- D() - Method in class org.drip.function.r1tor1.SABRLIBORCapVolatility
-
Return "D"
- DailyMetrics(JulianDate, String[], double[], String, double, String[]) - Static method in class org.drip.service.state.CreditCurveAPI
-
Generate the Horizon Metrics for the Specified Inputs
- DailyMetrics(JulianDate, String[], double[], String[], String[], String, int) - Static method in class org.drip.service.state.FundingCurveAPI
-
Generate the Funding Curve Daily Metrics
- DailyMetrics(JulianDate, String[], double[], String[], String[], String, int) - Static method in class org.drip.service.state.OvernightCurveAPI
-
Generate the Overnight Curve Horizon Metrics for the Specified Date
- dailyVolatility() - Method in class org.drip.execution.parameters.AssetFlowSettings
-
Retrieve the Daily Volatility
- dailyVolumeExecutionFactor() - Method in class org.drip.execution.parameters.PriceMarketImpactPower
-
Retrieve the Daily Reference Execution Rate as a Proportion of the Daily Volume
- DaJagannathan2005a - Class in org.drip.sample.blacklitterman
-
DaJagannathan2005a reconciles the Outputs of the Black-Litterman Model Process.
- DaJagannathan2005a() - Constructor for class org.drip.sample.blacklitterman.DaJagannathan2005a
-
- DaJagannathan2005b - Class in org.drip.sample.blacklitterman
-
DaJagannathan2005b reconciles the Outputs of the Black-Litterman Model Process.
- DaJagannathan2005b() - Constructor for class org.drip.sample.blacklitterman.DaJagannathan2005b
-
- DaJagannathan2005c - Class in org.drip.sample.blacklitterman
-
DaJagannathan2005c reconciles the Outputs of the Black-Litterman Model Process.
- DaJagannathan2005c() - Constructor for class org.drip.sample.blacklitterman.DaJagannathan2005c
-
- DaJagannathan2005d - Class in org.drip.sample.blacklitterman
-
DaJagannathan2005d reconciles the Outputs of the Black-Litterman Model Process.
- DaJagannathan2005d() - Constructor for class org.drip.sample.blacklitterman.DaJagannathan2005d
-
- DaJagannathan2005e - Class in org.drip.sample.blacklitterman
-
DaJagannathan2005e reconciles the Outputs of the Black-Litterman Model Process.
- DaJagannathan2005e() - Constructor for class org.drip.sample.blacklitterman.DaJagannathan2005e
-
- dap() - Method in class org.drip.param.period.FixingSetting
-
Retrieve the Fixing DAP
- dapEdge() - Method in class org.drip.param.period.ComposableUnitBuilderSetting
-
Retrieve the Edge Date Adjust Parameters
- dapPay() - Method in class org.drip.param.period.CompositePeriodSetting
-
Retrieve the Pay DAP
- dataDependentVarianceBound(double[]) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumMetrics
-
Retrieve the Univariate Sequence Dependent Variance Bound
- dataDependentVarianceBound(double[][]) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumMetrics
-
Retrieve the Multivariate Sequence Dependent Variance Bound
- date() - Method in class org.drip.analytics.date.DateTime
-
Retrieve the Date
- Date(int) - Static method in class org.drip.analytics.date.DateUtil
-
Return the Date given the Julian Date represented by the Integer.
- date() - Method in class org.drip.analytics.output.ExerciseInfo
-
Retrieve the Exercise Date
- date() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
-
Retrieve the Tenor Date
- date(String) - Method in class org.drip.historical.attribution.PositionMarketSnap
-
Retrieve the Custom Date Entry corresponding to the Specified Key
- date(String) - Method in class org.drip.historical.sensitivity.TenorDurationNodeMetrics
-
Retrieve the Custom Date Entry corresponding to the Specified Key
- date() - Method in class org.drip.param.valuation.WorkoutInfo
-
Retrieve the Work-out Date
- date() - Method in class org.drip.service.api.DateDiscountCurvePair
-
Retrieve the COB
- date() - Method in class org.drip.service.api.DiscountCurveInputInstrument
-
Retrieve the Curve Epoch Date
- DATE_PHASE_AFTER_MORTALITY - Static variable in class org.drip.portfolioconstruction.alm.InvestorCliffSettings
-
Date Phase - After Death
- DATE_PHASE_AFTER_RETIREMENT - Static variable in class org.drip.portfolioconstruction.alm.InvestorCliffSettings
-
Date Phase - After Retirement
- DATE_PHASE_BEFORE_RETIREMENT - Static variable in class org.drip.portfolioconstruction.alm.InvestorCliffSettings
-
Date Phase - Before Retirement
- DATE_ROLL_ACTUAL - Static variable in class org.drip.analytics.daycount.Convention
-
Date Roll Actual
- DATE_ROLL_FOLLOWING - Static variable in class org.drip.analytics.daycount.Convention
-
Date Roll Following
- DATE_ROLL_MODIFIED_FOLLOWING - Static variable in class org.drip.analytics.daycount.Convention
-
Date Roll Modified Following
- DATE_ROLL_MODIFIED_FOLLOWING_BIMONTHLY - Static variable in class org.drip.analytics.daycount.Convention
-
Date Roll Modified Following Bi-monthly
- DATE_ROLL_MODIFIED_PREVIOUS - Static variable in class org.drip.analytics.daycount.Convention
-
Date Roll Modified Previous
- DATE_ROLL_PREVIOUS - Static variable in class org.drip.analytics.daycount.Convention
-
Date Roll Previous
- DateAdjustParams - Class in org.drip.analytics.daycount
-
This class contains the parameters needed for adjusting dates.
- DateAdjustParams(int, int, String) - Constructor for class org.drip.analytics.daycount.DateAdjustParams
-
Create a DateAdjustParams instance from the roll mode and the calendar
- dateArrayAtColumn(int) - Method in class org.drip.feed.loader.CSVGrid
-
Retrieve the Array of JulianDate corresponding to the specified Column Index
- DateArrayEntry(JSONObject, String) - Static method in class org.drip.json.parser.Converter
-
Convert the JSON Entry to a Date Array
- DateDiscountCurvePair - Class in org.drip.service.api
-
DateDiscountCurvePair contains the COB/Discount Curve Pair, and the corresponding computed outputs.
- DateDiscountCurvePair(JulianDate, MergedDiscountForwardCurve, List<String>) - Constructor for class org.drip.service.api.DateDiscountCurvePair
-
DateDiscountCurvePair constructor
- DateEntry(JSONObject, String) - Static method in class org.drip.json.parser.Converter
-
Convert the JSON Entry to a Date
- DateEOMAdjustment - Class in org.drip.analytics.daycount
-
This class holds the applicable adjustments for a given date pair.
- DateEOMAdjustment() - Constructor for class org.drip.analytics.daycount.DateEOMAdjustment
-
- DateInMonth - Class in org.drip.analytics.eventday
-
DateInMonth exports Functionality that generates the specific Event Date inside of the specified
Month/Year.
- DateInMonth(int, boolean, int, int, int, int) - Constructor for class org.drip.analytics.eventday.DateInMonth
-
DateInMonth Constructor
- dateInYear(int, boolean) - Method in class org.drip.analytics.eventday.Base
-
Generate the full date specific to the input year
- dateInYear(int, boolean) - Method in class org.drip.analytics.eventday.Fixed
-
- dateInYear(int, boolean) - Method in class org.drip.analytics.eventday.Static
-
- dateInYear(int, boolean) - Method in class org.drip.analytics.eventday.Variable
-
- dateLocation(int) - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
-
Place the Date Node Location in relation to the segment Location
- DateManipulationClient - Class in org.drip.sample.service
-
DateManipulationClient demonstrates the Invocation and Examination of the JSON-based Date Manipulation
Service Client.
- DateManipulationClient() - Constructor for class org.drip.sample.service.DateManipulationClient
-
- DateProcessor - Class in org.drip.service.json
-
DateProcessor Sets Up and Executes a JSON Based In/Out Date Related Service.
- DateProcessor() - Constructor for class org.drip.service.json.DateProcessor
-
- DateRollAPI - Class in org.drip.sample.date
-
DateRollAPI demonstrates Date Roll Functionality.
- DateRollAPI() - Constructor for class org.drip.sample.date.DateRollAPI
-
- dates() - Method in class org.drip.dynamics.lmm.BGMTenorNodeSequence
-
Retrieve the Array of Tenor Dates
- dates() - Method in class org.drip.product.params.EmbeddedOptionSchedule
-
Get the array of dates
- dateSnap() - Method in class org.drip.historical.sensitivity.TenorDurationNodeMetrics
-
Retrieve the KRD Date Snap
- DateTime - Class in org.drip.analytics.date
-
This class provides the representation of the instantiation-time date and time objects.
- DateTime() - Constructor for class org.drip.analytics.date.DateTime
-
Default constructor initializes the time and date to the current time and current date.
- DateTime(double, long) - Constructor for class org.drip.analytics.date.DateTime
-
Constructs DateTime from separate date and time inputs
- DateUtil - Class in org.drip.analytics.date
-
DateUtil contains Various Utilities for manipulating Date.
- DateUtil() - Constructor for class org.drip.analytics.date.DateUtil
-
- DateYield(int, String, String, int[], double[]) - Static method in class org.drip.state.creator.ScenarioGovvieCurveBuilder
-
Construct a Govvie Curve from an Array of Dates and Yields
- Day(Date) - Static method in class org.drip.analytics.date.DateUtil
-
Return the Day corresponding to the java.util.Date Instance
- DayChars(int) - Static method in class org.drip.analytics.date.DateUtil
-
Get the English word for day corresponding to the input integer
- dayCount() - Method in class org.drip.market.definition.FloaterIndex
-
Retrieve the Index Day Count Convention
- dayCount() - Method in class org.drip.market.issue.TreasurySetting
-
Retrieve the Day Count
- dayCount() - Method in class org.drip.market.otc.CreditIndexConvention
-
Retrieve the Day Count
- dayCount() - Method in class org.drip.market.otc.FixedStreamConvention
-
Retrieve the Day Count Convention
- dayCount() - Method in class org.drip.param.quoting.YieldInterpreter
-
Retrieve the Day Count Convention
- dayCount() - Method in class org.drip.product.params.FloaterSetting
-
Retrieve the Floating Day Count
- dayCount() - Method in class org.drip.state.govvie.GovvieCurve
-
Retrieve the Yield Day Count
- DayCountAPI - Class in org.drip.sample.date
-
DayCountAPI demonstrates Day-count API Functionality.
- DayCountAPI() - Constructor for class org.drip.sample.date.DayCountAPI
-
- DayOfTheWeek(Date) - Static method in class org.drip.analytics.date.DateUtil
-
Return the Day of the Week corresponding to the java.util.Date Instance
- dayOfWeek() - Method in class org.drip.analytics.eventday.DateInMonth
-
Retrieve the Day Of Week
- days() - Method in class org.drip.analytics.daycount.ActActDCParams
-
Number of Days in the Act/Act Period
- days() - Method in class org.drip.analytics.eventday.Weekend
-
Retrieve the weekend days
- DaysAccrued(int, int, String, boolean, ActActDCParams, String) - Static method in class org.drip.analytics.daycount.Convention
-
Calculate the Days Accrued between 2 given Dates for the given Day Count Convention and the other
Parameters
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC1_1
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC28_360
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC30_360
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC30_365
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC30_Act
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC30E_360
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC30E_360_ISDA
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC30EPLUS_360_ISDA
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_360
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_364
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_365
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_365L
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_Act
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_Act_ISDA
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_Act_UST
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in interface org.drip.analytics.daycount.DCFCalculator
-
Calculates the number of days accrued between the two given days
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCNL_360
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCNL_365
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCNL_Act
-
- daysDiff(JulianDate) - Method in class org.drip.analytics.date.JulianDate
-
Difference in Days between the Current and the Input Dates
- DaysElapsed(int) - Static method in class org.drip.analytics.date.DateUtil
-
Number of Days elapsed in the Year represented by the given Julian Date
- DaysInMonth(int, int) - Static method in class org.drip.analytics.date.DateUtil
-
Get the maximum number of days in the given month and year
- DaysRemaining(int) - Static method in class org.drip.analytics.date.DateUtil
-
Number of Days remaining in the Year represented by the given Julian Date
- DBR(JulianDate, JulianDate, double) - Static method in class org.drip.service.template.TreasuryBuilder
-
Construct an Instance of the German Treasury EUR DBR Bond
- DBRBenchmarkAttribution - Class in org.drip.sample.treasurypnl
-
DBRBenchmarkAttribution demonstrates the Computation of the PnL Time Series Metrics for the DBR Benchmark
Bond Series.
- DBRBenchmarkAttribution() - Constructor for class org.drip.sample.treasurypnl.DBRBenchmarkAttribution
-
- DBRReconstitutor - Class in org.drip.sample.treasuryfeed
-
DBRReconstitutor demonstrates the Cleansing and Re-constitution of the DBR Yield Marks obtained from
Historical Yield Curve Prints.
- DBRReconstitutor() - Constructor for class org.drip.sample.treasuryfeed.DBRReconstitutor
-
- dc() - Method in class org.drip.service.api.DateDiscountCurvePair
-
Retrieve the Discount Curve
- DC1_1 - Class in org.drip.analytics.daycount
-
This class implements the 1/1 day count convention.
- DC1_1() - Constructor for class org.drip.analytics.daycount.DC1_1
-
Empty DC1_1 constructor
- DC28_360 - Class in org.drip.analytics.daycount
-
This class implements the 28/360 day count convention.
- DC28_360() - Constructor for class org.drip.analytics.daycount.DC28_360
-
Empty DC28_360 constructor
- DC30_360 - Class in org.drip.analytics.daycount
-
This class implements the 30/360 day count convention.
- DC30_360() - Constructor for class org.drip.analytics.daycount.DC30_360
-
Empty DC30_360 constructor
- DC30_365 - Class in org.drip.analytics.daycount
-
This Class Implements the 30/365 Day Count Convention.
- DC30_365() - Constructor for class org.drip.analytics.daycount.DC30_365
-
Empty DC30_365 constructor
- DC30_Act - Class in org.drip.analytics.daycount
-
This class implements the 30/Act day count convention.
- DC30_Act() - Constructor for class org.drip.analytics.daycount.DC30_Act
-
Empty DC30_Act constructor
- DC30E_360 - Class in org.drip.analytics.daycount
-
This class implements the 30E/360 day count convention.
- DC30E_360() - Constructor for class org.drip.analytics.daycount.DC30E_360
-
Empty DC30E_360 constructor
- DC30E_360_ISDA - Class in org.drip.analytics.daycount
-
This class implements the 30E/360 ISDA day count convention.
- DC30E_360_ISDA() - Constructor for class org.drip.analytics.daycount.DC30E_360_ISDA
-
Empty DC30E_360_ISDA constructor
- DC30EPLUS_360_ISDA - Class in org.drip.analytics.daycount
-
This class implements the 30E+/360 ISDA day count convention.
- DC30EPLUS_360_ISDA() - Constructor for class org.drip.analytics.daycount.DC30EPLUS_360_ISDA
-
Empty DC30EPLUS_360_ISDA constructor
- DC_BASE - Static variable in class org.drip.param.market.DiscountCurveScenarioContainer
-
Base Discount Curve
- DC_FLAT_DN - Static variable in class org.drip.param.market.DiscountCurveScenarioContainer
-
Discount Curve Parallel Bump Down
- DC_FLAT_UP - Static variable in class org.drip.param.market.DiscountCurveScenarioContainer
-
Discount Curve Parallel Bump Up
- DC_TENOR_DN - Static variable in class org.drip.param.market.DiscountCurveScenarioContainer
-
Discount Curve Tenor Bump Down
- DC_TENOR_UP - Static variable in class org.drip.param.market.DiscountCurveScenarioContainer
-
Discount Curve Tenor Bump Up
- DCAct_360 - Class in org.drip.analytics.daycount
-
This class implements the Act/360 day count convention.
- DCAct_360() - Constructor for class org.drip.analytics.daycount.DCAct_360
-
Empty DCAct_360 constructor
- DCAct_364 - Class in org.drip.analytics.daycount
-
This class implements the Act/364 day count convention.
- DCAct_364() - Constructor for class org.drip.analytics.daycount.DCAct_364
-
Empty DCAct_364 constructor
- DCAct_365 - Class in org.drip.analytics.daycount
-
This class implements the Act/365 day count convention.
- DCAct_365() - Constructor for class org.drip.analytics.daycount.DCAct_365
-
Empty DCAct_365 constructor
- DCAct_365L - Class in org.drip.analytics.daycount
-
This class implements the Act/365L day count convention.
- DCAct_365L() - Constructor for class org.drip.analytics.daycount.DCAct_365L
-
Empty DCAct_365L constructor
- DCAct_Act - Class in org.drip.analytics.daycount
-
This class implements the Act/Act day count convention.
- DCAct_Act() - Constructor for class org.drip.analytics.daycount.DCAct_Act
-
Empty DCAct_Act constructor
- DCAct_Act_ISDA - Class in org.drip.analytics.daycount
-
This class implements the ISDA Act/Act day count convention.
- DCAct_Act_ISDA() - Constructor for class org.drip.analytics.daycount.DCAct_Act_ISDA
-
Empty DCAct_Act_ISDA constructor
- DCAct_Act_UST - Class in org.drip.analytics.daycount
-
This class implements the US Treasury Bond Act/Act Day Count Convention.
- DCAct_Act_UST() - Constructor for class org.drip.analytics.daycount.DCAct_Act_UST
-
Empty DCAct_Act_UST constructor
- dcf() - Method in class org.drip.analytics.cashflow.ReferenceIndexPeriod
-
Retrieve the Reference Period Day Count Fraction
- dcf() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
Retrieve the Composite DCF
- dcf() - Method in class org.drip.analytics.output.UnitPeriodMetrics
-
Retrieve the Day Count Fraction
- DCFCalculator - Interface in org.drip.analytics.daycount
-
This interface is the stub for all the day count convention functionality.
- DCNL_360 - Class in org.drip.analytics.daycount
-
This class implements the NL/360 day count convention.
- DCNL_360() - Constructor for class org.drip.analytics.daycount.DCNL_360
-
Empty DCNL_360 constructor
- DCNL_365 - Class in org.drip.analytics.daycount
-
This class implements the NL/365 day count convention.
- DCNL_365() - Constructor for class org.drip.analytics.daycount.DCNL_365
-
Empty DCNL_365 constructor
- DCNL_Act - Class in org.drip.analytics.daycount
-
This class implements the NL/Act day count convention.
- DCNL_Act() - Constructor for class org.drip.analytics.daycount.DCNL_Act
-
Empty DCNL_Act constructor
- dContinuousForwardDXInitial() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateUpdate
-
Retrieve the Initial D {Continuously Compounded Forward Rate} / DX
- dContinuousForwardDXTerminal() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateUpdate
-
Retrieve the Terminal D {Continuously Compounded Forward Rate} / DX
- DDMMMYYYY(int) - Static method in class org.drip.analytics.date.DateUtil
-
Create an DD/MMM/YYYY String from the Input Julian Integer
- DEBUG - Static variable in class org.drip.analytics.support.Logger
-
Logger level DEBUG
- decayVelocity() - Method in class org.drip.function.rdtor1solver.InteriorPointBarrierControl
-
Retrieve the Decay Velocity
- DECEMBER - Static variable in class org.drip.analytics.date.DateUtil
-
Integer Month - December
- DecisionFunctionOperatorBounds - Class in org.drip.learning.svm
-
DecisionFunctionOperatorBounds implements the Dot Product Entropy Number Upper Bounds for the Product of
Kernel Feature Map Function and the Scaling Diagonal Operator.
- DecisionFunctionOperatorBounds(DiagonalScalingOperator, double, double, int) - Constructor for class org.drip.learning.svm.DecisionFunctionOperatorBounds
-
DecisionFunctionOperatorBounds Constructor
- defaulted() - Method in class org.drip.product.credit.BondComponent
-
- defaulted() - Method in class org.drip.product.definition.Bond
-
Indicate if the bond has defaulted
- defaulted() - Method in class org.drip.product.params.TerminationSetting
-
Indicate if the contract has defaulted
- defaultExposure() - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Retrieve Default Exposure - Same as PV on instantaneous default
- defaultExposureNoRec() - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Retrieve the Default Exposure without recovery - Same as PV on instantaneous default without recovery
- defaultSegmentBuilderControl() - Method in class org.drip.state.estimator.SmoothingCurveStretchParams
-
Retrieve the Default Segment Builder Parameters
- DelinquentAccountsLast2Years - Class in org.drip.assetbacked.borrower
-
DelinquentAccountsLast2Years contains the Total Number of Borrower Delinquent Accounts over the Last Two
Years
- DelinquentAccountsLast2Years(int) - Constructor for class org.drip.assetbacked.borrower.DelinquentAccountsLast2Years
-
DelinquentAccountsLast2Years Constructor
- DeliverableSwapFutures - Class in org.drip.market.exchange
-
DeliverableSwapFutures contains the details of the exchange-traded Deliverable Swap Futures Contracts.
- DeliverableSwapFutures(String, String, double, double, LastTradingDateSetting) - Constructor for class org.drip.market.exchange.DeliverableSwapFutures
-
DeliverableSwapFutures constructor
- DeliverableSwapFuturesContainer - Class in org.drip.market.exchange
-
DeliverableSwapFuturesContainer holds the Deliverable Swap Futures Contracts.
- DeliverableSwapFuturesContainer() - Constructor for class org.drip.market.exchange.DeliverableSwapFuturesContainer
-
- deliveryMonths() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
-
Retrieve the Delivery Months
- deliveryMonths() - Method in class org.drip.product.govvie.TreasuryFutures
-
Retrieve the Array of Delivery Months
- deliveryNotice() - Method in class org.drip.market.exchange.TreasuryFuturesEventDates
-
Retrieve the Delivery Notice Date
- delocalize(double) - Method in class org.drip.spline.segment.LatentStateInelastic
-
Transform the Local Predictor Ordinate to the Segment Ordinate
- delta() - Method in class org.drip.pricer.option.Greeks
-
The Option Delta
- deltaX(int, int, double, int) - Method in class org.drip.dynamics.hjm.G2PlusPlus
-
Compute the X Increment
- deltaY(int, int, double, int) - Method in class org.drip.dynamics.hjm.G2PlusPlus
-
Compute the Y Increment
- DEMHoliday - Class in org.drip.analytics.holset
-
- DEMHoliday() - Constructor for class org.drip.analytics.holset.DEMHoliday
-
- denomCcy() - Method in class org.drip.product.params.CurrencyPair
-
Get the denominator currency
- denominationCurrency() - Method in class org.drip.product.params.NotionalSetting
-
Currency in which the Notional is specified
- denormalizeImpact(double) - Method in class org.drip.execution.parameters.AssetFlowSettings
-
De-normalize the Specified Temporary/Permanent Impact
- DENSE(String, ValuationParams, CalibratableComponent[], double[], String[], CalibratableComponent[], double[], String[], TurnListDiscountFactor) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
The Standard DENSE Curve Creation Methodology - this uses no re-construction set for the short term,
and uses 3M dense re-construction for the Swap Set.
- density(double[]) - Method in class org.drip.measure.continuousjoint.R1Multivariate
-
Compute the Density under the Distribution at the given Multivariate
- density(double, double) - Method in class org.drip.measure.continuousjoint.R1R1
-
Compute the Density under the Distribution at the given Variate Pair
- density(double[], double) - Method in class org.drip.measure.continuousjoint.RdR1
-
Compute the Density under the Distribution at the given Variate Array/Variate
- density(double) - Method in class org.drip.measure.continuousmarginal.R1
-
Compute the Density under the Distribution at the given Variate
- density(double[]) - Method in class org.drip.measure.continuousmarginal.Rd
-
Compute the Density under the Distribution at the given Variate Array
- density(double) - Method in class org.drip.measure.discretemarginal.BoundedUniformIntegerDistribution
-
- density(double) - Method in class org.drip.measure.discretemarginal.PoissonDistribution
-
- Density(double) - Static method in class org.drip.measure.gaussian.NormalQuadrature
-
Retrieve the Density at the specified Point using Zero Mean and Unit Variance
- density(double[]) - Method in class org.drip.measure.gaussian.R1MultivariateNormal
-
- density(double) - Method in class org.drip.measure.gaussian.R1UnivariateNormal
-
- density(double) - Method in class org.drip.measure.lebesgue.R1PiecewiseDisplaced
-
- density(double) - Method in class org.drip.measure.lebesgue.R1PiecewiseLinear
-
- density(double) - Method in class org.drip.measure.lebesgue.R1Uniform
-
- density(double[]) - Method in class org.drip.measure.lebesgue.RdUniform
-
- densityDisplacement() - Method in class org.drip.measure.lebesgue.R1PiecewiseDisplaced
-
Retrieve the Density Displacement
- densityRdToR1() - Method in class org.drip.measure.continuousjoint.R1Multivariate
-
Convert the Multivariate Density into an RdToR1 Functions Instance
- Deposit(JulianDate, JulianDate, ForwardLabel) - Static method in class org.drip.product.creator.SingleStreamComponentBuilder
-
Create a Deposit Product from the Effective and the Maturity Dates, and the Forward Label
- DepositClient - Class in org.drip.sample.service
-
DepositClient demonstrates the Invocation and Examination of the JSON-based Deposit Valuation Service
Client.
- DepositClient() - Constructor for class org.drip.sample.service.DepositClient
-
- DepositComponentQuoteSet - Class in org.drip.product.calib
-
DepositComponentQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the
Deposit Component.
- DepositComponentQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.DepositComponentQuoteSet
-
DepositComponentQuoteSet Constructor
- DepositProcessor - Class in org.drip.service.json
-
DepositProcessor Sets Up and Executes a JSON Based In/Out Deposit Valuation Processor.
- DepositProcessor() - Constructor for class org.drip.service.json.DepositProcessor
-
- DerivArrayFromSlope(int, double) - Static method in class org.drip.quant.common.CollectionUtil
-
Populate an array of derivatives using the input slope (and setting the other to zero)
- derivative(double, int) - Method in class org.drip.execution.athl.PermanentImpactNoArbitrage
-
- derivative(double, int) - Method in class org.drip.execution.athl.PermanentImpactQuasiArbitrage
-
- derivative(double, int) - Method in class org.drip.execution.athl.TemporaryImpact
-
- derivative(double, int) - Method in class org.drip.execution.impact.ParticipationRateLinear
-
- derivative(double, int) - Method in class org.drip.execution.impact.ParticipationRatePower
-
- derivative(double, int) - Method in class org.drip.function.definition.R1ToR1
-
Calculate the derivative as a double
- derivative(double, int) - Method in class org.drip.function.definition.R1ToRd
-
Calculate the Derivative Array as a double
- derivative(double[], int, int) - Method in class org.drip.function.definition.RdToR1
-
Calculate the derivative as a double
- derivative(double[], int, int) - Method in class org.drip.function.definition.RdToRd
-
Calculate the Derivative Array as a double
- derivative(double, int) - Method in class org.drip.function.r1tor1.ExponentialDecay
-
- derivative(double, int) - Method in class org.drip.function.r1tor1.ExponentialTension
-
- derivative(double, int) - Method in class org.drip.function.r1tor1.FunctionClassSupremum
-
- derivative(double, int) - Method in class org.drip.function.r1tor1.HyperbolicTension
-
- derivative(double, int) - Method in class org.drip.function.r1tor1.LinearRationalShapeControl
-
- derivative(double, int) - Method in class org.drip.function.r1tor1.NaturalLogSeriesElement
-
- derivative(double, int) - Method in class org.drip.function.r1tor1.OffsetIdempotent
-
- derivative(double, int) - Method in class org.drip.function.r1tor1.Polynomial
-
- derivative(double, int) - Method in class org.drip.function.r1tor1.QuadraticRationalShapeControl
-
- derivative(double, int) - Method in class org.drip.function.r1tor1.UnivariateConvolution
-
- derivative(double, int) - Method in class org.drip.function.r1tor1.UnivariateReflection
-
- derivative(double, int) - Method in class org.drip.spline.bspline.CubicRationalLeftRaw
-
- derivative(double, int) - Method in class org.drip.spline.bspline.CubicRationalRightRaw
-
- derivative(double, int) - Method in class org.drip.spline.bspline.ExponentialTensionLeftHat
-
- derivative(double, int) - Method in class org.drip.spline.bspline.ExponentialTensionLeftRaw
-
- derivative(double, int) - Method in class org.drip.spline.bspline.ExponentialTensionRightHat
-
- derivative(double, int) - Method in class org.drip.spline.bspline.ExponentialTensionRightRaw
-
- derivative(double, int) - Method in class org.drip.spline.bspline.LeftHatShapeControl
-
- derivative(double, int) - Method in class org.drip.spline.bspline.RightHatShapeControl
-
- derivative(double, int) - Method in class org.drip.spline.bspline.SegmentMonicBasisFunction
-
- derivative(double, int) - Method in class org.drip.spline.bspline.TensionProcessedBasisHat
-
- derivative(double, int) - Method in class org.drip.spline.tension.KLKHyperbolicTensionPhy
-
- derivative(double, int) - Method in class org.drip.spline.tension.KLKHyperbolicTensionPsy
-
- DerivativeControl - Class in org.drip.quant.calculus
-
DerivativeControl provides bumps needed for numerically approximating derivatives.
- DerivativeControl() - Constructor for class org.drip.quant.calculus.DerivativeControl
-
Empty DerivativeControl constructor
- DerivativeControl(double) - Constructor for class org.drip.quant.calculus.DerivativeControl
-
DerivativeControl constructor
- derivativeExpectation(double, int) - Method in interface org.drip.quant.stochastic.R1R1ToR1
-
Evaluate the Derivative Expectation at the given variate
- derivativeOrder() - Method in class org.drip.spline.params.SegmentFlexurePenaltyControl
-
Retrieve the Derivative Order
- derivativeRealization(double, int) - Method in interface org.drip.quant.stochastic.R1R1ToR1
-
Evaluate the Derivative for a Single Realization for the given variate
- derived() - Method in class org.drip.quant.stochastic.OrnsteinUhlenbeckProcess2D
-
Retrieve the Derived 1D Ornstein-Uhlenbeck Process
- derivedComponent() - Method in class org.drip.product.fx.ComponentPair
-
Retrieve the Derived Component
- derivedCompoundedToReference() - Method in class org.drip.market.otc.FloatFloatSwapConvention
-
Retrieve the Flag indicating whether the Derived Periods are to be compounded onto the Reference
Period
- derivedConvention() - Method in class org.drip.market.otc.CrossFloatSwapConvention
-
Retrieve the Derived Convention
- derivedForwardSpec(ValuationParams, CurveSurfaceQuoteContainer, double, boolean, boolean) - Method in class org.drip.product.fx.ComponentPair
-
Generate the Derived Forward Latent State Segment Specification
- DerivedForwardState - Class in org.drip.template.state
-
DerivedForwardState sets up the Calibration of the Derived Forward Latent State and examine the Emitted
Metrics.
- DerivedForwardState() - Constructor for class org.drip.template.state.DerivedForwardState
-
- DerivedForwardStateShifted - Class in org.drip.template.statebump
-
DerivedForwardStateShifted demonstrates the Generation of Tenor-bumped Derived Forward State.
- DerivedForwardStateShifted() - Constructor for class org.drip.template.statebump.DerivedForwardStateShifted
-
- derivedFundingForwardSpec(ValuationParams, CurveSurfaceQuoteContainer, double, boolean, double) - Method in class org.drip.product.fx.ComponentPair
-
Generate the Derived Funding/Forward Merged Latent State Segment Specification
- derivedIndex() - Method in class org.drip.state.basis.BasisCurve
-
- derivedIndex() - Method in interface org.drip.state.basis.BasisEstimator
-
Retrieve the Derived Index
- derivedParBasisSpread() - Method in class org.drip.product.calib.FixFloatQuoteSet
-
Retrieve the Derived Par Basis Spread
- derivedParBasisSpread() - Method in class org.drip.product.calib.FloatFloatQuoteSet
-
Retrieve the Derived Par Basis Spread
- derivedStream() - Method in class org.drip.product.rates.DualStreamComponent
-
Retrieve the Derived Stream
- derivedStream() - Method in class org.drip.product.rates.FixFloatComponent
-
- derivedStream() - Method in class org.drip.product.rates.FloatFloatComponent
-
- DerivedZeroRate - Class in org.drip.state.curve
-
DerivedZeroRate implements the delegated ZeroCurve functionality.
- descendingNodeArray(double[], int) - Method in class org.drip.spaces.big.BinaryTree
-
Build a Consolidated Descending Array of all the Constituent Nodes
- descendingNodeList(List<Double>) - Method in class org.drip.spaces.big.BinaryTree
-
Build a Consolidated Descending List of all the Constituent Nodes
- descendingNodeList() - Method in class org.drip.spaces.big.BinaryTree
-
Build a Consolidated Descending List of all the Constituent Nodes
- description() - Method in class org.drip.analytics.eventday.Base
-
Return the description
- description() - Method in class org.drip.optimization.necessary.ConditionQualifier
-
Retrieve the Condition Qualifier Description
- description() - Method in class org.drip.optimization.regularity.ConstraintQualifier
-
Retrieve the Constraint Qualifier Description
- designControl() - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Retrieve the Segment Inelastic Design Control
- deterministic() - Method in class org.drip.execution.evolution.MarketImpactComposite
-
Retrieve the Deterministic Impact Component Instance
- deterministic() - Method in class org.drip.quant.stochastic.GenericIncrement
-
Retrieve the Deterministic Increment Component
- DeterministicCollateralChoiceDiscountCurve - Class in org.drip.state.curve
-
DeterministicCollateralChoiceDiscountCurve implements the Dynamically Switchable Collateral Choice
Discount Curve among the choice of provided "deterministic" collateral curves.
- DeterministicCollateralChoiceDiscountCurve(MergedDiscountForwardCurve, ForeignCollateralizedDiscountCurve[], int) - Constructor for class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
-
DeterministicCollateralChoiceDiscountCurve constructor
- DeterministicCollateralChoiceZeroCoupon - Class in org.drip.sample.collateral
-
DeterministicCollateralChoiceZeroCoupon contains an analysis of the impact on the single cash flow
discount factor of a Zero Coupon collateralized using a deterministic choice of collaterals.
- DeterministicCollateralChoiceZeroCoupon() - Constructor for class org.drip.sample.collateral.DeterministicCollateralChoiceZeroCoupon
-
- DeterministicCoordinatedVariation(double, CoordinatedVariation) - Static method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParametersBuilder
-
Construct a Arithmetic Price Evolution Parameters from a Deterministic Coordinated Variation Instance
- DeterministicVolBlackScholes - Class in org.drip.sample.option
-
DeterministicVolBlackScholes contains an illustration of the Black Scholes based European Call and Put
Options Pricer that uses deterministic Volatility Function.
- DeterministicVolBlackScholes() - Constructor for class org.drip.sample.option.DeterministicVolBlackScholes
-
- DeterministicVolTermStructure - Class in org.drip.sample.option
-
DeterministicVolatilityTermStructure contains an illustration of the Calibration and Extraction of the
Implied and the Deterministic Volatility Term Structures.
- DeterministicVolTermStructure() - Constructor for class org.drip.sample.option.DeterministicVolTermStructure
-
- deviationProbabilityUpperBound(int, double) - Method in class org.drip.learning.bound.CoveringNumberLossBound
-
Compute the Upper Bound of the Probability of the Absolute Deviation between the Empirical and the
Population Means
- df(CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Coupon Period Discount Factor
- df() - Method in class org.drip.analytics.output.BulletMetrics
-
Retrieve the Terminal DF
- df() - Method in class org.drip.pricer.option.Greeks
-
The Option Terminal Discount Factor
- df(int) - Method in class org.drip.state.curve.DerivedZeroRate
-
- df(String) - Method in class org.drip.state.curve.DerivedZeroRate
-
- df(JulianDate) - Method in class org.drip.state.curve.DerivedZeroRate
-
- df(int) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
-
- df(int) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
-
- df(int) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
-
- df(int) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
-
- df(int) - Method in interface org.drip.state.discount.DiscountFactorEstimator
-
Calculate the Discount Factor to the given Date
- df(JulianDate) - Method in interface org.drip.state.discount.DiscountFactorEstimator
-
Calculate the discount factor to the given date
- df(String) - Method in interface org.drip.state.discount.DiscountFactorEstimator
-
Calculate the Discount Factor to the given Tenor
- df(JulianDate) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
- df(String) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
- df(int) - Method in class org.drip.state.govvie.GovvieCurve
-
- df(JulianDate) - Method in class org.drip.state.govvie.GovvieCurve
-
- df(String) - Method in class org.drip.state.govvie.GovvieCurve
-
- df(int) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
-
- DF2Yield(int, double, double) - Static method in class org.drip.analytics.support.Helper
-
Calculate the yield from the specified discount factor to the given time.
- DFRateShapePreserver(String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, String, FunctionSetBuilderParams, CalibratableComponent[], double[], String[], CalibratableComponent[], double[], String[], double, boolean) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set
builder parameters.
- DGBBenchmarkAttribution - Class in org.drip.sample.treasurypnl
-
DGBBenchmarkAttribution demonstrates the Computation of the PnL Time Series Metrics for the DGB Benchmark
Bond Series.
- DGBBenchmarkAttribution() - Constructor for class org.drip.sample.treasurypnl.DGBBenchmarkAttribution
-
- DGBReconstitutor - Class in org.drip.sample.treasuryfeed
-
DGBReconstitutor demonstrates the Cleansing and Re-constitution of the DGB Yield Marks obtained from
Historical Yield Curve Prints.
- DGBReconstitutor() - Constructor for class org.drip.sample.treasuryfeed.DGBReconstitutor
-
- DiagonalizeRow(int, double[][], double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Diagonalize the specified row in the source matrix, and apply comparable operations to the target
- diagonallyScaledFeatureSpace(DiagonalScalingOperator) - Method in class org.drip.learning.kernel.IntegralOperatorEigenContainer
-
Generate the Diagonally Scaled Normed Vector Space of the RKHS Feature Space Bounds that results on
applying the Diagonal Scaling Operator
- DiagonalOperatorCoveringBound - Class in org.drip.learning.bound
-
DiagonalOperatorCoveringBound implements the Behavior of the Bound on the Covering Number of the Diagonal
Scaling Operator.
- DiagonalOperatorCoveringBound(int, double) - Constructor for class org.drip.learning.bound.DiagonalOperatorCoveringBound
-
DiagonalOperatorCoveringBound Constructor
- DiagonalScalingOperator - Class in org.drip.learning.kernel
-
DiagonalScalingOperator implements the Scaling Operator that is used to determine the Bounds of the R^x L2
To R^x L2 Kernel Linear Integral Operator defined by:
T_k [f(.)] := Integral Over Input Space {k (., y) * f(y) * d[Prob(y)]}
The References are:
1) Ash, R.
- DiagonalScalingOperator(double[]) - Constructor for class org.drip.learning.kernel.DiagonalScalingOperator
-
DiagonalScalingOperator Constructor
- differenceMetric() - Method in class org.drip.historical.attribution.PositionChangeComponents
-
Retrieve the Map of Difference Metrics
- differential(double, double, int) - Method in class org.drip.function.definition.R1ToR1
-
Calculate the Differential
- differential(double, int) - Method in class org.drip.function.definition.R1ToR1
-
Calculate the Differential
- differential(double, int) - Method in class org.drip.function.definition.R1ToRd
-
Calculate the Array of Differentials
- differential(double[], int, int) - Method in class org.drip.function.definition.RdToR1
-
Calculate the Differential
- differential(double[], int, int) - Method in class org.drip.function.definition.RdToRd
-
Calculate the Array of Differentials
- differential(double, double, int) - Method in class org.drip.function.r1tor1.FlatUnivariate
-
- Differential - Class in org.drip.quant.calculus
-
Differential holds the incremental differentials for the variate and the objective function.
- Differential(double, double) - Constructor for class org.drip.quant.calculus.Differential
-
Differential constructor
- DIFutures - Class in org.drip.sample.forwardratefutures
-
DIFutures contains the demonstration of the construction and the Valuation of the DI Futures Contract.
- DIFutures() - Constructor for class org.drip.sample.forwardratefutures.DIFutures
-
- dimension() - Method in class org.drip.function.definition.RdToR1
-
Retrieve the Dimension of the Input Variate
- dimension() - Method in class org.drip.function.rdtor1.AffineBoundMultivariate
-
- dimension() - Method in class org.drip.function.rdtor1.AffineMultivariate
-
- dimension() - Method in class org.drip.function.rdtor1.CovarianceEllipsoidMultivariate
-
Retrieve the Input Variate Dimension
- dimension() - Method in class org.drip.function.rdtor1.LagrangianMultivariate
-
- dimension() - Method in class org.drip.function.rdtor1.RiskObjectiveUtilityMultivariate
-
Retrieve the Input Variate Dimension
- dimension() - Method in class org.drip.function.rdtor1solver.ConstraintFunctionPointMetrics
-
Retrieve the Constraint Dimension
- dimension() - Method in class org.drip.function.rdtor1solver.ObjectiveFunctionPointMetrics
-
Retrieve the Dimension
- dimension() - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
-
- dimension() - Method in class org.drip.optimization.constrained.OptimizationFramework
-
- dimension() - Method in class org.drip.sequence.custom.GlivenkoCantelliFunctionSupremum
-
- dimension() - Method in class org.drip.sequence.custom.GlivenkoCantelliUniformDeviation
-
- dimension() - Method in class org.drip.sequence.custom.KernelDensityEstimationL1
-
- dimension() - Method in class org.drip.sequence.custom.LongestCommonSubsequence
-
- dimension() - Method in class org.drip.sequence.custom.OrientedPercolationFirstPassage
-
- dimension() - Method in class org.drip.sequence.functional.FlatMultivariateRandom
-
- dimension() - Method in class org.drip.spaces.iterator.RdSpanningStateSpaceScan
-
Retrieve the Dimension
- dimension() - Method in class org.drip.spaces.tensor.RdAggregate
-
- dimension() - Method in interface org.drip.spaces.tensor.RdGeneralizedVector
-
Retrieve the Dimension of the Space
- dimExpiry() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
-
Retrieve the Date In Month Expiry Settings
- direction() - Method in class org.drip.function.definition.SizedVector
-
Retrieve the Unit Direction Vector
- directionalIncrement(double[], double) - Method in class org.drip.function.definition.UnitVector
-
Compute the Directional Increment along the Vector
- dirty1DPnL() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Dirty PnL
- dirty1DPnLWithFixing() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Dirty PnL With Fixing
- Discount(MergedDiscountForwardCurve) - Static method in class org.drip.param.creator.MarketParamsBuilder
-
Create a Market Parameters instance with the Funding Curve alone
- DISCOUNT_QM_COMPOUNDED_SHORT_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
-
Discount Latent State Quantification Metric - Compounded Short Rate
- DISCOUNT_QM_DISCOUNT_FACTOR - Static variable in class org.drip.analytics.definition.LatentStateStatic
-
Discount Latent State Quantification Metric - Discount Factor
- DISCOUNT_QM_FORWARD_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
-
Discount Latent State Quantification Metric - Forward Rate
- DISCOUNT_QM_ZERO_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
-
Discount Latent State Quantification Metric - Zero Rate
- discountCurve() - Method in class org.drip.dynamics.lmm.BGMCurveUpdate
-
Retrieve the Discount Factor Curve
- discountCurve() - Method in class org.drip.dynamics.lmm.LognormalLIBORPointEvolver
-
Retrieve the Discount Curve Instance
- DiscountCurve - Interface in org.drip.state.discount
-
DiscountCurve Interface combines the Interfaces of Latent State Curve Representation and Discount Factor
Estimator.
- DiscountCurve(ValuationParams, Component[], double[], String[], double, boolean, ExplicitBootDiscountCurve, GovvieCurve, LatentStateFixingsContainer, ValuationCustomizationParams) - Static method in class org.drip.state.nonlinear.NonlinearCurveBuilder
-
Boot-strap a Discount Curve from the set of calibration components
- discountCurveBasis(ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, double, double, boolean) - Method in class org.drip.product.fx.FXForwardComponent
-
Calculate the basis to either the numerator or the denominator discount curve
- DiscountCurveFromRatesInstruments() - Static method in class org.drip.sample.funding.NonlinearCurveMeasures
-
- discountCurveIncrement() - Method in class org.drip.dynamics.lmm.BGMCurveUpdate
-
Retrieve the Discount Factor Discount Curve Increment
- DiscountCurveInputInstrument - Class in org.drip.service.api
-
DiscountCuveInputInstrument contains the input instruments and their quotes.
- DiscountCurveInputInstrument(JulianDate, List<String>, List<Double>, List<String>, List<Double>, List<String>, List<Double>) - Constructor for class org.drip.service.api.DiscountCurveInputInstrument
-
DiscountCurveInputInstrument constructor
- DiscountCurveJacobianRegressorSet - Class in org.drip.regression.curvejacobian
-
DiscountCurveJacobianRegressorSet implements the regression analysis for the full discount curve (built
from cash/future/swap) Sensitivity Jacobians.
- DiscountCurveJacobianRegressorSet() - Constructor for class org.drip.regression.curvejacobian.DiscountCurveJacobianRegressorSet
-
- DiscountCurveNode(ValuationParams, Component, double, String, boolean, int, ExplicitBootDiscountCurve, GovvieCurve, LatentStateFixingsContainer, ValuationCustomizationParams) - Static method in class org.drip.state.nonlinear.NonlinearCurveBuilder
-
Calibrate a Single Discount Curve Segment from the corresponding Component
- DiscountCurveRegressor - Class in org.drip.regression.curve
-
DiscountCurveRegressor implements the regression set analysis for the Discount Curve.
- DiscountCurveRegressor() - Constructor for class org.drip.regression.curve.DiscountCurveRegressor
-
Do Nothing DiscountCurveRegressor constructor
- DiscountCurveScenario - Class in org.drip.state.boot
-
DiscountCurveScenario uses the interest rate calibration instruments along with the component calibrator
to produce scenario interest rate curves.
- DiscountCurveScenario() - Constructor for class org.drip.state.boot.DiscountCurveScenario
-
- DiscountCurveScenarioContainer - Class in org.drip.param.market
-
DiscountCurveScenarioContainer implements the RatesScenarioCurve abstract class that exposes the interface
the constructs scenario discount curves.
- DiscountCurveScenarioContainer(CalibratableComponent[]) - Constructor for class org.drip.param.market.DiscountCurveScenarioContainer
-
Constructs an DiscountCurveScenarioContainer instance from the corresponding
DiscountCurveScenarioGenerator
- discountFactor() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
-
Retrieve the Discount Factor
- discountFactor() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
-
Retrieve the Discount Factor
- discountFactor() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateUpdate
-
Retrieve the Discount Factor
- DiscountFactorDiscountCurve - Class in org.drip.state.curve
-
DiscountFactorDiscountCurve manages the Discounting Latent State, using the Discount Factor as the State
Response Representation.
- DiscountFactorDiscountCurve(String, Span) - Constructor for class org.drip.state.curve.DiscountFactorDiscountCurve
-
DiscountFactorDiscountCurve constructor
- DiscountFactorEstimator - Interface in org.drip.state.discount
-
DiscountFactorEstimator is the interface that exposes the calculation of the Discount Factor for a
specific Sovereign/Jurisdiction Span.
- discountFactorFundingLoading(FundingLabel) - Method in class org.drip.analytics.output.BulletMetrics
-
Retrieve the Discount Factor Loading Coefficient for the specified Funding Latent State
- discountFactorIncrement() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
-
Retrieve the Discount Factor Increment
- discountFactorIncrement() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
-
Retrieve the Discount Factor Increment
- discountFactorIncrement() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateUpdate
-
Retrieve the Discount Factor Increment
- discountFactorIncrements() - Method in class org.drip.dynamics.lmm.BGMTenorNodeSequence
-
Retrieve the Array of Tenor Discount Factor Increments
- discountFactors() - Method in class org.drip.dynamics.lmm.BGMTenorNodeSequence
-
Retrieve the Array of Tenor Discount Factors
- DiscountForward(MergedDiscountForwardCurve, ForwardCurve) - Static method in class org.drip.param.creator.MarketParamsBuilder
-
Create a Market Parameters instance with the Funding Curve and the forward Curve
- discountFunctionValue(int, boolean) - Method in class org.drip.dynamics.lmm.ContinuouslyCompoundedForwardProcess
-
Retrieve a Realized/Expected Value of the Discount to the Target Date
- discountMargin() - Method in class org.drip.analytics.output.BondRVMeasures
-
Retrieve the Discount Margin
- discountMarginFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from ASW to Work-out
- discountMarginFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from ASW to Maturity
- discountMarginFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from ASW to Optimal Exercise
- discountMarginFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Bond Basis to Work-out
- discountMarginFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Bond Basis to Maturity
- discountMarginFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Bond Basis to Optimal Exercise
- discountMarginFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Credit Basis to Work-out
- discountMarginFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Credit Basis to Maturity
- discountMarginFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Credit Basis to Optimal Exercise
- discountMarginFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from G Spread to Work-out
- discountMarginFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from G Spread to Maturity
- discountMarginFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from G Spread to Optimal Exercise
- discountMarginFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from I Spread to Work-out
- discountMarginFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from I Spread to Maturity
- discountMarginFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from I Spread to Optimal Exercise
- discountMarginFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from OAS to Work-out
- discountMarginFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from OAS to Maturity
- discountMarginFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from OAS to Optimal Exercise
- discountMarginFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from PECS to Work-out
- discountMarginFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from PECS to Maturity
- discountMarginFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from PECS to Optimal Exercise
- discountMarginFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Price to Work-out
- discountMarginFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Price to Maturity
- discountMarginFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Price to Optimal Exercise
- discountMarginFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from TSY Spread to Work-out
- discountMarginFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from TSY Spread to Maturity
- discountMarginFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from TSY Spread to Optimal Exercise
- discountMarginFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Yield to Work-out
- discountMarginFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Yield to Maturity
- discountMarginFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Yield Spread to Work-out
- discountMarginFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Yield Spread to Maturity
- discountMarginFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Yield Spread to Optimal Exercise
- discountMarginFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Yield to Optimal Exercise
- discountMarginFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Z Spread to Work-out
- discountMarginFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Z Spread to Maturity
- discountMarginFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Z Spread to Optimal Exercise
- DiscountRate - Class in org.drip.portfolioconstruction.alm
-
DiscountRate holds the Cash Flow Discount Rate Parameters for each Type, i.e., Discount Rates for Working
Age Income, Pension Benefits, and Basic Consumption.
- DiscountRate(double, double, double, double) - Constructor for class org.drip.portfolioconstruction.alm.DiscountRate
-
DiscountRate Constructor
- DiscreteAlmgrenChriss - Class in org.drip.execution.nonadaptive
-
DiscreteAlmgrenChriss generates the Trade/Holdings List of Optimal Execution Schedule for the Equally
Spaced Trading Intervals based on the No-Drift Linear Impact Evolution Walk Parameters specified.
- DiscreteAlmgrenChrissDrift - Class in org.drip.execution.nonadaptive
-
DiscreteAlmgrenChrissDrift generates the Trade/Holdings List of Optimal Execution Schedule for the Equally
Spaced Trading Intervals based on the Linear Impact Evolution Walk Parameters with Drift specified.
- DiscreteLinearTradingEnhanced - Class in org.drip.execution.nonadaptive
-
DiscreteLinearTradingEnhanced contains the Volatility Trading Trajectory generated by the Almgren (2003)
Scheme under the Criterion of No-Drift AND Linear Temporary Impact Volatility.
- DiscretelyCompoundedFlatRate(JulianDate, String, double, String, int) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
Create a Discount Curve from the Discretely Compounded Flat Rate
- DiscreteTradingTrajectory - Class in org.drip.execution.strategy
-
DiscreteTradingTrajectory holds the Trajectory of a Trading Block that is to be executed over a Discrete
Time Set.
- DiscreteTradingTrajectory(double[], double[], double[]) - Constructor for class org.drip.execution.strategy.DiscreteTradingTrajectory
-
DiscreteTradingTrajectory Constructor
- DiscreteTradingTrajectoryControl - Class in org.drip.execution.strategy
-
DiscreteTradingTrajectoryControl holds the Time Trajectory Control Settings of a Trading Block that is to
be executed over a Discrete Time Sequence.
- DiscreteTradingTrajectoryControl(double, double[]) - Constructor for class org.drip.execution.strategy.DiscreteTradingTrajectoryControl
-
DiscreteTradingTrajectoryControl Constructor
- discretizationScheme() - Method in class org.drip.param.pricer.CreditPricerParams
-
Retrieve the Discretization Scheme
- display() - Method in class org.drip.optimization.necessary.ConditionQualifier
-
Convert the Condition Qualifier into a Display String
- display() - Method in class org.drip.optimization.regularity.ConstraintQualifier
-
Convert the Constraint Qualifier into a Display String
- display() - Method in class org.drip.quant.fourier.ComplexNumber
-
Display the Real/Imaginary Contents
- display() - Method in class org.drip.service.api.CDXCOB
-
Display the CDXCOB Content
- display(String) - Method in class org.drip.spline.params.SegmentResponseValueConstraint
-
- displayString() - Method in class org.drip.function.r1tor1solver.BracketingOutput
-
- displayString() - Method in class org.drip.function.r1tor1solver.ExecutionInitializationOutput
-
Return a string form of the Initializer output
- displayString() - Method in class org.drip.function.r1tor1solver.FixedPointFinderOutput
-
Return a string form of the root finder output
- displayString() - Method in class org.drip.quant.calculus.WengertJacobian
-
Stringifies the contents of WengertJacobian
- displayString(boolean) - Method in class org.drip.regression.core.RegressionRunOutput
-
Print the contents of the regression output
- displayString(String) - Method in class org.drip.regression.core.UnitRegressionStat
-
Return the string version of the statistics
- displayString() - Method in class org.drip.spline.grid.AggregatedSpan
-
- displayString() - Method in class org.drip.spline.grid.OverlappingStretchSpan
-
- displayString() - Method in interface org.drip.spline.grid.Span
-
Display the Span Edge Coordinates
- displayString() - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Display the string representation for diagnostic purposes
- displayString() - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- displayString() - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Display the Segments
- displayString(String) - Method in class org.drip.state.estimator.PredictorResponseWeightConstraint
-
Display the Constraints and the corresponding Weights
- displayString(String) - Method in class org.drip.state.representation.LatentStateSpecification
-
Display the Latent State Details
- distribution() - Method in class org.drip.measure.bayesian.ProjectionDistributionLoading
-
Retrieve the Projection Distribution
- DIStylePriceFromRate(double, int, int, String) - Static method in class org.drip.analytics.support.Helper
-
Compute the DI-Style Price given the Rate
- DIStyleRateFromPrice(double, int, int, String) - Static method in class org.drip.analytics.support.Helper
-
Compute the DI-Style Rate given the Price
- Divide(ComplexNumber, ComplexNumber) - Static method in class org.drip.quant.fourier.ComplexNumber
-
Divide the Numerator Complex Number by the Denominator
- DKK - Class in org.drip.template.irs
-
DKK contains a Templated Pricing of the OTC Fix-Float DKK IRS Instrument.
- DKK() - Constructor for class org.drip.template.irs.DKK
-
- DKK3M6MUSD3M6M - Class in org.drip.sample.dual
-
DKK3M6MUSD3M6M demonstrates the setup and construction of the USD 3M Forward Curve from DKK3M6MUSD3M6M
CCBS, DKK 3M, DKK 6M, and USD 6M Quotes.
- DKK3M6MUSD3M6M() - Constructor for class org.drip.sample.dual.DKK3M6MUSD3M6M
-
- DKKHoliday - Class in org.drip.analytics.holset
-
- DKKHoliday() - Constructor for class org.drip.analytics.holset.DKKHoliday
-
- DKKIRSAttribution - Class in org.drip.sample.fixfloatpnl
-
DKKIRSAttribution generates the Historical PnL Attribution for DKK IRS.
- DKKIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.DKKIRSAttribution
-
- DKKShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
-
DKKShapePreserving1YStart Generates the Historical DKK Shape Preserving Funding Curve Native Compounded
Forward Rate starting at 1Y Tenor.
- DKKShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.DKKShapePreserving1YStart
-
- DKKShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
-
DKKShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the
DKK Input Marks.
- DKKShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.DKKShapePreservingReconstitutor
-
- DomesticCollateralForeignForex - Class in org.drip.sample.collateral
-
DomesticCollateralForeignForex demonstrates the construction and the usage of Domestic Currency
Collateralized Foreign Pay-out FX forward product, and the generation of its measures.
- DomesticCollateralForeignForex() - Constructor for class org.drip.sample.collateral.DomesticCollateralForeignForex
-
- DomesticCollateralForeignForexAnalysis - Class in org.drip.sample.collateral
-
DomesticCollateralForeignForexAnalysis contains an analysis of the correlation and volatility impact on the
price of a Domestic Collateralized ForeignPay-out Forex Contract.
- DomesticCollateralForeignForexAnalysis() - Constructor for class org.drip.sample.collateral.DomesticCollateralForeignForexAnalysis
-
- DomesticCollateralizedForeignForward - Class in org.drip.product.fx
-
DomesticCollateralizedForeignForward contains the Domestic Currency Collateralized Foreign Payout FX
forward product contract details.
- DomesticCollateralizedForeignForward(CurrencyPair, double, JulianDate) - Constructor for class org.drip.product.fx.DomesticCollateralizedForeignForward
-
Create an DomesticCollateralizedForeignForward from the currency pair, the strike, and the maturity
dates
- done(double, double, double, double, double) - Method in class org.drip.function.r1tor1solver.BracketingOutput
-
Set the brackets in the output object
- done(double) - Method in class org.drip.function.r1tor1solver.ConvergenceOutput
-
Indicate that the initialization is completed
- DOPHoliday - Class in org.drip.analytics.holset
-
- DOPHoliday() - Constructor for class org.drip.analytics.holset.DOPHoliday
-
- DotProduct(double[], double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Dot Product of Vectors A and E
- doubleArrayAtColumn(int, double) - Method in class org.drip.feed.loader.CSVGrid
-
Retrieve the Array of Double Values corresponding to the specified Column Index
- doubleArrayAtColumn(int) - Method in class org.drip.feed.loader.CSVGrid
-
Retrieve the Array of Double Values corresponding to the specified Column Index
- DoubleArrayEntry(JSONObject, String) - Static method in class org.drip.json.parser.Converter
-
Convert the JSON Entry to a Double Array
- DoubleEntry(JSONObject, String) - Static method in class org.drip.json.parser.Converter
-
Convert the JSON Entry to a Double
- doubleMap(double) - Method in class org.drip.feed.loader.CSVGrid
-
Construct a Historical Map of Scaled/Keyed Double
- downNodeMetrics() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
-
Retrieve the "Down" Node Metrics
- drift() - Method in class org.drip.execution.athl.TransactionSignal
-
Retrieve the Drift of the Transaction Signal
- drift() - Method in class org.drip.execution.parameters.ArithmeticPriceDynamicsSettings
-
Retrieve the Asset Annual Logarithmic Drift
- driftExpectationEstimate() - Method in class org.drip.execution.cost.LinearTemporaryImpact
-
Retrieve the Drift Expectation Estimate
- driftGainUpperBound() - Method in class org.drip.execution.optimum.AlmgrenChrissDriftDiscrete
-
Retrieve the Gain Upper Bound induced by the Drift
- driftVolatilityEstimate() - Method in class org.drip.execution.cost.LinearTemporaryImpact
-
Retrieve the Drift Volatility Estimate
- DRIP_COMPUTE_ENGINE_PORT - Static variable in class org.drip.service.engine.ComputeServer
-
The DRIP compute Service Engine Port
- DTFHoliday - Class in org.drip.analytics.holset
-
- DTFHoliday() - Constructor for class org.drip.analytics.holset.DTFHoliday
-
- DTIExMortgage - Class in org.drip.assetbacked.borrower
-
DTIExMortgage contains the Borrower's current ex-of-mortgage Debt-to-Income Ratio.
- DTIExMortgage(double) - Constructor for class org.drip.assetbacked.borrower.DTIExMortgage
-
DTIExMortgage Constructor
- DU1 - Class in org.drip.sample.treasuryfuturesapi
-
DU1 demonstrates the Invocation and Examination of the DU1 2Y SCHATZ DBR Treasury Futures.
- DU1() - Constructor for class org.drip.sample.treasuryfuturesapi.DU1
-
- DU1Attribution - Class in org.drip.sample.treasuryfuturespnl
-
DU1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the
DU1 Series.
- DU1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.DU1Attribution
-
- DU1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
-
DU1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated DU1 Closes Feed.
- DU1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.DU1ClosesReconstitutor
-
- DU1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
-
DU1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the DU1 Treasury Futures.
- DU1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.DU1KeyRateDuration
-
- DualConstrainedEllipsoidVariance - Class in org.drip.sample.semidefinite
-
DualConstrainedEllipsoidVariance demonstrates the Application of the Interior Point Method for Minimizing
the Variance Across The Specified Ellipsoid under both Normalization and first Moment Constraints.
- DualConstrainedEllipsoidVariance() - Constructor for class org.drip.sample.semidefinite.DualConstrainedEllipsoidVariance
-
- DualConstrainedVariateConvergence - Class in org.drip.sample.assetallocation
-
DualConstrainedVariateConvergence demonstrates the Sequential Convergence of the Constrained Optimal R^d
Space.
- DualConstrainedVariateConvergence() - Constructor for class org.drip.sample.assetallocation.DualConstrainedVariateConvergence
-
- DUALDENSE(String, ValuationParams, CalibratableComponent[], double[], String, String[], CalibratableComponent[], double[], String, String[], TurnListDiscountFactor) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
The DUAL DENSE Curve Creation Methodology - this uses configurable re-construction set for the short
term, and another configurable re-construction for the Swap Set.
- DualDoubleArrayEntry(JSONObject, String) - Static method in class org.drip.json.parser.Converter
-
Convert the JSON Entry to a Dual Double Array
- dualFeasibility() - Method in class org.drip.optimization.constrained.NecessarySufficientConditions
-
Retrieve the Dual Feasibility Necessary Condition
- dualFeasibilityCheck() - Method in class org.drip.optimization.constrained.FritzJohnMultipliers
-
Indicate of the Multipliers constitute Valid Dual Feasibility
- DualRandomSequenceBound - Class in org.drip.sample.sequence
-
DualRandomSequenceBound demonstrates the Computation of the Probabilistic Bounds for a Joint Realizations
of a Sample Random Sequence.
- DualRandomSequenceBound() - Constructor for class org.drip.sample.sequence.DualRandomSequenceBound
-
- DualSequenceAgnosticMetrics - Class in org.drip.sequence.metrics
-
DualSequenceAgnosticMetrics contains the Joint Distribution Metrics and Agnostic Bounds related to the
specified Sequence Pair.
- DualSequenceAgnosticMetrics(SingleSequenceAgnosticMetrics, SingleSequenceAgnosticMetrics) - Constructor for class org.drip.sequence.metrics.DualSequenceAgnosticMetrics
-
DualSequenceAgnosticMetrics Constructor
- DualStreamComponent - Class in org.drip.product.rates
-
DualStreamComponent is the abstract class that extends the CalibratableFixedIncomeComponent on top of
which all the dual stream rates components (fix-float, float-float, IRS etc.) are implemented.
- DualStreamComponent() - Constructor for class org.drip.product.rates.DualStreamComponent
-
- DualStreamComponentBuilder - Class in org.drip.product.creator
-
DualStreamComponentBuilder contains the suite of helper functions for creating the Stream-based Dual
Streams from different kinds of inputs.
- DualStreamComponentBuilder() - Constructor for class org.drip.product.creator.DualStreamComponentBuilder
-
- DualStreamForwardArray(DualStreamComponent) - Static method in class org.drip.analytics.support.ForwardDecompositionUtil
-
Decompose the Dual Stream Component into an Array of Single Forward Period Dual Streams
- DumpIndexArray(String, int[]) - Static method in class org.drip.spaces.iterator.IterationHelper
-
Display the Contents of the Index Array
- durationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from ASW to Work-out
- durationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from ASW to Maturity
- durationFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from ASW to Optimal Exercise
- durationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Bond Basis to Work-out
- durationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Bond Basis to Maturity
- durationFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Bond Basis to Optimal Exercise
- durationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Credit Basis to Work-out
- durationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Credit Basis to Maturity
- durationFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Credit Basis to Optimal Exercise
- durationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Discount Margin to Work-out
- durationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Discount Margin to Maturity
- durationFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Discount Margin to Optimal Exercise
- durationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from G Spread to Work-out
- durationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from G Spread to Maturity
- durationFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from G Spread to Optimal Exercise
- durationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from I Spread to Work-out
- durationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from I Spread to Maturity
- durationFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from I Spread to Optimal Exercise
- durationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from OAS to Work-out
- durationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from OAS to Maturity
- durationFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from OAS to Optimal Exercise
- durationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from PECS to Work-out
- durationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from PECS to Maturity
- durationFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from PECS to Optimal Exercise
- durationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Price to Work-out
- durationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Price to Maturity
- durationFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Price to Optimal Exercise
- durationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from TSY Spread to Work-out
- durationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from TSY Spread to Maturity
- durationFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from TSY Spread to Optimal Exercise
- durationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Yield to Work-out
- durationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Yield to Maturity
- durationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Yield Spread to Work-out
- durationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Yield Spread to Maturity
- durationFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Yield Spread to Optimal Exercise
- durationFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Yield to Optimal Exercise
- durationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Z Spread to Work-out
- durationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Z Spread to Maturity
- durationFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Z Spread to Optimal Exercise
- dv01() - Method in class org.drip.analytics.output.BondCouponMeasures
-
Retrieve the DV01
- DV01() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the DV01
- DV01WithFixing() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the DV01 With Fixing
- DyadicEntropyNumber(double) - Static method in class org.drip.spaces.cover.CoveringBoundsHelper
-
Compute the Dyadic Entropy Number from the nth Entropy Number
- dyadicEntropyUpperBound(int) - Method in class org.drip.spaces.cover.MaureyOperatorCoveringBounds
-
Compute the Upper Bound for the Dyadic Entropy Number
- DynamicsParameters - Class in org.drip.execution.athl
-
DynamicsParameters generates the Variants of the Market Dynamics Parameters constructed using the
Methodologies presented in Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren
(2003).
- DynamicsParameters(AssetFlowSettings) - Constructor for class org.drip.execution.athl.DynamicsParameters
-
DynamicsParameters Constructor