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

V

VACHoliday - Class in org.drip.analytics.holset

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

valid() - Method in class org.drip.optimization.constrained.NecessarySufficientConditions

Indicate the Necessary/Sufficient Validity across all the Condition Qualifiers

valid() - Method in class org.drip.optimization.constrained.RegularityConditions

Indicate the Ordered Gross Regularity Validity across all the Constraint Qualifiers

valid() - Method in class org.drip.optimization.necessary.ConditionQualifier

Retrieve the Condition Qualifier Validity

valid() - Method in class org.drip.optimization.regularity.ConstraintQualifier

Retrieve the Constraint Qualifier Validity

Validatable - Interface in org.drip.product.params

Validatable interface defines the validate function, which validates the current object state.

validate(ScenarioMarketParams) - Method in class org.drip.product.creator.BondProductBuilder

Validate the state

validate() - Method in class org.drip.product.creator.BondRefDataBuilder

validate() - Method in class org.drip.product.params.CDXRefDataParams

Validate the CDXRefData instance

validate() - Method in class org.drip.product.params.CouponSetting

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

validate() - Method in class org.drip.product.params.FloaterSetting

validate() - Method in class org.drip.product.params.IdentifierSet

validate() - Method in class org.drip.product.params.NotionalSetting

validate() - Method in class org.drip.product.params.QuoteConvention

validate() - Method in class org.drip.product.params.TerminationSetting

validate() - Method in interface org.drip.product.params.Validatable

Validate the current object state

ValidateCompoundingRule(int) - Static method in class org.drip.analytics.support.CompositePeriodBuilder

Verify if the Specified Accrual Compounding Rule is a Valid One

ValidatedR1 - Class in org.drip.spaces.instance

ValidatedR1 holds the Validated R^1 Vector Instance Sequence and the Corresponding Generalized Vector Space Type.

ValidatedR1(R1GeneralizedVector, double[]) - Constructor for class org.drip.spaces.instance.ValidatedR1

ValidatedR1 Constructor

ValidatedR1Combinatorial - Class in org.drip.spaces.instance

ValidatedR1Combinatorial holds the Validated R^1 Combinatorial Vector Instance Sequence and the Corresponding Generalized Vector Space Type.

ValidatedR1Combinatorial(R1CombinatorialVector, double[]) - Constructor for class org.drip.spaces.instance.ValidatedR1Combinatorial

ValidatedR1Combinatorial Constructor

ValidatedR1Continuous - Class in org.drip.spaces.instance

ValidatedR1Continuous holds the Validated R^1 Continuous Vector Instance Sequence and the Corresponding Generalized Vector Space Type.

ValidatedR1Continuous(R1ContinuousVector, double[]) - Constructor for class org.drip.spaces.instance.ValidatedR1Continuous

ValidatedR1Continuous Constructor

ValidatedRd - Class in org.drip.spaces.instance

ValidatedRd holds the Validated R^d Vector Instance Sequence and the Corresponding Generalized Vector Space Type.

ValidatedRd(RdGeneralizedVector, double[][]) - Constructor for class org.drip.spaces.instance.ValidatedRd

ValidatedRd Constructor

ValidatedRdCombinatorial - Class in org.drip.spaces.instance

ValidatedRdCombinatorial holds the Validated R^d R^d Vector Instance Sequence and the Corresponding Generalized Vector Space Type.

ValidatedRdCombinatorial(RdCombinatorialVector, double[][]) - Constructor for class org.drip.spaces.instance.ValidatedRdCombinatorial

ValidatedRdCombinatorial Constructor

ValidatedRdContinuous - Class in org.drip.spaces.instance

ValidatedRdContinuous holds the Validated R^d Continuous Vector Instance Sequence and the Corresponding Generalized Vector Space Type.

ValidatedRdContinuous(RdContinuousVector, double[][]) - Constructor for class org.drip.spaces.instance.ValidatedRdContinuous

ValidatedRdContinuous Constructor

validateIndex(int, int) - Method in class org.drip.spaces.big.BigR2Array

Validate the Specified Index Pair.

ValidateInput(double[]) - Static method in class org.drip.function.definition.RdToR1

Validate the Input Double Array

validateInstance(double) - Method in class org.drip.spaces.metric.R1CombinatorialBall

validateInstance(double) - Method in class org.drip.spaces.metric.R1ContinuousBall

validateInstance(double[]) - Method in class org.drip.spaces.metric.RdCombinatorialBall

validateInstance(double[]) - Method in class org.drip.spaces.metric.RdContinuousBall

validateInstance(double) - Method in class org.drip.spaces.tensor.R1CombinatorialVector

validateInstance(double) - Method in class org.drip.spaces.tensor.R1ContinuousVector

validateInstance(double) - Method in interface org.drip.spaces.tensor.R1GeneralizedVector

Validate the Input Instance Ordinate

validateInstance(double[]) - Method in class org.drip.spaces.tensor.RdAggregate

validateInstance(double[]) - Method in interface org.drip.spaces.tensor.RdGeneralizedVector

Validate the Input Instance

ValidateType(int) - Static method in class org.drip.param.period.FixingSetting

Validate the Type of FX Fixing

ValuationCustomizationParams - Class in org.drip.param.valuation

ValuationCustomizationParams holds the parameters needed to interpret the input quotes.

ValuationCustomizationParams(String, int, boolean, ActActDCParams, String, boolean) - Constructor for class org.drip.param.valuation.ValuationCustomizationParams

Construct ValuationCustomizationParams from the Day Count and the Frequency parameters

valuationCustomizationParams() - Method in class org.drip.product.params.QuoteConvention

Retrieve the Valuation Customization Parameters

ValuationMetrics(String, int, int, double, int, String, String, int, String[], double[], String, double[], String, String[], double[], String, String, int[], int[], double[], double[], String, String, String[], double[], double[], String, String, double) - Static method in class org.drip.service.product.FixedBondAPI

Generate a Full Map Invocation of the Bond Valuation Run

ValuationMetrics(String, String, double, int, String[], double[], String[], double[], boolean) - Static method in class org.drip.service.product.OvernightIndexSwapAPI

Generate Full Set of Metrics for the Specified OIS

ValuationMetrics(String, int[], int[], double[], double[], int, String[], double[], String, double[], String, String[], double[], String, int[], int[], double[], double[], String, double[]) - Static method in class org.drip.service.product.TreasuryFuturesAPI

Generate a Full Map Invocation of the Treasury Futures Run Use Case

valuationParameter() - Method in class org.drip.analytics.input.BootCurveConstructionInput

valuationParameter() - Method in interface org.drip.analytics.input.CurveConstructionInputSet

Retrieve the Valuation Parameter

valuationParameter() - Method in class org.drip.analytics.input.LatentStateShapePreservingCCIS

ValuationParams - Class in org.drip.param.valuation

ValuationParams is the place-holder for the valuation parameters for a given product.

ValuationParams(JulianDate, JulianDate, String) - Constructor for class org.drip.param.valuation.ValuationParams

Construct ValuationParams from the Valuation Date and the Cash Pay Date parameters

value() - Method in class org.drip.execution.sensitivity.ControlNodesGreek

Retrieve the Objective Function Penalty Value

value() - Method in class org.drip.function.rdtor1solver.ConstraintFunctionPointMetrics

Retrieve the Constraint Value Array

value - Variable in class org.drip.json.parser.Yytoken

value() - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremum

Retrieve the Value of the Supremum Empirical Function

value(String) - Method in class org.drip.param.definition.Quote

Get the quote value for the given side

value(String) - Method in class org.drip.param.quote.MultiSided

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

value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.credit.CDSComponent

value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.definition.BasketProduct

Generate a full list of the basket product measures for the full input set of market parameters

value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.definition.Component

Generate a full list of the Product measures for the full input set of market parameters

value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fra.FRAMarketComponent

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

value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fra.FRAStandardCapFloorlet

value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fra.FRAStandardComponent

value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fx.ComponentPair

value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fx.DomesticCollateralizedForeignForward

value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fx.ForeignCollateralizedDomesticForward

value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fx.FXForwardComponent

value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.govvie.TreasuryFutures

value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.option.CDSEuropeanOption

value(ValuationParams, double, boolean, MergedDiscountForwardCurve, R1ToR1, FokkerPlanckGenerator) - Method in class org.drip.product.option.EuropeanCallPut

Generate the Measure Set for the Option

value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.option.FixFloatEuropeanOption

value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.FixFloatComponent

value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.FloatFloatComponent

value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.RatesBasket

value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.SingleStreamComponent

value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.Stream

Generate a Value Map for the Stream

valueDate() - Method in class org.drip.param.valuation.ValuationParams

Retrieve the Valuation Date

valueFromQuotedSpread(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double, double) - Method in class org.drip.product.credit.CDSComponent

valueFromQuotedSpread(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double, double) - Method in class org.drip.product.definition.CreditDefaultSwap

Value the CDS from the Quoted Spread

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

Generate the Standard FRA Caplet/Floorlet Measures from the Integrated Surface Variance

valueFromSurfaceVariance(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.option.CDSEuropeanOption

Generate the Standard CDS European Option Measures from the Integrated Surface Variance

VanillaBlackNormalPricing - Class in org.drip.sample.option

VanillaBlackNormalPricing contains an illustration of the Vanilla Black Normal European Call and Put Options Pricer.

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

VanillaBlackScholesPricing - Class in org.drip.sample.option

VanillaBlackScholesPricing contains an illustration of the Vanilla Black Scholes based European Call and Put Options Pricer.

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

VanillaVarianceMinimizer - Class in org.drip.sample.assetallocation

VanillaVarianceMinimizer demonstrates the Construction of an Optimal Portfolio using the Variance Minimizing Allocator with only the Fully Invested Constraint.

VanillaVarianceMinimizer() - Constructor for class org.drip.sample.assetallocation.VanillaVarianceMinimizer

VanLeerLimiterC1(double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator

Generate a Van Leer Limiter C1 Array from the specified Array of Predictor Ordinates and the Response Values.

vanna() - Method in class org.drip.pricer.option.Greeks

The Option Vanna

Variable - Class in org.drip.analytics.eventday

Variable class contains the rule characterizing the variable holiday’s month, day in week, week in month, and the weekend days.

Variable(int, int, int, boolean, Weekend, String) - Constructor for class org.drip.analytics.eventday.Variable

Construct the object from the week, day, month, from front/back, week end, and description

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

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

Indicate if the bond has variable coupon

VariableDriftTrajectoryComparator - Class in org.drip.sample.trend

VariableDriftTrajectoryComparator demonstrates the Optimal Trajectory for a Price Process with Bayesian Drift, Arithmetic Volatility, and Linear Temporary Market Impact across a Set of Drifts.

VariableDriftTrajectoryComparator() - Constructor for class org.drip.sample.trend.VariableDriftTrajectoryComparator

variance() - Method in class org.drip.measure.continuousjoint.R1Multivariate

Compute the Variance of the Distribution

variance() - Method in class org.drip.measure.continuousmarginal.R1

Retrieve the Variance of the Distribution

variance() - Method in class org.drip.measure.discretemarginal.BoundedUniformIntegerDistribution

variance() - Method in class org.drip.measure.discretemarginal.PoissonDistribution

variance() - Method in class org.drip.measure.gaussian.Covariance

Retrieve the Variance Array

variance() - Method in class org.drip.measure.gaussian.R1MultivariateNormal

variance() - Method in class org.drip.measure.gaussian.R1UnivariateNormal

variance() - Method in class org.drip.measure.lebesgue.R1Uniform

variance(String) - Method in class org.drip.measure.statistics.MultivariateMoments

Retrieve the Variance of the Named Variate

variance() - Method in class org.drip.measure.statistics.UnivariateMoments

Retrieve the Series Variance

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

Retrieve the Variance of the Portfolio

variance() - Method in class org.drip.portfolioconstruction.params.AssetStatisticalProperties

Retrieve the Variance of the Asset

variance() - Method in class org.drip.sequence.random.BoxMullerGaussian

Retrieve the Variance of the Box-Muller Gaussian

varianceContribution(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator

varianceContribution(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice

varianceContribution(ArithmeticPriceEvolutionParameters) - Method in interface org.drip.execution.sensitivity.ControlNodesGreekGenerator

Generate the Total Variance Contribution

varianceExponent() - Method in class org.drip.execution.risk.PowerVarianceObjectiveUtility

Retrieve the Variance Exponent

VarianceMinimizer() - Static method in class org.drip.portfolioconstruction.allocator.CustomRiskUtilitySettings

The Variance Minimizer CustomRiskUtilitySettings Instance

variate() - Method in class org.drip.optimization.constrained.NecessarySufficientConditions

Retrieve the Candidate Variate Array

variate() - Method in class org.drip.optimization.constrained.RegularityConditions

Retrieve the Candidate Variate Array

VARIATE_CONSTRAINT_SEQUENCE_CONVERGENCE - Static variable in class org.drip.function.rdtor1solver.ConvergenceControl

Solve Using the Convergence of the Variate/Constraint Multiplier Tuple Realization

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

Retrieve the Underlying Variate Bound

variateConstraintMultipler() - Method in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier

Retrieve the Consolidated Variate/Constraint Multiplier Array

variateFunctionVarianceMetrics() - Method in class org.drip.sequence.functional.EfronSteinMetrics

Compute the Function Sequence Agnostic Metrics associated with the Variance of each Variate

variateIncrementVector() - Method in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier

Retrieve the Sized Vector Instance corresponding to the Variate Increment

variateIndex(String) - Method in class org.drip.measure.continuousjoint.MultivariateMeta

Retrieve the Index of the Named Variate

VariateInequalityConstraintMultiplier - Class in org.drip.function.rdtor1solver

VariateInequalityConstraintMultiplier holds the Variates and their Inequality Constraint Multipliers in either the Absolute or the Incremental Forms.

VariateInequalityConstraintMultiplier(boolean, double[], double[]) - Constructor for class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier

VariateInequalityConstraintMultiplier Constructor

VariateIterationSelectorParams - Class in org.drip.function.r1tor1solver

VariateIterationSelectorParams implements the control parameters for the compound variate selector scheme used in Brent's method.

VariateIterationSelectorParams() - Constructor for class org.drip.function.r1tor1solver.VariateIterationSelectorParams

Default VariateIterationSelectorParams constructor

VariateIterationSelectorParams(double, double, int, int) - Constructor for class org.drip.function.r1tor1solver.VariateIterationSelectorParams

VariateIterationSelectorParams constructor

VariateIteratorPrimitive - Class in org.drip.function.r1tor1solver

VariateIteratorPrimitive implements the various Primitive Variate Iterator routines.

VariateIteratorPrimitive() - Constructor for class org.drip.function.r1tor1solver.VariateIteratorPrimitive

variateList() - Method in class org.drip.measure.statistics.MultivariateMoments

Retrieve the Variates for which the Metrics are available

VariateOutputPair - Class in org.drip.function.definition

VariateOutputPair records the Multidimensional Variate and its corresponding Objective Function Value.

VariateOutputPair(double[], double[]) - Constructor for class org.drip.function.definition.VariateOutputPair

VariateOutputPair Constructor

variates() - Method in class org.drip.function.definition.VariateOutputPair

Retrieve the Variate Array

variates() - Method in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier

Retrieve the Array of Variates

variateSequence(SingleSequenceAgnosticMetrics[]) - Method in class org.drip.sequence.functional.EfronSteinMetrics

Extract the Full Variate Array Sequence

VariateSumExtremization - Class in org.drip.sample.optimizer

VariateSumExtremization computes the Equality Constrained Extrema of the Sum of Variates along the Surface of the Sphere using Lagrange Multipliers.

VariateSumExtremization() - Constructor for class org.drip.sample.optimizer.VariateSumExtremization

variation() - Method in class org.drip.spaces.cover.L1R1CoveringBounds

Retrieve the Function Variation

variationConstraint() - Method in class org.drip.execution.tradingtime.CoordinatedMarketState

Retrieve the Coordinated Variation Constraint

variationConstraint() - Method in class org.drip.execution.tradingtime.CoordinatedParticipationRateLinear

Retrieve the Coordinated Variation Constraint

VEBHoliday - Class in org.drip.analytics.holset

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

vectorSpaceIndexToVariate(int[]) - Method in class org.drip.spaces.iterator.RdSpanningCombinatorialIterator

Convert the Vector Space Index Array to the Variate Array

vectorSpaces() - Method in class org.drip.spaces.tensor.RdAggregate

vectorSpaces() - Method in interface org.drip.spaces.tensor.RdGeneralizedVector

Retrieve the Array of the Underlying R^1 Vector Spaces

VEFHoliday - Class in org.drip.analytics.holset

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

vega() - Method in class org.drip.pricer.option.Greeks

The Option Vega

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

Indicate if the Armijo Criterion has been met

verify() - Method in class org.drip.function.rdtor1descent.CurvatureEvolutionVerifierMetrics

Indicate if the Curvature Criterion has been met

verify(UnitVector, double[], RdToR1, double) - Method in class org.drip.function.rdtor1descent.LineEvolutionVerifier

Verify if the specified Inputs satisfy the Criterion

verify() - Method in class org.drip.function.rdtor1descent.LineEvolutionVerifierMetrics

Indicate if the Evolution Criterion has been met

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

Indicate if the Wolfe Criterion has been met

verifyHardSearchEdges(InitializationHeuristics, double) - Method in class org.drip.function.r1tor1solver.ExecutionInitializer

Initialize the starting bracket within the specified boundary

VerifyHyman89QuinticMonotonicity(double[], double[], double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator

Verify if the given Quintic Polynomial is Monotone using the Hyman89 Algorithm Doherty, Edelman, and Hyman (1989) Non-negative, monotonic, or convexity preserving cubic and quintic Hermite interpolation - Mathematics of Computation 52 (186), 471-494.

VERSION - Static variable in class org.drip.quant.common.StringUtil

Serialization Version - ALWAYS prepend this on all derived classes

veta() - Method in class org.drip.pricer.option.Greeks

The Option Veta

viewDate() - Method in class org.drip.dynamics.evolution.LSQMPointUpdate

Retrieve the View Date

Vintage(int) - Static method in class org.drip.analytics.date.DateUtil

Return the Vintage corresponding to the Julian Date

Vintage - Class in org.drip.assetbacked.loan

Vintage contains the Loan Origination Vintage Details - i.e., the Year/Month of Loan Origination

Vintage(int, int) - Constructor for class org.drip.assetbacked.loan.Vintage

Vintage Constructor

violated(double) - Method in class org.drip.function.rdtor1.AffineBoundMultivariate

violated(double) - Method in interface org.drip.function.rdtor1.BoundMultivariate

Indicate if the Specified Bound has been violated by the Variate

VNDHoliday - Class in org.drip.analytics.holset

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

vol(int) - Method in class org.drip.state.curve.BasisSplineDeterministicVolatility

vol(int) - Method in class org.drip.state.nonlinear.FlatForwardVolatilityCurve

vol(int) - Method in class org.drip.state.volatility.VolatilityCurve

Compute the Deterministic Implied Volatility at the Date Node from the Volatility Term Structure

volatility() - Method in class org.drip.execution.athl.TransactionRealization

Retrieve the Asset Daily Volatility

volatility() - Method in interface org.drip.execution.latent.MarketState

Retrieve the Realized Volatility Market State

volatility() - Method in class org.drip.execution.latent.MarketStateCorrelated

volatility() - Method in class org.drip.execution.latent.MarketStateSystemic

volatility(double) - Method in class org.drip.execution.tradingtime.CoordinatedMarketState

Retrieve the Realized Random Volatility

volatility(double) - Method in class org.drip.execution.tradingtime.CoordinatedVariation

Estimate the Volatility given the Liquidity

volatility() - Method in class org.drip.measure.gaussian.Covariance

Retrieve the Volatility Array

VOLATILITY_QM_LOGNORMAL_VOLATILITY - Static variable in class org.drip.analytics.definition.LatentStateStatic

Volatility Latent State Quantification Metric - Lognormal Volatility

VOLATILITY_QM_NORMAL_VOLATILITY - Static variable in class org.drip.analytics.definition.LatentStateStatic

Volatility Latent State Quantification Metric - Normal Volatility

VOLATILITY_QM_SABR_VOLATILITY - Static variable in class org.drip.analytics.definition.LatentStateStatic

Volatility Latent State Quantification Metric - SABR Volatility

VolatilityCurve(ValuationParams, Component[], double[], String[], double, boolean, ExplicitBootVolatilityCurve, MergedDiscountForwardCurve, ForwardCurve, LatentStateFixingsContainer, ValuationCustomizationParams) - Static method in class org.drip.state.nonlinear.NonlinearCurveBuilder

Boot-strap a Volatility Curve from the set of calibration components

VolatilityCurve - Class in org.drip.state.volatility

VolatilityCurve exposes the Stub that implements the Latent State's Deterministic Volatility Term Structure Curve - by Construction, this is expected to be non-local.

VolatilityCurveNode(ValuationParams, Component, double, String, boolean, int, ExplicitBootVolatilityCurve, MergedDiscountForwardCurve, ForwardCurve, LatentStateFixingsContainer, ValuationCustomizationParams) - Static method in class org.drip.state.nonlinear.NonlinearCurveBuilder

Calibrate a Single Volatility Curve Segment from the corresponding Component

VolatilityCurveScenario - Class in org.drip.state.boot

VolatilityCurveScenario uses the Volatility calibration instruments along with the component calibrator to produce scenario Volatility curves.

VolatilityCurveScenario() - Constructor for class org.drip.state.boot.VolatilityCurveScenario

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

Retrieve the Volatility Dependence Exponent

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

Imply the Flat Cap/Floor Volatility from the Calibration ATM Price

volatilityFunction() - Method in class org.drip.execution.parameters.ArithmeticPriceDynamicsSettings

Retrieve the Asset Annual Volatility Function

volatilityFunction() - Method in class org.drip.execution.tradingtime.CoordinatedParticipationRateLinear

Compute the Volatility Function from the Liquidity Function

volatilityFunction(R1ToR1) - Method in class org.drip.execution.tradingtime.CoordinatedVariation

Compute the Volatility Function from the Liquidity Function

volatilityGradient() - Method in class org.drip.execution.hjb.NonDimensionalCostCorrelated

Retrieve the Non Dimensional Value Volatility Gradient

volatilityIntegral(int, int, int) - Method in class org.drip.dynamics.hjm.MultiFactorVolatility

Compute the Factor Volatility Integral

volatilityJacobian() - Method in class org.drip.execution.hjb.NonDimensionalCostCorrelated

Retrieve the Non Dimensional Value Volatility Jacobian

volatilityLabel() - Method in class org.drip.product.calib.ProductQuoteSet

Retrieve the Volatility Latent State Label, if it exists

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

volatilityLabel() - Method in class org.drip.product.credit.CDSComponent

volatilityLabel() - Method in interface org.drip.product.definition.ComponentMarketParamRef

Get the Map of Volatility Latent State Identifier Labels

volatilityLabel() - Method in class org.drip.product.fx.FXForwardComponent

volatilityLabel() - Method in class org.drip.product.govvie.TreasuryFutures

volatilityLabel() - Method in class org.drip.product.option.OptionComponent

volatilityLabel() - Method in class org.drip.product.rates.FixFloatComponent

volatilityLabel() - Method in class org.drip.product.rates.FloatFloatComponent

volatilityLabel() - Method in class org.drip.product.rates.RatesBasket

volatilityLabel() - Method in class org.drip.product.rates.SingleStreamComponent

VolatilityLabel - Class in org.drip.state.identifier

VolatilityLabel contains the Identifier Parameters referencing the Latent State of the named Volatility Curve.

VolatilityLabel(LatentStateLabel) - Constructor for class org.drip.state.identifier.VolatilityLabel

VolatilityLabel constructor

volatilityOfVolatility() - Method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver

Retrieve SABR Volatility of Volatility

VolatilityProductQuoteSet - Class in org.drip.product.calib

VolatilityProductQuoteSet implements the Calibratable Volatility Product Quote Shell.

VolatilityProductQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.VolatilityProductQuoteSet

Volatility Product Quote Set Constructor

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

Generate the Volatility Predictor/Response Constraint

volatilityPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.BondComponent

volatilityPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.CDSComponent

volatilityPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.definition.CalibratableComponent

Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Volatility Latent State from the Component's Cash Flows.

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

volatilityPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.fra.FRAStandardCapFloorlet

volatilityPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.fx.FXForwardComponent

volatilityPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.option.CDSEuropeanOption

volatilityPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.option.FixFloatEuropeanOption

volatilityPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FixFloatComponent

volatilityPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FloatFloatComponent

volatilityPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.RatesBasket

volatilityPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.SingleStreamComponent

volatilityPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.Stream

Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Volatility Curve Volatility Latent State from the Component's Cash Flows.

volatilitySurface() - Method in class org.drip.dynamics.hjm.MultiFactorVolatility

Retrieve the Array of Volatility Surfaces

VolumeTimeFrame - Class in org.drip.execution.tradingtime

VolumeTimeFrame implements the Pre- and Post-transformed Increment in the Volume Time Space as used in the "Trading Time" Model.

VolumeTimeFrame(double, double, double, double, double) - Constructor for class org.drip.execution.tradingtime.VolumeTimeFrame

VolumeTimeFrame Constructor

vomma() - Method in class org.drip.pricer.option.Greeks

The Option Vomma

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