Currency and the Tenor
- ProductMultiMeasure - Class in org.drip.param.quote
-
ProductMultiMeasureQuote holds the different types of quotes for a given component.
- ProductMultiMeasure() - Constructor for class org.drip.param.quote.ProductMultiMeasure
-
Construct an empty instance of ProductMultiMeasure
- ProductQuote - Class in org.drip.param.definition
-
ProductQuote abstract class holds the different types of quotes for a given product.
- ProductQuote() - Constructor for class org.drip.param.definition.ProductQuote
-
- productQuote(String) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Product Quote
- productQuote() - Method in class org.drip.param.quote.ProductTick
-
Retrieve the Product Quote
- ProductQuoteSet - Class in org.drip.product.calib
-
ProductQuoteSet implements the Calibratable type-free Product Quote Shell.
- ProductQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.ProductQuoteSet
-
Product Quote Set Constructor
- ProductTick - Class in org.drip.param.quote
-
ProductTick holds the tick related product parameters - it contains the product ID, the quote composite,
the source, the counter party, and whether the quote can be treated as a mark.
- ProductTick() - Constructor for class org.drip.param.quote.ProductTick
-
Empty ProductTick constructor
- ProductTick(String, ProductQuote, String, String, boolean) - Constructor for class org.drip.param.quote.ProductTick
-
ProductTick constructor
- Project(double[], double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Project the Vector A along the Vector E
- ProjectionCovariance(double[][], double[][], double) - Static method in class org.drip.measure.bayesian.ProjectionDistributionLoading
-
Generate the Projection Co-variance Matrix from the Confidence Level
- ProjectionCovariance(double[][], double) - Static method in class org.drip.portfolioconstruction.bayesian.MeucciViewUncertaintyParameterization
-
Generate the Projection Co-variance from the Scoping Co-variance and the Meucci Alpha Parameter
- ProjectionDistributionLoading - Class in org.drip.measure.bayesian
-
ProjectionDistributionLoading contains the Projection Distribution and its Loadings to the Scoping
Distribution.
- ProjectionDistributionLoading(R1Multivariate, double[][]) - Constructor for class org.drip.measure.bayesian.ProjectionDistributionLoading
-
ProjectionDistributionLoading Constructor
- projectionDistributionLoading(String) - Method in class org.drip.measure.bayesian.ScopingProjectionVariateDistribution
-
Retrieve the Named Projection Distribution Loading
- ProjectionExposure - Class in org.drip.portfolioconstruction.bayesian
-
ProjectionExposure holds the Projection Exposure Loadings that Weight the Exposure to the Projection Pick
Portfolio.
- ProjectionExposure(double[], double[], double[], double[][]) - Constructor for class org.drip.portfolioconstruction.bayesian.ProjectionExposure
-
ProjectionExposure Constructor
- projectionExposureAttribution() - Method in class org.drip.portfolioconstruction.bayesian.BlackLittermanCombinationEngine
-
Compute the Exposure Loadings Attribution on a per-Projection Basis
- ProjectionImpliedConfidenceLevel - Class in org.drip.sample.idzorek
-
ProjectionImpliedConfidenceLevel reconciles the Implied Confidence Black-Litterman Model Process Levels
generated using the Idzorek Model.
- ProjectionImpliedConfidenceLevel() - Constructor for class org.drip.sample.idzorek.ProjectionImpliedConfidenceLevel
-
- ProjectionImpliedConfidenceOutput - Class in org.drip.portfolioconstruction.bayesian
-
ProjectionImpliedConfidenceOutput holds the Results of the Idzorek 2005 Black Litterman Intuitive
Projection Confidence Level Estimation Run.
- ProjectionImpliedConfidenceOutput(double[], BlackLittermanCustomConfidenceOutput, BlackLittermanOutput) - Constructor for class org.drip.portfolioconstruction.bayesian.ProjectionImpliedConfidenceOutput
-
ProjectionImpliedConfidenceOutput Constructor
- ProjectionImpliedConfidenceTilt - Class in org.drip.sample.idzorek
-
ProjectionImpliedConfidenceTilt computes the Tilt induced on an Asset by a User-specified Confidence.
- ProjectionImpliedConfidenceTilt() - Constructor for class org.drip.sample.idzorek.ProjectionImpliedConfidenceTilt
-
- ProjectionInducedScopingDeviation(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
-
Compute the Projection Induced Scoping Mean Deviation
- ProjectionInducedScopingDistribution(ScopingProjectionVariateDistribution, String, R1MultivariateNormal) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
-
Compute the Projection Induced Scoping Deviation Adjusted Mean
- ProjectionInducedScopingMean(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
-
Compute the Projection Induced Scoping Deviation Adjusted Mean
- ProjectionPrecisionMeanProduct(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
-
Compute the Projection Precision Mean Dot Product Array
- ProjectionSpaceAssetCovariance(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
-
Compute the Projection Space Asset Co-variance
- ProjectionSpaceScopingCovariance(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
-
Generate the Projection Space Scoping Co-variance
- ProjectionSpaceScopingDifferential(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
-
Generate the Projection Space Projection-Scoping Mean Differential
- ProjectionSpaceScopingMean(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
-
Generate the Projection Space Scoping Mean
- ProjectionSpecification - Class in org.drip.portfolioconstruction.bayesian
-
ProjectionSpecification contains the Black Litterman Projection Specification Settings.
- ProjectionSpecification(R1MultivariateNormal, double[][]) - Constructor for class org.drip.portfolioconstruction.bayesian.ProjectionSpecification
-
ProjectionSpecification Constructor
- proportionalPriceIncrement(int, int, double, int) - Method in class org.drip.dynamics.hjm.MultiFactorStateEvolver
-
Compute the Proportional Price Increment given the View Date, the Target Date, the Short Rate, and the
View Time Increment
- PTEHoliday - Class in org.drip.analytics.holset
-
- PTEHoliday() - Constructor for class org.drip.analytics.holset.PTEHoliday
-
- publicationLag() - Method in class org.drip.market.definition.OvernightIndex
-
Retrieve the Index Publication Lag
- put(String, V) - Method in class org.drip.analytics.support.CaseInsensitiveHashMap
-
- put(String, V) - Method in class org.drip.analytics.support.CaseInsensitiveTreeMap
-
- Put(String, String, long) - Static method in class org.drip.service.env.CacheManager
-
The Put Method adds a Key/Value Pair to the In-Memory KV Store
- putable() - Method in class org.drip.product.credit.BondComponent
-
- putable() - Method in class org.drip.product.definition.Bond
-
Indicate if the bond is putable
- PutGreeks - Class in org.drip.pricer.option
-
PutGreeks contains the Sensitivities generated during the Put Option Pricing Run.
- PutGreeks(double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double) - Constructor for class org.drip.pricer.option.PutGreeks
-
The PutGreeks Constructor
- putPriceFromParity() - Method in class org.drip.pricer.option.PutGreeks
-
The Put Option Price Computed from the Put-Call Parity Relation
- putSchedule() - Method in class org.drip.product.credit.BondComponent
-
- putSchedule() - Method in class org.drip.product.definition.Bond
-
Return the bond's embedded put schedule
- pv() - Method in class org.drip.analytics.output.BondCouponMeasures
-
Retrieve the PV
- pv() - Method in class org.drip.product.calib.DepositComponentQuoteSet
-
Retrieve the PV
- pv() - Method in class org.drip.product.calib.FixedStreamQuoteSet
-
Retrieve the PV
- pv() - Method in class org.drip.product.calib.FixFloatQuoteSet
-
Retrieve the PV
- pv() - Method in class org.drip.product.calib.FloatFloatQuoteSet
-
Retrieve the PV
- pv() - Method in class org.drip.product.calib.FloatingStreamQuoteSet
-
Retrieve the PV
- pv() - Method in class org.drip.product.calib.StreamQuoteSet
-
Retrieve the PV
- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.credit.BondComponent
-
- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.credit.CDSComponent
-
- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.definition.Component
-
Compute the PV for the specified Market Parameters
- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fra.FRAStandardCapFloor
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- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fra.FRAStandardCapFloorlet
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- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fx.FXForwardComponent
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- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.govvie.TreasuryFutures
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- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.option.CDSEuropeanOption
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- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.option.FixFloatEuropeanOption
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- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.FixFloatComponent
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- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.FloatFloatComponent
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- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.RatesBasket
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- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.SingleStreamComponent
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- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.Stream
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Compute the PV for the specified Market Parameters