- C() - Method in class org.drip.function.r1tor1.SABRLIBORCapVolatility
-
Return "C"
- c1(String) - Method in class org.drip.historical.attribution.PositionMarketSnap
-
Retrieve the Custom C^1 Entry corresponding to the Specified Key
- c1(String) - Method in class org.drip.historical.sensitivity.TenorDurationNodeMetrics
-
Retrieve the Custom C^1 Entry corresponding to the Specified Key
- C1() - Method in class org.drip.spline.pchip.AkimaLocalC1Generator
-
- C1() - Method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
Retrieve the C1 Array
- C1_AKIMA - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
C1 Type: Akima
- C1_BESSEL - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
C1 Type: Bessel
- C1_HARMONIC - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
C1 Type: Harmonic
- C1_HUYNH_LE_FLOCH - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
C1 Type: Huynh - Le Floch Limiter
- C1_HYMAN83 - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
C1 Type: Hyman83
- C1_HYMAN89 - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
C1 Type: Hyman89
- C1_KRUGER - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
C1 Type: Kruger
- C1_MONOTONE_CONVEX - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
C1 Type: Monotone Convex
- C1_VAN_LEER - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
C1 Type: Van Leer Limiter
- C1_VANILLA - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
C1 Type: Vanilla
- C1ArrayTranslateShuffle - Class in org.drip.sample.algo
-
C1ArrayTranslateShuffle demonstrates the Functionality that conducts an in-place Translation and Shuffling
of a Big String Instance.
- C1ArrayTranslateShuffle() - Constructor for class org.drip.sample.algo.C1ArrayTranslateShuffle
-
- C1GeneratorScheme() - Method in class org.drip.state.estimator.LocalControlCurveParams
-
Retrieve the C1 Generator Scheme
- CacheManager - Class in org.drip.service.env
-
CacheManager implements the DRIP Cache Management Functionality, and contains the Functions to Add,
Delete, Retrieve, and Time out a Key-Value Pair along the lines of memcached.
- CacheManager() - Constructor for class org.drip.service.env.CacheManager
-
- CacheManagerAPI - Class in org.drip.sample.env
-
CacheManagerAPI demonstrates Cache Manager API Functionality.
- CacheManagerAPI() - Constructor for class org.drip.sample.env.CacheManagerAPI
-
- CAD - Class in org.drip.template.irs
-
CAD contains a Templated Pricing of the OTC Fix-Float CAD IRS Instrument.
- CAD() - Constructor for class org.drip.template.irs.CAD
-
- CAD3M6MUSD3M6M - Class in org.drip.sample.dual
-
CAD3M6MUSD3M6M demonstrates the setup and construction of the USD 3M Forward Curve from CAD3M6MUSD3M6M
CCBS, CAD 3M, CAD 6M, and USD 6M Quotes.
- CAD3M6MUSD3M6M() - Constructor for class org.drip.sample.dual.CAD3M6MUSD3M6M
-
- CADCDOR3M - Class in org.drip.template.forwardratefutures
-
CADCDOR3M contains a Templated Pricing of the CDOR 3M CAD Futures Instrument.
- CADCDOR3M() - Constructor for class org.drip.template.forwardratefutures.CADCDOR3M
-
- CADHoliday - Class in org.drip.analytics.holset
-
- CADHoliday() - Constructor for class org.drip.analytics.holset.CADHoliday
-
- CADIRSAttribution - Class in org.drip.sample.fixfloatpnl
-
CADIRSAttribution generates the Historical PnL Attribution for CAD IRS.
- CADIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.CADIRSAttribution
-
- CADOISSmoothReconstitutor - Class in org.drip.sample.overnightfeed
-
CADOISSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the CAD Input OIS
Marks.
- CADOISSmoothReconstitutor() - Constructor for class org.drip.sample.overnightfeed.CADOISSmoothReconstitutor
-
- CADShapePreserving1YForward - Class in org.drip.sample.fundinghistorical
-
CADShapePreserving1YForward Generates the Historical CAD Shape Preserving Funding Curve Native 1Y
Compounded Forward Rate.
- CADShapePreserving1YForward() - Constructor for class org.drip.sample.fundinghistorical.CADShapePreserving1YForward
-
- CADShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
-
CADShapePreserving1YStart Generates the Historical CAD Shape Preserving Funding Curve Native Compounded
Forward Rate starting at 1Y Tenor.
- CADShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.CADShapePreserving1YStart
-
- CADShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
-
CADShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the
CAD Input Marks.
- CADShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.CADShapePreservingReconstitutor
-
- CADSmooth1MForward - Class in org.drip.sample.overnighthistorical
-
CADSmooth1MForward Generates the Historical CAD Smoothened Overnight Curve Native 1M Compounded Forward
Rate.
- CADSmooth1MForward() - Constructor for class org.drip.sample.overnighthistorical.CADSmooth1MForward
-
- CADSmooth1YForward - Class in org.drip.sample.fundinghistorical
-
CADSmooth1YForward Generates the Historical CAD Smoothened Funding Curve Native 1Y Compounded Forward
Rate.
- CADSmooth1YForward() - Constructor for class org.drip.sample.fundinghistorical.CADSmooth1YForward
-
- CADSmoothReconstitutor - Class in org.drip.sample.fundingfeed
-
CADSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the CAD Input Marks.
- CADSmoothReconstitutor() - Constructor for class org.drip.sample.fundingfeed.CADSmoothReconstitutor
-
- CAEHoliday - Class in org.drip.analytics.holset
-
- CAEHoliday() - Constructor for class org.drip.analytics.holset.CAEHoliday
-
- calcAbsoluteOFTolerance(double) - Method in class org.drip.function.r1tor1solver.ExecutionControl
-
Calculate the absolute OF tolerance using the initial OF value
- calcAbsoluteVariateConvergence(double) - Method in class org.drip.function.r1tor1solver.ExecutionControl
-
Calculate the absolute variate convergence amount using the initial variate
- calcConservedConstraint() - Method in class org.drip.spline.pchip.MinimalQuadraticHaganWest
-
- calcDResponseDManifest(String, double, int) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Calculate the Ordered Derivative of the Response to the Manifest
- calcDResponseDPreceedingManifest(String, double, int) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Calculate the Ordered Derivative of the Response to the Preceeding Manifest
- calcLeftEdgeDerivative(int) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- calcLeftEdgeDerivative(int) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Calculate the Derivative of the requested order at the Left Edge of the Stretch
- CalcRateIndex(String, int) - Static method in class org.drip.analytics.support.Helper
-
Calculate the rate index from the coupon currency and the frequency
- calcResponseValue(double) - Method in class org.drip.spline.grid.AggregatedSpan
-
- calcResponseValue(double) - Method in class org.drip.spline.grid.OverlappingStretchSpan
-
- calcResponseValue(double) - Method in interface org.drip.spline.grid.Span
-
Compute the Response from the containing Stretches
- calcResponseValueDerivative(double, int) - Method in class org.drip.spline.grid.AggregatedSpan
-
- calcResponseValueDerivative(double, int) - Method in class org.drip.spline.grid.OverlappingStretchSpan
-
- calcResponseValueDerivative(double, int) - Method in interface org.drip.spline.grid.Span
-
Compute the Response Value Derivative from the containing Stretches
- calcResponseValueDerivative(double, int) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Calculate the Ordered Response Value Derivative at the Predictor Ordinate
- calcRightEdgeDerivative(int) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- calcRightEdgeDerivative(int) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Calculate the Derivative of the requested order at the right Edge of the Stretch
- calcSlope(boolean) - Method in class org.drip.quant.calculus.Differential
-
Retrieve the Delta for the variate
- calcSPRD(double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- calcSPRD(double) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Calculate the SPRD at the specified Predictor Ordinate
- calcTime() - Method in class org.drip.analytics.output.ComponentMeasures
-
Retrieve the Calculation Time
- calculationType() - Method in class org.drip.product.credit.BondComponent
-
- calculationType() - Method in class org.drip.product.definition.Bond
-
Return the bond's calculation type
- calculationType() - Method in class org.drip.product.params.QuoteConvention
-
Retrieve the Calculation Type
- calendar() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
-
Retrieve the Calendar
- calendar() - Method in class org.drip.analytics.daycount.DateAdjustParams
-
Retrieve the Roll Holiday Calendar
- calendar() - Method in class org.drip.market.definition.FloaterIndex
-
Retrieve the Index Holiday Calendar
- calendar() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
-
Retrieve the Treasury Futures Settle Calendar
- calendar() - Method in class org.drip.market.issue.TreasurySetting
-
Retrieve the Calendar
- calendar() - Method in class org.drip.market.otc.FixedStreamConvention
-
Retrieve the Holiday Calendar
- calendar() - Method in class org.drip.param.period.UnitCouponAccrualSetting
-
Retrieve the Calendar
- calendar() - Method in class org.drip.param.quoting.YieldInterpreter
-
Retrieve the Calendar
- calendar() - Method in class org.drip.param.valuation.CashSettleParams
-
Retrieve the Settle Calendar
- calendar() - Method in class org.drip.param.valuation.ValuationParams
-
Retrieve the Calendar
- calendar() - Method in class org.drip.product.rates.Stream
-
Retrieve the Calendar
- CalendarAPI - Class in org.drip.sample.date
-
CalendarAPI demonstrates Calendar API Functionality.
- CalendarAPI() - Constructor for class org.drip.sample.date.CalendarAPI
-
- calibComp() - Method in interface org.drip.analytics.definition.Curve
-
Retrieve the Calibration Components
- calibComp() - Method in class org.drip.analytics.definition.MarketSurface
-
- calibComp() - Method in class org.drip.analytics.definition.NodeStructure
-
- calibComp() - Method in class org.drip.state.basis.BasisCurve
-
- calibComp() - Method in class org.drip.state.credit.CreditCurve
-
- calibComp() - Method in class org.drip.state.curve.DerivedZeroRate
-
- calibComp() - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
-
- calibComp() - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
-
- calibComp() - Method in class org.drip.state.curve.ZeroRateDiscountCurve
-
- calibComp() - Method in class org.drip.state.discount.ExplicitBootDiscountCurve
-
- calibComp() - Method in class org.drip.state.forward.ForwardCurve
-
- calibComp() - Method in class org.drip.state.fx.FXCurve
-
- calibComp() - Method in class org.drip.state.govvie.ExplicitBootGovvieCurve
-
- calibComp() - Method in class org.drip.state.govvie.GovvieCurve
-
- calibComp() - Method in class org.drip.state.repo.RepoCurve
-
- calibDiscCurveSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, int, double, double) - Method in class org.drip.product.credit.BondComponent.BondCalibrator
-
Calibrate the bond Z Spread from the market price.
- calibFlatSpread(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.credit.CDSComponent
-
Calibrate the CDS's flat spread from the calculated up-front points
- calibFlatSpread(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.definition.CreditDefaultSwap
-
Calibrate the CDS's flat spread from the calculated up-front points
- calibMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.credit.BondComponent
-
- calibMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.credit.CDSComponent
-
- calibMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.definition.CalibratableComponent
-
Generate a Map of the Calibration Measures
- calibMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fx.FXForwardComponent
-
- calibMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.option.OptionComponent
-
- calibMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.FixFloatComponent
-
- calibMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.FloatFloatComponent
-
- calibMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.RatesBasket
-
- calibMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.SingleStreamComponent
-
- calibParams() - Method in class org.drip.param.pricer.CreditPricerParams
-
Retrieve the Calibration Parameters Instance
- calibPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.definition.CalibratableComponent
-
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Component from the
Market Inputs.
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.credit.BondComponent
-
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.credit.CDSComponent
-
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.definition.CalibratableComponent
-
Generate the Product Specific Calibration Quote Set
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.fra.FRAStandardComponent
-
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.fx.FXForwardComponent
-
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.govvie.TreasuryComponent
-
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.option.CDSEuropeanOption
-
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.option.FixFloatEuropeanOption
-
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.option.OptionComponent
-
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.rates.FixFloatComponent
-
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.rates.FloatFloatComponent
-
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.rates.RatesBasket
-
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.rates.SingleStreamComponent
-
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.rates.Stream
-
Generate the Calibration Quote Set corresponding to the specified Latent State Array
- CalibratableComponent - Class in org.drip.product.definition
-
CalibratableComponent abstract class provides implementation of Component's calibration interface.
- CalibratableComponent() - Constructor for class org.drip.product.definition.CalibratableComponent
-
- CalibratableFixedIncomeComponentForwardArray(CalibratableComponent) - Static method in class org.drip.analytics.support.ForwardDecompositionUtil
-
Decompose the Rates Component into an Array of Single Forward Rates Components
- CalibratableMultiSegmentSequence - Class in org.drip.spline.stretch
-
CalibratableMultiSegmentSequence implements the MultiSegmentSequence span that spans multiple segments.
- CalibratableMultiSegmentSequence(String, LatentStateResponseModel[], SegmentCustomBuilderControl[]) - Constructor for class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
CalibratableMultiSegmentSequence constructor - Construct a sequence of Basis Spline Segments
- calibrate(LatentStateResponseModel, SegmentResponseValueConstraint, SegmentBestFitResponse) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Calibrate the coefficients from the prior Predictor/Response Segment, the Constraint, and fitness
Weights
- calibrate(LatentStateResponseModel, double, SegmentBestFitResponse) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Calibrate the coefficients from the prior Segment and the Response Value at the Right Predictor
Ordinate
- calibrate(double, double, double, SegmentBestFitResponse) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Calibrate the Coefficients from the Edge Response Values and the Left Edge Response Slope
- calibrate(SegmentResponseValueConstraint, double, SegmentResponseValueConstraint, SegmentBestFitResponse) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Calibrate the coefficients from the Left Edge Response Value Constraint, the Left Edge Response Value
Slope, and the Right Edge Response Value Constraint
- CALIBRATE - Static variable in interface org.drip.spline.stretch.MultiSegmentSequence
-
Calibration Detail: Calibrate the Stretch as part of the set up
- CALIBRATE_JACOBIAN - Static variable in interface org.drip.spline.stretch.MultiSegmentSequence
-
Calibration Detail: Calibrate the Stretch AND compute Jacobian as part of the set up
- calibrateCreditBasisFromPrice(ValuationParams, CurveSurfaceQuoteContainer, int, double, double, boolean) - Method in class org.drip.product.credit.BondComponent.BondCalibrator
-
Calibrate the bond Credit Basis from the market price
- calibrateDCBasisFromFwdPriceNR(ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, double, double, boolean) - Method in class org.drip.product.fx.FXForwardComponent.FXBasisCalibrator
-
Calibrate the discount curve basis from FXForward using Newton-Raphson methodology
- calibrateHazardFromPrice(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.CDSComponent.SpreadCalibrator
-
Calibrate the hazard rate from calibration price
- calibrateLocalManifestJacobian(String, SegmentStateCalibrationInputs, SegmentBasisFlexureConstraint[]) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Sensitivity Calibrator: Calibrate the Segment Local Manifest Jacobian from the Calibration Parameter
Set
- calibrateManifestJacobian(SegmentStateCalibrationInputs, SegmentBasisFlexureConstraint[]) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Sensitivity Calibrator: Calibrate the Segment Manifest Measure Jacobian from the Calibration Inputs
- calibratePreceedingManifestJacobian(String, SegmentStateCalibrationInputs) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Sensitivity Calibrator: Calibrate the Segment Preceeding Manifest Jacobian from the Calibration
Parameter Set
- calibrateSpan(LatentStateStretchSpec[], double, ValuationParams, CreditPricerParams, ValuationCustomizationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.state.inference.LinearLatentStateCalibrator
-
Calibrate the Span from the Instruments in the Stretches and their Details.
- calibrateState(SegmentStateCalibrationInputs) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Main Calibrator: Calibrate the Segment State from the Calibration Parameter Set
- calibrateYieldFromPrice(ValuationParams, CurveSurfaceQuoteContainer, int, double, double) - Method in class org.drip.product.credit.BondComponent.BondCalibrator
-
Calibrate the bond yield from the market price using the root bracketing technique.
- calibrateZSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, int, int, double, double) - Method in class org.drip.product.credit.BondComponent.BondCalibrator
-
Calibrate the bond Z Spread from the market price using the root bracketing technique.
- CALIBRATION_TYPE_FLAT_CURVE_NODES - Static variable in class org.drip.product.credit.CDSComponent.SpreadCalibrator
-
- CALIBRATION_TYPE_FLAT_INSTRUMENT_NODE - Static variable in class org.drip.product.credit.CDSComponent.SpreadCalibrator
-
- CALIBRATION_TYPE_NODE_PARALLEL_BUMP - Static variable in class org.drip.product.credit.CDSComponent.SpreadCalibrator
-
- calibrationBoundaryCondition() - Method in class org.drip.state.estimator.GlobalControlCurveParams
-
Retrieve the Calibration Boundary Condition
- calibrationDetail() - Method in class org.drip.state.estimator.SmoothingCurveStretchParams
-
Retrieve the Calibration Detail
- CalibrationEmpirics - Class in org.drip.execution.athl
-
CalibrationEmpirics contains the Universal Market Impact Exponent/Coefficients that have been determined
empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003).
- CalibrationEmpirics() - Constructor for class org.drip.execution.athl.CalibrationEmpirics
-
- CalibrationParams - Class in org.drip.param.definition
-
CalibrationParams the calibration parameters - the measure to be calibrated, the type/nature of the
calibration to be performed, and the work-out date to which the calibration is done.
- CalibrationParams(String, int, WorkoutInfo) - Constructor for class org.drip.param.definition.CalibrationParams
-
CalibrationParams constructor
- calibSegmentSequence(int) - Method in class org.drip.spline.stretch.CkSegmentSequenceBuilder
-
- calibSegmentSequence(int) - Method in interface org.drip.spline.stretch.SegmentSequenceBuilder
-
Calibrate the Segment Sequence in the Stretch
- calibSegmentSequence(int) - Method in class org.drip.state.inference.LatentStateSequenceBuilder
-
- calibStartingSegment(double) - Method in class org.drip.spline.stretch.CkSegmentSequenceBuilder
-
- calibStartingSegment(double) - Method in interface org.drip.spline.stretch.SegmentSequenceBuilder
-
Calibrate the Starting Segment using the LeftSlope
- calibStartingSegment(double) - Method in class org.drip.state.inference.LatentStateSequenceBuilder
-
- calibZeroCurveSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent.BondCalibrator
-
Calibrate the bond Z Spread from the market price.
- CALL_NOTICE_PERIOD_DEFAULT - Static variable in class org.drip.product.params.EmbeddedOptionSchedule
-
- callable() - Method in class org.drip.product.credit.BondComponent
-
- callable() - Method in class org.drip.product.definition.Bond
-
Indicate if the bond is callable
- CallPriceSplineSurface - Class in org.drip.sample.stochasticvolatility
-
CallPriceSplineSurface demonstrates the spline volatility surface generated by a stochastic volatility
algorithm, i.e., in this case the Heston 1993 algorithm.
- CallPriceSplineSurface() - Constructor for class org.drip.sample.stochasticvolatility.CallPriceSplineSurface
-
- callSchedule() - Method in class org.drip.product.credit.BondComponent
-
- callSchedule() - Method in class org.drip.product.definition.Bond
-
Return the bond's embedded call schedule
- CallVolSplineSurface - Class in org.drip.sample.stochasticvolatility
-
CallVolSplineSurface demonstrates the spline volatility surface generator by a stochastic volatility
algorithm, i.e., in this case the Heston 1993 algorithm.
- CallVolSplineSurface() - Constructor for class org.drip.sample.stochasticvolatility.CallVolSplineSurface
-
- CAN(JulianDate, JulianDate, double) - Static method in class org.drip.service.template.TreasuryBuilder
-
Construct an Instance of the Canadian Government CAD CAN Bond
- CANBenchmarkAttribution - Class in org.drip.sample.treasurypnl
-
CANBenchmarkAttribution demonstrates the Computation of the PnL Time Series Metrics for the CAN Benchmark
Bond Series.
- CANBenchmarkAttribution() - Constructor for class org.drip.sample.treasurypnl.CANBenchmarkAttribution
-
- canonicalTruthness(String) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
-
- canonicalTruthness(String) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
Convert the inferred Formulation Constraint into a "Truthness" Entity
- canonicalTruthness(String) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
-
- CANReconstitutor - Class in org.drip.sample.treasuryfeed
-
CANReconstitutor demonstrates the Cleansing and Re-constitution of the CAN Yield Marks obtained from
Historical Yield Curve Prints.
- CANReconstitutor() - Constructor for class org.drip.sample.treasuryfeed.CANReconstitutor
-
- CapFloor(JulianDate, ForwardLabel, String, double, boolean) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Construct an Instance of the Standard OTC FRA Cap/Floor
- CapFloor(JulianDate, ForwardLabel, String[], double[], boolean) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Construct an Instance of the Standard OTC FRA Cap/Floor
- capFloorlets() - Method in class org.drip.product.fra.FRAStandardCapFloor
-
Retrieve the List of the Underlying Caplets/Floorlets
- CapitalAllocationLine - Class in org.drip.portfolioconstruction.mpt
-
CapitalAllocationLine implements the Efficient Half-line created from the Combination of the Risk Free
Asset and the Tangency Point of the CAPM Market Portfolio.
- CapitalAllocationLine(double, PortfolioMetrics) - Constructor for class org.drip.portfolioconstruction.mpt.CapitalAllocationLine
-
CapitalAllocationLine Constructor
- CARD_COUNTABLY_FINITE - Static variable in class org.drip.spaces.tensor.Cardinality
-
Cardinality Type - Countably Finite
- CARD_COUNTABLY_INFINITE - Static variable in class org.drip.spaces.tensor.Cardinality
-
Cardinality Type - Countably Infinite
- CARD_UNCOUNTABLY_INFINITE - Static variable in class org.drip.spaces.tensor.Cardinality
-
Cardinality Type - Uncountably Infinite
- CardinalEdgeAggregate(SegmentPredictorResponseDerivative, SegmentPredictorResponseDerivative, double) - Static method in class org.drip.spline.params.SegmentPredictorResponseDerivative
-
Aggregate the 2 Predictor Ordinate Response Derivatives by applying the Cardinal Tension Weight
- Cardinality - Class in org.drip.spaces.tensor
-
Cardinality contains the Type and the Measure of the Cardinality of the given Vector Space.
- Cardinality(int, double) - Constructor for class org.drip.spaces.tensor.Cardinality
-
Cardinality Constructor
- cardinality() - Method in interface org.drip.spaces.tensor.GeneralizedVector
-
Retrieve the Cardinality of the Vector Space
- cardinality() - Method in class org.drip.spaces.tensor.R1CombinatorialVector
-
- cardinality() - Method in class org.drip.spaces.tensor.R1ContinuousVector
-
- cardinality() - Method in class org.drip.spaces.tensor.RdCombinatorialVector
-
- cardinality() - Method in class org.drip.spaces.tensor.RdContinuousVector
-
- CarlStephaniNormedBounds - Class in org.drip.spaces.cover
-
CarlStephaniNormedBounds contains the Normed Bounds that result from the Convolution Product of 2 Normed
R^x To Normed R^x Function Spaces.
- CarlStephaniNormedBounds(double, double) - Constructor for class org.drip.spaces.cover.CarlStephaniNormedBounds
-
CarlStephaniNormedBounds Constructor
- CarlStephaniProductBound(MaureyOperatorCoveringBounds, MaureyOperatorCoveringBounds, int, int) - Static method in class org.drip.spaces.cover.CoveringBoundsHelper
-
Compute the Upper Bound for the Entropy Number of the Operator Custom Covering Number Metric Product
across both the Function Classes
- CarlStephaniProductBounds - Class in org.drip.spaces.cover
-
CarlStephaniProductBounds implements the Bounds that result from the Convolution Product Product of 2
Normed R^x To Normed R^x Function Spaces.
- CarlStephaniProductBounds(NormedRxToNormedRxFinite, NormedRxToNormedRxFinite) - Constructor for class org.drip.spaces.cover.CarlStephaniProductBounds
-
CarlStephaniProductBounds Constructor
- CarlStephaniProductNorm(MaureyOperatorCoveringBounds, MaureyOperatorCoveringBounds, double, double, int) - Static method in class org.drip.spaces.cover.CoveringBoundsHelper
-
Compute the Upper Bound for the Entropy Number of the Operator Custom Covering Number Metric Product
across both the Function Classes using the Function Class Norm
- carry1DPnL() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Carry PnL
- carry1MPnL() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1M Carry PnL
- carry3MPnL() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 3M Carry PnL
- CaseInsensitiveHashMap<V> - Class in org.drip.analytics.support
-
CaseInsensitiveMap implements a case insensitive key in a hash map
- CaseInsensitiveHashMap() - Constructor for class org.drip.analytics.support.CaseInsensitiveHashMap
-
- CaseInsensitiveTreeMap<V> - Class in org.drip.analytics.support
-
CaseInsensitiveMap implements a case insensitive key in a hash map
- CaseInsensitiveTreeMap() - Constructor for class org.drip.analytics.support.CaseInsensitiveTreeMap
-
- cashflowCurrencySet() - Method in class org.drip.product.rates.Stream
-
Retrieve the Cash Flow Currency Set
- cashFlowList() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityMetrics
-
Retrieve the List of Net Liability Cash Flows
- cashFlowPeriod() - Method in class org.drip.product.rates.Stream
-
Retrieve the Coupon Period List
- CashJacobianRegressorSet - Class in org.drip.regression.curvejacobian
-
CashJacobianRegressorSet implements the regression analysis set for the Cash product related Sensitivity
Jacobians.
- CashJacobianRegressorSet() - Constructor for class org.drip.regression.curvejacobian.CashJacobianRegressorSet
-
- cashPayDate() - Method in class org.drip.param.valuation.ValuationParams
-
Retrieve the Cash Pay Date
- cashQuote() - Method in class org.drip.service.api.DiscountCurveInputInstrument
-
Retrieve the Array of Cash Quotes
- cashSettleDate(int) - Method in class org.drip.param.valuation.CashSettleParams
-
Construct and return the cash settle date from the valuation date
- CashSettleParams - Class in org.drip.param.valuation
-
CashSettleParams is the place-holder for the cash settlement parameters for a given product.
- CashSettleParams(int, String, int) - Constructor for class org.drip.param.valuation.CashSettleParams
-
Construct the CashSettleParams object from the settle lag and the settle calendar objects
- cashSettleParams() - Method in class org.drip.product.credit.BondComponent
-
- cashSettleParams() - Method in class org.drip.product.credit.CDSComponent
-
- cashSettleParams() - Method in class org.drip.product.definition.Component
-
Get the Product's cash settlement parameters
- cashSettleParams() - Method in class org.drip.product.fx.FXForwardComponent
-
- cashSettleParams() - Method in class org.drip.product.govvie.TreasuryFutures
-
- cashSettleParams() - Method in class org.drip.product.option.OptionComponent
-
- cashSettleParams() - Method in class org.drip.product.params.QuoteConvention
-
Retrieve the Cash Settle Parameters
- cashSettleParams() - Method in class org.drip.product.rates.FixFloatComponent
-
- cashSettleParams() - Method in class org.drip.product.rates.FloatFloatComponent
-
- cashSettleParams() - Method in class org.drip.product.rates.RatesBasket
-
- cashSettleParams() - Method in class org.drip.product.rates.SingleStreamComponent
-
- cashTenor() - Method in class org.drip.service.api.DiscountCurveInputInstrument
-
Retrieve the Array of Cash Tenors
- cauchySchwarzAbsoluteBound() - Method in class org.drip.sequence.metrics.DualSequenceAgnosticMetrics
-
Retrieve the Cauchy-Schwarz Joint Expectation Bound
- CC_BASE - Static variable in class org.drip.param.market.CreditCurveScenarioContainer
-
CC Scenario Base
- CC_FLAT_DN - Static variable in class org.drip.param.market.CreditCurveScenarioContainer
-
CC Scenario Parallel Down
- CC_FLAT_UP - Static variable in class org.drip.param.market.CreditCurveScenarioContainer
-
CC Scenario Parallel Up
- CC_RR_FLAT_DN - Static variable in class org.drip.param.market.CreditCurveScenarioContainer
-
CC Scenario Recovery Parallel Down
- CC_RR_FLAT_UP - Static variable in class org.drip.param.market.CreditCurveScenarioContainer
-
CC Scenario Recovery Parallel Up
- CC_TENOR_DN - Static variable in class org.drip.param.market.CreditCurveScenarioContainer
-
CC Scenario Tenor Down
- CC_TENOR_UP - Static variable in class org.drip.param.market.CreditCurveScenarioContainer
-
CC Scenario Tenor Up
- CCBSDiscountCurve - Class in org.drip.sample.dual
-
CCBSDiscountCurve demonstrates the setup and construction of the Forward Curve from the CCBS Quotes.
- CCBSDiscountCurve() - Constructor for class org.drip.sample.dual.CCBSDiscountCurve
-
- CCBSForwardCurve - Class in org.drip.sample.dual
-
CCBSForwardCurve demonstrates the setup and construction of the Forward Curve from the CCBS Quotes.
- CCBSForwardCurve() - Constructor for class org.drip.sample.dual.CCBSForwardCurve
-
- CDF(double) - Static method in class org.drip.measure.gaussian.NormalQuadrature
-
Compute the Cumulative Distribution Function up to the specified variate
- CDS(JulianDate, String, double, String, String) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Create an Instance of the OTC CDS.
- CDS(JulianDate, String[], double[], String, String) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Create an Array of the OTC CDS Instance.
- CDSBasket - Class in org.drip.product.credit
-
CDSBasket implements the basket default swap product contract details.
- CDSBasket(Component[], double[], String) - Constructor for class org.drip.product.credit.CDSBasket
-
Construct a CDS Basket from the components and their weights
- CDSBasketBuilder - Class in org.drip.product.creator
-
CDSBasketBuilder contains the suite of helper functions for creating the CDS Basket Product from different
kinds of inputs and byte streams.
- CDSBasketBuilder() - Constructor for class org.drip.product.creator.CDSBasketBuilder
-
- CDSBasketMeasures - Class in org.drip.sample.credit
-
CDSBasketMeasures contains a demo of the CDS Basket Measures Generation Sample.
- CDSBasketMeasures() - Constructor for class org.drip.sample.credit.CDSBasketMeasures
-
- CDSBuilder - Class in org.drip.product.creator
-
CDSBuilder contains the suite of helper functions for creating the CreditDefaultSwap product from the
parameters/byte array streams.
- CDSBuilder() - Constructor for class org.drip.product.creator.CDSBuilder
-
- CDSCashFlowMeasures - Class in org.drip.sample.credit
-
CDSCashFlowMeasures contains a demo of the CDS Measures and Cash flow Generation Sample.
- CDSCashFlowMeasures() - Constructor for class org.drip.sample.credit.CDSCashFlowMeasures
-
- CDSComponent - Class in org.drip.product.credit
-
CDSComponent implements the credit default swap product contract details.
- CDSComponent(int, int, double, int, String, String, String, boolean, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, Array2D, double, String, CreditSetting, String) - Constructor for class org.drip.product.credit.CDSComponent
-
CDSComponent constructor: Most generic CDS creation functionality
- CDSComponent.SpreadCalibOP - Class in org.drip.product.credit
-
CDS spread calibration output
- CDSComponent.SpreadCalibrator - Class in org.drip.product.credit
-
Implementation of the CDS spread calibrator
- cdsContractType() - Method in class org.drip.param.quoting.QuotedSpreadInterpreter
-
Retrieve the CDS Contract Type
- CDSEuropeanOption - Class in org.drip.product.option
-
CDSEuropeanOption implements the Payer/Receiver European Option on a CDS.
- CDSEuropeanOption(String, CreditDefaultSwap, String, boolean, double, LastTradingDateSetting, FokkerPlanckGenerator, CashSettleParams) - Constructor for class org.drip.product.option.CDSEuropeanOption
-
CDSEuropeanOption constructor
- CDSMarketSnap - Class in org.drip.historical.attribution
-
CDSMarketSnap contains the Metrics Snapshot associated with the relevant Manifest Measures for the given
Credit Default Swap Position.
- CDSMarketSnap(JulianDate, double) - Constructor for class org.drip.historical.attribution.CDSMarketSnap
-
CDSMarketSnap Constructor
- CDSO - Class in org.drip.sample.bloomberg
-
CDSO contains the sample demonstrating the replication of Bloomberg's CDSO functionality.
- CDSO() - Constructor for class org.drip.sample.bloomberg.CDSO
-
- CDSPayerReceiver - Class in org.drip.sample.creditoption
-
MultiCurvePayerReceiver contains the Demonstration of Valuing a Payer/Receiver CDS European Option Sample.
- CDSPayerReceiver() - Constructor for class org.drip.sample.creditoption.CDSPayerReceiver
-
- CDSPayerReceiverAnalysis - Class in org.drip.sample.creditoption
-
CDSPayerReceiverAnalysis carries out a Volatility Analysis of Payer/Receiver CDS European Option.
- CDSPayerReceiverAnalysis() - Constructor for class org.drip.sample.creditoption.CDSPayerReceiverAnalysis
-
- CDSValuationMetrics - Class in org.drip.sample.credit
-
CDSValuationMetrics contains the Demonstration of Valuing a Payer/Receiver CDS European Option
Sample.
- CDSValuationMetrics() - Constructor for class org.drip.sample.credit.CDSValuationMetrics
-
- CDSW - Class in org.drip.sample.bloomberg
-
CDSW contains the sample demonstrating the replication of Bloomberg's CDSW functionality.
- CDSW() - Constructor for class org.drip.sample.bloomberg.CDSW
-
- CDXCOB - Class in org.drip.service.api
-
CDXCOB contains the Name and the COB Price for a given CDX.
- CDXCOB(String, double) - Constructor for class org.drip.service.api.CDXCOB
-
CDXCOB constructor
- CDXIdentifier - Class in org.drip.product.params
-
CDXIdentifier implements the creation and the static details of the all the NA, EU, SovX, EMEA, and ASIA
standardized CDS indexes.
- CDXIdentifier(int, int, String, String) - Constructor for class org.drip.product.params.CDXIdentifier
-
Create the CDX identifier from the CDX index, series, tenor, and the version
- CDXNAIGS155YAttribution - Class in org.drip.sample.creditindexpnl
-
CDXNAIGS155YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S15
Index.
- CDXNAIGS155YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS155YAttribution
-
- CDXNAIGS155YMetrics - Class in org.drip.sample.credithistorical
-
CDXNAIGS155YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX
NA IG S15 5Y.
- CDXNAIGS155YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS155YMetrics
-
- CDXNAIGS155YReconstitutor - Class in org.drip.sample.creditfeed
-
CDXNAIGS155YReconstitutor Cleanses the Input CDX.NA.IG S15 5Y CDS Price Marks and saves them into a usable
and Process-able Format.
- CDXNAIGS155YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS155YReconstitutor
-
- CDXNAIGS165YAttribution - Class in org.drip.sample.creditindexpnl
-
CDXNAIGS165YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S16
Index.
- CDXNAIGS165YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS165YAttribution
-
- CDXNAIGS165YMetrics - Class in org.drip.sample.credithistorical
-
CDXNAIGS165YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX
NA IG S16 5Y.
- CDXNAIGS165YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS165YMetrics
-
- CDXNAIGS165YReconstitutor - Class in org.drip.sample.creditfeed
-
CDXNAIGS165YReconstitutor Cleanses the Input CDX.NA.IG S16 5Y CDS Price Marks and saves them into a usable
and Process-able Format.
- CDXNAIGS165YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS165YReconstitutor
-
- CDXNAIGS175YAttribution - Class in org.drip.sample.creditindexpnl
-
CDXNAIGS175YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S17
Index.
- CDXNAIGS175YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS175YAttribution
-
- CDXNAIGS175YMetrics - Class in org.drip.sample.credithistorical
-
CDXNAIGS175YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX
NA IG S17 5Y.
- CDXNAIGS175YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS175YMetrics
-
- CDXNAIGS175YReconstitutor - Class in org.drip.sample.creditfeed
-
CDXNAIGS175YReconstitutor Cleanses the Input CDX.NA.IG S17 5Y CDS Price Marks and saves them into a usable
and Process-able Format.
- CDXNAIGS175YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS175YReconstitutor
-
- CDXNAIGS185YAttribution - Class in org.drip.sample.creditindexpnl
-
CDXNAIGS185YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S18
Index.
- CDXNAIGS185YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS185YAttribution
-
- CDXNAIGS185YMetrics - Class in org.drip.sample.credithistorical
-
CDXNAIGS185YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX
NA IG S18 5Y.
- CDXNAIGS185YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS185YMetrics
-
- CDXNAIGS185YReconstitutor - Class in org.drip.sample.creditfeed
-
CDXNAIGS185YReconstitutor Cleanses the Input CDX.NA.IG S18 5Y CDS Price Marks and saves them into a usable
and Process-able Format.
- CDXNAIGS185YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS185YReconstitutor
-
- CDXNAIGS195YAttribution - Class in org.drip.sample.creditindexpnl
-
CDXNAIGS195YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S19
Index.
- CDXNAIGS195YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS195YAttribution
-
- CDXNAIGS195YMetrics - Class in org.drip.sample.credithistorical
-
CDXNAIGS195YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX
NA IG S19 5Y.
- CDXNAIGS195YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS195YMetrics
-
- CDXNAIGS195YReconstitutor - Class in org.drip.sample.creditfeed
-
CDXNAIGS195YReconstitutor Cleanses the Input CDX.NA.IG S19 5Y CDS Price Marks and saves them into a usable
and Process-able Format.
- CDXNAIGS195YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS195YReconstitutor
-
- CDXNAIGS205YAttribution - Class in org.drip.sample.creditindexpnl
-
CDXNAIGS205YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S20
Index.
- CDXNAIGS205YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS205YAttribution
-
- CDXNAIGS205YMetrics - Class in org.drip.sample.credithistorical
-
CDXNAIGS205YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX
NA IG S20 5Y.
- CDXNAIGS205YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS205YMetrics
-
- CDXNAIGS205YReconstitutor - Class in org.drip.sample.creditfeed
-
CDXNAIGS205YReconstitutor Cleanses the Input CDX.NA.IG S20 5Y CDS Price Marks and saves them into a usable
and Process-able Format.
- CDXNAIGS205YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS205YReconstitutor
-
- CDXNAIGS215YAttribution - Class in org.drip.sample.creditindexpnl
-
CDXNAIGS215YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S21
Index.
- CDXNAIGS215YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS215YAttribution
-
- CDXNAIGS215YMetrics - Class in org.drip.sample.credithistorical
-
CDXNAIGS215YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX
NA IG S21 5Y.
- CDXNAIGS215YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS215YMetrics
-
- CDXNAIGS215YReconstitutor - Class in org.drip.sample.creditfeed
-
CDXNAIGS215YReconstitutor Cleanses the Input CDX.NA.IG S21 5Y CDS Price Marks and saves them into a usable
and Process-able Format.
- CDXNAIGS215YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS215YReconstitutor
-
- CDXNAIGS225YAttribution - Class in org.drip.sample.creditindexpnl
-
CDXNAIGS225YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S22
Index.
- CDXNAIGS225YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS225YAttribution
-
- CDXNAIGS225YMetrics - Class in org.drip.sample.credithistorical
-
CDXNAIGS225YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX
NA IG S22 5Y.
- CDXNAIGS225YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS225YMetrics
-
- CDXNAIGS225YReconstitutor - Class in org.drip.sample.creditfeed
-
CDXNAIGS225YReconstitutor Cleanses the Input CDX.NA.IG S22 5Y CDS Price Marks and saves them into a usable
and Process-able Format.
- CDXNAIGS225YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS225YReconstitutor
-
- CDXNAIGS235YAttribution - Class in org.drip.sample.creditindexpnl
-
CDXNAIGS235YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S23
Index.
- CDXNAIGS235YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS235YAttribution
-
- CDXNAIGS235YMetrics - Class in org.drip.sample.credithistorical
-
CDXNAIGS235YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX
NA IG S23 5Y.
- CDXNAIGS235YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS235YMetrics
-
- CDXNAIGS235YReconstitutor - Class in org.drip.sample.creditfeed
-
CDXNAIGS235YReconstitutor Cleanses the Input CDX.NA.IG S23 5Y CDS Price Marks and saves them into a usable
and Process-able Format.
- CDXNAIGS235YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS235YReconstitutor
-
- CDXNAIGS245YAttribution - Class in org.drip.sample.creditindexpnl
-
CDXNAIGS245YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S24
Index.
- CDXNAIGS245YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS245YAttribution
-
- CDXNAIGS245YMetrics - Class in org.drip.sample.credithistorical
-
CDXNAIGS245YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX
NA IG S24 5Y.
- CDXNAIGS245YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS245YMetrics
-
- CDXNAIGS245YReconstitutor - Class in org.drip.sample.creditfeed
-
CDXNAIGS245YReconstitutor Cleanses the Input CDX.NA.IG S24 5Y CDS Price Marks and saves them into a usable
and Process-able Format.
- CDXNAIGS245YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS245YReconstitutor
-
- CDXNAIGS255YAttribution - Class in org.drip.sample.creditindexpnl
-
CDXNAIGS255YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S25
Index.
- CDXNAIGS255YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS255YAttribution
-
- CDXNAIGS255YMetrics - Class in org.drip.sample.credithistorical
-
CDXNAIGS255YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX
NA IG S25 5Y.
- CDXNAIGS255YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS255YMetrics
-
- CDXNAIGS255YReconstitutor - Class in org.drip.sample.creditfeed
-
CDXNAIGS255YReconstitutor Cleanses the Input CDX.NA.IG S25 5Y CDS Price Marks and saves them into a usable
and Process-able Format.
- CDXNAIGS255YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS255YReconstitutor
-
- CDXNAIGS265YAttribution - Class in org.drip.sample.creditindexpnl
-
CDXNAIGS265YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S26
Index.
- CDXNAIGS265YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS265YAttribution
-
- CDXNAIGS265YMetrics - Class in org.drip.sample.credithistorical
-
CDXNAIGS265YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX
NA IG S26 5Y.
- CDXNAIGS265YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS265YMetrics
-
- CDXNAIGS265YReconstitutor - Class in org.drip.sample.creditfeed
-
CDXNAIGS265YReconstitutor Cleanses the Input CDX.NA.IG S26 5Y CDS Price Marks and saves them into a usable
and Process-able Format.
- CDXNAIGS265YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS265YReconstitutor
-
- CDXRefData - Class in org.drip.feed.loader
-
CDXRefData contains the functionality to load the standard CDX reference data and definitions, and create
compile time static classes for these definitions.
- CDXRefData() - Constructor for class org.drip.feed.loader.CDXRefData
-
- CDXRefDataHolder - Class in org.drip.product.creator
-
- CDXRefDataHolder() - Constructor for class org.drip.product.creator.CDXRefDataHolder
-
- CDXRefDataParams - Class in org.drip.product.params
-
CDXRefDataParams contains the complete set of reference data that corresponds to the contract of a
standard CDX.
- CDXRefDataParams() - Constructor for class org.drip.product.params.CDXRefDataParams
-
Empty Default constructor
- centralMomentBound(double, int) - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Retrieve the Mean Departure Bounds Using the Central Moment Bounding Inequality
- CERHoliday - Class in org.drip.analytics.holset
-
- CERHoliday() - Constructor for class org.drip.analytics.holset.CERHoliday
-
- CEV(ForwardLabel, double, double, UnivariateSequenceGenerator, UnivariateSequenceGenerator) - Static method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
-
Create a Constant Elasticity of Variance SABR Instance
- CFFHoliday - Class in org.drip.analytics.holset
-
- CFFHoliday() - Constructor for class org.drip.analytics.holset.CFFHoliday
-
- changeTypeReturn() - Method in class org.drip.historical.attribution.PositionChangeComponents
-
Return the Position Change Type
- characteristicSize() - Method in class org.drip.execution.optimum.TradingEnhancedDiscrete
-
Retrieve the Optimal Trajectory Characteristic Size
- characteristicTime() - Method in class org.drip.execution.optimum.EfficientTradingTrajectoryContinuous
-
Retrieve the Optimal Trajectory Characteristic Time
- characteristicTime() - Method in class org.drip.execution.optimum.TradingEnhancedDiscrete
-
Retrieve the Optimal Trajectory Characteristic Time
- charArray() - Method in class org.drip.spaces.big.BigC1Array
-
Retrieve the Character Array
- charm() - Method in class org.drip.pricer.option.Greeks
-
The Option Charm
- cheapestToDeliver(int, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double[], int) - Method in class org.drip.product.govvie.TreasuryFutures
-
Extract the Cheapest-to-deliver Entry in the Basket Using the Current Market Parameters
- cheapestToDeliverCreditBasis(int, CurveSurfaceQuoteContainer, double[]) - Method in class org.drip.product.govvie.TreasuryFutures
-
Extract the Cheapest-to-deliver Entry in the Basket Using Bond Credit Basis Metric
- cheapestToDeliverOAS(int, CurveSurfaceQuoteContainer, double[]) - Method in class org.drip.product.govvie.TreasuryFutures
-
Extract the Cheapest-to-deliver Entry in the Basket Using Bond OAS Metric
- cheapestToDeliverYield(int, double[]) - Method in class org.drip.product.govvie.TreasuryFutures
-
Extract the Cheapest-to-deliver Entry in the Basket Using the Current Market Prices Alone
- cheapestToDeliverZSpread(int, CurveSurfaceQuoteContainer, double[]) - Method in class org.drip.product.govvie.TreasuryFutures
-
Extract the Cheapest-to-deliver Entry in the Basket Using Bond Z Spread Metric
- chebyshevAssociationBound(R1ToR1, boolean, R1ToR1, boolean) - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Retrieve the Chebyshev's Association Joint Expectation Bound
- chebyshevBound(double) - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Retrieve the Mean Departure Bounds Using the Chebyshev's Inequality
- chebyshevCantelliBound(double) - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Retrieve the Mean Departure Bounds Using the Chebyshev-Cantelli Inequality
- CheckForRepeatingIndex(int[]) - Static method in class org.drip.spaces.iterator.IterationHelper
-
Scan through the Integer Array looking for a repeating Index
- checkFroMinima() - Method in class org.drip.optimization.constrained.NecessarySufficientConditions
-
Retrieve if the Check corresponds to Local Minima
- chernoffBinomialUpperBound(double) - Method in class org.drip.sequence.metrics.UnitSequenceAgnosticMetrics
-
Compute the Chernoff Binomial Upper Bound
- chernoffHoeffdingAverageBounds(double) - Method in class org.drip.sequence.metrics.BoundedSequenceAgnosticMetrics
-
Estimate Mean Departure Bounds of the Average using the Chernoff-Hoeffding Bound
- chernoffPoissonUpperBound(double) - Method in class org.drip.sequence.metrics.UnitSequenceAgnosticMetrics
-
Compute the Chernoff-Poisson Binomial Upper Bound
- chernoffStirlingUpperBound(double) - Method in class org.drip.sequence.metrics.PoissonSequenceAgnosticMetrics
-
Compute the Chernoff-Stirling Upper Bound
- CHF - Class in org.drip.template.irs
-
CHF contains a Templated Pricing of the OTC Fix-Float CHF IRS Instrument.
- CHF() - Constructor for class org.drip.template.irs.CHF
-
- CHF3M6MUSD3M6M - Class in org.drip.sample.dual
-
CHF3M6MUSD3M6M demonstrates the setup and construction of the USD 3M Forward Curve from CHF3M6MUSD3M6M
CCBS, CHF 3M, CHF 6M, and USD 6M Quotes.
- CHF3M6MUSD3M6M() - Constructor for class org.drip.sample.dual.CHF3M6MUSD3M6M
-
- CHFHoliday - Class in org.drip.analytics.holset
-
- CHFHoliday() - Constructor for class org.drip.analytics.holset.CHFHoliday
-
- CHFIRSAttribution - Class in org.drip.sample.fixfloatpnl
-
CHFIRSAttribution generates the Historical PnL Attribution for CHF IRS.
- CHFIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.CHFIRSAttribution
-
- CHFLIBOR3M - Class in org.drip.template.forwardratefutures
-
CHFLIBOR3M contains a Templated Pricing of the LIBOR 3M CHF Futures Instrument.
- CHFLIBOR3M() - Constructor for class org.drip.template.forwardratefutures.CHFLIBOR3M
-
- CHFOISSmoothReconstitutor - Class in org.drip.sample.overnightfeed
-
CHFOISSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the CHF Input OIS
Marks.
- CHFOISSmoothReconstitutor() - Constructor for class org.drip.sample.overnightfeed.CHFOISSmoothReconstitutor
-
- CHFShapePreserving1YForward - Class in org.drip.sample.fundinghistorical
-
CHFShapePreserving1YForward Generates the Historical CHF Shape Preserving Funding Curve Native 1Y
Compounded Forward Rate.
- CHFShapePreserving1YForward() - Constructor for class org.drip.sample.fundinghistorical.CHFShapePreserving1YForward
-
- CHFShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
-
CHFShapePreserving1YStart Generates the Historical CHF Shape Preserving Funding Curve Native Compounded
Forward Rate starting at 1Y Tenor.
- CHFShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.CHFShapePreserving1YStart
-
- CHFShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
-
CHFShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the
CHF Input Marks.
- CHFShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.CHFShapePreservingReconstitutor
-
- CHFSmooth1MForward - Class in org.drip.sample.overnighthistorical
-
CHFSmooth1MForward Generates the Historical CHF Smoothened Overnight Curve Native 1M Compounded Forward
Rate.
- CHFSmooth1MForward() - Constructor for class org.drip.sample.overnighthistorical.CHFSmooth1MForward
-
- CHFSmooth1YForward - Class in org.drip.sample.fundinghistorical
-
CHFSmooth1YForward Generates the Historical CHF Smoothened Funding Curve Native 1Y Compounded Forward
Rate.
- CHFSmooth1YForward() - Constructor for class org.drip.sample.fundinghistorical.CHFSmooth1YForward
-
- CHFSmoothReconstitutor - Class in org.drip.sample.fundingfeed
-
CHFSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the CHF Input Marks.
- CHFSmoothReconstitutor() - Constructor for class org.drip.sample.fundingfeed.CHFSmoothReconstitutor
-
- chi() - Method in class org.drip.dynamics.sabr.ImpliedBlackVolatility
-
Retrieve Chi
- cholesky() - Method in class org.drip.sequence.random.MultivariateSequenceGenerator
-
Retrieve the Cholesky Factorial
- CholeskyBanachiewiczFactorization(double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Compute the Cholesky-Banachiewicz Factorization of the specified Matrix.
- CholeskyFactorization - Class in org.drip.sample.matrix
-
CholeskyFactorization demonstrates the Cholesky Factorization and Transpose Reconciliation of the Input
Matrix.
- CholeskyFactorization() - Constructor for class org.drip.sample.matrix.CholeskyFactorization
-
- Ck() - Method in class org.drip.spline.params.PreceedingManifestSensitivityControl
-
Retrieve the Ck of DBasisCoeffDPreceedingManifest
- Ck() - Method in class org.drip.spline.params.SegmentInelasticDesignControl
-
Retrieve the Continuity Order
- CkSegmentSequenceBuilder - Class in org.drip.spline.stretch
-
CkSegmentSequenceBuilder implements the SegmentSequenceBuilder interface to customize segment sequence
construction.
- CkSegmentSequenceBuilder(SegmentResponseValueConstraint, SegmentResponseValueConstraint[], StretchBestFitResponse, BoundarySettings) - Constructor for class org.drip.spline.stretch.CkSegmentSequenceBuilder
-
CkSegmentSequenceBuilder constructor
- classify(double[]) - Method in class org.drip.learning.svm.RdDecisionFunction
-
Classify the Specified Multi-dimensional Point
- clean1DPnL() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Clean PnL
- clean1DPnLWithFixing() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Clean PnL With Fixing
- cleanDV01() - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Retrieve the Clean DV01
- cleanFixedDV01() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the Clean Fixed DV01
- cleanFloatDV01() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the Clean Float DV01
- cleanFloatDV01WithFixing() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the Clean Float DV01 With Fixing
- clear() - Method in class org.drip.json.simple.ItemList
-
- clearBuiltRange() - Method in class org.drip.state.estimator.CurveStretch
-
Clear the built range mark to signal the start of a fresh calibration run
- CLFHoliday - Class in org.drip.analytics.holset
-
- CLFHoliday() - Constructor for class org.drip.analytics.holset.CLFHoliday
-
- clipLeft(String, double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- clipLeft(String, double) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Generate a new Stretch by clipping all the Segments to the Left of the specified Predictor Ordinate.
- clipLeftOfPredictorOrdinate(double) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Clip the part of the Segment to the Right of the specified Predictor Ordinate.
- clipRight(String, double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- clipRight(String, double) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Generate a new Stretch by clipping all the Segments to the Right of the specified Predictor Ordinate.
- clipRightOfPredictorOrdinate(double) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Clip the part of the Segment to the Right of the specified Predictor Ordinate.
- close() - Method in class org.drip.historical.state.CreditCurveMetrics
-
Retrieve the Closing Date
- close() - Method in class org.drip.historical.state.FundingCurveMetrics
-
Retrieve the Closing Date
- ClosedUnit(List<Double>, R1, int) - Static method in class org.drip.spaces.metric.R1CombinatorialBall
-
Construct a R1CombinatorialBall Instance of Unit Radius
- ClosedUnit(double, double, R1, int) - Static method in class org.drip.spaces.metric.R1ContinuousBall
-
Construct a R1ContinuousBall Instance of Unit Radius
- ClosedUnit(R1CombinatorialVector[], Rd, int) - Static method in class org.drip.spaces.metric.RdCombinatorialBall
-
Construct a RdCombinatorialBall Instance of Unit Radius
- ClosedUnit(R1ContinuousVector[], Rd, int) - Static method in class org.drip.spaces.metric.RdContinuousBall
-
Construct a Unit Radius RdContinuousBall Instance
- CLUHoliday - Class in org.drip.analytics.holset
-
- CLUHoliday() - Constructor for class org.drip.analytics.holset.CLUHoliday
-
- CMVMonthlyReconciler01 - Class in org.drip.sample.assetallocationexcel
-
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance
against an XL-based Monthly Series Implementation for Portfolio Design Returns #1.
- CMVMonthlyReconciler01() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler01
-
- CMVMonthlyReconciler02 - Class in org.drip.sample.assetallocationexcel
-
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance
against an XL-based Monthly Series Implementation for Portfolio Design Returns #2.
- CMVMonthlyReconciler02() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler02
-
- CMVMonthlyReconciler03 - Class in org.drip.sample.assetallocationexcel
-
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance
against an XL-based Monthly Series Implementation for Portfolio Design Returns #3.
- CMVMonthlyReconciler03() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler03
-
- CMVMonthlyReconciler04 - Class in org.drip.sample.assetallocationexcel
-
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance
against an XL-based Monthly Series Implementation for Portfolio Design Returns #4.
- CMVMonthlyReconciler04() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler04
-
- CMVMonthlyReconciler05 - Class in org.drip.sample.assetallocationexcel
-
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance
against an XL-based Monthly Series Implementation for Portfolio Design Returns #5.
- CMVMonthlyReconciler05() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler05
-
- CMVMonthlyReconciler06 - Class in org.drip.sample.assetallocationexcel
-
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance
against an XL-based Monthly Series Implementation for Portfolio Design Returns #6.
- CMVMonthlyReconciler06() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler06
-
- CMVMonthlyReconciler07 - Class in org.drip.sample.assetallocationexcel
-
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance
against an XL-based Monthly Series Implementation for Portfolio Design Returns #7.
- CMVMonthlyReconciler07() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler07
-
- CMVMonthlyReconciler08 - Class in org.drip.sample.assetallocationexcel
-
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance
against an XL-based Monthly Series Implementation for Portfolio Design Returns #8.
- CMVMonthlyReconciler08() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler08
-
- CMVMonthlyReconciler09 - Class in org.drip.sample.assetallocationexcel
-
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance
against an XL-based Monthly Series Implementation for Portfolio Design Returns #9.
- CMVMonthlyReconciler09() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler09
-
- CMVMonthlyReconciler10 - Class in org.drip.sample.assetallocationexcel
-
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance
against an XL-based Monthly Series Implementation for Portfolio Design Returns #10.
- CMVMonthlyReconciler10() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler10
-
- CMVReconciler1 - Class in org.drip.sample.assetallocationexcel
-
CMV Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against
an XL-based Implementation for Portfolio Design Returns #1.
- CMVReconciler1() - Constructor for class org.drip.sample.assetallocationexcel.CMVReconciler1
-
- CMVReconciler2 - Class in org.drip.sample.assetallocationexcel
-
CMVReconciler2 demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against
an XL-based Implementation for Portfolio Design Returns #2.
- CMVReconciler2() - Constructor for class org.drip.sample.assetallocationexcel.CMVReconciler2
-
- CMVReconciler3 - Class in org.drip.sample.assetallocationexcel
-
CMV Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against
an XL-based Implementation for Portfolio Design Returns #3.
- CMVReconciler3() - Constructor for class org.drip.sample.assetallocationexcel.CMVReconciler3
-
- CMVReconciler4 - Class in org.drip.sample.assetallocationexcel
-
CMV Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against
an XL-based Implementation for Portfolio Design Returns #4.
- CMVReconciler4() - Constructor for class org.drip.sample.assetallocationexcel.CMVReconciler4
-
- CMVReconciler5 - Class in org.drip.sample.assetallocationexcel
-
CMV Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against
an XL-based Implementation for Portfolio Design Returns #5.
- CMVReconciler5() - Constructor for class org.drip.sample.assetallocationexcel.CMVReconciler5
-
- CMVReconciler6 - Class in org.drip.sample.assetallocationexcel
-
CMV Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against
an XL-based Implementation for Portfolio Design Returns #6.
- CMVReconciler6() - Constructor for class org.drip.sample.assetallocationexcel.CMVReconciler6
-
- CMVReconciler7 - Class in org.drip.sample.assetallocationexcel
-
CMV Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against
an XL-based Implementation for Portfolio Design Returns #7.
- CMVReconciler7() - Constructor for class org.drip.sample.assetallocationexcel.CMVReconciler7
-
- CMVReconciler8 - Class in org.drip.sample.assetallocationexcel
-
CMV Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against
an XL-based Implementation for Portfolio Design Returns #8.
- CMVReconciler8() - Constructor for class org.drip.sample.assetallocationexcel.CMVReconciler8
-
- CN1 - Class in org.drip.sample.treasuryfuturesapi
-
CN1 demonstrates the Invocation and Examination of the CN1 10Y CAN Treasury Futures.
- CN1() - Constructor for class org.drip.sample.treasuryfuturesapi.CN1
-
- CN1Attribution - Class in org.drip.sample.treasuryfuturespnl
-
CN1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the
CN1 Series.
- CN1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.CN1Attribution
-
- CN1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
-
CN1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated CN1 Closes Feed.
- CN1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.CN1ClosesReconstitutor
-
- CN1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
-
CN1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the CN1 Treasury Futures.
- CN1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.CN1KeyRateDuration
-
- CNY - Class in org.drip.template.irs
-
CNY contains a Templated Pricing of the OTC Fix-Float CNY IRS Instrument.
- CNY() - Constructor for class org.drip.template.irs.CNY
-
- CNYHoliday - Class in org.drip.analytics.holset
-
- CNYHoliday() - Constructor for class org.drip.analytics.holset.CNYHoliday
-
- coalesce(LatentStateMergeSubStretch) - Method in class org.drip.state.representation.LatentStateMergeSubStretch
-
Coalesce the supplied Merge Stretch with the current one (if possible) to create a new Merge Stretch
- code() - Method in class org.drip.market.exchange.TreasuryFuturesContract
-
Retrieve the Underlying Treasury Code
- code() - Method in class org.drip.market.issue.TreasurySetting
-
Retrieve the Treasury Code
- code() - Method in class org.drip.optimization.regularity.ConstraintQualifier
-
Retrieve the Constraint Qualifier Code
- code() - Method in class org.drip.product.govvie.TreasuryComponent
-
Retrieve the Treasury Code
- code() - Method in class org.drip.product.params.CurrencyPair
-
Get the currency pair code
- code() - Method in class org.drip.state.identifier.RatingLabel
-
Retrieve the Rated Code
- CodeFromMonth(int) - Static method in class org.drip.analytics.date.DateUtil
-
Retrieve the Digit Code corresponding to the Month
- codes() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
-
Retrieve the Treasury Futures Code Array
- codes() - Method in class org.drip.market.exchange.TreasuryFuturesOptionConvention
-
Retrieve the Array of the Exchange Codes
- coefficients() - Method in class org.drip.function.rdtor1.AffineMultivariate
-
Retrieve the Array of the Coefficients
- COFHoliday - Class in org.drip.analytics.holset
-
- COFHoliday() - Constructor for class org.drip.analytics.holset.COFHoliday
-
- collateralChoiceDiscountCurve(String) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Collateral Choice Discount Curve for the specified Pay Currency
- collateralCollateralCorrelation(String, String) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Collateral Currency Pair
- collateralCredit() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
Retrieve the Collateral/Credit Convexity Adjustment
- collateralCredit() - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Retrieve the Collateral/Credit Convexity Adjustment
- collateralCreditCorrelation(String, CreditLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Collateral and the Credit Latent States
- collateralCustomCorrelation(String, CustomLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Collateral and the Custom Metric Latent States
- collateralEquityCorrelation(String, EquityLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Collateral and the Equity Latent States
- collateralForward() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
Retrieve the Collateral/Forward Convexity Adjustment
- collateralForward() - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Retrieve the Collateral/Forward Convexity Adjustment
- collateralForwardCorrelation(String, ForwardLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Collateral and the Forward Latent States
- collateralFunding() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
Retrieve the Collateral/Funding Convexity Adjustment
- collateralFunding() - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Retrieve the Collateral/Funding Convexity Adjustment
- collateralFundingCorrelation(String, FundingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Collateral and the Funding Latent States
- collateralFX() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
Retrieve the Collateral/FX Convexity Adjustment
- collateralFX() - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Retrieve the Collateral/FX Convexity Adjustment
- collateralFXCorrelation(String, FXLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Collateral and the FX Latent State Label
- collateralGovvieCorrelation(String, GovvieLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Collateral and Govvie Latent State Labels
- collateralLabel() - Method in class org.drip.analytics.cashflow.Bullet
-
Return the Collateral Label
- collateralLabel() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Return the Collateral Label
- CollateralLabel - Class in org.drip.state.identifier
-
CollateralLabel contains the Identifier Parameters referencing the Latent State of the named Collateral
Discount Curve.
- collateralOvernightCorrelation(String, OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Collateral and the Overnight Latent States
- collateralPaydownCorrelation(String, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Collateral and Pay-down Latent State Labels
- collateralRatingCorrelation(String, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Collateral and Rating Latent State Labels
- collateralRecoveryCorrelation(String, RecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Collateral and Recovery Latent State Labels
- collateralRepoCorrelation(String, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Collateral and Repo Latent State Labels
- collateralVolatility(CollateralLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Volatility Curve for the specified Collateral Label
- CollectionUtil - Class in org.drip.quant.common
-
The CollectionUtil class implements generic utility functions used in DRIP modules.
- CollectionUtil() - Constructor for class org.drip.quant.common.CollectionUtil
-
- color() - Method in class org.drip.pricer.option.Greeks
-
The Option Color
- combinationMetrics() - Method in class org.drip.portfolioconstruction.bayesian.BlackLittermanCustomConfidenceOutput
-
Retrieve the Bayesian Joint/Posterior Metrics
- combinationPortfolioExpectedReturn(double) - Method in class org.drip.portfolioconstruction.mpt.CapitalAllocationLine
-
Calculate the Combination Portfolio's Expected Returns from the corresponding Standard Deviation
- combinationPortfolioStandardDeviation(double) - Method in class org.drip.portfolioconstruction.mpt.CapitalAllocationLine
-
Compute the Combination Portfolio's Standard Deviation
- combiner() - Method in class org.drip.execution.cost.LinearTemporaryImpact
-
Retrieve the Prior/Conditional Distributions Combiner
- common() - Method in class org.drip.execution.latent.MarketStateSystemic
-
Retrieve the Common Systemic Market State
- Compare(VariateInequalityConstraintMultiplier, VariateInequalityConstraintMultiplier, double, double, int) - Static method in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier
-
Compare the Specified VICM Instances
- compareTo(JulianDate) - Method in class org.drip.analytics.date.JulianDate
-
- compareTo(LatentStateInelastic) - Method in class org.drip.spline.segment.LatentStateInelastic
-
- compJackDPVDManifestMeasure(int) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
Calculate the Jacobian of PV at the given date to the Manifest Measure of each component in the
calibration set to the DF
- compJackDPVDManifestMeasure(JulianDate) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
Calculate the Jacobian of PV at the given date to the Manifest Measure of each component in the
calibration set to the DF
- complementarySlackness() - Method in class org.drip.optimization.constrained.NecessarySufficientConditions
-
Retrieve the Complementary Slackness Necessary Condition
- complementarySlacknessCheck(FritzJohnMultipliers, double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Check for Complementary Slackness across the Inequality Constraints
- ComplexNumber - Class in org.drip.quant.fourier
-
ComplexNumber implements the functionality for dealing with Complex Numbers.
- ComplexNumber(double, double) - Constructor for class org.drip.quant.fourier.ComplexNumber
-
ComplexNumber constructor
- component() - Method in class org.drip.function.definition.UnitVector
-
Retrieve the Unit Vector's Component Array
- component() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
-
Retrieve the Component
- Component - Class in org.drip.product.definition
-
Component abstract class extends the ComponentMarketParamRef and provides the following methods:
- Get the product's initial notional, notional, and coupon.
- Component() - Constructor for class org.drip.product.definition.Component
-
- component() - Method in class org.drip.state.inference.LatentStateSegmentSpec
-
Retrieve the Calibration Component
- component() - Method in class org.drip.state.repo.RepoCurve
-
- component() - Method in interface org.drip.state.repo.RepoEstimator
-
Retrieve the Repo-able Component
- componentCreditDeltaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
-
Retrieve the Component Credit Delta Double Measure Map
- componentCreditGammaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
-
Retrieve the Component Credit Gamma Double Measure Map
- componentCustomMeasures() - Method in class org.drip.analytics.output.BasketMeasures
-
Retrieve the Component Custom Double Measure Map
- ComponentExtractor - Interface in org.drip.quant.eigen
-
ComponentExtractor Interface exposes the Methods that extract the Linear System Components using the Power
Iteration Method.
- componentIRDeltaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
-
Retrieve the Component IR Delta Double Measure Map
- componentIRGammaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
-
Retrieve the Component IR Gamma Double Measure Map
- ComponentMarketParamRef - Interface in org.drip.product.definition
-
ComponentMarketParamRef interface provides stubs for name, IR curve, forward curve, credit curve, TSY
curve, and needed to value the component.
- ComponentMeasures - Class in org.drip.analytics.output
-
ComponentMeasures is the place holder for analytical single component output measures, optionally across
scenarios.
- ComponentMeasures() - Constructor for class org.drip.analytics.output.ComponentMeasures
-
Empty constructor - all members initialized to NaN or null
- componentPair() - Method in class org.drip.market.otc.FloatFloatSwapConvention
-
Retrieve the Flag indicating whether the Float-Float Swap is a Component Pair of 2 Fix-Float Swaps
- ComponentPair - Class in org.drip.product.fx
-
ComponentPair contains the implementation of the dual cross currency components.
- ComponentPair(String, CalibratableComponent, CalibratableComponent, FixingSetting) - Constructor for class org.drip.product.fx.ComponentPair
-
ComponentPair constructor
- ComponentPairDiscountStretch(String, ComponentPair[], ValuationParams, CurveSurfaceQuoteContainer, double[], double[], boolean) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
-
Construct an instance of LatentStateStretchSpec for the Construction of the Discount Curve from the
specified Inputs
- ComponentPairForwardStretch(String, ComponentPair[], ValuationParams, CurveSurfaceQuoteContainer, double[], boolean, boolean) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
-
Construct an instance of LatentStateStretchSpec for the Construction of the Forward Curve from the
specified Inputs
- componentQuote(String) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Retrieve the quote for the given component
- componentQuote(String) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- componentQuotes() - Method in class org.drip.param.definition.ScenarioMarketParams
-
Retrieve the full map of component quotes
- componentQuotes() - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- componentRRDeltaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
-
Retrieve the Component RR Delta Double Measure Map
- componentRRGammaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
-
Retrieve the Component RR Gamma Double Measure Map
- components() - Method in class org.drip.analytics.input.BootCurveConstructionInput
-
- components() - Method in interface org.drip.analytics.input.CurveConstructionInputSet
-
Retrieve the Array of the Calibration Components
- components() - Method in class org.drip.analytics.input.LatentStateShapePreservingCCIS
-
- components() - Method in class org.drip.product.credit.BondBasket
-
- components() - Method in class org.drip.product.credit.CDSBasket
-
- components() - Method in class org.drip.product.definition.BasketProduct
-
Return the Components in the Basket
- components() - Method in class org.drip.product.fx.ComponentPair
-
- components() - Method in class org.drip.sequence.metrics.DualSequenceAgnosticMetrics
-
Retrieve the Array of the Component Single Sequences
- componentTenorCreditDeltaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
-
Retrieve the Component/Tenor Credit Delta Triple Measure Map
- componentTenorCreditGammaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
-
Retrieve the Component/Tenor Credit Gamma Triple Measure Map
- componentTenorIRDeltaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
-
Retrieve the Component/Tenor IR Delta Triple Measure Map
- componentTenorIRGammaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
-
Retrieve the Component/Tenor IR Gamma Triple Measure Map
- ComposableFixedUnitSetting - Class in org.drip.param.period
-
ComposableFixedUnitSetting contains the fixed unit details.
- ComposableFixedUnitSetting(String, int, DateAdjustParams, double, double, String) - Constructor for class org.drip.param.period.ComposableFixedUnitSetting
-
ComposableFixedUnitSetting constructor
- ComposableFloatingUnitSetting - Class in org.drip.param.period
-
ComposableFloatingUnitSetting contains the cash flow periods' composable sub period details.
- ComposableFloatingUnitSetting(String, int, DateAdjustParams, ForwardLabel, int, double) - Constructor for class org.drip.param.period.ComposableFloatingUnitSetting
-
ComposableFloatingUnitSetting constructor
- ComposableUnitBuilderSetting - Class in org.drip.param.period
-
ComposableUnitBuilderSetting contains the composable unit builder details.
- ComposableUnitFixedPeriod - Class in org.drip.analytics.cashflow
-
ComposableUnitFixedPeriod contains the fixed cash flow periods' composable sub period details.
- ComposableUnitFixedPeriod(int, int, UnitCouponAccrualSetting, ComposableFixedUnitSetting) - Constructor for class org.drip.analytics.cashflow.ComposableUnitFixedPeriod
-
The ComposableUnitFixedPeriod constructor
- ComposableUnitFloatingPeriod - Class in org.drip.analytics.cashflow
-
ComposableUnitFloatingPeriod contains the cash flow periods' composable sub period details.
- ComposableUnitFloatingPeriod(int, int, String, ReferenceIndexPeriod, double) - Constructor for class org.drip.analytics.cashflow.ComposableUnitFloatingPeriod
-
The ComposableUnitFloatingPeriod constructor
- ComposableUnitPeriod - Class in org.drip.analytics.cashflow
-
ComposableUnitPeriod contains the cash flow periods' composable unit period details.
- ComposeFromIndex(String, int[]) - Static method in class org.drip.spaces.iterator.IterationHelper
-
Compose a String constructed from the specified Array Index
- compositeConfidenceCovariance() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionExposure
-
Retrieve the Composite Confidence Co-variance
- CompositeFedFundLIBORSwap - Class in org.drip.sample.fedfund
-
CompositeFedFundLIBORSwap demonstrates the Construction, the Valuation, and Bloomberg Metrics Analysis for
the Composite Fed Fund vs.
- CompositeFedFundLIBORSwap() - Constructor for class org.drip.sample.fedfund.CompositeFedFundLIBORSwap
-
- CompositeFixedPeriod - Class in org.drip.analytics.cashflow
-
CompositeFixedPeriod implements the composed fixed coupon period functionality.
- CompositeFixedPeriod(CompositePeriodSetting, List<ComposableUnitPeriod>) - Constructor for class org.drip.analytics.cashflow.CompositeFixedPeriod
-
CompositeFixedPeriod Constructor
- CompositeFloatingPeriod - Class in org.drip.analytics.cashflow
-
CompositeFloatingPeriod implements the composite floating coupon period functionality.
- CompositeFloatingPeriod(CompositePeriodSetting, List<ComposableUnitPeriod>) - Constructor for class org.drip.analytics.cashflow.CompositeFloatingPeriod
-
CompositeFloatingPeriod Constructor
- CompositePeriod - Class in org.drip.analytics.cashflow
-
CompositePeriod implements the composite coupon period functionality.
- CompositePeriodAccrualMetrics - Class in org.drip.analytics.output
-
CompositePeriodAccrualMetrics holds the results of the compounded Composed period Accrual Metrics Estimate
Output.
- CompositePeriodBuilder - Class in org.drip.analytics.support
-
CompositePeriodBuilder exposes the composite period construction functionality.
- CompositePeriodBuilder() - Constructor for class org.drip.analytics.support.CompositePeriodBuilder
-
- CompositePeriodCouponMetrics - Class in org.drip.analytics.output
-
CompositePeriodCouponMetrics holds the results of the compounded Composed period Full Coupon Metrics
Estimate Output.
- CompositePeriodQuoteSet - Class in org.drip.product.calib
-
CompositePeriodQuoteSet implements the composite period's calibration quote set functionality.
- CompositePeriodQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.CompositePeriodQuoteSet
-
CompositePeriodQuoteSet constructor
- CompositePeriodSetting - Class in org.drip.param.period
-
CompositePeriodSetting implements the custom setting parameters for the composite coupon period.
- CompositePeriodSetting(int, String, String, DateAdjustParams, double, Array2D, Array2D, FixingSetting, CreditLabel) - Constructor for class org.drip.param.period.CompositePeriodSetting
-
CompositePeriodSetting Constructor
- compositePeriodTenor() - Method in class org.drip.market.otc.FixedStreamConvention
-
Retrieve the Composite Period Tenor
- compositePeriodTenor() - Method in class org.drip.market.otc.FloatStreamConvention
-
Retrieve the Composite Period Tenor
- compositePriceIncrement() - Method in class org.drip.execution.discrete.ShortfallIncrement
-
Retrieve the Composite Price Increment Instance
- CompositeValue(double[][]) - Static method in class org.drip.spaces.big.SubMatrixSetExtractor
-
Compute the Aggregate Composite Value of the Supplied Matrix
- CompoundBracketingRegressorSet - Class in org.drip.regression.fixedpointfinder
-
CompoundBracketingRegressorSet implements regression run for the Compound Bracketing Fixed Point Search
Method.
- CompoundBracketingRegressorSet() - Constructor for class org.drip.regression.fixedpointfinder.CompoundBracketingRegressorSet
-
- compoundedShortRate() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
-
Retrieve the Compounded Short Rate
- compoundedShortRateIncrement(int, int, int, double, double, int) - Method in class org.drip.dynamics.hjm.MultiFactorStateEvolver
-
Compute the Continuously Compounded Short Rate Increment given the Spot Date, the View Date, the
Target Date, the Continuously Compounded Short Rate, the Current Short Rate, and the View Time
Increment.
- compoundedShortRateIncrement() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
-
Retrieve the Compounded Short Rate Increment
- compounding() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
Retrieve the Compounding Convexity Correction
- CompoundingRun(ForwardLabel) - Static method in class org.drip.sample.ois.CrossOvernightFloatingStream
-
- computeATMBlackVolatility(double, double, double) - Method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
-
Compute the Implied ATM Black Volatility for the ATM Forward Rate and the TTE
- computeBlackVolatility(double, double, double, double) - Method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
-
Compute the Implied Black Volatility for the Specified Strike, the ATM Forward Rate, and the TTE
- ComputeClient - Class in org.drip.service.engine
-
ComputeClient contains the Functionality behind the DRIP API Compute Service Client.
- ComputeClient(String, int) - Constructor for class org.drip.service.engine.ComputeClient
-
ComputeClient Constructor
- computeOperatorIntegral(double[]) - Method in class org.drip.learning.kernel.IntegralOperator
-
Compute the Operator's Kernel Integral across the specified X Variate Instance
- ComputeServer - Class in org.drip.service.engine
-
ComputeServer contains the Functionality behind the DRIP API Compute Service Engine.
- ComputeServer(int) - Constructor for class org.drip.service.engine.ComputeServer
-
ComputServer Constructor
- computeServerHost() - Method in class org.drip.service.engine.ComputeClient
-
Retrieve the Compute Server Host
- computeServerPort() - Method in class org.drip.service.engine.ComputeClient
-
Retrieve the Compute Server Port
- ConcaveImpactNoDrift - Class in org.drip.sample.execution
-
ConcaveImpactNoDrift generates the Trade/Holdings List of Optimal Execution Schedule based on the Concave
Power Law Evolution Walk Parameters specified.
- ConcaveImpactNoDrift() - Constructor for class org.drip.sample.execution.ConcaveImpactNoDrift
-
- concentrationLossBoundEvaluator() - Method in class org.drip.learning.rxtor1.L1LossLearner
-
Retrieve the Concentration of Measure based Loss Expectation Upper Bound Evaluator Instance
- conditional() - Method in class org.drip.execution.bayesian.PriorConditionalCombiner
-
Retrieve the Conditional Price Distribution Instance
- conditional() - Method in class org.drip.measure.bayesian.JointPosteriorMetrics
-
Retrieve the Conditional Distribution
- conditionalDrift() - Method in class org.drip.execution.bayesian.ConditionalPriceDistribution
-
Retrieve the Distribution Conditional Drift
- ConditionalPriceDistribution - Class in org.drip.execution.bayesian
-
ConditionalPriceDistribution holds the Price Distribution Conditional on a given Drift.
- ConditionalPriceDistribution(double, double, double) - Constructor for class org.drip.execution.bayesian.ConditionalPriceDistribution
-
ConditionalPriceDistribution Constructor
- conditionalTargetVariateMetrics(double[], int, SingleSequenceAgnosticMetrics) - Method in class org.drip.sequence.functional.MultivariateRandom
-
Compute the Target Variate Function Metrics Conditional on the specified Input Non-Target Variate
Parameter Sequence
- conditionalTargetVariateMetrics(SingleSequenceAgnosticMetrics[], int[], int) - Method in class org.drip.sequence.functional.MultivariateRandom
-
Compute the Target Variate Function Metrics Conditional on the specified Input Non-target Variate
Parameter Sequence
- conditionOrder() - Method in class org.drip.optimization.constrained.NecessarySufficientConditions
-
Retrieve the Array of Condition Orders
- ConditionQualifier - Class in org.drip.optimization.necessary
-
ConditionQualifier holds the Condition Name, the Condition Order, and the Condition Validity Flag that
correspond to the Necessary and the Sufficient Conditions.
- ConditionQualifier(String, int, boolean) - Constructor for class org.drip.optimization.necessary.ConditionQualifier
-
ConditionQualifier Constructor
- ConditionQualifierComplementarySlackness - Class in org.drip.optimization.necessary
-
ConditionQualifierComplementarySlackness holds the Zero Order Necessary Complementary Slackness Condition.
- ConditionQualifierComplementarySlackness(boolean) - Constructor for class org.drip.optimization.necessary.ConditionQualifierComplementarySlackness
-
ConditionQualifierComplementarySlackness Constructor
- ConditionQualifierDualFeasibility - Class in org.drip.optimization.necessary
-
ConditionQualifierDualFeasibility holds the Zero Order Necessary Dual Feasibility Condition.
- ConditionQualifierDualFeasibility(boolean) - Constructor for class org.drip.optimization.necessary.ConditionQualifierDualFeasibility
-
ConditionQualifierDualFeasibility Constructor
- ConditionQualifierFONC - Class in org.drip.optimization.necessary
-
ConditionQualifierFONC holds the First Order Necessary Condition.
- ConditionQualifierFONC(boolean) - Constructor for class org.drip.optimization.necessary.ConditionQualifierFONC
-
ConditionQualifierFONC Constructor
- ConditionQualifierPrimalFeasibility - Class in org.drip.optimization.necessary
-
ConditionQualifierPrimalFeasibility holds the Zero Order Necessary Primal Feasibility Condition.
- ConditionQualifierPrimalFeasibility(boolean) - Constructor for class org.drip.optimization.necessary.ConditionQualifierPrimalFeasibility
-
ConditionQualifierPrimalFeasibility Constructor
- ConditionQualifierSOSC - Class in org.drip.optimization.necessary
-
ConditionQualifierSOSC holds the Second Order Sufficiency Condition.
- ConditionQualifierSOSC(boolean) - Constructor for class org.drip.optimization.necessary.ConditionQualifierSOSC
-
ConditionQualifierSOSC Constructor
- confidence() - Method in class org.drip.execution.bayesian.PriorDriftDistribution
-
Retrieve the Confidence of the Prior Drift Distribution
- confidence(double) - Method in class org.drip.measure.gaussian.R1UnivariateNormal
-
Compute the Confidence given the Width around the Mean
- confidenceInterval(double) - Method in class org.drip.measure.gaussian.R1UnivariateNormal
-
Compute the Width around the Mean given the Confidence Level
- ConfigLoader - Class in org.drip.param.config
-
ConfigLoader implements the configuration functionality.
- ConfigLoader() - Constructor for class org.drip.param.config.ConfigLoader
-
- CONHoliday - Class in org.drip.analytics.holset
-
- CONHoliday() - Constructor for class org.drip.analytics.holset.CONHoliday
-
- ConnectToAnalServer(String) - Static method in class org.drip.param.config.ConfigLoader
-
Connect to the analytics server from the connection parameters set in the XML Configuration file
- constant() - Method in class org.drip.execution.athl.PermanentImpactQuasiArbitrage
-
- constant() - Method in class org.drip.execution.athl.TemporaryImpact
-
- constant() - Method in class org.drip.execution.impact.ParticipationRatePower
-
- constant() - Method in class org.drip.execution.impact.TransactionFunctionPower
-
Retrieve the Constant Market Impact Parameter
- constant() - Method in class org.drip.execution.principal.OptimalMeasureDependence
-
Retrieve the Constant
- constant() - Method in class org.drip.function.rdtor1.AffineMultivariate
-
Retrieve the Constant
- constant() - Method in class org.drip.learning.bound.MeasureConcentrationExpectationBound
-
Retrieve the Asymptote Constant
- ConstantLiquidityVolatility - Class in org.drip.sample.almgren2003
-
ConstantLiquidityVolatility demonstrates the Dependence of the Optimal Trading Trajectory as a Function of
Constant Trading Enhanced Volatilities.
- ConstantLiquidityVolatility() - Constructor for class org.drip.sample.almgren2003.ConstantLiquidityVolatility
-
- ConstantPaymentBond - Class in org.drip.sample.assetbacked
-
ConstantPaymentBond demonstrates the Construction and Valuation of a Custom Constant Payment Mortgage
Bond.
- ConstantPaymentBond() - Constructor for class org.drip.sample.assetbacked.ConstantPaymentBond
-
- ConstantPaymentBondBuilder - Class in org.drip.product.creator
-
ConstantPaymentBondBuilder contains the Suite of Helper Functions for creating Constant Payments Based
Bonds.
- ConstantPaymentBondBuilder() - Constructor for class org.drip.product.creator.ConstantPaymentBondBuilder
-
- ConstantTradingEnhancedVolatility - Class in org.drip.sample.almgren2003
-
ConstantTradingEnhancedVolatility demonstrates the Generation of the Optimal Trading Trajectory under the
Condition of Constant Trading Enhanced Volatility.
- ConstantTradingEnhancedVolatility() - Constructor for class org.drip.sample.almgren2003.ConstantTradingEnhancedVolatility
-
- ConstantUniformPaymentAmount(double, double, int) - Static method in class org.drip.product.creator.ConstantPaymentBondBuilder
-
Compute the Constant Uniform Payment Amount for the Parameters of the Specified Mortgage Bond
- ConstantYield(int, String, String, double) - Static method in class org.drip.state.creator.ScenarioGovvieCurveBuilder
-
Construct a Govvie Curve from the Specified Date and Yield
- ConstrainedCovarianceEllipsoid - Class in org.drip.sample.rdtor1
-
ConstrainedCovarianceEllipsoid demonstrates the Construction and Usage of a Co-variance Ellipsoid with
Linear Constraints.
- ConstrainedCovarianceEllipsoid() - Constructor for class org.drip.sample.rdtor1.ConstrainedCovarianceEllipsoid
-
- ConstrainedLinearTemporaryImpact - Class in org.drip.execution.cost
-
ConstrainedLinearTemporaryImpact computes and holds the Optimal Trajectory under Trading Rate Sign
Constraints using Linear Temporary Impact Function for the given set of Inputs.
- ConstrainedMeanVarianceOptimizer - Class in org.drip.portfolioconstruction.allocator
-
ConstrainedMeanVarianceOptimizer builds an Optimal Portfolio Based on MPT Using the Asset Pool Statistical
Properties with the Specified Lower/Upper Bounds on the Component Assets.
- ConstrainedMeanVarianceOptimizer(InteriorPointBarrierControl, LineStepEvolutionControl) - Constructor for class org.drip.portfolioconstruction.allocator.ConstrainedMeanVarianceOptimizer
-
ConstrainedMeanVarianceOptimizer Constructor
- constraintFunctionDimension() - Method in class org.drip.function.rdtor1.LagrangianMultivariate
-
Retrieve the Constraint Function Dimension
- constraintFunctionDimension() - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Retrieve the Constraint Function Dimension
- ConstraintFunctionPointMetrics - Class in org.drip.function.rdtor1solver
-
ConstraintFunctionPointMetrics holds the R^d Point Base and Sensitivity Metrics of the Constraint
Function.
- ConstraintFunctionPointMetrics(double[], double[][], double[]) - Constructor for class org.drip.function.rdtor1solver.ConstraintFunctionPointMetrics
-
ConstraintFunctionPointMetrics Constructor
- constraintFunctions() - Method in class org.drip.function.rdtor1.LagrangianMultivariate
-
Retrieve the Array of the Constraint R^d To R^1 Function Instances
- constraintMultipliers() - Method in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier
-
Retrieve the Constraint Multipliers
- ConstraintQualifier - Class in org.drip.optimization.regularity
-
ConstraintQualifier holds the Constraint Name, the Constraint Code, and the Constraint Validity Flag that
correspond to the Regularity Conditions.
- ConstraintQualifier(String, String, boolean) - Constructor for class org.drip.optimization.regularity.ConstraintQualifier
-
ConstraintQualifier Constructor
- ConstraintQualifierCPLDCQ - Class in org.drip.optimization.regularity
-
ConstraintQualifierCPLDCQ holds the Constant Positive Linear Dependence Constraint Qualifier (CPLDCQ).
- ConstraintQualifierCPLDCQ(boolean) - Constructor for class org.drip.optimization.regularity.ConstraintQualifierCPLDCQ
-
ConstraintQualifierCPLDCQ Constructor
- ConstraintQualifierCRCQ - Class in org.drip.optimization.regularity
-
ConstraintQualifierCRCQ holds the Constant Rank Constraint Qualifier (CRCQ).
- ConstraintQualifierCRCQ(boolean) - Constructor for class org.drip.optimization.regularity.ConstraintQualifierCRCQ
-
ConstraintQualifierCRCQ Constructor
- ConstraintQualifierLCQ - Class in org.drip.optimization.regularity
-
ConstraintQualifierLCQ holds the Linear Constraint Qualifier (LCQ).
- ConstraintQualifierLCQ(boolean) - Constructor for class org.drip.optimization.regularity.ConstraintQualifierLCQ
-
ConstraintQualifierLCQ Constructor
- ConstraintQualifierLICQ - Class in org.drip.optimization.regularity
-
ConstraintQualifierLICQ holds the Linear Independence Constraint Qualifier (LICQ).
- ConstraintQualifierLICQ(boolean) - Constructor for class org.drip.optimization.regularity.ConstraintQualifierLICQ
-
ConstraintQualifierLICQ Constructor
- ConstraintQualifierMFCQ - Class in org.drip.optimization.regularity
-
ConstraintQualifierMFCQ holds the Mangasarian-Fromovitz Constraint Qualifier (MFCQ).
- ConstraintQualifierMFCQ(boolean) - Constructor for class org.drip.optimization.regularity.ConstraintQualifierMFCQ
-
ConstraintQualifierMFCQ Constructor
- ConstraintQualifierQNCQ - Class in org.drip.optimization.regularity
-
ConstraintQualifierQNCQ holds the Quasi Normal Constraint Qualifier (QNCQ).
- ConstraintQualifierQNCQ(boolean) - Constructor for class org.drip.optimization.regularity.ConstraintQualifierQNCQ
-
ConstraintQualifierQNCQ Constructor
- ConstraintQualifierSCCQ - Class in org.drip.optimization.regularity
-
ConstraintQualifierSCCQ holds the Slater Condition Constraint Qualifier (SCCQ).
- ConstraintQualifierSCCQ(boolean) - Constructor for class org.drip.optimization.regularity.ConstraintQualifierSCCQ
-
ConstraintQualifierSCCQ Constructor
- constraintSettings() - Method in class org.drip.portfolioconstruction.allocator.PortfolioConstructionParameters
-
Retrieve the Instance of the Portfolio Equality Constraint Settings
- constraintType() - Method in class org.drip.portfolioconstruction.allocator.PortfolioEqualityConstraintSettings
-
Retrieve the Constraint Type
- constraintValue() - Method in class org.drip.spline.params.SegmentResponseValueConstraint
-
Retrieve the Constraint Value
- constraintVariates() - Method in class org.drip.function.rdtor1.ObjectiveConstraintVariateSet
-
Retrieve the Array of the Constraint Function Variates
- ContainerFactory - Interface in org.drip.json.parser
-
ContainerFactory is an Adaptation of the ContainerFactory Interface from the RFC4627 compliant JSON Simple
(https://code.google.com/p/json-simple/).
- containingIndex(double, boolean, boolean) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- containingIndex(double, boolean, boolean) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Return the Index for the Segment containing specified Predictor Ordinate
- containingPeriod(int) - Method in class org.drip.product.rates.Stream
-
Retrieve the Period Instance enveloping the specified Date
- contains(int) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Check whether the supplied Date is inside the Period specified
- contains(String, String, LatentStateLabel) - Method in class org.drip.product.calib.ProductQuoteSet
-
Indicate if the Specified External Latent State Specification is contained in the Array
- contains(String) - Method in class org.drip.product.calib.ProductQuoteSet
-
Indicate if the Manifest Measure is available
- Contains(String) - Static method in class org.drip.service.env.CacheManager
-
The Contains Method checks the Presence of the specified Key
- containsBaseRate() - Method in class org.drip.product.calib.CompositePeriodQuoteSet
-
Indicate if the Base Rate Field exists
- containsBasis() - Method in class org.drip.product.calib.CompositePeriodQuoteSet
-
Indicate if the Basis Field exists
- containsBasis() - Method in class org.drip.product.calib.StreamQuoteSet
-
Indicate if the Basis Field exists
- containsCoupon() - Method in class org.drip.product.calib.FixedStreamQuoteSet
-
Indicate if the Coupon Field exists
- containsCouponBasis() - Method in class org.drip.product.calib.FixedStreamQuoteSet
-
Indicate if the Coupon Basis Field exists
- containsCouponSpread() - Method in class org.drip.product.calib.StreamQuoteSet
-
Indicate if the Coupon/Spread Field exists
- containsDerivedParBasisSpread() - Method in class org.drip.product.calib.FixFloatQuoteSet
-
Indicate if the Derived Par Basis Spread Field exists
- containsDerivedParBasisSpread() - Method in class org.drip.product.calib.FloatFloatQuoteSet
-
Indicate if the Derived Par Basis Spread Field exists
- ContainsFeb29(int, int, int) - Static method in class org.drip.analytics.date.DateUtil
-
Indicate whether there is at least One Leap Day between 2 given Dates
- containsForwardRate() - Method in class org.drip.product.calib.DepositComponentQuoteSet
-
Indicate if the Forward Rate Field exists
- containsForwardRate() - Method in class org.drip.product.calib.FloatingStreamQuoteSet
-
Indicate if the Forward Rate Field exists
- containsFRARate() - Method in class org.drip.product.calib.FRAComponentQuoteSet
-
Indicate if the FRA Rate Field exists
- containsKey(Object) - Method in class org.drip.analytics.support.CaseInsensitiveHashMap
-
- containsKey(Object) - Method in class org.drip.analytics.support.CaseInsensitiveTreeMap
-
- containsLatentState(LatentStateLabel) - Method in class org.drip.dynamics.evolution.LSQMCurveIncrement
-
Indicate if Quantification Metrics are available for the specified Latent State
- containsLatentState(LatentStateLabel) - Method in class org.drip.dynamics.evolution.LSQMCurveSnapshot
-
Indicate if Quantification Metrics are available for the specified Latent State
- containsLatentState(LatentStateLabel) - Method in class org.drip.dynamics.evolution.LSQMPointRecord
-
Indicate if Quantification Metrics are available for the specified Latent State
- containsLatentStateQuantificationMetric(String) - Method in class org.drip.product.calib.ProductQuoteSet
-
Indicate if the requested Latent State Quantification Metric is contained in the Quote Set
- containsLatentStateType(String) - Method in class org.drip.product.calib.ProductQuoteSet
-
Indicate if the requested Latent State Type is contained in the Quote Set
- containsOptionPV() - Method in class org.drip.product.calib.VolatilityProductQuoteSet
-
Indicate if the PV of an Option on the Product Field exists
- containsOutright() - Method in class org.drip.product.calib.FXForwardQuoteSet
-
Indicate if the Terminal FX Forward Outright Field exists
- containsParForwardRate() - Method in class org.drip.product.calib.FRAComponentQuoteSet
-
Indicate if the Par Forward Rate Field exists
- containsPIP() - Method in class org.drip.product.calib.FXForwardQuoteSet
-
Indicate if the Terminal FX Forward PIP Field exists
- containsPrice() - Method in class org.drip.product.calib.FuturesComponentQuoteSet
-
Indicate if the Price Field exists
- containsPV() - Method in class org.drip.product.calib.DepositComponentQuoteSet
-
Indicate if the PV Field exists
- containsPV() - Method in class org.drip.product.calib.FixedStreamQuoteSet
-
Indicate if the PV Field exists
- containsPV() - Method in class org.drip.product.calib.FixFloatQuoteSet
-
Indicate if the PV Field exists
- containsPV() - Method in class org.drip.product.calib.FloatFloatQuoteSet
-
Indicate if the PV Field exists
- containsPV() - Method in class org.drip.product.calib.FloatingStreamQuoteSet
-
Indicate if the PV Field exists
- containsPV() - Method in class org.drip.product.calib.StreamQuoteSet
-
Indicate if the PV Field exists
- containsQM(LatentStateLabel, String) - Method in class org.drip.dynamics.evolution.LSQMCurveIncrement
-
Indicate if the Value for the specified Quantification Metric is available
- containsQM(LatentStateLabel, String) - Method in class org.drip.dynamics.evolution.LSQMCurveSnapshot
-
Indicate if the Value for the specified Quantification Metric is available
- containsQM(LatentStateLabel, String) - Method in class org.drip.dynamics.evolution.LSQMPointRecord
-
Indicate if the Value for the specified Quantification Metric is available
- containsQuote(String) - Method in class org.drip.param.definition.ProductQuote
-
Indicate if the named quote is available
- containsQuote(String) - Method in class org.drip.param.quote.ProductMultiMeasure
-
- containsRate() - Method in class org.drip.product.calib.DepositComponentQuoteSet
-
Indicate if the Rate Field exists
- containsRate() - Method in class org.drip.product.calib.FixFloatQuoteSet
-
Indicate if the Rate Field exists
- containsRate() - Method in class org.drip.product.calib.FuturesComponentQuoteSet
-
Indicate if the Rate Field exists
- containsReferenceParBasisSpread() - Method in class org.drip.product.calib.FixFloatQuoteSet
-
Indicate if the Reference Par Basis Spread Field exists
- containsReferenceParBasisSpread() - Method in class org.drip.product.calib.FloatFloatQuoteSet
-
Indicate if the Reference Par Basis Spread Field exists
- containsRoot() - Method in class org.drip.function.r1tor1solver.FixedPointFinderOutput
-
Indicate whether the root is present in the output, i.e., if the finder has successfully completed.
- containsSpread() - Method in class org.drip.product.calib.FloatingStreamQuoteSet
-
Indicate if the Spread Field exists
- containsSwapRate() - Method in class org.drip.product.calib.FixFloatQuoteSet
-
Indicate if the Swap Rate Field exists
- containsYield() - Method in class org.drip.product.calib.TreasuryBondQuoteSet
-
Indicate if the Yield Field exists
- content() - Method in class org.drip.historical.attribution.PositionChangeComponents
-
Retrieve the Row of Content Fields
- content() - Method in class org.drip.historical.attribution.PositionMarketSnap
-
Retrieve the Row of Content Fields
- ContentHandler - Interface in org.drip.json.parser
-
ContentHandler is an Adaptation of the ContentHandler Interface from the RFC4627 compliant JSON Simple
(https://code.google.com/p/json-simple/).
- Contiguous(String) - Static method in class org.drip.spaces.big.SubStringSetExtractor
-
Extract all the Contiguous Strings available inside the specified Master String
- ContinuousAlmgrenChriss - Class in org.drip.execution.nonadaptive
-
ContinuousAlmgrenChriss contains the Continuous Version of the Discrete Trading Trajectory generated by
the Almgren and Chriss (2000) Scheme under the Criterion of No-Drift.
- ContinuousAlmgrenChriss(OrderSpecification, LinearPermanentExpectationParameters, MeanVarianceObjectiveUtility) - Constructor for class org.drip.execution.nonadaptive.ContinuousAlmgrenChriss
-
ContinuousAlmgrenChriss Constructor
- ContinuousConstantTradingEnhanced - Class in org.drip.execution.nonadaptive
-
ContinuousConstantTradingEnhanced contains the Constant Volatility Trading Trajectory generated by the
Almgren and Chriss (2003) Scheme under the Criterion of No-Drift AND Constant Temporary Impact
Volatility.
- ContinuousCoordinatedVariationDeterministic - Class in org.drip.execution.nonadaptive
-
ContinuousCoordinatedVariationDeterministic uses the Coordinated Variation Version of the Linear
Participation Rate Transaction Function as described in the "Trading Time" Model to construct an Optimal
Trading Trajectory.
- ContinuousCoordinatedVariationStochastic - Class in org.drip.execution.nonadaptive
-
ContinuousCoordinatedVariationStochastic uses the Coordinated Variation Version of the Linear
Participation Rate Transaction Function as described in the "Trading Time" Model to construct an Optimal
Trading Trajectory in the T To Infinite Limit.
- continuousForwardRate() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
-
Retrieve the Continuously Compounded Forward Rate
- continuousForwardRate() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateUpdate
-
Retrieve the Continuously Compounded Forward Rate
- ContinuousForwardRateEvolver - Class in org.drip.dynamics.lmm
-
ContinuousForwardRateEvolver sets up and implements the Multi-Factor No-arbitrage Dynamics of the Rates
State Quantifiers traced from the Evolution of the Continuously Compounded Forward Rate as formulated in:
1) Goldys, B., M.
- ContinuousForwardRateEvolver(FundingLabel, ForwardLabel, MultiFactorVolatility, R1ToR1) - Constructor for class org.drip.dynamics.lmm.ContinuousForwardRateEvolver
-
ContinuousForwardRateEvolver Constructor
- continuousForwardRateIncrement() - Method in class org.drip.dynamics.lmm.BGMCurveUpdate
-
Retrieve the Instantaneous Continuously Compounded Forward Curve Increment Span
- continuousForwardRateIncrement() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
-
Retrieve the Continuously Compounded Forward Rate Increment
- continuousForwardRateIncrement() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateUpdate
-
Retrieve the Continuously Compounded Forward Rate Increment
- continuousForwardRateIncrements() - Method in class org.drip.dynamics.lmm.BGMTenorNodeSequence
-
Retrieve the Array of Tenor Instantaneous Continuously Compounded Forward Rate Increments
- ContinuousForwardRateUpdate - Class in org.drip.dynamics.lmm
-
ContinuousForwardRateUpdate contains the Instantaneous Snapshot of the Evolving Discount Latent State
Quantification Metrics Updated using the Continuously Compounded Forward Rate Dynamics.
- ContinuousForwardRateVolatility - Class in org.drip.sample.lmm
-
ContinuousForwardRateVolatility demonstrates the Implying of the Volatility of the Continuously
Compounded Forward Rate from the Corresponding LIBOR Forward Rate Volatility.
- ContinuousForwardRateVolatility() - Constructor for class org.drip.sample.lmm.ContinuousForwardRateVolatility
-
- continuousForwardVolatility(int, ForwardCurve) - Method in class org.drip.dynamics.lmm.LognormalLIBORVolatility
-
Compute the Volatility of the Continuously Compounded Forward Rate Up to the Target Date
- continuousForwardVolatility(int, MergedDiscountForwardCurve) - Method in class org.drip.dynamics.lmm.LognormalLIBORVolatility
-
Compute the Volatility of the Continuously Compounded Forward Rate Up to the Target Date
- continuousForwardVolatilityConstraint(ForwardCurve, int) - Method in class org.drip.dynamics.lmm.LognormalLIBORVolatility
-
Compute the Constraint in the Difference in the Volatility of the Continuously Compounded Forward Rate
between the Target Date and the Target Date + Forward Tenor
- ContinuousHighUrgencyAsymptote - Class in org.drip.execution.nonadaptive
-
ContinuousHighUrgencyAsymptote contains the High Urgency Asymptote of the Static Continuous Trading
Trajectory generated by the Almgren and Chriss (2000) Scheme under the Criterion of No-Drift.
- ContinuousLowUrgencyAsymptote - Class in org.drip.execution.nonadaptive
-
ContinuousLowUrgencyAsymptote contains the Low Urgency Asymptote of the Static Continuous Trading
Trajectory generated by the Almgren and Chriss (2000) Scheme under the Criterion of No-Drift.
- continuouslyCompoundedForwardIncrement() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
-
Retrieve the Continuously Compounded Forward Rate Increment
- ContinuouslyCompoundedForwardProcess - Class in org.drip.dynamics.lmm
-
ContinuouslyCompoundedForwardProcess implements the Continuously Compounded Forward Rate Process defined
in the LIBOR Market Model.
- ContinuouslyCompoundedForwardProcess(int, R1R1ToR1) - Constructor for class org.drip.dynamics.lmm.ContinuouslyCompoundedForwardProcess
-
ContinuouslyCompoundedForwardProcess Constructor
- continuouslyCompoundedForwardVolatility() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
-
Retrieve the Continuously Compounded Forward Rate Volatility
- continuouslyCompoundedForwardVolatility() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
-
Retrieve the Continuously Compounded Forward Rate Volatility
- continuouslyReinvestedAccrualFactor(int) - Method in class org.drip.dynamics.lmm.ShortRateProcess
-
Retrieve the Continuously Re-invested Accruing Bank Account
- ContinuousPowerImpact - Class in org.drip.execution.nonadaptive
-
ContinuousPowerImpact contains the Temporary Impact Power Law Trading Trajectory generated by the Almgren
and Chriss (2003) Scheme under the Criterion of No-Drift.
- ContinuousTradingTrajectory - Class in org.drip.execution.strategy
-
ContinuousTradingTrajectory holds the Continuous Trajectory of a Trading Block that is to be executed over
the Specified Horizon.
- ContinuousTradingTrajectory(double, R1ToR1, R1ToR1, R1ToR1, R1ToR1) - Constructor for class org.drip.execution.strategy.ContinuousTradingTrajectory
-
ContinuousTradingTrajectory Constructor
- ContinuousTrajectoryConcaveImpact - Class in org.drip.sample.almgren2003
-
ContinuousTrajectoryConcaveImpact reconciles the Characteristic Times of the Optimal Continuous Trading
Trajectory resulting from the Application of the Almgren (2003) Scheme to a Concave Power Law Temporary
Market Impact Function.
- ContinuousTrajectoryConcaveImpact() - Constructor for class org.drip.sample.almgren2003.ContinuousTrajectoryConcaveImpact
-
- ContinuousTrajectoryConvexImpact - Class in org.drip.sample.almgren2003
-
ContinuousTrajectoryConvexImpact reconciles the Characteristic Times of the Optimal Continuous Trading
Trajectory resulting from the Application of the Almgren (2003) Scheme to a Convex Power Law Temporary
Market Impact Function.
- ContinuousTrajectoryConvexImpact() - Constructor for class org.drip.sample.almgren2003.ContinuousTrajectoryConvexImpact
-
- ContinuousTrajectoryLinearImpact - Class in org.drip.sample.almgren2003
-
ContinuousTrajectoryLinearImpact reconciles the Characteristic Times of the Optimal Continuous Trading
Trajectory resulting from the Application of the Almgren (2003) Scheme to a Linear Power Law Temporary
Market Impact Function.
- ContinuousTrajectoryLinearImpact() - Constructor for class org.drip.sample.almgren2003.ContinuousTrajectoryLinearImpact
-
- ContractDefinitions - Class in org.drip.sample.treasuryfutures
-
ContractDefinitions contains all the pre-fixed Definitions of Exchange-traded Treasury Futures Contracts.
- ContractDefinitions() - Constructor for class org.drip.sample.treasuryfutures.ContractDefinitions
-
- ContractEligibilitySettlementDefinitions - Class in org.drip.sample.treasuryfutures
-
ContractEligibilitySettlementDefinitions contains all the pre-fixed Definitions of the Bond Futures
Contracts.
- ContractEligibilitySettlementDefinitions() - Constructor for class org.drip.sample.treasuryfutures.ContractEligibilitySettlementDefinitions
-
- contraintValue() - Method in class org.drip.spline.params.SegmentBasisFlexureConstraint
-
Retrieve the Constraint Value
- control() - Method in class org.drip.execution.nonadaptive.StaticOptimalSchemeDiscrete
-
Retrieve the Discrete Trajectory Control Settings
- control() - Method in class org.drip.function.rdtor1solver.BarrierFixedPointFinder
-
Retrieve the Interior Point Barrier Strength Control Parameters
- control() - Method in class org.drip.function.rdtor1solver.FixedRdFinder
-
Retrieve the Convergence Control Parameters
- ControlNodesGreek - Class in org.drip.execution.sensitivity
-
ControlNodesGreek holds the Point Value, the Jacobian, and the Hessian for a Trajectory/Slice to the
Holdings Control Nodes.
- ControlNodesGreek(double, double[], double[][]) - Constructor for class org.drip.execution.sensitivity.ControlNodesGreek
-
ControlNodesGreek Constructor
- ControlNodesGreekGenerator - Interface in org.drip.execution.sensitivity
-
ControlNodesGreekGenerator exposes the Functionality to compute the Base Value, the Jacobian, and the
Hessian Sensitivities of the Mean and the Variance Contributions to the Permanent Impact, Temporary
Impact, and the Market Core Components.
- CONV_CDS - Static variable in class org.drip.param.quoting.QuotedSpreadInterpreter
-
Conventional CDS Contract
- convAdj() - Method in class org.drip.analytics.output.UnitPeriodConvexityMetrics
-
Retrieve the Convexity Adjustment
- Convention - Class in org.drip.analytics.daycount
-
This class contains flags that indicate where the holidays are loaded from, as well as the holiday types
and load rules.
- Convention() - Constructor for class org.drip.analytics.daycount.Convention
-
- ConventionFromFullName(String) - Static method in class org.drip.market.otc.CreditIndexConventionContainer
-
Retrieve the OTC Credit Index Convention Instance from the Full Index Name
- ConventionFromJurisdiction(String) - Static method in class org.drip.market.otc.CrossFloatConventionContainer
-
Retrieve the Cross-Currency Float-Float Convention Instance from the Jurisdiction Name
- ConventionFromJurisdiction(String, String) - Static method in class org.drip.market.otc.CrossFloatConventionContainer
-
Retrieve the Cross-Currency Float-Float Convention Instance from the Reference/Derived Jurisdiction
Names
- ConventionFromJurisdiction(String) - Static method in class org.drip.market.otc.IBORFixedFloatContainer
-
Retrieve the Fix-Float Convention for the specified Jurisdiction
- ConventionFromJurisdiction(String, String, String, String) - Static method in class org.drip.market.otc.IBORFixedFloatContainer
-
Retrieve the Fix-Float Convention for the specified Jurisdiction for the specified Index, Location,
and Maturity Tenor
- ConventionFromJurisdiction(String) - Static method in class org.drip.market.otc.IBORFloatFloatContainer
-
Retrieve the Float-Float Convention Instance from the Jurisdiction Name
- ConventionFromJurisdiction(String) - Static method in class org.drip.market.otc.SwapOptionSettlementContainer
-
Retrieve the Swap Option Settlement Convention for the specified Jurisdiction
- ConventionFromJurisdictionIndex(String, String) - Static method in class org.drip.market.otc.IBORFixedFloatContainer
-
Retrieve the Fix-Float Convention for the specified Jurisdiction for the specified Index
- ConventionFromJurisdictionLocation(String, String) - Static method in class org.drip.market.otc.IBORFixedFloatContainer
-
Retrieve the Fix-Float Convention for the specified Jurisdiction for the specified Location
- ConventionFromJurisdictionMaturity(String, String) - Static method in class org.drip.market.otc.IBORFixedFloatContainer
-
Retrieve the Fix-Float Convention for the specified Jurisdiction for the specified Maturity Tenor
- ConvergenceControl - Class in org.drip.function.rdtor1solver
-
ConvergenceControl contains the R^d To R^1 Convergence Control/Tuning Parameters.
- ConvergenceControl(int, double, double, int) - Constructor for class org.drip.function.rdtor1solver.ConvergenceControl
-
ConvergenceControl Constructor
- ConvergenceControlParams - Class in org.drip.function.r1tor1solver
-
ConvergenceControlParams holds the fields needed for the controlling the execution of Newton's method.
- ConvergenceControlParams() - Constructor for class org.drip.function.r1tor1solver.ConvergenceControlParams
-
Default Convergence Control Parameters constructor
- ConvergenceControlParams(int, double, double, double) - Constructor for class org.drip.function.r1tor1solver.ConvergenceControlParams
-
ConvergenceControlParams constructor
- ConvergenceOutput - Class in org.drip.function.r1tor1solver
-
ConvergenceOutput extends the ExecutionInitializationOutput by retaining the starting variate that
results from the convergence zone search.
- ConvergenceOutput() - Constructor for class org.drip.function.r1tor1solver.ConvergenceOutput
-
Default ConvergenceOutput constructor: Initializes the output object
- ConvergenceOutput(ExecutionInitializationOutput) - Constructor for class org.drip.function.r1tor1solver.ConvergenceOutput
-
Initialize off of an existing EIOP
- convergenceType() - Method in class org.drip.function.rdtor1solver.ConvergenceControl
-
Retrieve the Convergence Type
- convergeObjectiveFunction(VariateInequalityConstraintMultiplier) - Method in class org.drip.function.rdtor1solver.FixedRdFinder
-
Solve for the Optimal Variate-Inequality Constraint Multiplier Tuple Using the Objective Function
Convergence
- convergeVariate(VariateInequalityConstraintMultiplier) - Method in class org.drip.function.rdtor1solver.FixedRdFinder
-
Solve for the Optimal Variate-Inequality Constraint Multiplier Tuple Using the Variate/Inequality
Constraint Tuple Convergence
- conversionFactor() - Method in class org.drip.historical.attribution.TreasuryFuturesMarketSnap
-
Retrieve the CTD Conversion Factor at Expiry
- conversionFactor() - Method in class org.drip.product.govvie.TreasuryFutures
-
Retrieve the Conversion Factor Array
- conversionFactor() - Method in class org.drip.product.params.CTDEntry
-
Retrieve the CTD Conversion Factor
- Converter - Class in org.drip.json.parser
-
TypeConverter transforms the JSON Object to certain Primitive/Simple Data Type Arrays, i.e., double,
integer, String, or JulianDate Arrays.
- Converter() - Constructor for class org.drip.json.parser.Converter
-
- convexity() - Method in class org.drip.analytics.output.BondRVMeasures
-
Retrieve the Convexity
- convexityAdjustment() - Method in class org.drip.analytics.output.BulletMetrics
-
Retrieve the Terminal Convexity Adjustment
- ConvexityAdjustment - Class in org.drip.analytics.output
-
ConvexityAdjustment holds the dynamical convexity Adjustments between the Latent States.
- ConvexityAdjustment() - Constructor for class org.drip.analytics.output.ConvexityAdjustment
-
Empty ConvexityAdjustment Constructor
- convexityFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from ASW to Work-out
- convexityFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from ASW to Maturity
- convexityFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from ASW to Optimal Exercise
- convexityFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Bond Basis to Work-out
- convexityFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Bond Basis to Maturity
- convexityFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Bond Basis to Optimal Exercise
- convexityFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Credit Basis to Work-out
- convexityFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Credit Basis to Maturity
- convexityFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Credit Basis to Optimal Exercise
- convexityFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Discount Margin to Work-out
- convexityFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Discount Margin to Maturity
- convexityFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Discount Margin to Optimal Exercise
- convexityFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from G Spread to Work-out
- convexityFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from G Spread to Maturity
- convexityFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from G Spread to Optimal Exercise
- convexityFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from I Spread to Work-out
- convexityFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from I Spread to Maturity
- convexityFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from I Spread to Optimal Exercise
- convexityFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from OAS to Work-out
- convexityFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from OAS to Maturity
- convexityFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from OAS to Optimal Exercise
- convexityFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from PECS to Work-out
- convexityFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from PECS to Maturity
- convexityFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from PECS to Optimal Exercise
- convexityFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Price to Work-out
- convexityFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Price to Maturity
- convexityFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Price to Optimal Exercise
- convexityFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from TSY Spread to Work-out
- convexityFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from TSY Spread to Maturity
- convexityFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from TSY Spread to Optimal Exercise
- convexityFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Yield to Work-out
- convexityFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Yield to Maturity
- convexityFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Yield Spread to Work-out
- convexityFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Yield Spread to Maturity
- convexityFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Yield Spread to Optimal Exercise
- convexityFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Yield to Optimal Exercise
- convexityFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Z Spread to Work-out
- convexityFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Z Spread to Maturity
- convexityFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Z Spread to Optimal Exercise
- ConvexMultivariate - Interface in org.drip.function.rdtor1
-
ConvexMultivariate is a Shell Interface that "typifies" a Convex R^d To R^1.
- cookCustomCC(String, String, ValuationParams, MergedDiscountForwardCurve, GovvieCurve, String[], double[], double, LatentStateFixingsContainer, ValuationCustomizationParams, boolean, ManifestMeasureTweak, ManifestMeasureTweak, ManifestMeasureTweak) - Method in class org.drip.param.market.CreditCurveScenarioContainer
-
Cook the credit curve according to the desired tweak parameters
- cookScenarioCC(String, ValuationParams, MergedDiscountForwardCurve, GovvieCurve, String[], double[], double, LatentStateFixingsContainer, ValuationCustomizationParams, boolean, int) - Method in class org.drip.param.market.CreditCurveScenarioContainer
-
Cook and save the credit curves corresponding to the scenario specified
- cookScenarioDC(ValuationParams, GovvieCurve, double[], String[], double, LatentStateFixingsContainer, ValuationCustomizationParams, int) - Method in class org.drip.param.market.DiscountCurveScenarioContainer
-
Generate the set of discount curves from the scenario specified, and the instrument quotes
- CoordinatedMarketState - Class in org.drip.execution.tradingtime
-
CoordinatedMarketState implements the Coordinated Variation Version of the Volatility and the Linear
Transaction Function arising from the Realization of the Market State Variable as described in the
"Trading Time" Model.
- CoordinatedMarketState(CoordinatedVariation) - Constructor for class org.drip.execution.tradingtime.CoordinatedMarketState
-
CoordinatedParticipationRateLinear Constructor
- CoordinatedMarketStateTrajectory - Class in org.drip.sample.almgren2009
-
CoordinatedMarketStateTrajectory traces a Sample Realization of the Market State Trajectory the follows
the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.
- CoordinatedMarketStateTrajectory() - Constructor for class org.drip.sample.almgren2009.CoordinatedMarketStateTrajectory
-
- CoordinatedParticipationRateLinear - Class in org.drip.execution.tradingtime
-
CoordinatedParticipationRateLinear implements the Coordinated Variation Version of the Linear
Participation Rate Transaction Function as described in the "Trading Time" Model.
- CoordinatedParticipationRateLinear(CoordinatedVariation, R1ToR1) - Constructor for class org.drip.execution.tradingtime.CoordinatedParticipationRateLinear
-
CoordinatedParticipationRateLinear Constructor
- CoordinatedVariation(R1ToR1, CoordinatedVariation) - Static method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParametersBuilder
-
Construct a Arithmetic Price Evolution Parameters from Coordinated Variation Instance
- CoordinatedVariation - Class in org.drip.execution.tradingtime
-
CoordinatedVariation implements the Coordinated Variation of the Volatility and Liquidity as described in
the "Trading Time" Model.
- CoordinatedVariation(double, double) - Constructor for class org.drip.execution.tradingtime.CoordinatedVariation
-
CoordinatedVariation Constructor
- coordinatedVariationConstraint() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
-
Retrieve the Coordinated Variation Instance
- CoordinatedVariationDynamic - Class in org.drip.execution.adaptive
-
CoordinatedVariationDynamic implements the HJB-based Single Step Optimal Cost Dynamic Trajectory using the
Coordinated Variation Version of the Stochastic Volatility and the Transaction Function arising from the
Realization of the Market State Variable as described in the "Trading Time" Model.
- CoordinatedVariationDynamic(CoordinatedVariationTrajectoryDeterminant, double[], double[], NonDimensionalCost[]) - Constructor for class org.drip.execution.adaptive.CoordinatedVariationDynamic
-
CoordinatedVariationDynamic Constructor
- CoordinatedVariationRollingHorizon - Class in org.drip.execution.adaptive
-
CoordinatedVariationRollingHorizon implements the "Rolling Horizon" Approximation of the Optimal Cost
Dynamic Trajectory arising from the Coordinated Variation Version of the Stochastic Volatility and the
Transaction Function arising from the Realization of the Market State Variable as described in the
"Trading Time" Model.
- CoordinatedVariationRollingHorizon(CoordinatedVariationTrajectoryDeterminant, double[], double[], double[]) - Constructor for class org.drip.execution.adaptive.CoordinatedVariationRollingHorizon
-
CoordinatedVariationRollingHorizon Constructor
- CoordinatedVariationStatic - Class in org.drip.execution.adaptive
-
CoordinatedVariationStatic implements the Static Trajectory based on the "Mean Equilibrium Market State"
of the Coordinated Variation Version of the Stochastic Volatility and the Transaction Function arising
from the Realization of the Market State Variable as described in the "Trading Time" Model.
- CoordinatedVariationStatic(CoordinatedVariationTrajectoryDeterminant, EfficientTradingTrajectoryContinuous) - Constructor for class org.drip.execution.adaptive.CoordinatedVariationStatic
-
CoordinatedVariationStatic Constructor
- CoordinatedVariationTrajectory - Class in org.drip.execution.adaptive
-
CoordinatedVariationTrajectory holds the "Common" Measures generated from the HJB-based MultiStep Optimal
Cost Dynamic Trajectory Generation using the Coordinated Variation Version of the Stochastic Volatility
and the Transaction Function arising from the Realization of the Market State Variable as described in
the "Trading Time" Model.
- CoordinatedVariationTrajectory(CoordinatedVariationTrajectoryDeterminant) - Constructor for class org.drip.execution.adaptive.CoordinatedVariationTrajectory
-
CoordinatedVariationTrajectory Constructor
- CoordinatedVariationTrajectoryDeterminant - Class in org.drip.execution.adaptive
-
CoordinatedVariationTrajectoryDeterminant contains the HJB-based MultiStep Optimal Cost Dynamic Trajectory
Generation Metrics using the Coordinated Variation Version of the Stochastic Volatility and the
Transaction Function arising from the Realization of the Market State Variable as described in the
"Trading Time" Model.
- CoordinatedVariationTrajectoryDeterminant(double, double, double, double, double, double, double) - Constructor for class org.drip.execution.adaptive.CoordinatedVariationTrajectoryDeterminant
-
CoordinatedVariationTrajectoryDeterminant Constructor
- CoordinatedVariationTrajectoryGenerator - Class in org.drip.execution.adaptive
-
CoordinatedVariationTrajectoryGenerator implements the Continuous HJB-based Single Step Optimal Cost
Trajectory using the Coordinated Variation Version of the Stochastic Volatility and the Transaction
Function arising from the Realization of the Market State Variable as described in the "Trading Time"
Model.
- CoordinatedVariationTrajectoryGenerator(OrderSpecification, CoordinatedVariation, MeanVarianceObjectiveUtility, NonDimensionalCostEvolver, int) - Constructor for class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
-
CoordinatedVariationTrajectoryGenerator Constructor
- CoordinatedVariationTrajectoryState - Class in org.drip.execution.adaptive
-
CoordinatedVariationTrajectoryState holds the HJB-based Multi Step Optimal Trajectory State at each Step
of the Evolution using the Coordinated Variation Version of the Stochastic Volatility and the Transaction
Function arising from the Realization of the Market State Variable as described in the "Trading Time"
Model.
- CoordinatedVariationTrajectoryState(double, double, double, double, double) - Constructor for class org.drip.execution.adaptive.CoordinatedVariationTrajectoryState
-
CoordinatedVariationTrajectoryState Constructor
- COPHoliday - Class in org.drip.analytics.holset
-
- COPHoliday() - Constructor for class org.drip.analytics.holset.COPHoliday
-
- CoreCashFlowMeasures - Class in org.drip.sample.bond
-
CoreCashFlowMeasures contains a demo of the Bond Core Measures and the Cash Flow Sample.
- CoreCashFlowMeasures() - Constructor for class org.drip.sample.bond.CoreCashFlowMeasures
-
- CorporateIssueMetrics - Class in org.drip.sample.bond
-
CashCurveMetrics demonstrates the Bond Set Pricing and Relative Value Measure Generation Functionality.
- CorporateIssueMetrics() - Constructor for class org.drip.sample.bond.CorporateIssueMetrics
-
- Correlated(OrnsteinUhlenbeckProcess2D, double, double, double, int) - Static method in class org.drip.execution.latent.OrnsteinUhlenbeckSequence
-
Construct a Standard Correlated Instance of OrnsteinUhlenbeckSequence
- correlation(String, String) - Method in class org.drip.measure.statistics.MultivariateMoments
-
Retrieve the Correlation between the Named Variate Pair
- correlation(String, String) - Method in class org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
-
Retrieve the Correlation between the Specified Assets
- correlation() - Method in class org.drip.quant.stochastic.OrnsteinUhlenbeckProcess2D
-
Retrieve the Correlation between the Ornstein-Uhlenbeck Processes
- correlation() - Method in class org.drip.sequence.random.MultivariateSequenceGenerator
-
Retrieve the Correlation Matrix
- correlationMatrix() - Method in class org.drip.measure.gaussian.Covariance
-
Retrieve the Correlation Matrix
- COSH - Static variable in class org.drip.function.r1tor1.HyperbolicTension
-
Hyperbolic Tension Function Type - cosh
- cost() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryState
-
Retrieve the Trajectory State Time Node Cost
- costIncrementDistribution(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
-
Generate the R^1 Normal Cost Increment Distribution
- costIncrementRealization(double, WalkSuite, ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
-
Generate the Cost Evolution Increment Unit Realization given the Walk Realization
- costScale() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryDeterminant
-
Retrieve the Cost Scale
- count() - Method in class org.drip.assetbacked.borrower.DelinquentAccountsLast2Years
-
Retrieve the Count of the Delinquent Borrower Accounts over the last Two Years
- count() - Method in class org.drip.assetbacked.borrower.TotalAccounts
-
Retrieve the Borrower's Current Count of the Total Number of Accounts
- count() - Method in class org.drip.assetbacked.loan.InquiriesLast6Months
-
Retrieve the Total Number of Inquiries for the Loan over the Last 6 Months
- count() - Method in class org.drip.execution.latent.OrnsteinUhlenbeckSequence
-
Retrieve the Total Count of States realized
- count() - Method in class org.drip.function.rdtor1solver.ConstraintFunctionPointMetrics
-
Retrieve the Constraint Count
- count() - Method in class org.drip.spaces.big.BinaryTree
-
Retrieve the Node Instance Count
- CountablyFinite(double) - Static method in class org.drip.spaces.tensor.Cardinality
-
Countably Finite Cardinality
- CountablyInfinite() - Static method in class org.drip.spaces.tensor.Cardinality
-
Countably Infinite Cardinality
- counterParty() - Method in class org.drip.param.quote.ProductTick
-
Retrieve the Counter Party
- Coupon - Class in org.drip.assetbacked.loan
-
Coupon contains the current Loan Annualized Coupon Rate and Frequency
- Coupon(double, int) - Constructor for class org.drip.assetbacked.loan.Coupon
-
Coupon Constructor
- coupon() - Method in class org.drip.product.calib.FixedStreamQuoteSet
-
Retrieve the Coupon
- coupon(int, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.BasketProduct
-
Retrieve the basket product's coupon amount at the given date
- coupon(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.rates.Stream
-
Get the Coupon Metrics for the period corresponding to the specified accrual end date
- couponBasis() - Method in class org.drip.product.calib.FixedStreamQuoteSet
-
Retrieve the Coupon Basis
- couponCeilingRate() - Method in class org.drip.product.params.CouponSetting
-
Retrieve the Coupon Ceiling Rate
- couponCurrency() - Method in class org.drip.analytics.cashflow.Bullet
-
Retrieve the Coupon Currency
- couponCurrency() - Method in class org.drip.analytics.cashflow.ComposableUnitFixedPeriod
-
- couponCurrency() - Method in class org.drip.analytics.cashflow.ComposableUnitFloatingPeriod
-
- couponCurrency() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
-
Get the Period Coupon Currency
- couponCurrency() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Retrieve the Coupon Currency
- couponCurrency() - Method in class org.drip.param.period.ComposableFixedUnitSetting
-
Retrieve the Fixed Coupon Currency
- couponCurrency() - Method in class org.drip.product.credit.BondComponent
-
- couponCurrency() - Method in class org.drip.product.credit.CDSComponent
-
- couponCurrency() - Method in interface org.drip.product.definition.BasketMarketParamRef
-
Get the Coupon Currency
- couponCurrency() - Method in class org.drip.product.definition.BasketProduct
-
- couponCurrency() - Method in interface org.drip.product.definition.ComponentMarketParamRef
-
Get the Map of Coupon Currencies
- couponCurrency() - Method in class org.drip.product.fx.FXForwardComponent
-
- couponCurrency() - Method in class org.drip.product.govvie.TreasuryFutures
-
- couponCurrency() - Method in class org.drip.product.option.CDSEuropeanOption
-
- couponCurrency() - Method in class org.drip.product.option.FixFloatEuropeanOption
-
- couponCurrency() - Method in class org.drip.product.option.OptionComponent
-
- couponCurrency() - Method in class org.drip.product.rates.FixFloatComponent
-
- couponCurrency() - Method in class org.drip.product.rates.FloatFloatComponent
-
- couponCurrency() - Method in class org.drip.product.rates.RatesBasket
-
- couponCurrency() - Method in class org.drip.product.rates.SingleStreamComponent
-
- couponCurrency() - Method in class org.drip.product.rates.Stream
-
Retrieve the Coupon Currency
- couponDC() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
-
Retrieve the Coupon Day Count
- couponDC() - Method in class org.drip.param.period.UnitCouponAccrualSetting
-
Retrieve the Coupon Day Count
- couponDC() - Method in class org.drip.product.credit.BondComponent
-
- couponDC() - Method in class org.drip.product.definition.Bond
-
Return the bond's coupon day count
- couponDC() - Method in class org.drip.product.rates.Stream
-
Retrieve the Coupon Day Count
- couponDCF() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Compute the Full Coupon DCF
- couponDCFOffOfFreq() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
-
Retrieve the Flag indicating whether Coupon DCF is computed off of the DCF Flag
- couponDCFOffOfFreq() - Method in class org.drip.param.period.UnitCouponAccrualSetting
-
Retrieve the Flag indicating whether Coupon DCF is computed off of the DCF Flag
- couponEOMAdjustment() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
-
Retrieve the Coupon EOM Adjustment Flag
- couponEOMAdjustment() - Method in class org.drip.param.period.UnitCouponAccrualSetting
-
Retrieve the Coupon EOM Adjustment Flag
- couponEOMAdjustment() - Method in class org.drip.product.rates.Stream
-
Retrieve the Coupon EOM Adjustment
- couponFactor(int) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Period Coupon Schedule Factor Corresponding to the specified Date
- couponFactor(int, int) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Period Coupon Schedule Factor Aggregated over the specified Dates
- couponFloorRate() - Method in class org.drip.product.params.CouponSetting
-
Retrieve the Coupon Floor Rate
- couponMetrics(int, CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Compute the Full Period Coupon Measures
- couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.BondComponent
-
- couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.CDSComponent
-
- couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.Component
-
Get the Product's coupon Metrics at the specified accrual date
- couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.fx.FXForwardComponent
-
- couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.govvie.TreasuryFutures
-
- couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.option.OptionComponent
-
- couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.rates.FixFloatComponent
-
- couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.rates.FloatFloatComponent
-
- couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.rates.RatesBasket
-
- couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.rates.SingleStreamComponent
-
- couponPeriod() - Method in class org.drip.product.definition.BasketProduct
-
Get the basket product's coupon periods
- couponPeriods() - Method in class org.drip.product.credit.BondComponent
-
- couponPeriods() - Method in class org.drip.product.credit.CDSComponent
-
- couponPeriods() - Method in class org.drip.product.definition.Component
-
Get the Product's Cash Flow Periods
- couponPeriods() - Method in class org.drip.product.fx.FXForwardComponent
-
- couponPeriods() - Method in class org.drip.product.govvie.TreasuryFutures
-
- couponPeriods() - Method in class org.drip.product.option.OptionComponent
-
- couponPeriods() - Method in class org.drip.product.rates.FixFloatComponent
-
- couponPeriods() - Method in class org.drip.product.rates.FloatFloatComponent
-
- couponPeriods() - Method in class org.drip.product.rates.RatesBasket
-
- couponPeriods() - Method in class org.drip.product.rates.SingleStreamComponent
-
- couponPV() - Method in class org.drip.analytics.output.BondCouponMeasures
-
Retrieve the Coupon PV
- couponPV() - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Retrieve the Coupon PV
- couponRate() - Method in class org.drip.product.params.CouponSetting
-
Retrieve the Coupon Rate
- couponSchedule() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Get the period Coupon Schedule
- couponSchedule() - Method in class org.drip.param.period.CompositePeriodSetting
-
Retrieve the Coupon Schedule
- couponSetting() - Method in class org.drip.product.credit.BondComponent
-
- couponSetting() - Method in interface org.drip.product.definition.BondProduct
-
Retrieve the bond coupon setting
- CouponSetting - Class in org.drip.product.params
-
CouponSetting contains the coupon type, schedule, and the coupon amount for the component.
- CouponSetting(Array2D, String, double, double, double) - Constructor for class org.drip.product.params.CouponSetting
-
Construct the CouponSetting from the coupon schedule, coupon type, and the coupon amount
- couponSpread() - Method in class org.drip.product.calib.StreamQuoteSet
-
Retrieve the Coupon/Spread
- couponStrike() - Method in class org.drip.param.quoting.QuotedSpreadInterpreter
-
Retrieve the Coupon Strike
- couponType() - Method in class org.drip.product.credit.BondComponent
-
- couponType() - Method in class org.drip.product.definition.Bond
-
Return the bond's coupon type
- couponType() - Method in class org.drip.product.params.CouponSetting
-
Retrieve the Coupon Type
- covariance() - Method in class org.drip.function.rdtor1.CovarianceEllipsoidMultivariate
-
Retrieve the Co-variance Matrix
- covariance() - Method in class org.drip.function.rdtor1.RiskObjectiveUtilityMultivariate
-
Retrieve the Co-variance Matrix
- Covariance - Class in org.drip.measure.gaussian
-
Covariance holds the Standard Covariance Matrix, and provides functions to manipulate it.
- Covariance(double[][]) - Constructor for class org.drip.measure.gaussian.Covariance
-
Covariance Constructor
- covariance() - Method in class org.drip.measure.gaussian.R1MultivariateNormal
-
Compute the Co-variance of the Distribution
- covariance(String, String) - Method in class org.drip.measure.statistics.MultivariateMoments
-
Retrieve the Co-variance of the Named Variate Pair
- covariance(String[]) - Method in class org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
-
Retrieve the Asset Covariance Matrix
- CovarianceEllipsoidMultivariate - Class in org.drip.function.rdtor1
-
CovarianceEllipsoidMultivariate implements an R^d To R^1 Co-variance Estimate of the specified
Distribution.
- CovarianceEllipsoidMultivariate(double[][]) - Constructor for class org.drip.function.rdtor1.CovarianceEllipsoidMultivariate
-
CovarianceEllipsoidMultivariate Constructor
- covarianceMatrix() - Method in class org.drip.measure.gaussian.Covariance
-
Retrieve the Covariance Matrix
- CoveringBoundsHelper - Class in org.drip.spaces.cover
-
CoveringBoundsHelper contains the assortment of Utilities used in the Computation of Upper Bounds for
Normed Single Function Spaces and Function Space Products.
- CoveringBoundsHelper() - Constructor for class org.drip.spaces.cover.CoveringBoundsHelper
-
- coveringLossBoundEvaluator() - Method in class org.drip.learning.rxtor1.GeneralizedLearner
-
Retrieve the Covering Number based Deviation Upper Probability Bound Generator
- CoveringNumberBoundBuilder - Class in org.drip.learning.bound
-
CoveringNumberBoundBuilder constructs the CoveringNumberProbabilityBound Instances for specific Learning
Situations.
- CoveringNumberBoundBuilder() - Constructor for class org.drip.learning.bound.CoveringNumberBoundBuilder
-
- CoveringNumberLossBound - Class in org.drip.learning.bound
-
CoveringNumberLossBound provides the Upper Probability Bound that the Loss/Deviation of the Empirical from
the Actual Mean of the given Learner Class exceeds 'epsilon', using the Covering Number Generalization
Bounds.
- CoveringNumberLossBound(R1ToR1, double, double) - Constructor for class org.drip.learning.bound.CoveringNumberLossBound
-
CoveringNumberLossBound Constructor
- cpldcq() - Method in class org.drip.optimization.constrained.RegularityConditions
-
Retrieve the CPLDCQ Constraint Qualifier
- CRCHoliday - Class in org.drip.analytics.holset
-
- CRCHoliday() - Constructor for class org.drip.analytics.holset.CRCHoliday
-
- crcq() - Method in class org.drip.optimization.constrained.RegularityConditions
-
Retrieve the CRCQ Constraint Qualifier
- creatArrayContainer() - Method in interface org.drip.json.parser.ContainerFactory
-
- Create(ValuationParams, ValuationCustomizationParams, CalibratableComponent[], double[], String[], LatentStateFixingsContainer) - Static method in class org.drip.analytics.input.BootCurveConstructionInput
-
Create an Instance of BootCurveConstructionInput from the given Calibration Inputs
- Create(int, List<UnitPeriodMetrics>) - Static method in class org.drip.analytics.output.CompositePeriodAccrualMetrics
-
CompositePeriodAccrualMetrics Instance from the list of the composite period metrics
- Create(List<UnitPeriodMetrics>) - Static method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
CompositePeriodCouponMetrics Instance from the list of the composite period metrics
- Create(FundingLabel, ForwardLabel, int, int, int, double, double, double, double, double, double, double, double, double, double, double, double) - Static method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
-
Construct an Instance of ShortForwardRateUpdate
- Create(FundingLabel, int, int, int, double, double, double, double, double) - Static method in class org.drip.dynamics.hullwhite.ShortRateUpdate
-
Construct an Instance of ShortRateUpdate
- Create(FundingLabel, ForwardLabel, int, int, ForwardCurve, Span, MergedDiscountForwardCurve, Span, Span, Span, Span, Span, LognormalLIBORVolatility) - Static method in class org.drip.dynamics.lmm.BGMCurveUpdate
-
Construct an Instance of BGMCurveUpdate
- Create(FundingLabel, ForwardLabel, int, int, int, double, double, double, double, double, double, double, double, double, double, double, double) - Static method in class org.drip.dynamics.lmm.BGMPointUpdate
-
Construct an Instance of BGMPointUpdate
- Create(FundingLabel, ForwardLabel, int, int, int, double, double, double, double, double, double, double, double) - Static method in class org.drip.dynamics.lmm.ContinuousForwardRateUpdate
-
Construct an Instance of ContinuousForwardRateUpdate
- Create(FundingLabel, ForwardLabel, int, SegmentCustomBuilderControl) - Static method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
-
Create a LognormalLIBORCurveEvolver Instance
- Create(ForwardLabel, int, int, int, double, double, double, double) - Static method in class org.drip.dynamics.sabr.ForwardRateUpdate
-
ForwardRateUpdate Creator
- Create(JulianDate, double) - Method in class org.drip.market.exchange.DeliverableSwapFutures
-
Create an Instance of the Deliverable Swaps Futures
- Create(MergedDiscountForwardCurve, ForwardCurve, GovvieCurve, CreditCurve, String, ProductQuote, CaseInsensitiveTreeMap<ProductQuote>, LatentStateFixingsContainer) - Static method in class org.drip.param.creator.MarketParamsBuilder
-
Create a Market Parameters instance with the funding discount curve, the forward discount curve, the
govvie curve, the credit curve, the component quote, the map of treasury benchmark quotes, and the
Latent State Fixings Instance.
- Create(MergedDiscountForwardCurve, GovvieCurve, CreditCurve, String, ProductQuote, CaseInsensitiveTreeMap<ProductQuote>, LatentStateFixingsContainer) - Static method in class org.drip.param.creator.MarketParamsBuilder
-
Create a Market Parameters Instance with the Funding Curve, the Govvie Curve, the Credit Curve, the
component quote, the map of treasury benchmark quotes, and the Latent State Fixings Container
- Create(AssetComponent[], AssetUniverseStatisticalProperties) - Static method in class org.drip.portfolioconstruction.allocator.OptimizationOutput
-
Create an Instance of the Optimal Portfolio
- Create(int, int, int, int, int, int, double, String, String, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, String, boolean, String, String, ForwardLabel, CreditLabel) - Static method in class org.drip.product.params.BondStream
-
Construct and Instance of PeriodSet from the specified Parameters
- Create(FunctionSupremumUnivariateRandom, int) - Static method in class org.drip.sequence.custom.GlivenkoCantelliFunctionSupremum
-
Construct an Instance of GlivenkoCantelliFunctionSupremum from the Sample
- Create(BoundedIdempotentUnivariateRandom, int) - Static method in class org.drip.sequence.custom.GlivenkoCantelliUniformDeviation
-
GlivenkoCantelliUniformDeviation Constructor
- Create(double[], double[], double[]) - Static method in class org.drip.spline.params.SegmentBestFitResponse
-
Construct the SegmentBestFitResponse Instance from the given Inputs
- Create(double[], double[]) - Static method in class org.drip.spline.params.SegmentBestFitResponse
-
Construct the SegmentBestFitResponse Instance from the given Predictor Ordinate/Response Pairs, using
Uniform Weightings.
- Create(int, int) - Static method in class org.drip.spline.params.SegmentInelasticDesignControl
-
Create the Inelastic Design Parameters for the desired Ck Criterion and the Roughness Penalty Order
- Create(double[], double[], double[]) - Static method in class org.drip.spline.params.StretchBestFitResponse
-
Construct the StretchBestFitResponse Instance from the given Inputs
- Create(int[], double[], double[]) - Static method in class org.drip.spline.params.StretchBestFitResponse
-
Construct the StretchBestFitResponse Instance from the given Inputs
- Create(double[], double[]) - Static method in class org.drip.spline.params.StretchBestFitResponse
-
Construct the StretchBestFitResponse Instance from the given Predictor Ordinate/Response Pairs, using
Uniform Weightings.
- Create(double[], double[]) - Static method in class org.drip.spline.pchip.AkimaLocalC1Generator
-
Construct an Instance of AkimaLocalC1Generator from the Array of the supplied Predictor Ordinates
and the Response Values
- Create(double[], double[], String, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
Generate the Local Control Stretch in accordance with the desired Customization Parameters
- Create(int[], double[], String, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
Generate the Local Control Stretch in accordance with the desired Customization Parameters
- Create(double[], double[], double) - Static method in class org.drip.spline.pchip.MinimalQuadraticHaganWest
-
Create an instance of MinimalQuadraticHaganWest
- Create(double[], double[], boolean) - Static method in class org.drip.spline.pchip.MonotoneConvexHaganWest
-
Create an instance of MonotoneConvexHaganWest
- Create(double, double, FunctionSet, ResponseScalingShapeControl, SegmentInelasticDesignControl) - Static method in class org.drip.spline.segment.LatentStateResponseModel
-
Build the LatentStateResponseModel instance from the Basis Function/Shape Controller Set
- Create(double, double, BasisEvaluator, SegmentInelasticDesignControl) - Static method in class org.drip.spline.segment.LatentStateResponseModel
-
Build the LatentStateResponseModel instance from the Basis Evaluator Set
- Create(FloaterIndex, String) - Static method in class org.drip.state.identifier.ForwardLabel
-
Construct a ForwardLabel from the tenor and the index
- Create(String, String) - Static method in class org.drip.state.identifier.ForwardLabel
-
Create from the Currency and the Tenor
- Create(String) - Static method in class org.drip.state.identifier.OvernightLabel
-
Construct an OvernightLabel from the Jurisdiction
- Create(OvernightIndex) - Static method in class org.drip.state.identifier.OvernightLabel
-
Construct an OvernightLabel from the Index
- CreateAkimaStretch(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
-
Generate the local control C1 Slope using the Akima Cubic Algorithm.
- createBasisRateShiftedCurve(int[], double[]) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
-
- createBasisRateShiftedCurve(int[], double[]) - Method in class org.drip.state.discount.ExplicitBootDiscountCurve
-
Create a shifted curve from an array of basis shifts
- createBasisRateShiftedCurve(int[], double[]) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
-
- CreateBernsteinPolynomialSplineRegressor(String, String, int, int) - Static method in class org.drip.regression.spline.BasisSplineRegressor
-
Create an instance of Bernstein Polynomial BasisSplineRegressor
- CreateBesselCubicSplineStretch(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
-
Create Hermite/Bessel C1 Cubic Spline Stretch
- CreateBondBasket(String, Bond[], double[]) - Static method in class org.drip.product.creator.BondBasketBuilder
-
BondBasket constructor
- CreateBondFromCF(String, JulianDate, String, String, String, double, double, int, JulianDate[], double[], double[], boolean) - Static method in class org.drip.product.creator.BondBuilder
-
Create a bond from custom/user-defined cash flows and coupon conventions
- CreateBondFromParams(TreasuryBenchmarks, IdentifierSet, CouponSetting, FloaterSetting, QuoteConvention, CreditSetting, TerminationSetting, BondStream, NotionalSetting) - Static method in class org.drip.product.creator.BondBuilder
-
Create the full generic bond object from the complete set of parameters
- CreateCalibratedStretchEstimator(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, BoundarySettings, int) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Create a calibrated Stretch Instance over the specified array of Predictor Ordinates and Response
Values using the specified Basis Splines.
- CreateCalibratedStretchEstimator(String, int[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, BoundarySettings, int) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Create a calibrated Stretch Instance over the specified array of Predictor Ordinates and Response
Values using the specified Basis Splines.
- CreateCalibratedStretchEstimator(String, double[], double, SegmentResponseValueConstraint[], SegmentCustomBuilderControl[], StretchBestFitResponse, BoundarySettings, int) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Create a calibrated Stretch Instance over the specified Predictor Ordinates, Response Values, and their
Constraints, using the specified Segment Builder Parameters.
- CreateCalibratedStretchEstimator(String, double[], SegmentResponseValueConstraint, SegmentResponseValueConstraint[], SegmentCustomBuilderControl[], StretchBestFitResponse, BoundarySettings, int) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Create a calibrated Stretch Instance over the specified Predictor Ordinates and the Response Value
Constraints, with the Segment Builder Parameters.
- CreateCalibratedStretchEstimator(String, double[], double, SegmentCustomBuilderControl, StretchBestFitResponse, BoundarySettings, int) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Create a Calibrated Stretch Instance from the Array of Predictor Ordinates and a flat Response Value
- CreateCCSC(CalibratableComponent[]) - Static method in class org.drip.state.creator.ScenarioCreditCurveBuilder
-
Create CreditScenarioCurve from the array of calibration instruments
- CreateCDS(JulianDate, JulianDate, double, String, CreditSetting, String, boolean) - Static method in class org.drip.product.creator.CDSBuilder
-
Create the credit default swap from the effective/maturity dates, coupon, IR curve name, and
component credit valuation parameters.
- CreateCDS(JulianDate, JulianDate, double, String, double, String, String, boolean) - Static method in class org.drip.product.creator.CDSBuilder
-
Create the credit default swap from the effective/maturity dates, coupon, IR curve name, and
credit curve.
- CreateCDS(JulianDate, String, double, String, CreditSetting, String) - Static method in class org.drip.product.creator.CDSBuilder
-
Create the credit default swap from the effective date, tenor, coupon, IR curve name, and component
credit valuation parameters.
- CreateCDS(JulianDate, String, double, String, String, String) - Static method in class org.drip.product.creator.CDSBuilder
-
Create the credit default swap from the effective/maturity dates, coupon, IR curve name, and credit
curve.
- CreateCDXIdentifierFromCode(String) - Static method in class org.drip.product.params.CDXIdentifier
-
Create the CDX Identifier from the CDX Code
- CreateCDXRefDataBuilder(String, String, String, String, String, int, int, double, String, String, boolean, double, int, String, String, int, String, String, String, int, int, String, double, int, int, String, boolean, boolean, boolean, String, String) - Static method in class org.drip.product.params.CDXRefDataParams
-
Create a CDXRefData instance from valid individual parameters (so no additional validation is
performed).
- CreateExponentialTensionSplineRegressor(String, String, double) - Static method in class org.drip.regression.spline.BasisSplineRegressor
-
Create an instance of Exponential BasisSplineRegressor
- createFixFloatComponent(JulianDate, String, double, double, double) - Method in class org.drip.market.otc.FixedFloatSwapConvention
-
Create a Standardized Fixed-Float Component Instance from the Inputs
- createFixFloatComponentPair(JulianDate, String, String, double, double, double, double) - Method in class org.drip.market.otc.FloatFloatSwapConvention
-
Create an Instance of the Fix-Float Component Pair
- CreateFixingsObject(Bond, JulianDate, double) - Static method in class org.drip.analytics.support.Helper
-
Create the Latent State Fixings object from the bond, the fixings date, and the fixing.
- createFloatFloatComponent(JulianDate, String, double, double, double) - Method in class org.drip.market.otc.CrossFloatSwapConvention
-
Create an Instance of the Float-Float Component
- createFloatFloatComponent(JulianDate, String, String, double, double) - Method in class org.drip.market.otc.FloatFloatSwapConvention
-
Create an Instance of the Float-Float Component
- CreateFromDateDescription(String, String) - Static method in class org.drip.analytics.eventday.Static
-
Create a static holiday from the date string and the description
- CreateFromDateFactorSet(String, String, int, boolean, boolean, int, boolean, double, String, double) - Static method in class org.drip.product.params.EmbeddedOptionSchedule
-
Create the EOS from the dates/factors string arrays
- CreateFromDDMMMYYYY(String) - Static method in class org.drip.analytics.date.DateUtil
-
Create a JulianDate from a String containing the Date in the DDMMMYYYY Format
- CreateFromFlatYield(JulianDate, String, double, String, int) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
Create a Discount Curve from the Flat Yield
- CreateFromJSONMap(CaseInsensitiveTreeMap<String>, ScenarioMarketParams) - Static method in class org.drip.product.creator.BondProductBuilder
-
Create BondProductBuilder from the JSON Map and the input MPC
- CreateFromMDY(String, String) - Static method in class org.drip.analytics.date.DateUtil
-
Create a JulianDate from a String containing Date in the DDMMYYYY Format
- CreateFromResultSet(ResultSet, ScenarioMarketParams) - Static method in class org.drip.product.creator.BondProductBuilder
-
Create BondProductBuilder from the SQL ResultSet and the input MPC
- CreateFromResultSet(ResultSet) - Static method in class org.drip.product.creator.BondRefDataBuilder
-
Create BondRefDataBuilder object from java ResultSet SQL
- CreateFromYMD(int, int, int) - Static method in class org.drip.analytics.date.DateUtil
-
Create a JulianDate from the Year/Month/Date
- CreateFromYMD(String, String) - Static method in class org.drip.analytics.date.DateUtil
-
Create a JulianDate from a String containing Date in the YYYYMMDD Format
- CreateHarmonicMonotoneStretch(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
-
Create the Harmonic Monotone Preserving Stretch.
- CreateHermiteSplineRegressor(String, String, int, int) - Static method in class org.drip.regression.spline.HermiteBasisSplineRegressor
-
Create an instance of Hermite BasisSplineRegressor
- CreateHuynhLeFlochLimiterStretch(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
-
Create the Huynh Le Floch Limiter Stretch.
- CreateHyman83MonotoneStretch(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
-
Create Hyman (1983) Monotone Preserving Stretch.
- CreateHyman89MonotoneStretch(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
-
Create Hyman (1989) enhancement to the Hyman (1983) Monotone Preserving Stretch.
- CreateHyperbolicTensionSplineRegressor(String, String, double) - Static method in class org.drip.regression.spline.BasisSplineRegressor
-
Create an instance of Hyperbolic BasisSplineRegressor
- CreateKaklisPandelisSplineRegressor(String, String, int) - Static method in class org.drip.regression.spline.BasisSplineRegressor
-
Create an instance of the Kaklis-Pandelis BasisSplineRegressor
- CreateKrugerStretch(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
-
Create the Kruger Stretch.
- CreateMarketParams() - Static method in class org.drip.param.creator.MarketParamsBuilder
-
Create MarketParams from the array of calibration instruments
- CreateMonotoneConvexStretch(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int, boolean, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
-
Generate the local control C1 Slope using the Hagan-West Monotone Convex Algorithm.
- createObjectContainer() - Method in interface org.drip.json.parser.ContainerFactory
-
- CreatePolynomialSplineRegressor(String, String, int, int) - Static method in class org.drip.regression.spline.BasisSplineRegressor
-
Create an instance of Polynomial BasisSplineRegressor
- CreateProductQuote() - Static method in class org.drip.param.creator.QuoteBuilder
-
Constructor: Constructs an Empty Product Quote instance.
- CreateProductTickQuote() - Static method in class org.drip.param.creator.QuoteBuilder
-
Constructor: Constructs an Empty Product Tick Quote instance.
- CreateQuote(String, double, double) - Static method in class org.drip.param.creator.QuoteBuilder
-
Constructor: Constructs a Quote object from the quote value and the side string.
- CreateRegressionSplineEstimator(String, double[], SegmentCustomBuilderControl[], StretchBestFitResponse, BoundarySettings, int) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Create a Regression Spline Instance over the specified array of Predictor Ordinate Knot Points and the
Set of the Points to be Best Fit.
- CreateSAPC(JulianDate, String, double, String) - Static method in class org.drip.product.creator.CDSBuilder
-
Create an Standard Asia Pacific CDS contract with full first stub
- CreateSegmentSet(double[], SegmentCustomBuilderControl[]) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Create an uncalibrated Stretch instance over the specified Predictor Ordinate Array using the
specified Basis Spline Parameters for the Segment.
- CreateSimpleFixed(String, String, String, double, int, String, JulianDate, JulianDate, Array2D, Array2D) - Static method in class org.drip.product.creator.BondBuilder
-
Creates a simple fixed bond from parameters
- CreateSimpleFloater(String, String, String, String, double, int, String, JulianDate, JulianDate, Array2D, Array2D) - Static method in class org.drip.product.creator.BondBuilder
-
Create a simple floating rate bond
- CreateSNAC(JulianDate, String, double, String, String, String) - Static method in class org.drip.product.creator.CDSBuilder
-
Create an SNAC style CDS contract with full first stub
- CreateSNAC(JulianDate, String, double, String) - Static method in class org.drip.product.creator.CDSBuilder
-
Create an SNAC style CDS contract with full first stub
- CreateSTEM(JulianDate, String, double, String, String) - Static method in class org.drip.product.creator.CDSBuilder
-
Create an Standard Emerging Market CDS contract with full first stub
- CreateSTEU(JulianDate, String, double, String) - Static method in class org.drip.product.creator.CDSBuilder
-
Create an Standard EU CDS contract with full first stub
- createStream(JulianDate, String, double, double) - Method in class org.drip.market.otc.FixedStreamConvention
-
Create a Fixed Stream Instance
- createStream(JulianDate, String, double, double) - Method in class org.drip.market.otc.FloatStreamConvention
-
Create a Floating Stream Instance
- CreateUncalibratedStretchEstimator(String, double[], SegmentCustomBuilderControl[]) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Create an uncalibrated Stretch instance over the specified Predictor Ordinate Array using the specified
Basis Spline Parameters for the Segment.
- CreateVanLeerLimiterStretch(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
-
Create the Van Leer Limiter Stretch.
- Credit(MergedDiscountForwardCurve, CreditCurve) - Static method in class org.drip.param.creator.MarketParamsBuilder
-
Create a Market Parameters Instance with the Funding Curve and the credit curve
- CREDIT_TWEAK_NODE_MEASURE_HAZARD - Static variable in class org.drip.param.definition.CreditManifestMeasureTweak
-
Tweak Measure Type of Hazard
- CREDIT_TWEAK_NODE_MEASURE_QUOTE - Static variable in class org.drip.param.definition.CreditManifestMeasureTweak
-
Tweak Measure Type of Quote
- CREDIT_TWEAK_NODE_PARAM_QUOTE - Static variable in class org.drip.param.definition.CreditManifestMeasureTweak
-
Tweak Parameter Type of Quote
- CREDIT_TWEAK_NODE_PARAM_RECOVERY - Static variable in class org.drip.param.definition.CreditManifestMeasureTweak
-
Tweak Parameter Type of Recovery
- CreditAnalyticsRegressionEngine - Class in org.drip.regression.curve
-
CreditAnalyticsRegressionEngine implements the RegressionEngine for the curve regression.
- CreditAnalyticsRegressionEngine(int, int) - Constructor for class org.drip.regression.curve.CreditAnalyticsRegressionEngine
-
Initialize the Credit Analytics Regression Engine
- creditBasis() - Method in class org.drip.analytics.output.BondRVMeasures
-
Retrieve the Credit Basis
- creditBasisFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from ASW to Work-out
- creditBasisFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from ASW to Maturity
- creditBasisFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from ASW to Optimal Exercise
- creditBasisFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Bond Basis to Work-out
- creditBasisFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Bond Basis to Maturity
- creditBasisFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Bond Basis to Optimal Exercise
- creditBasisFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Discount Margin to Work-out
- creditBasisFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Discount Margin to Maturity
- creditBasisFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Discount Margin to Optimal Exercise
- creditBasisFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from G Spread to Work-out
- creditBasisFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from G Spread to Maturity
- creditBasisFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from G Spread to Optimal Exercise
- creditBasisFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from I Spread to Work-out
- creditBasisFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from I Spread to Maturity
- creditBasisFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from I Spread to Optimal Exercise
- creditBasisFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from OAS to Work-out
- creditBasisFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from OAS to Maturity
- creditBasisFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from OAS to Optimal Exercise
- creditBasisFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from PECS to Work-out
- creditBasisFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from PECS to Maturity
- creditBasisFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from PECS to Optimal Exercise
- creditBasisFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Price to Work-out
- creditBasisFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Price to Maturity
- creditBasisFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Price to Optimal Exercise
- creditBasisFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from TSY Spread to Work-out
- creditBasisFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from TSY Spread to Maturity
- creditBasisFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from TSY Spread to Optimal Exercise
- creditBasisFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Yield to Work-out
- creditBasisFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Yield to Maturity
- creditBasisFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Yield Spread to Work-out
- creditBasisFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Yield Spread to Maturity
- creditBasisFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Yield Spread to Optimal Exercise
- creditBasisFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Yield to Optimal Exercise
- creditBasisFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Z Spread to Work-out
- creditBasisFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Z Spread to Maturity
- creditBasisFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Z Spread to Optimal Exercise
- CreditCDSIndexMarksReconstitutor - Class in org.drip.feed.transformer
-
CreditCDSIndexMarksReconstitutor transforms the Credit CDS Index Closes - Feed Inputs into Formats
suitable for Valuation Metrics and Sensitivities Generation.
- CreditCDSIndexMarksReconstitutor() - Constructor for class org.drip.feed.transformer.CreditCDSIndexMarksReconstitutor
-
- CreditComponent - Class in org.drip.product.definition
-
CreditComponent is the base abstract class on top of which all credit components are implemented.
- CreditComponent() - Constructor for class org.drip.product.definition.CreditComponent
-
- creditCreditCorrelation(CreditLabel, CreditLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Pair of Credit Latent States
- CreditCurve(JulianDate, String, String[], double[], double[], String, MergedDiscountForwardCurve) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Credit Curve from Overnight Exchange/OTC Market Instruments
- CreditCurve(JulianDate, CreditDefaultSwap[], double[], String, MergedDiscountForwardCurve) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Credit Curve from the specified Calibration CDS Instruments
- CreditCurve - Class in org.drip.state.credit
-
CreditCurve is the stub for the survival curve functionality.
- CreditCurve(ValuationParams, Component, double, String, boolean, int, ExplicitBootCreditCurve, MergedDiscountForwardCurve, GovvieCurve, CreditPricerParams, LatentStateFixingsContainer, ValuationCustomizationParams) - Static method in class org.drip.state.nonlinear.NonlinearCurveBuilder
-
Calibrate a single Hazard Rate Node from the corresponding Component
- CreditCurveAPI - Class in org.drip.service.state
-
CreditCurveAPI computes the Metrics associated the Credit Curve State.
- CreditCurveAPI() - Constructor for class org.drip.service.state.CreditCurveAPI
-
- CreditCurveMetrics - Class in org.drip.historical.state
-
CreditCurveMetrics holds the computed Metrics associated the Credit Curve State.
- CreditCurveMetrics(JulianDate) - Constructor for class org.drip.historical.state.CreditCurveMetrics
-
CreditCurveMetrics Constructor
- creditCurveName() - Method in class org.drip.product.params.CreditSetting
-
Retrieve the Credit Curve Name
- CreditCurveRegressor - Class in org.drip.regression.curve
-
CreditCurveRegressor implements the regression set analysis for the Credit Curve.
- CreditCurveRegressor() - Constructor for class org.drip.regression.curve.CreditCurveRegressor
-
Do Nothing CreditCurveRegressor constructor.
- CreditCurveScenario - Class in org.drip.state.boot
-
CreditCurveScenario uses the hazard rate calibration instruments along with the component calibrator to
produce scenario hazard rate curves.
- CreditCurveScenario() - Constructor for class org.drip.state.boot.CreditCurveScenario
-
- CreditCurveScenarioContainer - Class in org.drip.param.market
-
CreditCurveScenarioContainer contains the place holder for the bump parameters and the curves for the
different credit curve scenarios.
- CreditCurveScenarioContainer(CalibratableComponent[], double, double) - Constructor for class org.drip.param.market.CreditCurveScenarioContainer
-
Construct CreditCurveScenarioContainer from the array of calibration instruments, the coupon bump
parameter, and the recovery bump parameter
- creditCustomMetricCorrelation(CreditLabel, CustomLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Credit and the Custom Metric Latent States
- CreditDefaultSwap - Class in org.drip.product.definition
-
CreditDefaultSwap is the base abstract class implements the pricing, the valuation, and the RV analytics
functionality for the CDS product.
- CreditDefaultSwap() - Constructor for class org.drip.product.definition.CreditDefaultSwap
-
- CreditDefaultSwapClient - Class in org.drip.sample.service
-
CreditDefaultSwapClient demonstrates the Invocation and Examination of the JSON-based CDS Service Client.
- CreditDefaultSwapClient() - Constructor for class org.drip.sample.service.CreditDefaultSwapClient
-
- CreditDefaultSwapProcessor - Class in org.drip.service.json
-
CreditDefaultSwapProcessor Sets Up and Executes a JSON Based In/Out Credit Default Swap Valuation
Processor.
- CreditDefaultSwapProcessor() - Constructor for class org.drip.service.json.CreditDefaultSwapProcessor
-
- creditEquityCorrelation(CreditLabel, EquityLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Credit and the Equity Latent States
- creditFlatBump(BasketProduct, boolean) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Get the Map of credit Flat Bumped Curves for the given Basket Product
- creditFlatBump(BasketProduct, boolean) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- creditForward() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
Retrieve the Credit/Forward Convexity Adjustment
- creditForward() - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Retrieve the Credit/Forward Convexity Adjustment
- creditForwardCorrelation(CreditLabel, ForwardLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Credit and the Forward Latent States
- creditFunding() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
Retrieve the Credit/Funding Convexity Adjustment
- creditFunding() - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Retrieve the Credit/Funding Convexity Adjustment
- creditFundingCorrelation(CreditLabel, FundingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Credit and the Funding Latent States
- creditFX() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
Retrieve the Credit/FX Convexity Adjustment
- creditFX() - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Retrieve the Credit/FX Convexity Adjustment
- creditFXCorrelation(CreditLabel, FXLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Credit and the FX Latent State Labels
- creditGovvieCorrelation(CreditLabel, GovvieLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Credit and the Govvie Latent State Labels
- CreditIndexAPI - Class in org.drip.service.product
-
CreditIndexAPI contains the Functionality associated with the Horizon Analysis of the CDS Index.
- CreditIndexAPI() - Constructor for class org.drip.service.product.CreditIndexAPI
-
- CreditIndexConvention - Class in org.drip.market.otc
-
CreditIndexConvention contains the details of the Credit Index of an OTC Index CDS Contract.
- CreditIndexConvention(String, String, String, String, String, JulianDate, JulianDate, int, String, double, double, int) - Constructor for class org.drip.market.otc.CreditIndexConvention
-
CreditIndexConvention Constructor
- CreditIndexConventionContainer - Class in org.drip.market.otc
-
CreditIndexConventionContainer contains the Conventions of the Credit Index of an OTC Index CDS Contract.
- CreditIndexConventionContainer() - Constructor for class org.drip.market.otc.CreditIndexConventionContainer
-
- CreditIndexDefinitions - Class in org.drip.sample.credit
-
CreditIndexDefinitions displays the Definitions of the CDX NA IG OTC Index CDS Contracts.
- CreditIndexDefinitions() - Constructor for class org.drip.sample.credit.CreditIndexDefinitions
-
- creditLabel() - Method in class org.drip.analytics.cashflow.Bullet
-
Return the Credit Label
- creditLabel() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Return the Credit Label
- creditLabel() - Method in class org.drip.analytics.output.BulletMetrics
-
Retrieve the Credit Label
- creditLabel() - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Retrieve the Credit Label
- creditLabel() - Method in class org.drip.param.period.CompositePeriodSetting
-
Retrieve the Credit Label
- creditLabel() - Method in class org.drip.product.credit.BondComponent
-
- creditLabel() - Method in class org.drip.product.credit.CDSComponent
-
- creditLabel() - Method in interface org.drip.product.definition.BasketMarketParamRef
-
Get the Array of Credit Curve Latent State Identifier Labels
- creditLabel() - Method in class org.drip.product.definition.BasketProduct
-
- creditLabel() - Method in interface org.drip.product.definition.ComponentMarketParamRef
-
Get the Credit Curve Latent State Identifier Label
- creditLabel() - Method in class org.drip.product.fx.FXForwardComponent
-
- creditLabel() - Method in class org.drip.product.govvie.TreasuryFutures
-
- creditLabel() - Method in class org.drip.product.option.OptionComponent
-
- creditLabel() - Method in class org.drip.product.rates.FixFloatComponent
-
- creditLabel() - Method in class org.drip.product.rates.FloatFloatComponent
-
- creditLabel() - Method in class org.drip.product.rates.RatesBasket
-
- creditLabel() - Method in class org.drip.product.rates.SingleStreamComponent
-
- creditLabel() - Method in class org.drip.product.rates.Stream
-
Retrieve the Credit Label
- CreditLabel - Class in org.drip.state.identifier
-
CreditLabel contains the Identifier Parameters referencing the Latent State of the named Credit Curve.
- CreditLabel(String) - Constructor for class org.drip.state.identifier.CreditLabel
-
CreditLabel constructor
- CreditManifestMeasureTweak - Class in org.drip.param.definition
-
CreditManifestMeasureTweak contains the place holder for the credit curve scenario tweak parameters: in
addition to the ResponseValueTweakParams fields, this exposes the calibration manifest measure, the curve
node, and the nodal calibration type (entire curve/flat or a given tenor point).
- CreditManifestMeasureTweak(String, String, int, boolean, double, boolean) - Constructor for class org.drip.param.definition.CreditManifestMeasureTweak
-
CreditManifestMeasureTweak constructor
- creditOvernightCorrelation(CreditLabel, OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Credit and the Overnight Latent States
- creditPaydownCorrelation(CreditLabel, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Credit and the Pay-down Latent State Labels
- CreditPricerParams - Class in org.drip.param.pricer
-
CreditPricerParams contains the Credit Pricer Parameters - the discrete unit size, calibration mode
on/off, survival to pay/end date, and the discretization scheme
- CreditPricerParams(int, CalibrationParams, boolean, int) - Constructor for class org.drip.param.pricer.CreditPricerParams
-
Create the pricer parameters from the discrete unit size, calibration mode on/off, survival to
pay/end date, and the discretization scheme
- creditRatingCorrelation(CreditLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Credit and the Rating Latent State Labels
- creditRecoveryCorrelation(CreditLabel, RecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Credit and the Recovery Latent State Labels
- creditRepoCorrelation(CreditLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Credit and the Repo Latent State Labels
- creditRisklessCleanbcm() - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Retrieve the Credit Risk-less Clean Bond Coupon Measures
- creditRisklessDirtybcm() - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Retrieve the Credit Risk-less Dirty Bond Coupon Measures
- creditRisklessParPV() - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Retrieve the Credit Risk-less Par PV
- creditRisklessPrincipalPV() - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Retrieve the Credit Risk-less Principal PV
- creditRiskyCleanbcm() - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Retrieve the Credit Risky Clean Bond Coupon Measures
- creditRiskyDirtybcm() - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Retrieve the Credit Risky Dirty Bond Coupon Measures
- creditRiskyParPV() - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Retrieve the Credit Risky Par PV
- creditRiskyPrincipalPV() - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Retrieve the Credit Risky Principal PV
- creditSetting() - Method in class org.drip.product.credit.BondComponent
-
- creditSetting() - Method in interface org.drip.product.definition.BondProduct
-
Retrieve the bond credit Setting
- CreditSetting - Class in org.drip.product.params
-
CreditSetting contains the credit related valuation parameters - use default pay lag, use curve or the
component recovery, component recovery, credit curve name, and whether there is accrual on default.
- CreditSetting(int, double, boolean, String, boolean) - Constructor for class org.drip.product.params.CreditSetting
-
Construct the CreditSetting from the default pay lag, use curve or the component recovery flag,
component recovery, credit curve name, and whether there is accrual on default
- creditState(CreditLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Credit Latent State from the Label
- CreditStateClient - Class in org.drip.sample.service
-
CreditStateClient demonstrates the Invocation and Examination of the JSON-based Credit Service Client.
- CreditStateClient() - Constructor for class org.drip.sample.service.CreditStateClient
-
- creditTenorBump(BasketProduct, boolean) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Get the double map of credit Tenor bumped curves for each credit curve for the given Basket Product
- creditTenorBump(BasketProduct, boolean) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- creditTenorMarketParams(Component, boolean) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Get the map of tenor credit bumped Market Parameters corresponding to the component
- creditTenorMarketParams(Component, boolean) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- creditValuationParams() - Method in class org.drip.product.credit.BondComponent
-
- creditValuationParams() - Method in class org.drip.product.credit.CDSComponent
-
- creditValuationParams() - Method in class org.drip.product.definition.CreditComponent
-
Get the credit component's Credit Valuation Parameters
- creditVolatility(CreditLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Volatility Curve for the Credit Latent State
- criticalDrift() - Method in class org.drip.execution.cost.ConstrainedLinearTemporaryImpact
-
Retrieve the Critical Drift
- CrossFixedPlainFloat - Class in org.drip.sample.cross
-
CrossFixedPlainFloat demonstrates the construction, usage, and eventual valuation of a fix-float swap with
a EUR Fixed leg that pays in USD, and a USD Floating Leg.
- CrossFixedPlainFloat() - Constructor for class org.drip.sample.cross.CrossFixedPlainFloat
-
- CrossFixedPlainFloatAnalysis - Class in org.drip.sample.cross
-
CrossFixedPlainFloatAnalysis demonstrates the impact of Funding Volatility, Forward Volatility, and
Funding/Forward Correlation on the Valuation of a fix-float swap with a EUR Fixed leg that pays in USD,
and a USD Floating Leg.
- CrossFixedPlainFloatAnalysis() - Constructor for class org.drip.sample.cross.CrossFixedPlainFloatAnalysis
-
- CrossFloatConventionContainer - Class in org.drip.market.otc
-
CrossFloatConventionContainer contains the Conventions of Standard OTC Cross-Currency Float-Float Swaps.
- CrossFloatConventionContainer() - Constructor for class org.drip.market.otc.CrossFloatConventionContainer
-
- CrossFloatCrossFloat - Class in org.drip.sample.cross
-
CrossFloatCrossFloat demonstrates the construction, usage, and eventual valuation of the Mark-to-market
float-float swap with a 3M EUR Floater leg that pays in USD, and a 6M EUR Floater leg that pays in USD.
- CrossFloatCrossFloat() - Constructor for class org.drip.sample.cross.CrossFloatCrossFloat
-
- CrossFloatCrossFloatAnalysis - Class in org.drip.sample.cross
-
FloatFloatMTMVolAnalysis demonstrates the impact of Funding Volatility, Forward Volatility, and
Funding/Forward, Funding/FX, and Forward/FX Correlation for each of the FRI's on the Valuation of a
float-float swap with a 3M EUR Floater leg that pays in USD, and a 6M EUR Floater leg that pays in USD.
- CrossFloatCrossFloatAnalysis() - Constructor for class org.drip.sample.cross.CrossFloatCrossFloatAnalysis
-
- CrossFloatStreamConvention - Class in org.drip.market.otc
-
CrossFloatStreamConvention contains the Details of the Single Currency Floating Stream of an OTC Contact.
- CrossFloatStreamConvention(String, String, boolean) - Constructor for class org.drip.market.otc.CrossFloatStreamConvention
-
CrossFloatStreamConvention Constructor
- CrossFloatSwapConvention - Class in org.drip.market.otc
-
CrossFloatSwapConvention contains the Details of the Cross-Currency Floating Swap of an OTC contact.
- CrossFloatSwapConvention(CrossFloatStreamConvention, CrossFloatStreamConvention, int, boolean, int) - Constructor for class org.drip.market.otc.CrossFloatSwapConvention
-
CrossFloatSwapConvention Constructor
- crossHoldingsDerivative(double, double) - Method in class org.drip.execution.impact.TransactionFunction
-
Compute the Second Order Sensitivity to the Left/Right Holdings
- crossHorizonDifferentialMetrics(PositionMarketSnap, PositionMarketSnap) - Method in class org.drip.historical.engine.FixFloatExplainProcessor
-
- crossHorizonDifferentialMetrics(PositionMarketSnap, PositionMarketSnap) - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
-
Generate the Horizon Differential Metrics Map
- crossHorizonDifferentialMetrics(PositionMarketSnap, PositionMarketSnap) - Method in class org.drip.historical.engine.TreasuryBondExplainProcessor
-
- CrossOvernightFloatingStream - Class in org.drip.sample.ois
-
CrossOvernightStream demonstrates the construction, customization, and valuation of Cross-Currency
Overnight Floating Streams.
- CrossOvernightFloatingStream() - Constructor for class org.drip.sample.ois.CrossOvernightFloatingStream
-
- crossVolatilityIntegralProduct(int, int, int) - Method in class org.drip.dynamics.lmm.LognormalLIBORVolatility
-
Multi-Factor Cross Volatility Integral
- CSVGrid - Class in org.drip.feed.loader
-
CSVGrid Holds the Outputs of a CSV Parsing Exercise.
- CSVGrid() - Constructor for class org.drip.feed.loader.CSVGrid
-
Empty CSVGrid Constructor
- CSVParser - Class in org.drip.feed.loader
-
CSVParser Parses the Lines of a Comma Separated File into appropriate Data Types.
- CSVParser() - Constructor for class org.drip.feed.loader.CSVParser
-
- CTDEntry - Class in org.drip.product.params
-
CTDEntry implements the Bond Futures CTD Entry Details.
- CTDEntry(Bond, double, double) - Constructor for class org.drip.product.params.CTDEntry
-
CTDEntry Constructor
- ctdName() - Method in class org.drip.historical.attribution.TreasuryFuturesMarketSnap
-
Retrieve the CTD Name
- CubicKLKHyperbolicDFRateShapePreserver(String, ValuationParams, CalibratableComponent[], double[], String[], CalibratableComponent[], double[], String[], boolean) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
Construct an instance of the Shape Preserver of the KLK Hyperbolic Tension Type, using the specified
basis set builder parameters.
- CubicPolyDFRateShapePreserver(String, ValuationParams, CalibratableComponent[], double[], String[], CalibratableComponent[], double[], String[], boolean) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
Construct an instance of the Shape Preserver of the Cubic Polynomial Type, using the specified
basis set builder parameters.
- CubicPolynomialBasisCurve(String, JulianDate, ForwardLabel, ForwardLabel, boolean, String[], double[]) - Static method in class org.drip.state.creator.ScenarioBasisCurveBuilder
-
Create an Instance of the Cubic Polynomial Splined Basis Curve
- CubicPolynomialCurve(String, JulianDate, CurrencyPair, String[], double[], double) - Static method in class org.drip.state.creator.ScenarioFXCurveBuilder
-
Create an Instance of the Cubic Polynomial Splined FX Forward Curve
- CubicPolynomialCurve(String, JulianDate, String, String, int[], double[]) - Static method in class org.drip.state.creator.ScenarioGovvieCurveBuilder
-
Create an Instance of the Cubic Polynomial Splined Govvie Yield Curve
- CubicPolynomialDiscountCurve(String, JulianDate, String, int[], double[]) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
Create an Instance of the Cubic Polynomial Splined DF Discount Curve
- CubicPolynomialRepoCurve(String, JulianDate, Component, int[], double[]) - Static method in class org.drip.state.creator.ScenarioRepoCurveBuilder
-
Create an Instance of the Cubic Polynomial Splined Repo Curve
- CubicPolynomialTermStructure(String, JulianDate, String, String[], double[]) - Static method in class org.drip.state.creator.ScenarioDeterministicVolatilityBuilder
-
Construct the Deterministic Volatility Term Structure Instance based off of a Cubic Polynomial Spline
- CubicPolynomialTermStructure(String, JulianDate, String, String[], double[]) - Static method in class org.drip.state.creator.ScenarioTermStructureBuilder
-
Construct a Term Structure Instance based off of a Cubic Polynomial Spline
- CubicPolynomialWireSurface(String, JulianDate, String, double, double[], String[], double[][]) - Static method in class org.drip.state.creator.ScenarioLocalVolatilityBuilder
-
Construct a Scenario Market Surface off of cubic polynomial wire spline and cubic polynomial surface
Spline.
- CubicPolynomialWireSurface(String, JulianDate, String, double[], String[], double[][]) - Static method in class org.drip.state.creator.ScenarioMarketSurfaceBuilder
-
Construct a Scenario Market Surface off of Cubic Polynomial Wire Spline and Cubic Polynomial Surface
Spline.
- CubicPolyShapePreserver(String, CurrencyPair, int, CalibratableComponent[], double[], String, double) - Static method in class org.drip.state.creator.ScenarioFXCurveBuilder
-
Construct an Instance of the Shape Preserver of the Cubic Polynomial Type, using the Specified Basis
Set Builder Parameters.
- CubicPolyShapePreserver(String, String, String, int, CalibratableComponent[], double[], String) - Static method in class org.drip.state.creator.ScenarioGovvieCurveBuilder
-
Construct an Instance of the Shape Preserver of the Cubic Polynomial Type, using the Specified Basis
Set Builder Parameters.
- CubicRationalLeftRaw - Class in org.drip.spline.bspline
-
CubicRationalLeftRaw implements the TensionBasisHat interface in accordance with the raw left cubic
rational hat basis function laid out in the basic framework outlined in Koch and Lyche (1989), Koch and
Lyche (1993), and Kvasov (2000) Papers.
- CubicRationalLeftRaw(double, double, String, double) - Constructor for class org.drip.spline.bspline.CubicRationalLeftRaw
-
CubicRationalLeftRaw constructor
- CubicRationalRightRaw - Class in org.drip.spline.bspline
-
CubicRationalRightRaw implements the TensionBasisHat interface in accordance with the raw right cubic
rational hat basis function laid out in the basic framework outlined in Koch and Lyche (1989), Koch and
Lyche (1993), and Kvasov (2000) Papers.
- CubicRationalRightRaw(double, double, String, double) - Constructor for class org.drip.spline.bspline.CubicRationalRightRaw
-
CubicRationalRightRaw constructor
- cumulative() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
Retrieve the Cumulative Convexity Correction
- cumulative() - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Retrieve the Cumulative Convexity Correction
- cumulative(double[]) - Method in class org.drip.measure.continuousjoint.R1Multivariate
-
Compute the Cumulative under the Distribution to the given Variate Values
- cumulative(double, double) - Method in class org.drip.measure.continuousjoint.R1R1
-
Compute the Cumulative under the Distribution to the given Variate Pair
- cumulative(double[], double) - Method in class org.drip.measure.continuousjoint.RdR1
-
Compute the Cumulative under the Distribution to the given Variate Array/Variate Combination
- cumulative(double) - Method in class org.drip.measure.continuousmarginal.R1
-
Compute the cumulative under the distribution to the given value
- cumulative(double[]) - Method in class org.drip.measure.continuousmarginal.Rd
-
Compute the Cumulative under the Distribution to the given Variaate Array
- cumulative(double) - Method in class org.drip.measure.discretemarginal.BoundedUniformIntegerDistribution
-
- cumulative(double) - Method in class org.drip.measure.discretemarginal.PoissonDistribution
-
- cumulative(double) - Method in class org.drip.measure.gaussian.R1UnivariateNormal
-
- cumulative(double) - Method in class org.drip.measure.lebesgue.R1PiecewiseDisplaced
-
- cumulative(double) - Method in class org.drip.measure.lebesgue.R1PiecewiseLinear
-
- cumulative(double) - Method in class org.drip.measure.lebesgue.R1Uniform
-
- cumulative(double[]) - Method in class org.drip.measure.lebesgue.RdUniform
-
- cumulativeCouponAmount() - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Retrieve the Cumulative Coupon Amount
- cumulativeCouponAmount() - Method in class org.drip.historical.attribution.PositionMarketSnap
-
Retrieve the Cumulative Coupon Amount
- cumulativeExpectation() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
-
Generate the Array of Cumulative Expectation Sequence
- cumulativeMarketDynamicDrift() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
-
Generate the Array of Cumulative Market Dynamic Cost Drift
- cumulativeMarketDynamicExpectation() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
-
Generate the Array of Cumulative Market Dynamic Expectation Sequence
- cumulativeMarketDynamicWander() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
-
Generate the Array of Cumulative Market Dynamic Cost Wander
- cumulativeMerge(WengertJacobian) - Method in class org.drip.quant.calculus.WengertJacobian
-
Accumulate and merge partial entries from the other CurveWengertJacobian
- cumulativeMerge(WengertJacobian, double) - Method in class org.drip.quant.calculus.WengertJacobian
-
Accumulate and merge the weighted partial entries from the other CurveWengertJacobian
- cumulativePermanentDrift() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
-
Generate the Array of Cumulative Permanent Cost Drift
- cumulativePermanentImpactExpectation() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
-
Generate the Array of Cumulative Permanent Impact Expectation Sequence
- cumulativePermanentWander() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
-
Generate the Array of Cumulative Permanent Cost Wander
- cumulativeTemporaryDrift() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
-
Generate the Array of Cumulative Temporary Cost Drift
- cumulativeTemporaryImpactExpectation() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
-
Generate the Array of Cumulative Temporary Impact Expectation Sequence
- cumulativeTemporaryWander() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
-
Generate the Array of Cumulative Temporary Cost Wander
- cumulativeVariance() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
-
Generate the Array of Cumulative Variance Sequence
- cumulativeViewComponent() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionExposure
-
Compute the Array of Cumulative View Loading Components
- currency() - Method in interface org.drip.analytics.definition.Curve
-
Get the Currency
- currency() - Method in class org.drip.analytics.definition.MarketSurface
-
- currency() - Method in class org.drip.analytics.definition.NodeStructure
-
- currency() - Method in class org.drip.market.definition.FloaterIndex
-
Retrieve the Index Currency
- currency() - Method in class org.drip.market.exchange.DeliverableSwapFutures
-
Retrieve the Currency
- currency() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
-
Retrieve the Treasury Futures Currency
- currency() - Method in class org.drip.market.issue.TreasurySetting
-
Retrieve the Currency
- currency() - Method in class org.drip.market.otc.CreditIndexConvention
-
Retrieve the Currency
- currency() - Method in class org.drip.market.otc.CrossFloatStreamConvention
-
Retrieve the Currency
- currency() - Method in class org.drip.market.otc.FixedStreamConvention
-
Retrieve the Currency
- currency() - Method in class org.drip.market.otc.FloatFloatSwapConvention
-
Retrieve the Currency
- currency() - Method in class org.drip.product.credit.BondComponent
-
- currency() - Method in class org.drip.product.definition.Bond
-
Return the bond's coupon currency
- currency() - Method in class org.drip.service.api.FixFloatFundingInstrument
-
Retrieve the Currency
- currency() - Method in class org.drip.state.basis.BasisCurve
-
- currency() - Method in class org.drip.state.credit.CreditCurve
-
- currency() - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
- currency() - Method in class org.drip.state.discount.ZeroCurve
-
- currency() - Method in class org.drip.state.forward.ForwardCurve
-
- currency() - Method in class org.drip.state.fx.FXCurve
-
- currency() - Method in class org.drip.state.govvie.GovvieCurve
-
- currency() - Method in class org.drip.state.identifier.ForwardLabel
-
Retrieve the Currency
- currency() - Method in class org.drip.state.identifier.OvernightLabel
-
Retrieve the Currency
- currency() - Method in class org.drip.state.repo.RepoCurve
-
- CurrencyBenchmarkCode(String) - Static method in class org.drip.market.issue.TreasurySettingContainer
-
Retrieve the Benchmark Treasury Code for the specified Currency
- CurrencyOrder(String) - Static method in class org.drip.market.definition.FXSettingContainer
-
Retrieve the Order corresponding to the specified Currency
- CurrencyPair(String, String) - Static method in class org.drip.market.definition.FXSettingContainer
-
Retrieve the Currency Pair Instance from the specified Currencies
- currencyPair() - Method in class org.drip.product.fx.FXForwardComponent
-
Get the Currency Pair
- CurrencyPair - Class in org.drip.product.params
-
CurrencyPair class contains the numerator currency, the denominator currency, the quote currency, and the
PIP Factor.
- CurrencyPair(String, String, String, double) - Constructor for class org.drip.product.params.CurrencyPair
-
Construct the currency pair from the numerator currency, the denominator currency, the quote
currency, and the PIP Factor
- currencyPair() - Method in class org.drip.state.fx.FXCurve
-
Return the CurrencyPair
- currencyPair() - Method in class org.drip.state.identifier.FXLabel
-
Retrieve the Currency Pair Instance
- currentCoupon() - Method in class org.drip.product.credit.BondComponent
-
- currentCoupon() - Method in class org.drip.product.definition.Bond
-
Return the current bond coupon
- currentCouponDate(JulianDate) - Method in class org.drip.product.credit.BondComponent
-
- currentCouponDate(JulianDate) - Method in class org.drip.product.definition.Bond
-
Return the coupon date for the period containing the specified date
- currentCouponRate(JulianDate, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.BondComponent
-
- currentCouponRate(JulianDate, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.Bond
-
Return the coupon rate for the period corresponding to the specified date
- currentFairPremium() - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Retrieve the Current Fair Premium
- currentFullCoupon() - Method in class org.drip.product.params.FloaterSetting
-
Retrieve the Full Current Coupon
- currentReferenceYield() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
-
Retrieve the Current Reference Coupon
- currentStep() - Method in class org.drip.execution.evolution.MarketImpactComponent
-
Retrieve the Current Step Contribution
- currentVariate() - Method in class org.drip.function.rdtor1descent.LineEvolutionVerifierMetrics
-
Retrieve the Current Variate Array
- currentVariateFunctionJacobian() - Method in class org.drip.function.rdtor1descent.LineEvolutionVerifierMetrics
-
Retrieve the Function Jacobian at the Current Variate
- currentVariateFunctionValue() - Method in class org.drip.function.rdtor1descent.ArmijoEvolutionVerifierMetrics
-
Retrieve the Function Value at the Current Variate
- currentVariateFunctionValue() - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifierMetrics
-
Retrieve the Function Value at the Current Variate
- currentWanderer() - Method in class org.drip.execution.dynamics.WalkSuite
-
Retrieve the Current Instance of the Walk Wanderer
- cursorVariates() - Method in class org.drip.spaces.iterator.RdSpanningCombinatorialIterator
-
Retrieve the Cursor Variate Array
- curvatureDPE() - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Retrieve the Segment Curvature DPE
- curvatureDPE() - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- curvatureDPE() - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Retrieve the Span Curvature DPE
- CurvatureEvolutionVerifier - Class in org.drip.function.rdtor1descent
-
CurvatuveEvolutionVerifier implements the Armijo Criterion used for the Inexact Line Search Increment
Generation to ascertain that the Gradient of the Function has reduced sufficiently.
- CurvatureEvolutionVerifier(double, boolean) - Constructor for class org.drip.function.rdtor1descent.CurvatureEvolutionVerifier
-
CurvatureEvolutionVerifier Constructor
- CurvatureEvolutionVerifierMetrics - Class in org.drip.function.rdtor1descent
-
CurvatuveEvolutionVerifierMetrics implements the Armijo Criterion used for the Inexact Line Search
Increment Generation to ascertain that the Gradient of the Function has reduced sufficiently.
- CurvatureEvolutionVerifierMetrics(double, boolean, UnitVector, double[], double, double[], double[]) - Constructor for class org.drip.function.rdtor1descent.CurvatureEvolutionVerifierMetrics
-
CurvatureEvolutionVerifierMetrics Constructor
- CurvatureLengthRoughnessPenalty - Class in org.drip.sample.stretch
-
PenalizedCurvatureLCurvatureLengthRoughnessPenaltyengthFit demonstrates the setting up and the usage of
the curvature, the length, and the closeness of fit penalizing spline.
- CurvatureLengthRoughnessPenalty() - Constructor for class org.drip.sample.stretch.CurvatureLengthRoughnessPenalty
-
- curvatureParameter() - Method in class org.drip.function.rdtor1descent.CurvatureEvolutionVerifier
-
Retrieve the Curvature Parameter
- curvatureParameter() - Method in class org.drip.function.rdtor1descent.CurvatureEvolutionVerifierMetrics
-
Retrieve the Curvature Parameter
- curvatureParameter() - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifier
-
Retrieve the Curvature Parameter
- curvatureParameter() - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifierMetrics
-
Retrieve the Curvature Parameter
- curvaturePenaltyControl() - Method in class org.drip.spline.params.SegmentInelasticDesignControl
-
Retrieve the Curvature Penalty Parameters
- CurvatureRoughnessPenaltyFit - Class in org.drip.sample.stretch
-
CurvatureRoughnessPenaltyFit demonstrates the setting up and the usage of the curvature and closeness of
fit penalizing spline.
- CurvatureRoughnessPenaltyFit() - Constructor for class org.drip.sample.stretch.CurvatureRoughnessPenaltyFit
-
- Curve - Interface in org.drip.analytics.definition
-
Curve extends the Latent State to abstract the functionality required among all financial curve.
- CurveConstructionInputSet - Interface in org.drip.analytics.input
-
CurveConstructionInputSet interface contains the Parameters needed for the Curve Calibration/Estimation.
- CurveJacobianRegressionEngine - Class in org.drip.regression.curvejacobian
-
CurveJacobianRegressionEngine implements the RegressionEngine for the curve Jacobian regression.
- CurveJacobianRegressionEngine(int, int) - Constructor for class org.drip.regression.curvejacobian.CurveJacobianRegressionEngine
-
CurveJacobianRegressionEngine constructor
- curveShift1DPnL() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Curve Shift PnL
- curveShiftSwapRate1D() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Curve Shift Swap Rate
- CurveStateEvolver - Interface in org.drip.dynamics.evolution
-
CurveStateEvolver is the Interface on top of which the Curve State Evolution Dynamics is constructed.
- CurveStretch - Class in org.drip.state.estimator
-
CurveStretch expands the regular Multi-Segment Stretch to aid the calibration of Boot-strapped
Instruments.
- CurveStretch(String, LatentStateResponseModel[], SegmentCustomBuilderControl[]) - Constructor for class org.drip.state.estimator.CurveStretch
-
CurveStretch constructor - Construct a sequence of Basis Spline Segments
- CurveSurfaceQuoteContainer - Class in org.drip.param.market
-
CurveSurfaceQuoteContainer provides implementation of the set of the market curve parameters.
- CurveSurfaceQuoteContainer() - Constructor for class org.drip.param.market.CurveSurfaceQuoteContainer
-
Empty CurveSurfaceQuoteSet Constructor
- CurveSurfaceScenarioContainer - Class in org.drip.param.market
-
CurveSurfaceScenarioContainer extends MarketParams abstract class, and is the place holder for the
comprehensive suite of the market set of curves for the given date.
- CurveSurfaceScenarioContainer() - Constructor for class org.drip.param.market.CurveSurfaceScenarioContainer
-
Construct an empty MarketParamsContainer instance
- cusip() - Method in class org.drip.product.credit.BondComponent
-
- cusip() - Method in class org.drip.product.definition.Bond
-
Get the CUSIP
- cusip() - Method in class org.drip.product.params.IdentifierSet
-
Retrieve the CUSIP
- custom() - Method in class org.drip.param.market.CreditCurveScenarioContainer
-
Return the Custom credit curve map
- custom() - Method in class org.drip.param.market.DiscountCurveScenarioContainer
-
Return the Custom Discount curve map
- Custom(String, JulianDate, CalibratableComponent[], MergedDiscountForwardCurve, double[], String[], double, boolean) - Static method in class org.drip.state.creator.ScenarioCreditCurveBuilder
-
Calibrate the base credit curve from the input credit instruments, measures, and the quotes
- CustomBasisCurveBuilder - Class in org.drip.sample.multicurve
-
CustomBasisCurveBuilder contains the sample demonstrating the full functionality behind creating highly
customized spline based Basis curves.
- CustomBasisCurveBuilder() - Constructor for class org.drip.sample.multicurve.CustomBasisCurveBuilder
-
- customConfidenceOutput() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionImpliedConfidenceOutput
-
Retrieve the Custom Projection Confidence Black Litterman Run Output
- customConfidenceRun() - Method in class org.drip.portfolioconstruction.bayesian.BlackLittermanCombinationEngine
-
Conduct a Black Litterman Run using a Theil-like Mixed Model Estimator Using the specified Confidence
Level
- customCustomCorrelation(CustomLabel, CustomLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Custom Metric Latent State Pair
- CustomDENSE(String, ValuationParams, CalibratableComponent[], double[], String, String[], CalibratableComponent[], double[], String, String[], TurnListDiscountFactor) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
Customizable DENSE Curve Creation Methodology - the references are:
- Sankar, L.
- CustomDiscountCurveBuilder - Class in org.drip.sample.stretch
-
CustomDiscountCurveBuilder contains samples that demo how to build a discount curve from purely the cash
flows.
- CustomDiscountCurveBuilder() - Constructor for class org.drip.sample.stretch.CustomDiscountCurveBuilder
-
- customEquityCorrelation(CustomLabel, EquityLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Custom Metric and the Equity Latent States
- CustomFixFloatSwap - Class in org.drip.sample.fixfloat
-
CustomFixFloatSwap demonstrates the Construction and Valuation of a Custom Fix-Float Swap.
- CustomFixFloatSwap() - Constructor for class org.drip.sample.fixfloat.CustomFixFloatSwap
-
- customForwardCorrelation(CustomLabel, ForwardLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Custom Metric and the Forward Latent States
- CustomFRAVolatilityCurve - Class in org.drip.sample.forwardvolatility
-
CustomFRAVolatilityCurve demonstrates the Construction of the FRA Volatility Curve from the FRACap Quotes.
- CustomFRAVolatilityCurve() - Constructor for class org.drip.sample.forwardvolatility.CustomFRAVolatilityCurve
-
- CustomFundingCurveBuilder - Class in org.drip.sample.funding
-
CustomFundingCurveBuilder funding curve calibration and input instrument calibration quote recovery.
- CustomFundingCurveBuilder() - Constructor for class org.drip.sample.funding.CustomFundingCurveBuilder
-
- CustomFundingCurveReconciler - Class in org.drip.sample.funding
-
CustomFundingCurveReconciler demonstrates the multi-stretch transition custom Funding curve
construction, turns application, discount factor extraction, and calibration quote recovery.
- CustomFundingCurveReconciler() - Constructor for class org.drip.sample.funding.CustomFundingCurveReconciler
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- customFXCorrelation(CustomLabel, FXLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
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Retrieve the Correlation Surface between the Custom Metric and the FX Latent States
- CustomFXCurveBuilder - Class in org.drip.sample.fx
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CustomFXCurveBuilder illustrates the Construction and Usage of the FX Forward Curve.
- CustomFXCurveBuilder() - Constructor for class org.drip.sample.fx.CustomFXCurveBuilder
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- customGovvieCorrelation(CustomLabel, GovvieLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
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Retrieve the Correlation Surface between the Custom Metric and the Govvie Latent States
- CustomIBORBuilderSample(MergedDiscountForwardCurve, ForwardCurve, ForwardLabel, SegmentCustomBuilderControl, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, String, boolean) - Static method in class org.drip.sample.forward.IBORCurve
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- CustomIBORBuilderSample2(MergedDiscountForwardCurve, ForwardCurve, ForwardLabel, SegmentCustomBuilderControl, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, String, boolean) - Static method in class org.drip.sample.forward.IBORCurve
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- CustomLabel - Class in org.drip.state.identifier
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CustomLabel contains the Identifier Parameters referencing the Latent State of the named Custom Metric.
- customMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
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Retrieve the Custom Double Measure Map
- customMetricFundingCorrelation(CustomLabel, FundingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
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Retrieve the Correlation Surface between Custom Metric and the Funding Latent States
- customOvernightCorrelation(CustomLabel, OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
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Retrieve the Correlation Surface between the Custom Metric and the Overnight Latent States
- CustomOvernightCurveReconciler - Class in org.drip.sample.overnight
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CustomOvernightCurveReconciler demonstrates the multi-stretch transition custom Overnight curve
construction, turns application, discount factor extraction, and calibration quote recovery.
- CustomOvernightCurveReconciler() - Constructor for class org.drip.sample.overnight.CustomOvernightCurveReconciler
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- customPaydownCorrelation(CustomLabel, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
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Retrieve the Correlation Surface between the Custom Metric and the Pay-down Latent States
- customPivotAnchor() - Method in class org.drip.sequence.metrics.PivotedDepartureBounds
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Retrieve the Custom Pivot Anchor
- customProjectionConfidenceDeviation() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionImpliedConfidenceOutput
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Retrieve the Custom Projection Induced Equilibrium Asset Deviation Array
- customProjectionConfidenceWeight() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionImpliedConfidenceOutput
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Retrieve the Custom Projection Induced Equilibrium Asset Weight Array
- customRatingCorrelation(CustomLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
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Retrieve the Correlation Surface between the Custom Metric and the Rating Latent States
- customRecoveryCorrelation(CustomLabel, RecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
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Retrieve the Correlation Surface between the Custom Metric and the Recovery Latent States
- customRepoCorrelation(CustomLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
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Retrieve the Correlation Surface between the Custom Metric and the Repo Latent States
- CustomRiskUtilitySettings - Class in org.drip.portfolioconstruction.allocator
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CustomRiskUtilitySettings contains the settings used to generate the Risk Objective Utility Function.
- CustomRiskUtilitySettings(double, double) - Constructor for class org.drip.portfolioconstruction.allocator.CustomRiskUtilitySettings
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CustomRiskUtilitySettings Constructor
- customScenarioMeasures(ValuationParams, CreditPricerParams, ScenarioMarketParams, String, ValuationCustomizationParams, CaseInsensitiveTreeMap<Double>) - Method in class org.drip.product.definition.BasketProduct
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Compute Basket's Custom Scenario Measures
- customScenarioMeasures(ValuationParams, CreditPricerParams, ScenarioMarketParams, String, ValuationCustomizationParams, CaseInsensitiveTreeMap<Double>) - Method in class org.drip.product.definition.Component
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Generate a full list of custom measures for the set of scenario market parameters present in
the org.drip.param.definition.MarketParams
- CustomSlopeHermiteSpline(String, double[], double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
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Create a Stretch off of Hermite Splines from the specified the Predictor Ordinates, the Response
Values, the Custom Slopes, and the Segment Builder Parameters.
- CustomSlopeHermiteSpline(String, int[], double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
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Create a Stretch off of Hermite Splines from the specified the Predictor Ordinates, the Response
Values, the Custom Slopes, and the Segment Builder Parameters.
- CustomSplineBasisCurve(String, JulianDate, ForwardLabel, ForwardLabel, boolean, String[], double[], SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioBasisCurveBuilder
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Create an Instance of the Custom Splined Basis Curve
- CustomSplineCurve(String, JulianDate, CurrencyPair, String[], double[], SegmentCustomBuilderControl, double) - Static method in class org.drip.state.creator.ScenarioFXCurveBuilder
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Create an Instance of the Custom Splined FX Forward Curve
- CustomSplineCurve(String, JulianDate, String, String, int[], double[], SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioGovvieCurveBuilder
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Create an Instance of the Custom Splined Govvie Yield Curve
- CustomSplineDiscountCurve(String, JulianDate, String, int[], double[], SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
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Create an Instance of the Custom Splined Discount Curve
- CustomSplineRepoCurve(String, JulianDate, Component, int[], double[], SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioRepoCurveBuilder
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Create an Instance of the Custom Splined Repo Curve
- CustomSplineTermStructure(String, JulianDate, String, int[], double[], SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioDeterministicVolatilityBuilder
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Construct the Deterministic Volatility Term Structure Instance using the specified Custom Spline
- CustomSplineTermStructure(String, JulianDate, String, double[], double[], SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioTermStructureBuilder
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Construct a Term Structure Instance using the specified Custom Spline
- CustomSplineWireSurface(String, JulianDate, String, double, double[], double[], double[][], SegmentCustomBuilderControl, SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioLocalVolatilityBuilder
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Build an Instance of the Volatility Surface using custom wire span and surface splines
- CustomSplineWireSurface(String, JulianDate, String, double[], double[], double[][], SegmentCustomBuilderControl, SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioMarketSurfaceBuilder
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Build an Instance of the Market Node Surface using Custom Wire Span and Surface Splines.
- CustomSwapMeasures - Class in org.drip.sample.oisapi
-
CustomSwapMeasures demonstrates the Invocation and Usage of the OIS API.
- CustomSwapMeasures() - Constructor for class org.drip.sample.oisapi.CustomSwapMeasures
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- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.analytics.definition.MarketSurface
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- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.analytics.definition.NodeStructure
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- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.basis.BasisCurve
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- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.curve.DerivedZeroRate
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- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
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- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
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- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
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- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
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- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.forward.ForwardCurve
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- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.fx.FXCurve
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- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.govvie.GovvieCurve
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- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
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- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.nonlinear.ForwardHazardCreditCurve
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- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.repo.RepoCurve
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- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in interface org.drip.state.representation.LatentState
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Create a LatentState Instance from the Manifest Measure Tweak Parameters
- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.analytics.definition.MarketSurface
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- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.analytics.definition.NodeStructure
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- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.basis.BasisCurve
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- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.curve.DerivedZeroRate
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- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
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- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
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- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
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- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
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- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.forward.ForwardCurve
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- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.fx.FXCurve
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- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.govvie.GovvieCurve
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- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
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- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.nonlinear.ForwardHazardCreditCurve
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- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.repo.RepoCurve
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- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in interface org.drip.state.representation.LatentState
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Create a LatentState Instance from the Quantification Metric Tweak Parameters
- customVolatility(CustomLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
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Retrieve the Volatility Curve for the Custom Metric Latent State
- CustomVolSurfaceBuilder - Class in org.drip.sample.option
-
CustomVolSurfaceBuilder contains an Comparison of the Construction of the Volatility Surface using
different Splining Techniques.
- CustomVolSurfaceBuilder() - Constructor for class org.drip.sample.option.CustomVolSurfaceBuilder
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- CustomWireSurface(String, JulianDate, String, double[], String[], double[][], SegmentCustomBuilderControl, SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioMarketSurfaceBuilder
-
Construct a Scenario Market Surface off of Custom Wire Spline and Custom Surface Spline.
- cyclicalScan() - Method in class org.drip.spaces.iterator.RdSpanningStateSpaceScan
-
Retrieve the Cyclical Scan Flag
- CYPHoliday - Class in org.drip.analytics.holset
-
- CYPHoliday() - Constructor for class org.drip.analytics.holset.CYPHoliday
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- CZKHoliday - Class in org.drip.analytics.holset
-
- CZKHoliday() - Constructor for class org.drip.analytics.holset.CZKHoliday
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- CZKIRSAttribution - Class in org.drip.sample.fixfloatpnl
-
CZKIRSAttribution generates the Historical PnL Attribution for CZK IRS.
- CZKIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.CZKIRSAttribution
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- CZKShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
-
CZKShapePreserving1YStart Generates the Historical CZK Shape Preserving Funding Curve Native Compounded
Forward Rate starting at 1Y Tenor.
- CZKShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.CZKShapePreserving1YStart
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- CZKShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
-
CZKShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the
CZK Input Marks.
- CZKShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.CZKShapePreservingReconstitutor
-