- UAHHoliday - Class in org.drip.analytics.holset
-
- UAHHoliday() - Constructor for class org.drip.analytics.holset.UAHHoliday
-
- UB1 - Class in org.drip.sample.treasuryfuturesapi
-
UB1 demonstrates the Invocation and Examination of the UB1 30Y DBR BUXL Treasury Futures.
- UB1() - Constructor for class org.drip.sample.treasuryfuturesapi.UB1
-
- UB1Attribution - Class in org.drip.sample.treasuryfuturespnl
-
UB1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the
UB1 Series.
- UB1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.UB1Attribution
-
- UB1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
-
UB1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated UB1 Closes Feed.
- UB1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.UB1ClosesReconstitutor
-
- UB1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
-
UB1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the UB1 Treasury Futures.
- UB1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.UB1KeyRateDuration
-
- ucas() - Method in class org.drip.state.identifier.ForwardLabel
-
Retrieve a Unit Coupon Accrual Setting
- ucas() - Method in class org.drip.state.identifier.OvernightLabel
-
Retrieve a Unit Coupon Accrual Setting
- ultima() - Method in class org.drip.pricer.option.Greeks
-
The Option Ultima
- ULTRA - Class in org.drip.sample.treasuryfuturesapi
-
ULTRA demonstrates the Invocation and Examination of the ULTRA 30Y UST Treasury Futures.
- ULTRA() - Constructor for class org.drip.sample.treasuryfuturesapi.ULTRA
-
- unadjustedWeights() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionImpliedConfidenceOutput
-
Retrieve the Array of the Unadjusted Equilibrium Weights
- UnboundedMarkovitzBullet - Class in org.drip.sample.efficientfrontier
-
UnboundedMarkovitzBullet demonstrates the Construction of the Efficient Frontier using the Unconstrained
Quadratic Mean Variance Optimizer.
- UnboundedMarkovitzBullet() - Constructor for class org.drip.sample.efficientfrontier.UnboundedMarkovitzBullet
-
- UnboundedMarkovitzBulletExplicit - Class in org.drip.sample.efficientfrontier
-
UnboundedMarkovitzBulletExplicit demonstrates the Explicit Construction of the Efficient Frontier.
- UnboundedMarkovitzBulletExplicit() - Constructor for class org.drip.sample.efficientfrontier.UnboundedMarkovitzBulletExplicit
-
- unconditional() - Method in class org.drip.measure.bayesian.JointPosteriorMetrics
-
Retrieve the Unconditional Distribution
- unconditionalTargetVariateMetrics(SingleSequenceAgnosticMetrics[], int) - Method in class org.drip.sequence.functional.MultivariateRandom
-
Compute the Target Variate Function Metrics over the full Non-target Variate Empirical Distribution
- Unconstrained(double, double, double, PriorConditionalCombiner, double, TransactionFunctionLinear) - Static method in class org.drip.execution.cost.LinearTemporaryImpact
-
Generate an Unconstrained LinearTemporaryImpact Instance
- Unconstrained() - Static method in class org.drip.portfolioconstruction.allocator.PortfolioEqualityConstraintSettings
-
Construct an Unconstrained Instance of PortfolioEqualityConstraintSettings
- UnconstrainedCovarianceEllipsoid - Class in org.drip.sample.rdtor1
-
UnconstrainedCovarianceEllipsoid demonstrates the Construction and Usage of a Co-variance Ellipsoid.
- UnconstrainedCovarianceEllipsoid() - Constructor for class org.drip.sample.rdtor1.UnconstrainedCovarianceEllipsoid
-
- UncountablyInfinite() - Static method in class org.drip.spaces.tensor.Cardinality
-
Uncountably Infinite Cardinality
- underlierSubtype() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
-
Retrieve the Treasury Futures Underlier Sub-type
- underlierType() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
-
Retrieve the Treasury Futures Underlier Type
- underlying() - Method in class org.drip.product.option.OptionComponent
-
Retrieve the Underlying Component
- underlyingDistribution() - Method in class org.drip.sequence.functional.FunctionSupremumUnivariateRandom
-
Retrieve the Underlying Distribution
- underlyingDistribution() - Method in class org.drip.sequence.functional.IdempotentUnivariateRandom
-
Retrieve the Underlying Distribution
- underlyingLatentState() - Method in class org.drip.state.identifier.VolatilityLabel
-
Retrieve the Latent State Underlying the Volatility Latent State
- unexplainedChange() - Method in class org.drip.historical.attribution.PositionChangeComponents
-
Retrieve the Unexplained Interval Change
- UnifiedShapePreserving1YStart - Class in org.drip.sample.fundingfeed
-
UnifiedShapePreserving1YStart demonstrates the unified re-constitution and Metrics Generation.
- UnifiedShapePreserving1YStart() - Constructor for class org.drip.sample.fundingfeed.UnifiedShapePreserving1YStart
-
- Uniform(int, int) - Static method in class org.drip.function.rdtor1.ObjectiveConstraintVariateSet
-
Make a Variate Set with/without Constraint
- UniformParticipationRate - Class in org.drip.execution.profiletime
-
UniformParticipationRateLinear exposes the Uniform Background Profile Adjusted Version of the Linear
Participation Rate Transaction Function as described in the "Trading Time" Model.
- UniformParticipationRate(TransactionFunction) - Constructor for class org.drip.execution.profiletime.UniformParticipationRate
-
UniformParticipationRate Constructor
- UniformParticipationRateLinear - Class in org.drip.execution.profiletime
-
UniformParticipationRateLinear exposes the Uniform Background Profile Adjusted Version of the Linear
Participation Rate Transaction Function as described in the "Trading Time" Model.
- UniformParticipationRateLinear(ParticipationRateLinear) - Constructor for class org.drip.execution.profiletime.UniformParticipationRateLinear
-
UniformParticipationRateLinear Constructor
- unify() - Method in class org.drip.function.rdtor1.ObjectiveConstraintVariateSet
-
Unify the Objective Function and the Constraint Function Input Variate Set
- Unitary(int) - Static method in class org.drip.function.rdtor1.ObjectiveConstraintVariateSet
-
Make a Unitary Variate Set
- UnitCouponAccrualSetting - Class in org.drip.param.period
-
UnitCouponAccrualSetting contains the cash flow periods' Coupon/Accrual details.
- UnitCouponAccrualSetting(int, String, boolean, String, boolean, String, boolean, int) - Constructor for class org.drip.param.period.UnitCouponAccrualSetting
-
UnitCouponAccrualSetting constructor
- UnitDateEdges(int, int, String, ComposableUnitBuilderSetting) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
-
Retrieve the List of Edge Dates across all Units
- unitMetrics() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
Retrieve the List of the Unit Period Metrics
- unitPeriodConvexityMetrics(int, CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Compute the Unit Period Convexity Measures
- UnitPeriodConvexityMetrics - Class in org.drip.analytics.output
-
UnitPeriodMetrics holds the results of a unit composable period convexity metrics estimate output.
- UnitPeriodConvexityMetrics(int, int, ConvexityAdjustment) - Constructor for class org.drip.analytics.output.UnitPeriodConvexityMetrics
-
UnitPeriodConvexityMetrics constructor
- UnitPeriodMetrics - Class in org.drip.analytics.output
-
UnitPeriodMetrics holds the results of a unit composable period metrics estimate output.
- UnitPeriodMetrics(int, int, double, double, ConvexityAdjustment) - Constructor for class org.drip.analytics.output.UnitPeriodMetrics
-
UnitPeriodMetrics constructor
- unitPeriodTenor() - Method in class org.drip.market.otc.FixedStreamConvention
-
Retrieve the Unit Period Tenor
- UnitRandomSequenceBound - Class in org.drip.sample.sequence
-
SingleRandomSequenceBound demonstrates the Computation of the Probabilistic Bounds for a Sample Random
Sequence.
- UnitRandomSequenceBound() - Constructor for class org.drip.sample.sequence.UnitRandomSequenceBound
-
- UnitRegressionExecutor - Class in org.drip.regression.core
-
UnitRegressionExecutor implements the UnitRegressor, and splits the regression execution into pre-,
execute, and post-regression.
- UnitRegressionStat - Class in org.drip.regression.core
-
UnitRegressionStat creates the statistical details for the Unit Regressor.
- UnitRegressionStat() - Constructor for class org.drip.regression.core.UnitRegressionStat
-
Empty Constructor
- UnitRegressor - Interface in org.drip.regression.core
-
UnitRegressor provides the stub functionality for the Individual Regressors.
- UnitSequenceAgnosticMetrics - Class in org.drip.sequence.metrics
-
UnitSequenceAgnosticMetrics contains the Sample Distribution Metrics and Agnostic Bounds related to the
specified Bounded [0, 1] Sequence.
- UnitSequenceAgnosticMetrics(double[], double) - Constructor for class org.drip.sequence.metrics.UnitSequenceAgnosticMetrics
-
UnitSequenceAgnosticMetrics Constructor
- unitSize() - Method in class org.drip.param.pricer.CreditPricerParams
-
Retrieve the Discretized Loss Unit Size
- UnitVector - Class in org.drip.function.definition
-
UnitVector implements the Normalized R^d Unit Vector.
- UnivariateConvolution - Class in org.drip.function.r1tor1
-
This class provides the evaluation of the Convolution au1 * au2 and its derivatives for a specified
variate.
- UnivariateConvolution(R1ToR1, R1ToR1) - Constructor for class org.drip.function.r1tor1.UnivariateConvolution
-
Construct a PolynomialMirrorCross instance
- UnivariateMoments - Class in org.drip.measure.statistics
-
UnivariateMoments generates and holds the Specified Univariate Series Mean, Variance, and a few selected
Moments.
- UnivariateReciprocal - Class in org.drip.function.r1tor1
-
UnivariateReciprocal provides the evaluation 1/f(x) instead of f(x) for a given f.
- UnivariateReciprocal(R1ToR1) - Constructor for class org.drip.function.r1tor1.UnivariateReciprocal
-
UnivariateReciprocal constructor
- UnivariateReflection - Class in org.drip.function.r1tor1
-
UnivariateReflection provides the evaluation f(1-x) instead of f(x) for a given f.
- UnivariateReflection(R1ToR1) - Constructor for class org.drip.function.r1tor1.UnivariateReflection
-
UnivariateReflection constructor
- UnivariateSequence - Class in org.drip.sample.statistics
-
UnivariateSequence demonstrates the Generation of the Statistical Measures for the Input Series of
Univariate Sequences.
- UnivariateSequence() - Constructor for class org.drip.sample.statistics.UnivariateSequence
-
- UnivariateSequenceGenerator - Class in org.drip.sequence.random
-
UnivariateSequenceGenerator implements the Univariate Random Sequence Generator Functionality.
- UnivariateSequenceGenerator() - Constructor for class org.drip.sequence.random.UnivariateSequenceGenerator
-
- unsetSpecificDefault() - Method in class org.drip.state.credit.CreditCurve
-
Remove the Specific Default Date
- unshapedBasisFunctionDerivative(double[], double, int) - Method in interface org.drip.spline.segment.BasisEvaluator
-
Compute the Ordered Derivative of the Response Value off of the Basis Function Set at the specified
Predictor Ordinate
- unshapedBasisFunctionDerivative(double[], double, int) - Method in class org.drip.spline.segment.SegmentBasisEvaluator
-
- unshapedResponseValue(double[], double) - Method in interface org.drip.spline.segment.BasisEvaluator
-
Compute the Basis Function Value at the specified Predictor Ordinate
- unshapedResponseValue(double[], double) - Method in class org.drip.spline.segment.SegmentBasisEvaluator
-
- updateAndApply(double, boolean) - Method in class org.drip.quant.fourier.RotationCountPhaseTracker
-
Apply the Rotation Count Adjustment in accordance with the direction, (optionally) record the previous
phase.
- updateDValueDManifestMeasure(String, double) - Method in class org.drip.state.estimator.PredictorResponseWeightConstraint
-
Update the Constraint Value Sensitivity
- updateFixings() - Method in class org.drip.historical.engine.FixFloatExplainProcessor
-
- updateFixings() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
-
Update the Fixings (if any) to the Second Market Parameters
- updateFixings() - Method in class org.drip.historical.engine.TreasuryBondExplainProcessor
-
- updateValue(double) - Method in class org.drip.state.estimator.PredictorResponseRelationSetup
-
Update the Constraint Value
- updateValue(double) - Method in class org.drip.state.estimator.PredictorResponseWeightConstraint
-
Update the Constraint Value
- upNodeMetrics() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
-
Retrieve the "Up" Node Metrics
- upper() - Method in class org.drip.portfolioconstruction.asset.AssetBounds
-
Retrieve the Upper Bound
- upper() - Method in class org.drip.sequence.metrics.PivotedDepartureBounds
-
Retrieve the Upper Probability Bound
- UPPER_TRIANGULAR - Static variable in class org.drip.quant.linearalgebra.Matrix
-
Upper Triangular Matrix
- upperBound(String) - Method in class org.drip.portfolioconstruction.allocator.BoundedPortfolioConstructionParameters
-
Retrieve the Upper Bound for the Specified Asset ID
- upperBound() - Method in class org.drip.sequence.random.Bounded
-
Retrieve the Upper Bound
- upperProbabilityBoundWeight(double) - Method in class org.drip.spaces.cover.ScaleSensitiveCoveringBounds
-
Compute the Log of the Weight Loading Coefficient for the Maximum Cover Term in:
{Probability that the Empirical Error .gt.
- urgency() - Method in class org.drip.execution.optimum.EfficientTradingTrajectoryContinuous
-
Retrieve the Optimal Trajectory Urgency
- US1 - Class in org.drip.sample.treasuryfuturesapi
-
US1 demonstrates the Invocation and Examination of the US1 20Y UST Treasury Futures.
- US1() - Constructor for class org.drip.sample.treasuryfuturesapi.US1
-
- US1 - Class in org.drip.template.ust
-
US1 demonstrates the Details behind the Implementation and the Pricing of the 30Y US1 UST Futures
Contract.
- US1() - Constructor for class org.drip.template.ust.US1
-
- US1Attribution - Class in org.drip.sample.treasuryfuturespnl
-
USV1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the
US1 Series.
- US1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.US1Attribution
-
- US1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
-
US1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated US1 Closes Feed.
- US1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.US1ClosesReconstitutor
-
- US1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
-
US1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the US1 Treasury Futures.
- US1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.US1KeyRateDuration
-
- USD - Class in org.drip.template.irs
-
USD contains a Templated Pricing of the OTC Fix-Float USD IRS Instrument.
- USD() - Constructor for class org.drip.template.irs.USD
-
- USDCreditFixingReconstitutor - Class in org.drip.sample.creditfeed
-
USDCreditFixingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the
USD Credit Fixing Input Marks.
- USDCreditFixingReconstitutor() - Constructor for class org.drip.sample.creditfeed.USDCreditFixingReconstitutor
-
- USDHoliday - Class in org.drip.analytics.holset
-
- USDHoliday() - Constructor for class org.drip.analytics.holset.USDHoliday
-
- USDIRSAttribution - Class in org.drip.sample.fixfloatpnl
-
USDIRSAttribution generates the Historical PnL Attribution for USD IRS.
- USDIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.USDIRSAttribution
-
- USDOISSmoothReconstitutor - Class in org.drip.sample.overnightfeed
-
USDOISSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the USD Input OIS
Marks.
- USDOISSmoothReconstitutor() - Constructor for class org.drip.sample.overnightfeed.USDOISSmoothReconstitutor
-
- USDShapePreserving1YForward - Class in org.drip.sample.fundinghistorical
-
USDShapePreserving1YForward Generates the Historical USD Shape Preserving Funding Curve Native 1Y
Compounded Forward Rate.
- USDShapePreserving1YForward() - Constructor for class org.drip.sample.fundinghistorical.USDShapePreserving1YForward
-
- USDShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
-
USDShapePreserving1YStart Generates the Historical USD Shape Preserving Funding Curve Native Compounded
Forward Rate starting at 1Y Tenor.
- USDShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.USDShapePreserving1YStart
-
- USDShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
-
USDShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the
USD Input Marks.
- USDShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.USDShapePreservingReconstitutor
-
- USDSmooth1MForward - Class in org.drip.sample.overnighthistorical
-
USDSmooth1MForward Generates the Historical USD Smoothened Overnight Curve Native 1M Compounded Forward
Rate.
- USDSmooth1MForward() - Constructor for class org.drip.sample.overnighthistorical.USDSmooth1MForward
-
- USDSmooth1YForward - Class in org.drip.sample.fundinghistorical
-
USDSmooth1YForward Generates the Historical USD Smoothened Funding Curve Native 1Y Compounded Forward
Rate.
- USDSmooth1YForward() - Constructor for class org.drip.sample.fundinghistorical.USDSmooth1YForward
-
- USDSmoothReconstitutor - Class in org.drip.sample.fundingfeed
-
USDSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the USD Input Marks.
- USDSmoothReconstitutor() - Constructor for class org.drip.sample.fundingfeed.USDSmoothReconstitutor
-
- useAlternateReferenceModel() - Method in class org.drip.portfolioconstruction.bayesian.PriorControlSpecification
-
Retrieve the Flag indicating if the Alternate Reference Model is to be used
- useCurveRecovery() - Method in class org.drip.product.params.CreditSetting
-
Flag indicating whether or nor to use the Curve Recovery
- UserConfidenceProjectionCalibration - Class in org.drip.sample.idzorek
-
UserConfidenceProjectionCalibration calibrates the Black Litterman Projection Variance using the Implied
Allocation Tilts.
- UserConfidenceProjectionCalibration() - Constructor for class org.drip.sample.idzorek.UserConfidenceProjectionCalibration
-
- userConfidenceProjectionTilt(double[]) - Method in class org.drip.portfolioconstruction.bayesian.BlackLittermanCombinationEngine
-
Compute the Idzorek Implied Tilt from the User Projection Confidence Level
- usg() - Method in class org.drip.sequence.random.MultivariateSequenceGenerator
-
Retrieve the Array of Univariate Sequence Generators
- usgForwardRate() - Method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
-
The Forward Rate Univariate Random Variable Generator Sequence
- usgForwardRateVolatilityIdiosyncratic() - Method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
-
The Idiosyncratic Component of Forward Rate Volatility Univariate Random Variable Generator Sequence
- UST(JulianDate, JulianDate, double) - Static method in class org.drip.service.template.TreasuryBuilder
-
Construct an Instance of the US Treasury USD UST Bond
- UST02Y - Class in org.drip.sample.treasuryfutures
-
UST02Y demonstrates the Details behind the Implementation and the Pricing of the 2Y TU1 UST Futures
Contract.
- UST02Y() - Constructor for class org.drip.sample.treasuryfutures.UST02Y
-
- UST05Y - Class in org.drip.sample.treasuryfutures
-
UST05Y demonstrates the Details behind the Implementation and the Pricing of the 5Y FV1 UST Futures
Contract.
- UST05Y() - Constructor for class org.drip.sample.treasuryfutures.UST05Y
-
- UST10Y - Class in org.drip.sample.treasuryfutures
-
UST10Y demonstrates the Details behind the Implementation and the Pricing of the 10Y TY1 UST Futures
Contract.
- UST10Y() - Constructor for class org.drip.sample.treasuryfutures.UST10Y
-
- UST30Y - Class in org.drip.sample.treasuryfutures
-
UST30Y demonstrates the Details behind the Implementation and the Pricing of the 30Y LONG BOND US1 UST
Futures Contract.
- UST30Y() - Constructor for class org.drip.sample.treasuryfutures.UST30Y
-
- USTBenchmarkAttribution - Class in org.drip.sample.treasurypnl
-
USTBenchmarkAttribution demonstrates the Computation of the PnL Time Series Metrics for the UST Benchmark
Bond Series.
- USTBenchmarkAttribution() - Constructor for class org.drip.sample.treasurypnl.USTBenchmarkAttribution
-
- USTReconstitutor - Class in org.drip.sample.treasuryfeed
-
USTReconstitutor demonstrates the Cleansing and Re-constitution of the UST Yield Marks obtained from
Historical Yield Curve Prints.
- USTReconstitutor() - Constructor for class org.drip.sample.treasuryfeed.USTReconstitutor
-
- USTRegularizeCloses(String) - Static method in class org.drip.feed.transformer.TreasuryFuturesClosesReconstitutor
-
Regularize the UST Futures Closes Feed
- USTULTRA - Class in org.drip.sample.treasuryfutures
-
USTULTRA demonstrates the Details behind the Implementation and the Pricing of the ULTRA LONG WN1 UST
Futures Contract.
- USTULTRA() - Constructor for class org.drip.sample.treasuryfutures.USTULTRA
-
- USVHoliday - Class in org.drip.analytics.holset
-
- USVHoliday() - Constructor for class org.drip.analytics.holset.USVHoliday
-
- UVRHoliday - Class in org.drip.analytics.holset
-
- UVRHoliday() - Constructor for class org.drip.analytics.holset.UVRHoliday
-
- UYUHoliday - Class in org.drip.analytics.holset
-
- UYUHoliday() - Constructor for class org.drip.analytics.holset.UYUHoliday
-