- ECSHoliday - Class in org.drip.analytics.holset
-
- ECSHoliday() - Constructor for class org.drip.analytics.holset.ECSHoliday
-
- ED1Attribution - Class in org.drip.sample.forwardratefuturespnl
-
ED1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the
ED1 Series.
- ED1Attribution() - Constructor for class org.drip.sample.forwardratefuturespnl.ED1Attribution
-
- ED1ClosesReconstitutor - Class in org.drip.sample.forwardratefuturesfeed
-
ED1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formatted ED1 Closes Feed.
- ED1ClosesReconstitutor() - Constructor for class org.drip.sample.forwardratefuturesfeed.ED1ClosesReconstitutor
-
- EDFJacobianRegressorSet - Class in org.drip.regression.curvejacobian
-
EDFJacobianRegressorSet implements the regression analysis set for the EDF product related Sensitivity
Jacobians.
- EDFJacobianRegressorSet() - Constructor for class org.drip.regression.curvejacobian.EDFJacobianRegressorSet
-
- EDGE_DATE_SEQUENCE_FORWARD - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
-
Edge Date Generation Sequence - Forward
- EDGE_DATE_SEQUENCE_OVERNIGHT - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
-
Edge Date Generation Sequence - Overnight
- EDGE_DATE_SEQUENCE_REGULAR - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
-
Edge Date Generation Sequence - Regular
- EDGE_DATE_SEQUENCE_REVERSE - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
-
Edge Date Generation Sequence - Reverse
- EDGE_DATE_SEQUENCE_SINGLE - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
-
Edge Date Generation Sequence - Single Edge Date Pair Between Dates
- edgeDateSequenceScheme() - Method in class org.drip.param.period.ComposableUnitBuilderSetting
-
Retrieve the Edge Date Generation Scheme
- EdgePair(JulianDate, JulianDate) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
-
Generate a single Spanning Edge Pair between the specified dates, using the specified Calendar
- edgeWeightVariance() - Method in class org.drip.sequence.custom.OrientedPercolationFirstPassage
-
Retrieve the Edge Width Variance
- EEKHoliday - Class in org.drip.analytics.holset
-
- EEKHoliday() - Constructor for class org.drip.analytics.holset.EEKHoliday
-
- EF1Attribution - Class in org.drip.sample.forwardratefuturespnl
-
EF1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the
EF1 Series.
- EF1Attribution() - Constructor for class org.drip.sample.forwardratefuturespnl.EF1Attribution
-
- EF1ClosesReconstitutor - Class in org.drip.sample.forwardratefuturesfeed
-
EF1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formatted EF1 Closes Feed.
- EF1ClosesReconstitutor() - Constructor for class org.drip.sample.forwardratefuturesfeed.EF1ClosesReconstitutor
-
- effective() - Method in class org.drip.product.definition.BasketProduct
-
Returns the effective date of the basket product
- effective() - Method in class org.drip.product.rates.Stream
-
Retrieve the Effective Date
- effectiveDate() - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Retrieve the Effective Date
- effectiveDate() - Method in class org.drip.market.otc.CreditIndexConvention
-
Retrieve the Effective Date
- effectiveDate() - Method in class org.drip.product.credit.BondComponent
-
- effectiveDate() - Method in class org.drip.product.credit.CDSComponent
-
- effectiveDate() - Method in class org.drip.product.definition.Component
-
Get the Effective Date
- effectiveDate() - Method in class org.drip.product.fx.FXForwardComponent
-
- effectiveDate() - Method in class org.drip.product.govvie.TreasuryFutures
-
- effectiveDate() - Method in class org.drip.product.option.OptionComponent
-
- effectiveDate() - Method in class org.drip.product.rates.FixFloatComponent
-
- effectiveDate() - Method in class org.drip.product.rates.FloatFloatComponent
-
- effectiveDate() - Method in class org.drip.product.rates.RatesBasket
-
- effectiveDate() - Method in class org.drip.product.rates.SingleStreamComponent
-
- effectiveDF() - Method in class org.drip.analytics.cashflow.LossQuadratureMetrics
-
Get the period's effective discount factor
- effectiveDF(int, int) - Method in class org.drip.state.curve.DerivedZeroRate
-
- effectiveDF(JulianDate, JulianDate) - Method in class org.drip.state.curve.DerivedZeroRate
-
- effectiveDF(String, String) - Method in class org.drip.state.curve.DerivedZeroRate
-
- effectiveDF(int, int) - Method in interface org.drip.state.discount.DiscountFactorEstimator
-
Compute the time-weighted discount factor between 2 dates
- effectiveDF(JulianDate, JulianDate) - Method in interface org.drip.state.discount.DiscountFactorEstimator
-
Compute the time-weighted discount factor between 2 dates
- effectiveDF(String, String) - Method in interface org.drip.state.discount.DiscountFactorEstimator
-
Compute the time-weighted discount factor between 2 tenors
- effectiveDF(int, int) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
- effectiveDF(JulianDate, JulianDate) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
- effectiveDF(String, String) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
- effectiveDF(int, int) - Method in class org.drip.state.govvie.GovvieCurve
-
- effectiveDF(JulianDate, JulianDate) - Method in class org.drip.state.govvie.GovvieCurve
-
- effectiveDF(String, String) - Method in class org.drip.state.govvie.GovvieCurve
-
- effectiveNotional() - Method in class org.drip.analytics.cashflow.LossQuadratureMetrics
-
Get the period's effective notional
- effectiveRecovery() - Method in class org.drip.analytics.cashflow.LossQuadratureMetrics
-
Get the period's effective recovery
- effectiveRecovery(int, int) - Method in class org.drip.state.credit.CreditCurve
-
Calculate the time-weighted recovery between a pair of dates
- effectiveRecovery(JulianDate, JulianDate) - Method in class org.drip.state.credit.CreditCurve
-
Calculate the time-weighted recovery between a pair of dates
- effectiveRecovery(String, String) - Method in class org.drip.state.credit.CreditCurve
-
Calculate the time-weighted recovery between a pair of tenors
- effectiveSurvival(int, int) - Method in class org.drip.state.credit.CreditCurve
-
Calculate the time-weighted survival between a pair of 2 dates
- effectiveSurvival(JulianDate, JulianDate) - Method in class org.drip.state.credit.CreditCurve
-
Calculate the time-weighted survival between a pair of 2 dates
- effectiveSurvival(String, String) - Method in class org.drip.state.credit.CreditCurve
-
Calculate the time-weighted survival between a pair of 2 tenors
- effectiveTreasuryBenchmarkYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- effectiveTreasuryBenchmarkYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Retrieve the effective treasury benchmark yield from the valuation, the component market parameters,
and the market price
- effectiveVolatility() - Method in class org.drip.pricer.option.Greeks
-
The "Effective" Volatility
- efficientFrontier(PortfolioConstructionParameters, AssetUniverseStatisticalProperties, int) - Method in class org.drip.portfolioconstruction.allocator.MeanVarianceOptimizer
-
Generate the Efficient Frontier given the Portfolio Construction Parameters
- EfficientFrontierNoDrift - Class in org.drip.sample.almgrenchriss
-
EfficientFrontierNoDrift constructs the Efficient Frontier over a Sequence of Risk Aversion Parameters for
Optimal Trading Trajectories computed in accordance with the Specification of Almgren and Chriss (2000),
and calculates the corresponding Execution Half Life and the Trajectory Penalty without regard to the
Drift.
- EfficientFrontierNoDrift() - Constructor for class org.drip.sample.almgrenchriss.EfficientFrontierNoDrift
-
- EfficientFrontierWithDrift - Class in org.drip.sample.almgrenchriss
-
EfficientFrontierWithDrift constructs the Efficient Frontier over a Sequence of Risk Aversion Parameters
for Optimal Trading Trajectories computed in accordance with the Specification of Almgren and Chriss
(2000), and calculates the corresponding Execution Half Life and the Trajectory Penalty incorporating the
Impact of Drift.
- EfficientFrontierWithDrift() - Constructor for class org.drip.sample.almgrenchriss.EfficientFrontierWithDrift
-
- EfficientTradingTrajectory - Interface in org.drip.execution.optimum
-
EfficientTradingTrajectory contains the Efficient Trading Trajectory generated by one of the Methods
outlined in the Almgren and Chriss (2000) and Almgren (2003) Scheme for Discrete and Continuous Trading
Approximation respectively.
- EfficientTradingTrajectoryContinuous - Class in org.drip.execution.optimum
-
EfficientTradingTrajectoryContinuous contains the Efficient Trading Trajectory generated by one of the
Methods outlined in the Almgren (2003) Scheme for Continuous Trading Approximation.
- EfficientTradingTrajectoryContinuous(double, double, double, double, double, R1ToR1, R1ToR1, R1ToR1, R1ToR1) - Constructor for class org.drip.execution.optimum.EfficientTradingTrajectoryContinuous
-
EfficientTradingTrajectoryContinuous Constructor
- EfficientTradingTrajectoryDiscrete - Class in org.drip.execution.optimum
-
EfficientTradingTrajectoryDiscrete contains the Discrete Trading Trajectory generated by a given Optimal
Trajectory Generation Scheme.
- EfficientTradingTrajectoryDiscrete(double[], double[], double[], double, double, double) - Constructor for class org.drip.execution.optimum.EfficientTradingTrajectoryDiscrete
-
EfficientTradingTrajectoryDiscrete Constructor
- efficientTrajectory() - Method in class org.drip.execution.principal.GrossProfitEstimator
-
Retrieve the Optimal Efficient Trajectory
- EfronSteinMetrics - Class in org.drip.sequence.functional
-
EfronSteinMetrics contains the Variance-based non-exponential Sample Distribution/Bounding Metrics and
Agnostic Bounds related to the Functional Transformation of the specified Sequence.
- EfronSteinMetrics(MultivariateRandom, SingleSequenceAgnosticMetrics[]) - Constructor for class org.drip.sequence.functional.EfronSteinMetrics
-
EfronSteinMetrics Constructor
- efronSteinSteeleBound(SingleSequenceAgnosticMetrics[]) - Method in class org.drip.sequence.functional.EfronSteinMetrics
-
Compute the Efron-Stein-Steele Variance Upper Bound using the Ghost Variables
- EGPHoliday - Class in org.drip.analytics.holset
-
- EGPHoliday() - Constructor for class org.drip.analytics.holset.EGPHoliday
-
- EigenComponent - Class in org.drip.quant.eigen
-
EigenComponent holds the Component's Eigenvector and the corresponding Eigenvalue.
- EigenComponent(double[], double) - Constructor for class org.drip.quant.eigen.EigenComponent
-
EigenComponent Constructor
- eigenComponents() - Method in class org.drip.learning.kernel.IntegralOperatorEigenContainer
-
Retrieve the Array of the Integral Operator Eigen-Components
- eigenComponentSuite() - Method in class org.drip.learning.kernel.MercerKernel
-
Retrieve the Suite of Eigen Components
- eigenFunction() - Method in class org.drip.learning.kernel.IntegralOperatorEigenComponent
-
Retrieve the Eigen-Function
- EigenFunctionRdToR1 - Class in org.drip.learning.kernel
-
EigEigenFunctionRdToR1enFunction holds the Eigen-vector Function and its corresponding Space of the R^d To
R^1 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.
- Eigenization - Class in org.drip.sample.matrix
-
Eigenization demonstrates how to generate the eigenvalue and eigenvector for the Input Matrix.
- Eigenization() - Constructor for class org.drip.sample.matrix.Eigenization
-
- eigenize() - Method in class org.drip.learning.kernel.IntegralOperator
-
Eigenize the Kernel Integral Operator
- eigenize(double[][]) - Method in interface org.drip.quant.eigen.ComponentExtractor
-
Eigenize and Extract the Components of the Specified Matrix
- eigenize(double[][]) - Method in class org.drip.quant.eigen.PowerIterationComponentExtractor
-
- eigenize(double[][]) - Method in class org.drip.quant.eigen.QREigenComponentExtractor
-
- EigenOutput - Class in org.drip.quant.eigen
-
EigenOutput holds the results of the Eigenization Operation - the Eigenvectors and the Eigenvalues.
- EigenOutput(double[][], double[]) - Constructor for class org.drip.quant.eigen.EigenOutput
-
EigenOutput Constructor
- eigenvalue() - Method in class org.drip.learning.kernel.IntegralOperatorEigenComponent
-
Retrieve the Eigenvalue
- eigenvalue() - Method in class org.drip.quant.eigen.EigenComponent
-
Retrieve the Eigenvalue
- eigenvalue() - Method in class org.drip.quant.eigen.EigenOutput
-
Retrieve the Array of Eigenvalues
- eigenvector() - Method in class org.drip.quant.eigen.EigenComponent
-
Retrieve the Eigenvector
- eigenvector() - Method in class org.drip.quant.eigen.EigenOutput
-
Retrieve the Array of Eigenvectors
- elementSpace() - Method in class org.drip.spaces.tensor.R1CombinatorialVector
-
Retrieve the Full Candidate List of Elements
- eligibility() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
-
Retrieve the Treasury Futures Eligibility Settings
- EliminateSpuriousExtrema(double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
Eliminate the Spurious Extrema in the Input C1 Entry
- eliminateSpuriousExtrema() - Method in class org.drip.state.estimator.LocalControlCurveParams
-
Retrieve the Eliminate Spurious Extrema Flag
- elme() - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
-
Retrieve the Empirical Learning Metric Estimator Instance
- EmbeddedOptionSchedule - Class in org.drip.product.params
-
EmbeddedOptionSchedule is a place holder for the embedded option schedule for the component.
- EmbeddedOptionSchedule(int[], double[], boolean, int, boolean, double, String, double) - Constructor for class org.drip.product.params.EmbeddedOptionSchedule
-
Construct the EOS from the array of dates and factors
- EmbeddedOptionSchedule(EmbeddedOptionSchedule) - Constructor for class org.drip.product.params.EmbeddedOptionSchedule
-
Construct a Deep Copy EOS from another EOS
- emitSignal(double, double) - Method in class org.drip.execution.athl.TransactionRealization
-
Emit the IJK Signal
- empiricalAnchorMoment(int, double, boolean) - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Compute the Specified Anchor Moment of the Sample Sequence
- empiricalCentralMoment(int, boolean) - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Compute the Specified Central Moment of the Sample Sequence
- empiricalExpectation() - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Retrieve the Sample Expectation
- EmpiricalLearnerLoss - Class in org.drip.learning.bound
-
EmpiricalLearnerLoss Function computes the Empirical Loss of a Learning Operation resulting from the Use
of a Learning Function in Conjunction with the corresponding Empirical Realization.
- EmpiricalLearnerLoss(R1ToR1, double) - Constructor for class org.drip.learning.bound.EmpiricalLearnerLoss
-
EmpiricalLearnerLoss Constructor
- EmpiricalLearningMetricEstimator - Interface in org.drip.learning.rxtor1
-
EmpiricalLearningMetricEstimator is the Estimator of the Empirical Loss and Risk, as well as the
corresponding Covering Numbers.
- empiricalLoss(R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Compute the Empirical Sample Loss
- empiricalLoss(RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Compute the Empirical Sample Loss
- empiricalLoss(R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.L1LossLearner
-
- empiricalLoss(RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.L1LossLearner
-
- empiricalLoss(R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.LipschitzLossLearner
-
- empiricalLoss(RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.LipschitzLossLearner
-
- empiricalLoss(R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.LpLossLearner
-
- empiricalLoss(RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.LpLossLearner
-
- empiricalOutcomes() - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
-
Retrieve the Validated Outcome Instance
- EmpiricalPenaltySupremum - Class in org.drip.learning.rxtor1
-
EmpiricalPenaltySupremum holds the Learning Function that corresponds to the Empirical Supremum, as well
as the corresponding Supremum Value.
- EmpiricalPenaltySupremum(int, double) - Constructor for class org.drip.learning.rxtor1.EmpiricalPenaltySupremum
-
- EmpiricalPenaltySupremumEstimator - Class in org.drip.learning.rxtor1
-
EmpiricalPenaltySupremumEstimator contains the Implementation of the Empirical Penalty Supremum Estimator
dependent on Multivariate Random Variables where the Multivariate Function is a Linear Combination of
Bounded Univariate Functions acting on each Random Variate.
- EmpiricalPenaltySupremumEstimator(int, EmpiricalLearningMetricEstimator, GeneralizedValidatedVector, R1R1, RdR1) - Constructor for class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
-
EmpiricalPenaltySupremumEstimator Constructor
- empiricalPenaltySupremumEstimator() - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumMetrics
-
Retrieve the Empirical Penalty Supremum Function
- EmpiricalPenaltySupremumMetrics - Class in org.drip.learning.rxtor1
-
EmpiricalPenaltySupremumMetrics computes Efron-Stein Metrics for the Penalty Supremum R^x To R^1
Functions.
- EmpiricalPenaltySupremumMetrics(EmpiricalPenaltySupremumEstimator, SingleSequenceAgnosticMetrics[], MeasureConcentrationExpectationBound) - Constructor for class org.drip.learning.rxtor1.EmpiricalPenaltySupremumMetrics
-
EmpiricalPenaltySupremumMetrics Constructor
- empiricalRawMoment(int, boolean) - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Compute the Specified Raw Moment of the Sample Sequence
- empiricalRealization() - Method in class org.drip.learning.bound.EmpiricalLearnerLoss
-
Retrieve the Empirical Realization
- empiricalRisk(R1R1, R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Compute the Empirical Sample Risk
- empiricalRisk(RdR1, RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Compute the Empirical Sample Risk
- empiricalRisk(R1R1, R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.L1LossLearner
-
- empiricalRisk(RdR1, RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.L1LossLearner
-
- empiricalRisk(R1R1, R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.LipschitzLossLearner
-
- empiricalRisk(RdR1, RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.LipschitzLossLearner
-
- empiricalRisk(R1R1, R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.LpLossLearner
-
- empiricalRisk(RdR1, RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.LpLossLearner
-
- empiricalVariance() - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Retrieve the Sample Variance
- enclosingCUP(int) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Return the Unit Period to which the Date belongs
- enclosingXIndex(double) - Method in class org.drip.spline.multidimensional.WireSurfacePiecewiseConstant
-
Enclosing X Index
- enclosingYIndex(double) - Method in class org.drip.spline.multidimensional.WireSurfacePiecewiseConstant
-
Enclosing Y Index
- end() - Method in class org.drip.state.representation.LatentStateMergeSubStretch
-
Retrieve the Merge Stretch End Date
- endArray() - Method in interface org.drip.json.parser.ContentHandler
-
Receive notification of the end of a JSON array.
- endDate() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
-
Retrieve the Accrual End Date
- endDate() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Period End Date
- endDate() - Method in class org.drip.analytics.cashflow.LossQuadratureMetrics
-
Period End Date
- endDate() - Method in class org.drip.analytics.cashflow.ReferenceIndexPeriod
-
Reference Period End Date
- endDate() - Method in class org.drip.analytics.output.UnitPeriodConvexityMetrics
-
Retrieve the End Date
- endJSON() - Method in interface org.drip.json.parser.ContentHandler
-
Receive notification of the end of JSON processing.
- endObject() - Method in interface org.drip.json.parser.ContentHandler
-
Receive notification of the end of a JSON object.
- endObjectEntry() - Method in interface org.drip.json.parser.ContentHandler
-
Receive notification of the end of the value of previous object entry.
- endSurvival() - Method in class org.drip.analytics.cashflow.LossQuadratureMetrics
-
Survival at the period end
- enforcePositivity() - Method in class org.drip.spline.pchip.MonotoneConvexHaganWest
-
Enforce the Positivity of the Inferred Response Values
- EnhancedEulerScheme - Class in org.drip.sample.almgren2009
-
EnhancedEulerScheme demonstrates the Enhancement used by Almgren (2009, 2012) to deal with Time Evolution
under Singular Initial Conditions.
- EnhancedEulerScheme() - Constructor for class org.drip.sample.almgren2009.EnhancedEulerScheme
-
- entropyBoundNormA() - Method in class org.drip.spaces.cover.CarlStephaniNormedBounds
-
Retrieve the Entropy Bound using the Function Class Norm A
- entropyBoundNormB() - Method in class org.drip.spaces.cover.CarlStephaniNormedBounds
-
Retrieve the Entropy Bound using the Function Class Norm B
- entropyNumberAsymptote() - Method in interface org.drip.spaces.cover.OperatorClassCoveringBounds
-
Compute the Entropy Number Asymptotic Behavior
- entropyNumberAsymptoteExponent() - Method in class org.drip.learning.bound.DiagonalOperatorCoveringBound
-
Retrieve the Entropy Number Asymptote Exponent
- entropyNumberAsymptoteType() - Method in class org.drip.learning.bound.DiagonalOperatorCoveringBound
-
Retrieve the Entropy Number Asymptote Type
- entropyNumberIndex() - Method in class org.drip.learning.kernel.DiagonalScalingOperator
-
- entropyNumberIndex() - Method in interface org.drip.spaces.cover.OperatorClassCoveringBounds
-
Compute the Entropy Number Index of the Operator
- entropyNumberLowerBound() - Method in class org.drip.learning.kernel.DiagonalScalingOperator
-
- entropyNumberLowerBound() - Method in interface org.drip.spaces.cover.OperatorClassCoveringBounds
-
Lower Bound of the Operator Entropy Number
- entropyNumberUpperBound() - Method in class org.drip.learning.kernel.DiagonalScalingOperator
-
- entropyNumberUpperBound(int) - Method in class org.drip.spaces.cover.MaureyOperatorCoveringBounds
-
Compute the Upper Bound for the Entropy Number
- entropyNumberUpperBound() - Method in interface org.drip.spaces.cover.OperatorClassCoveringBounds
-
Upper Bound of the Operator Entropy Number
- entropyNumberUpperBounds(DiagonalScalingOperator, double) - Method in class org.drip.learning.svm.RdDecisionFunction
-
Compute the Entropy Number Upper Bounds Instance for the Specified Inputs
- EnvManager - Class in org.drip.service.env
-
EnvManager sets the environment/connection parameters, and populates the market parameters for the given
EOD.
- EnvManager() - Constructor for class org.drip.service.env.EnvManager
-
- eomAdj() - Method in class org.drip.param.quoting.YieldInterpreter
-
Retrieve the EOM Adjustment
- EONIAFutures - Class in org.drip.sample.forwardratefutures
-
EONIAFutures contains the demonstration of the construction and the Valuation of the EONIA Futures
Contract.
- EONIAFutures() - Constructor for class org.drip.sample.forwardratefutures.EONIAFutures
-
- epoch() - Method in interface org.drip.analytics.definition.Curve
-
Get the Epoch Date
- epoch() - Method in class org.drip.analytics.definition.MarketSurface
-
- epoch() - Method in class org.drip.analytics.definition.NodeStructure
-
- epoch() - Method in class org.drip.function.r1tor1.ExponentialDecay
-
Retrieve the Epoch
- epoch() - Method in class org.drip.function.r1tor1.SABRLIBORCapVolatility
-
Return the Epoch
- epoch() - Method in class org.drip.state.basis.BasisCurve
-
- epoch() - Method in class org.drip.state.credit.CreditCurve
-
- epoch() - Method in interface org.drip.state.discount.DiscountFactorEstimator
-
Retrieve the Starting (Epoch) Date
- epoch() - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
- epoch() - Method in class org.drip.state.discount.ZeroCurve
-
- epoch() - Method in class org.drip.state.forward.ForwardCurve
-
- epoch() - Method in class org.drip.state.fx.FXCurve
-
- epoch() - Method in class org.drip.state.govvie.GovvieCurve
-
- epoch() - Method in class org.drip.state.repo.RepoCurve
-
- epochImpactFunction() - Method in interface org.drip.execution.profiletime.BackgroundParticipationRate
-
Compute the Epoch Market Impact Function
- epochImpactFunction() - Method in class org.drip.execution.profiletime.UniformParticipationRate
-
- epochImpactFunction() - Method in class org.drip.execution.profiletime.UniformParticipationRateLinear
-
- epochImpactFunction() - Method in class org.drip.execution.tradingtime.CoordinatedParticipationRateLinear
-
- epochLiquidityFunction() - Method in interface org.drip.execution.profiletime.BackgroundParticipationRateLinear
-
Compute the Epoch Liquidity Market Impact Function
- epochLiquidityFunction() - Method in class org.drip.execution.profiletime.UniformParticipationRateLinear
-
- epochLiquidityFunction() - Method in class org.drip.execution.tradingtime.CoordinatedParticipationRateLinear
-
- epochVolatility() - Method in class org.drip.execution.parameters.ArithmeticPriceDynamicsSettings
-
Retrieve the Asset Annual Volatility
- EPSILON_EXPONENT_AGNOSTIC_CONVEX_LEARNING - Static variable in class org.drip.learning.bound.CoveringNumberBoundBuilder
-
Epsilon Exponent for Agnostic Learning with Convex Functions
- EPSILON_EXPONENT_AGNOSTIC_LEARNING - Static variable in class org.drip.learning.bound.CoveringNumberBoundBuilder
-
Epsilon Exponent for Agnostic Learning
- EPSILON_EXPONENT_REGRESSION_LEARNING - Static variable in class org.drip.learning.bound.CoveringNumberBoundBuilder
-
Epsilon Exponent for Regression Learning
- epsilonExponent() - Method in class org.drip.learning.bound.CoveringNumberLossBound
-
Retrieve the Exponential Epsilon Exponent
- equalityConstraint() - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Retrieve the Array of R^d To R^1 Equality Constraint Functions
- equalityConstraintCoefficient() - Method in class org.drip.optimization.constrained.FritzJohnMultipliers
-
Retrieve the Array of the Equality Constraint Coefficients
- equalityConstraintRdToR1(AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.PortfolioConstructionParameters
-
Retrieve the Equality Constraint R^d To R^1 Corresponding to the Specified Constraint Type
- equalityConstraintValue(AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.PortfolioConstructionParameters
-
Retrieve the Equality Constraint Values Corresponding to the Specified Constraint Type
- equals(Object) - Method in class org.drip.analytics.date.JulianDate
-
- EquilibriumRiskAversion(double, double, double) - Static method in class org.drip.portfolioconstruction.allocator.RiskUtilitySettingsEstimator
-
Compute the Equilibrium Risk Aversion from the Portfolio Equilibrium Returns/Variance and the Risk
Free Rate
- EquilibriumRiskAversion(double, double) - Static method in class org.drip.portfolioconstruction.allocator.RiskUtilitySettingsEstimator
-
Compute the Equilibrium Risk Aversion from the Portfolio Equilibrium Returns/Variance
- equityEquityCorrelation(EquityLabel, EquityLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Pair of Equity Latent States
- equityForwardCorrelation(EquityLabel, ForwardLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Equity and the Forward Latent States
- equityFundingCorrelation(EquityLabel, FundingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between Equity and the Funding Latent States
- equityFXCorrelation(EquityLabel, FXLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Equity and the FX Latent States
- equityGovvieCorrelation(EquityLabel, GovvieLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Equity and the Govvie Latent States
- EquityLabel - Class in org.drip.state.identifier
-
EquityLabel contains the Identifier Parameters referencing the Latent State of the named Equity Curve.
- EquityMarketImpactDRI - Class in org.drip.sample.athl
-
EquityMarketImpactDRI demonstrates the Reconciliation of the Equity Market Impact with that determined
empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for
DRI.
- EquityMarketImpactDRI() - Constructor for class org.drip.sample.athl.EquityMarketImpactDRI
-
- EquityMarketImpactIBM - Class in org.drip.sample.athl
-
EquityMarketImpactIBM demonstrates the Reconciliation of the Equity Market Impact with that determined
empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for
IBM.
- EquityMarketImpactIBM() - Constructor for class org.drip.sample.athl.EquityMarketImpactIBM
-
- equityOvernightCorrelation(EquityLabel, OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between Equity and the Overnight Latent States
- equityPaydownCorrelation(EquityLabel, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Equity and the Pay-down Latent States
- equityRatingCorrelation(EquityLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Equity and the Rating Latent States
- equityRecoveryCorrelation(EquityLabel, RecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Equity and the Recovery Latent States
- equityRepoCorrelation(EquityLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Equity and the Repo Latent States
- equityState(EquityLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Equity State for the specified Equity Latent State Label
- equityVolatility(EquityLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Volatility Curve for the Equity Latent State
- ER1Attribution - Class in org.drip.sample.forwardratefuturespnl
-
ER1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the
ER1 Series.
- ER1Attribution() - Constructor for class org.drip.sample.forwardratefuturespnl.ER1Attribution
-
- ER1ClosesReconstitutor - Class in org.drip.sample.forwardratefuturesfeed
-
ER1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formatted ER1 Closes Feed.
- ER1ClosesReconstitutor() - Constructor for class org.drip.sample.forwardratefuturesfeed.ER1ClosesReconstitutor
-
- ERROR - Static variable in class org.drip.analytics.support.Logger
-
Logger level ERROR
- ERROR_UNEXPECTED_CHAR - Static variable in exception org.drip.json.parser.ParseException
-
- ERROR_UNEXPECTED_EXCEPTION - Static variable in exception org.drip.json.parser.ParseException
-
- ERROR_UNEXPECTED_TOKEN - Static variable in exception org.drip.json.parser.ParseException
-
- errorFunction(double) - Method in class org.drip.measure.gaussian.R1UnivariateNormal
-
Compute the Error Function Around an Absolute Width around the Mean
- ES1Attribution - Class in org.drip.sample.forwardratefuturespnl
-
ES1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the
ES1 Series.
- ES1Attribution() - Constructor for class org.drip.sample.forwardratefuturespnl.ES1Attribution
-
- ES1ClosesReconstitutor - Class in org.drip.sample.forwardratefuturesfeed
-
ES1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formatted ES1 Closes Feed.
- ES1ClosesReconstitutor() - Constructor for class org.drip.sample.forwardratefuturesfeed.ES1ClosesReconstitutor
-
- ESBHoliday - Class in org.drip.analytics.holset
-
- ESBHoliday() - Constructor for class org.drip.analytics.holset.ESBHoliday
-
- escape(String) - Static method in class org.drip.json.simple.JSONObject
-
Escape quotes, \, /, \r, \n, \b, \f, \t and other control characters (U+0000 through U+001F).
- escape(String) - Static method in class org.drip.json.simple.JSONValue
-
Escape quotes, \, /, \r, \n, \b, \f, \t and other control characters (U+0000 through U+001F).
- ESPHoliday - Class in org.drip.analytics.holset
-
- ESPHoliday() - Constructor for class org.drip.analytics.holset.ESPHoliday
-
- ESTHoliday - Class in org.drip.analytics.holset
-
- ESTHoliday() - Constructor for class org.drip.analytics.holset.ESTHoliday
-
- Estimate(JSONObject) - Static method in class org.drip.json.assetallocation.BlackLittermanProcessor
-
JSON Based in/out Bayesian Co-variance/Returns Estimation Thunker
- estimateManifestMeasure(String, int) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
Estimate the manifest measure value for the given date
- eta() - Method in class org.drip.dynamics.hjm.G2PlusPlus
-
Retrieve Eta
- EUBHoliday - Class in org.drip.analytics.holset
-
- EUBHoliday() - Constructor for class org.drip.analytics.holset.EUBHoliday
-
- EulerEnhancedLinearThreshold(double, double, double) - Static method in class org.drip.execution.hjb.NonDimensionalCostSystemic
-
Generate a Euler Enhanced Linear Trading Systemic Non Dimensional Cost Instance
- EUR - Class in org.drip.template.irs
-
EUR contains a Templated Pricing of the OTC Fix-Float EUR IRS Instrument.
- EUR() - Constructor for class org.drip.template.irs.EUR
-
- EUR3M6MUSD3M6M - Class in org.drip.sample.dual
-
EUR3M6MUSD3M6M demonstrates the setup and construction of the USD 3M Forward Curve from EUR3M6MUSD3M6M
CCBS, EUR 3M, EUR 6M, and USD 6M Quotes.
- EUR3M6MUSD3M6M() - Constructor for class org.drip.sample.dual.EUR3M6MUSD3M6M
-
- EURHoliday - Class in org.drip.analytics.holset
-
- EURHoliday() - Constructor for class org.drip.analytics.holset.EURHoliday
-
- EURIBOR3M - Class in org.drip.template.forwardratefutures
-
EURIBOR3M contains a Templated Pricing of the 3M EURIBOR EUR Instrument.
- EURIBOR3M() - Constructor for class org.drip.template.forwardratefutures.EURIBOR3M
-
- EURIRSAttribution - Class in org.drip.sample.fixfloatpnl
-
EURIRSAttribution generates the Historical PnL Attribution for EUR IRS.
- EURIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.EURIRSAttribution
-
- EuroDollar - Class in org.drip.template.forwardratefutures
-
EuroDollar contains a Templated Pricing of the EuroDollar (i.e, LIBOR 3M USD Futures) Instrument.
- EuroDollar() - Constructor for class org.drip.template.forwardratefutures.EuroDollar
-
- EUROISSmoothReconstitutor - Class in org.drip.sample.overnightfeed
-
EUROISSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the EUR Input OIS
Marks.
- EUROISSmoothReconstitutor() - Constructor for class org.drip.sample.overnightfeed.EUROISSmoothReconstitutor
-
- EuropeanCallPut - Class in org.drip.product.option
-
EuropeanCallPut implements a simple European Call/Put Option, and its Black Scholes Price.
- EuropeanCallPut(JulianDate, double) - Constructor for class org.drip.product.option.EuropeanCallPut
-
EuropeanCallPut constructor
- EURShapePreserving1YForward - Class in org.drip.sample.fundinghistorical
-
EURShapePreserving1YForward Generates the Historical EUR Shape Preserving Funding Curve Native 1Y
Compounded Forward Rate.
- EURShapePreserving1YForward() - Constructor for class org.drip.sample.fundinghistorical.EURShapePreserving1YForward
-
- EURShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
-
EURShapePreserving1YStart Generates the Historical EUR Shape Preserving Funding Curve Native Compounded
Forward Rate starting at 1Y Tenor.
- EURShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.EURShapePreserving1YStart
-
- EURShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
-
EURShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the
EUR Input Marks.
- EURShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.EURShapePreservingReconstitutor
-
- EURSmooth1MForward - Class in org.drip.sample.overnighthistorical
-
EURSmooth1MForward Generates the Historical EUR Smoothened Overnight Curve Native 1M Compounded Forward
Rate.
- EURSmooth1MForward() - Constructor for class org.drip.sample.overnighthistorical.EURSmooth1MForward
-
- EURSmooth1YForward - Class in org.drip.sample.fundinghistorical
-
EURSmooth1YForward Generates the Historical EUR Smoothened Funding Curve Native 1Y Compounded Forward
Rate.
- EURSmooth1YForward() - Constructor for class org.drip.sample.fundinghistorical.EURSmooth1YForward
-
- EURSmoothReconstitutor - Class in org.drip.sample.fundingfeed
-
EURSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the EUR Input Marks.
- EURSmoothReconstitutor() - Constructor for class org.drip.sample.fundingfeed.EURSmoothReconstitutor
-
- evaluate(double) - Method in class org.drip.execution.athl.PermanentImpactNoArbitrage
-
- evaluate(double) - Method in class org.drip.execution.athl.PermanentImpactQuasiArbitrage
-
- evaluate(double) - Method in class org.drip.execution.athl.TemporaryImpact
-
- evaluate(double) - Method in class org.drip.execution.impact.ParticipationRateLinear
-
- evaluate(double) - Method in class org.drip.execution.impact.ParticipationRatePower
-
- evaluate(double, double) - Method in class org.drip.execution.impact.TransactionFunction
-
Evaluate the Impact Function at the specified Trade Parameters
- evaluate(double) - Method in class org.drip.execution.principal.GrossProfitExpectation
-
- evaluate(double) - Method in class org.drip.function.definition.R1ToR1
-
Evaluate for the given variate
- evaluate(double) - Method in class org.drip.function.definition.R1ToRd
-
Evaluate for the given Input R^1 Variate
- evaluate(double[]) - Method in class org.drip.function.definition.RdToR1
-
Evaluate for the given Input Variates
- evaluate(double[]) - Method in class org.drip.function.definition.RdToRd
-
Evaluate for the given Input R^d Variates
- evaluate(double) - Method in class org.drip.function.r1tor1.AlmgrenEnhancedEulerUpdate
-
- evaluate(double) - Method in class org.drip.function.r1tor1.AndersenPiterbargMeanReverter
-
- evaluate(double) - Method in class org.drip.function.r1tor1.Bennett
-
- evaluate(double) - Method in class org.drip.function.r1tor1.ExponentialDecay
-
- evaluate(double) - Method in class org.drip.function.r1tor1.ExponentialTension
-
- evaluate(double) - Method in class org.drip.function.r1tor1.FlatUnivariate
-
- evaluate(double) - Method in class org.drip.function.r1tor1.FunctionClassSupremum
-
- evaluate(double) - Method in class org.drip.function.r1tor1.HyperbolicTension
-
- evaluate(double) - Method in class org.drip.function.r1tor1.LinearRationalShapeControl
-
- evaluate(double) - Method in class org.drip.function.r1tor1.NaturalLogSeriesElement
-
- evaluate(double) - Method in class org.drip.function.r1tor1.OffsetIdempotent
-
- evaluate(double) - Method in class org.drip.function.r1tor1.Polynomial
-
- evaluate(double) - Method in class org.drip.function.r1tor1.QuadraticRationalShapeControl
-
- evaluate(double) - Method in class org.drip.function.r1tor1.SABRLIBORCapVolatility
-
- evaluate(double) - Method in class org.drip.function.r1tor1.UnivariateConvolution
-
- evaluate(double) - Method in class org.drip.function.r1tor1.UnivariateReciprocal
-
- evaluate(double) - Method in class org.drip.function.r1tor1.UnivariateReflection
-
- evaluate(double[]) - Method in class org.drip.function.rdtor1.AffineBoundMultivariate
-
- evaluate(double[]) - Method in class org.drip.function.rdtor1.AffineMultivariate
-
- evaluate(double[]) - Method in class org.drip.function.rdtor1.CovarianceEllipsoidMultivariate
-
- evaluate(double[]) - Method in class org.drip.function.rdtor1.LagrangianMultivariate
-
- evaluate(double[]) - Method in class org.drip.function.rdtor1.RiskObjectiveUtilityMultivariate
-
- evaluate(double) - Method in class org.drip.learning.bound.EmpiricalLearnerLoss
-
- evaluate(double[], double[]) - Method in class org.drip.learning.kernel.IntegralOperatorEigenComponent
-
Compute the Eigen-Component Contribution to the Kernel Value
- evaluate(double[], double[]) - Method in class org.drip.learning.kernel.MercerKernel
-
- evaluate(double[], double[]) - Method in class org.drip.learning.kernel.SymmetricRdToNormedR1Kernel
-
Compute the Kernel's R^d X R^d To R^1 Value
- evaluate(double[], double[]) - Method in class org.drip.learning.kernel.SymmetricRdToNormedRdKernel
-
Compute the Kernel's R^d X R^d To R^1 Dot-Product Value
- evaluate(double[]) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
-
- evaluate(double[][]) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
-
Retrieve the Worst-case Loss over the Multivariate Sequence
- evaluate(double[]) - Method in class org.drip.learning.svm.KernelRdDecisionFunction
-
- evaluate(double[]) - Method in class org.drip.learning.svm.LinearRdDecisionFunction
-
- evaluate(double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
-
- evaluate(double[]) - Method in class org.drip.sequence.custom.GlivenkoCantelliFunctionSupremum
-
- evaluate(double[]) - Method in class org.drip.sequence.custom.GlivenkoCantelliUniformDeviation
-
- evaluate(double[]) - Method in class org.drip.sequence.custom.KernelDensityEstimationL1
-
- evaluate(double[]) - Method in class org.drip.sequence.custom.LongestCommonSubsequence
-
- evaluate(double[]) - Method in class org.drip.sequence.custom.OrientedPercolationFirstPassage
-
- evaluate(double[]) - Method in class org.drip.sequence.functional.FlatMultivariateRandom
-
- evaluate(double) - Method in class org.drip.spline.bspline.CubicRationalLeftRaw
-
- evaluate(double) - Method in class org.drip.spline.bspline.CubicRationalRightRaw
-
- evaluate(double) - Method in class org.drip.spline.bspline.ExponentialTensionLeftHat
-
- evaluate(double) - Method in class org.drip.spline.bspline.ExponentialTensionLeftRaw
-
- evaluate(double) - Method in class org.drip.spline.bspline.ExponentialTensionRightHat
-
- evaluate(double) - Method in class org.drip.spline.bspline.ExponentialTensionRightRaw
-
- evaluate(double) - Method in class org.drip.spline.bspline.LeftHatShapeControl
-
- evaluate(double) - Method in class org.drip.spline.bspline.RightHatShapeControl
-
- evaluate(double) - Method in class org.drip.spline.bspline.SegmentMonicBasisFunction
-
- evaluate(double) - Method in class org.drip.spline.bspline.SegmentMulticBasisFunction
-
- evaluate(double) - Method in class org.drip.spline.bspline.TensionProcessedBasisHat
-
- evaluate(double) - Method in class org.drip.spline.pchip.MonotoneConvexHaganWest
-
- evaluate(double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- evaluate(double) - Method in class org.drip.spline.tension.KLKHyperbolicTensionPhy
-
- evaluate(double) - Method in class org.drip.spline.tension.KLKHyperbolicTensionPsy
-
- evaluateExpectation(double) - Method in interface org.drip.quant.stochastic.R1R1ToR1
-
Evaluate the Expectation for the given variate
- evaluateRealization(double) - Method in interface org.drip.quant.stochastic.R1R1ToR1
-
Evaluate a Single Realization for the given variate
- eventDates(int, int) - Method in class org.drip.market.exchange.TreasuryFuturesConvention
-
Retrieve the TreasuryFuturesEventDates Instance corresponding to the Futures Expiry Year/Month
- evolutionFinishDate() - Method in class org.drip.dynamics.evolution.LSQMPointUpdate
-
Retrieve the Evolution Finish Date
- EvolutionIncrement - Class in org.drip.execution.discrete
-
EvolutionIncrement contains the Realized Stochastic Evolution Increments of the Price/Short-fall exhibited
by an Asset owing to the Volatility and the Market Impact Factors over the Slice Time Interval.
- EvolutionIncrement(MarketImpactComponent, MarketImpactComponent) - Constructor for class org.drip.execution.discrete.EvolutionIncrement
-
EvolutionIncrement Constructor
- EvolutionMetrics - Class in org.drip.sample.hullwhite
-
EvolutionMetrics demonstrates the Construction and Usage of the Hull-White Metrics Using Hull-White 1F
Model Dynamics for the Evolution of the Short Rate.
- EvolutionMetrics() - Constructor for class org.drip.sample.hullwhite.EvolutionMetrics
-
- evolutionStartDate() - Method in class org.drip.dynamics.evolution.LSQMPointUpdate
-
Retrieve the Evolution Start Date
- evolve(int, int, int, LSQMCurveUpdate) - Method in interface org.drip.dynamics.evolution.CurveStateEvolver
-
Evolve the Latent State and return the LSQM Curve Update
- evolve(int, int, int, LSQMPointUpdate) - Method in interface org.drip.dynamics.evolution.PointStateEvolver
-
Evolve the Latent State and return the LSQM Point Update
- evolve(int, int, int, LSQMPointUpdate) - Method in class org.drip.dynamics.hjm.MultiFactorStateEvolver
-
- evolve(int, int, int, LSQMPointUpdate) - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
-
- evolve(int, int, int, LSQMPointUpdate) - Method in class org.drip.dynamics.lmm.ContinuousForwardRateEvolver
-
- evolve(int, int, int, LSQMCurveUpdate) - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
-
- evolve(int, int, int, LSQMPointUpdate) - Method in class org.drip.dynamics.lmm.LognormalLIBORPointEvolver
-
- evolve(int, int, int, LSQMPointUpdate) - Method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
-
- evolve(NonDimensionalCost, MarketState, double, double, double) - Method in class org.drip.execution.hjb.NonDimensionalCostEvolver
-
Evolve a Single Time Step of the Optimal Trajectory
- evolve(NonDimensionalCost, MarketState, double, double, double) - Method in class org.drip.execution.hjb.NonDimensionalCostEvolverCorrelated
-
- evolve(NonDimensionalCost, MarketState, double, double, double) - Method in class org.drip.execution.hjb.NonDimensionalCostEvolverSystemic
-
- evolver() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
-
Retrieve the Non Dimensional Cost Evolver
- evolveTrinomialTree(int, int, int, TrinomialTreeNodeMetrics) - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
-
Generate the Metrics associated with the Transition that results from using a Trinomial Tree Using the
Starting Node Metrics
- evolveTrinomialTreeSequence(int, int, int, int, TrinomialTreeNodeMetrics, TrinomialTreeSequenceMetrics) - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
-
Evolve the Trinomial Tree Sequence
- evolveTrinomialTreeSequence(int, int, int) - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
-
Evolve the Trinomial Tree Sequence
- excessReturns(double) - Method in class org.drip.portfolioconstruction.mpt.AssetSecurityCharacteristicLine
-
Retrieve the Excess Returns over the Market for the Asset
- excessReturnsDistribution() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionSpecification
-
Retrieve the R^1 Projection Space Excess Returns Normal Distribution
- excessReturnsMean() - Method in class org.drip.portfolioconstruction.asset.PortfolioMetrics
-
Retrieve the Portfolio Expected Excess Returns
- excessReturnsStandardDeviation() - Method in class org.drip.portfolioconstruction.asset.PortfolioMetrics
-
Retrieve the Portfolio Excess Returns Standard Deviation
- excessReturnsVariance() - Method in class org.drip.portfolioconstruction.asset.PortfolioMetrics
-
Retrieve the Portfolio Excess Returns Variance
- ExchangeInfo(String, String) - Static method in class org.drip.market.exchange.FuturesOptionsContainer
-
Retrieve the FuturesOptions Exchange Info
- ExchangeInfo(ForwardLabel) - Static method in class org.drip.market.exchange.ShortTermFuturesContainer
-
Retrieve the Short Term Futures Exchange Info From the Corresponding Forward Label
- ExchangeInfo(String) - Static method in class org.drip.market.exchange.ShortTermFuturesContainer
-
Retrieve the Short Term Futures Exchange Info From the Corresponding Forward Label
- ExchangeInstrumentBuilder - Class in org.drip.service.template
-
ExchangeInstrumentBuilder contains static Helper API to facilitate Construction of Exchange-traded
Instruments.
- ExchangeInstrumentBuilder() - Constructor for class org.drip.service.template.ExchangeInstrumentBuilder
-
- exchanges() - Method in class org.drip.market.exchange.FuturesOptions
-
Retrieve the Set of Traded Exchanges
- exchanges() - Method in class org.drip.market.exchange.ShortTermFutures
-
Retrieve the List of Exchanges
- exchanges() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
-
Retrieve the Bond Futures Exchanges Array
- ExchangeTradedFuturesOption(JulianDate, ForwardLabel, double, String, boolean, String, String) - Static method in class org.drip.product.creator.SingleStreamOptionBuilder
-
Create an Exchange-traded Standard Futures Option
- ExchangeTradedOptionDefinitions - Class in org.drip.sample.treasuryfutures
-
ExchangeTradedOptionDefinitions contains all the pre-fixed Definitions of Exchange-traded Options on Bond
Futures Contracts.
- ExchangeTradedOptionDefinitions() - Constructor for class org.drip.sample.treasuryfutures.ExchangeTradedOptionDefinitions
-
- execRegression() - Method in class org.drip.regression.core.UnitRegressionExecutor
-
Execute the regression call within this function
- execRegression() - Method in class org.drip.regression.spline.BasisSplineRegressor
-
- execRegression() - Method in class org.drip.regression.spline.HermiteBasisSplineRegressor
-
- execRegression() - Method in class org.drip.regression.spline.LagrangePolynomialStretchRegressor
-
- execRegression() - Method in class org.drip.regression.spline.LocalControlBasisSplineRegressor
-
- executedBlockSize() - Method in class org.drip.execution.strategy.ContinuousTradingTrajectory
-
- executedBlockSize() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectory
-
- executedBlockSize() - Method in interface org.drip.execution.strategy.TradingTrajectory
-
Retrieve the Executed Block Size
- ExecutionControl - Class in org.drip.function.r1tor1solver
-
ExecutionControl implements the core fixed point search execution control and customization functionality.
- ExecutionControl(R1ToR1, ExecutionControlParams) - Constructor for class org.drip.function.r1tor1solver.ExecutionControl
-
ExecutionControl constructor
- ExecutionControlParams - Class in org.drip.function.r1tor1solver
-
ExecutionControlParams holds the parameters needed for controlling the execution of the fixed point
finder.
- ExecutionControlParams() - Constructor for class org.drip.function.r1tor1solver.ExecutionControlParams
-
Default Execution Control Parameters constructor
- ExecutionControlParams(int, boolean, double, double, double, double) - Constructor for class org.drip.function.r1tor1solver.ExecutionControlParams
-
Execution Control Parameters constructor
- ExecutionInitializationOutput - Class in org.drip.function.r1tor1solver
-
ExecutionInitializationOutput holds the output of the root initializer calculation.
- ExecutionInitializer - Class in org.drip.function.r1tor1solver
-
ExecutionInitializer implements the initialization execution and customization functionality.
- ExecutionInitializer(R1ToR1, ConvergenceControlParams, boolean) - Constructor for class org.drip.function.r1tor1solver.ExecutionInitializer
-
ExecutionInitializer constructor
- executionTime() - Method in class org.drip.execution.strategy.ContinuousTradingTrajectory
-
- executionTime() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectory
-
- executionTime() - Method in interface org.drip.execution.strategy.TradingTrajectory
-
Retrieve the Execution Time
- executionTimeNode() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectory
-
Retrieve the Array containing the Execution Time Nodes Sequence
- executionTimeNodes() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectoryControl
-
Retrieve the Array containing the Execution Time Nodes
- executionTimeUpperBound() - Method in class org.drip.execution.optimum.PowerImpactContinuous
-
Retrieve the Optimal Trajectory Execution Time Upper Bound (if it exists)
- exercised() - Method in class org.drip.product.credit.BondComponent
-
- exercised() - Method in class org.drip.product.definition.Bond
-
Indicate if the bond has been exercised
- exercised() - Method in class org.drip.product.params.TerminationSetting
-
Indicate if the contract has been exercised
- exerciseDate() - Method in class org.drip.product.option.OptionComponent
-
Retrieve the Option Exercise Date
- ExerciseInfo - Class in org.drip.analytics.output
-
ExerciseInfo is a place-holder for the set of exercise information.
- ExerciseInfo(int, double, int) - Constructor for class org.drip.analytics.output.ExerciseInfo
-
Constructs the ExerciseInfo from the work-out date, type, and the exercise factor
- exerciseNoticePeriod() - Method in class org.drip.product.params.EmbeddedOptionSchedule
-
Retrieve the exercise notice period
- exerciseYieldFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- exerciseYieldFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Retrieve the work-out information from price
- ExhaustivePermutationScan(String, int) - Static method in class org.drip.spaces.big.SubStringSetExtractor
-
Locate the String Set of the Target Size using an Exhaustive Permutation Scan
- expectation() - Method in class org.drip.execution.bayesian.PriorDriftDistribution
-
Retrieve the Expectation of the Prior Drift Distribution
- expectation() - Method in class org.drip.execution.discrete.ShortfallIncrementDistribution
-
Retrieve the Total Expectation
- expectation(RdToR1) - Method in class org.drip.measure.continuousjoint.R1Multivariate
-
Compute the Expectation of the Specified R^d To R^1 Function Instance
- expectationConjecture(double[]) - Method in class org.drip.sequence.custom.LongestCommonSubsequence
-
Conjecture of the Expected Value of the LCS Length
- expectationConjectureLowerBound(double[]) - Method in class org.drip.sequence.custom.LongestCommonSubsequence
-
Lower Bound of the Conjecture of the Expected Value of the LCS Length
- expectationConjectureUpperBound(double[]) - Method in class org.drip.sequence.custom.LongestCommonSubsequence
-
Upper Bound of the Conjecture of the Expected Value of the LCS Length
- expectationContribution(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
-
- expectationContribution(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
-
- expectationContribution(ArithmeticPriceEvolutionParameters) - Method in interface org.drip.execution.sensitivity.ControlNodesGreekGenerator
-
Generate the Total Expectation Contribution
- expectedAssetExcessReturns() - Method in class org.drip.portfolioconstruction.allocator.ForwardReverseOptimizationOutput
-
Retrieve the Array of Expected Excess Returns for each Asset
- expectedATMPayoff() - Method in class org.drip.pricer.option.Greeks
-
The Expected ATM Payoff
- ExpectedBasicConsumption - Class in org.drip.portfolioconstruction.alm
-
ExpectedBasicConsumption holds the Parameters required for estimating the Investor's Basic Consumption
Profile.
- ExpectedBasicConsumption(double, double) - Constructor for class org.drip.portfolioconstruction.alm.ExpectedBasicConsumption
-
ExpectedBasicConsumption Constructor
- ExpectedExcessReturnsWeights - Class in org.drip.sample.idzorek
-
ExpectedExcessReturnsWeights reconciles the Expected Returns and the corresponding Weights for different
Input Asset Distributions using the Black-Litterman Model Process.
- ExpectedExcessReturnsWeights() - Constructor for class org.drip.sample.idzorek.ExpectedExcessReturnsWeights
-
- expectedFinalShortRate() - Method in class org.drip.dynamics.hullwhite.ShortRateUpdate
-
Retrieve the Expected Final Short Rate
- ExpectedNonFinancialIncome - Class in org.drip.portfolioconstruction.alm
-
ExpectedNonFinancialIncome holds the Parameters required for estimating the Investor's Non-Financial
Income Profile.
- ExpectedNonFinancialIncome(double) - Constructor for class org.drip.portfolioconstruction.alm.ExpectedNonFinancialIncome
-
ExpectedNonFinancialIncome Constructor
- expectedPayoff() - Method in class org.drip.pricer.option.Greeks
-
The Expected Payoff
- expectedRecovery() - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Retrieve the Expected Recovery
- expectedReturn(AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.asset.Portfolio
-
Retrieve the Expected Returns of the Portfolio
- expectedReturn() - Method in class org.drip.portfolioconstruction.params.AssetStatisticalProperties
-
Retrieve the Expected Returns of the Asset
- expectedReturns() - Method in class org.drip.function.rdtor1.RiskObjectiveUtilityMultivariate
-
Retrieve the Array of Expected Returns
- expectedReturns(String[]) - Method in class org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
-
Retrieve the Asset Expected Returns Array
- expectedTerminalX() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
-
Retrieve the Expected Final/Terminal Value for X
- expiry() - Method in class org.drip.market.exchange.TreasuryFuturesEventDates
-
Retrieve the Expiry Date
- expiry() - Method in class org.drip.product.govvie.TreasuryFutures
-
Retrieve the Futures Expiration Date
- expiryCleanPrice() - Method in class org.drip.historical.attribution.TreasuryFuturesMarketSnap
-
Retrieve the Clean Price at Expiry
- expiryDate() - Method in class org.drip.historical.attribution.TreasuryFuturesMarketSnap
-
Retrieve the Expiry Date
- expiryDeliveryNoticeLag() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
-
Retrieve the Lag Between the Expiry and the Delivery Notice Dates
- ExpiryDeliveryTradingDates - Class in org.drip.sample.treasuryfutures
-
ExpiryDeliveryTradingDates illustrates Generation of Event Dates from the Expiry Month/Year of the Bond
Futures Contracts.
- ExpiryDeliveryTradingDates() - Constructor for class org.drip.sample.treasuryfutures.ExpiryDeliveryTradingDates
-
- expiryFinalDeliveryLag() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
-
Retrieve the Lag Between the Expiry and the Final Delivery Dates
- expiryFirstDeliveryLag() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
-
Retrieve the Lag Between the Expiry and the First Delivery Dates
- expiryLastTradingLag() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
-
Retrieve the Lag Between the Expiry and the Last Trading Dates
- explainedChange() - Method in class org.drip.historical.attribution.PositionChangeComponents
-
Retrieve the Explained Interval Change
- ExplicitBootCreditCurve - Class in org.drip.state.credit
-
ExplicitBootCreditCurve exposes the functionality associated with the bootstrapped Credit Curve.
- ExplicitBootCurve - Interface in org.drip.analytics.definition
-
In ExplicitBootCurve, the segment boundaries explicitly line up with the instrument maturity boundaries.
- ExplicitBootDiscountCurve - Class in org.drip.state.discount
-
ExplicitBootDiscountCurve exposes the functionality associated with the bootstrapped Discount Curve.
- ExplicitBootFXCurve - Class in org.drip.state.fx
-
ExplicitBootFXCurve exposes the functionality associated with the bootstrapped FX Curve.
- ExplicitBootGovvieCurve - Class in org.drip.state.govvie
-
ExplicitBootGovvieCurve exposes the Functionality associated with the bootstrapped Govvie Curve.
- ExplicitBootRepoCurve - Class in org.drip.state.repo
-
ExplicitBootRepoCurve exposes the functionality associated with the bootstrapped Repo Curve.
- ExplicitBootVolatilityCurve - Class in org.drip.state.volatility
-
ExplicitBootVolatilityCurve exposes the functionality associated with the bootstrapped Volatility Curve.
- exponent() - Method in class org.drip.execution.athl.PermanentImpactQuasiArbitrage
-
- exponent() - Method in class org.drip.execution.athl.TemporaryImpact
-
- exponent() - Method in class org.drip.execution.impact.ParticipationRatePower
-
- exponent() - Method in class org.drip.execution.impact.TransactionFunctionPower
-
Retrieve the Power Law Exponent Market Impact Parameter
- exponent() - Method in class org.drip.learning.bound.MeasureConcentrationExpectationBound
-
Retrieve the Asymptote Exponent
- ExponentialDecay - Class in org.drip.function.r1tor1
-
ExponentialDecay implements the scaled exponential decay Univariate Function.
- ExponentialDecay(double, double) - Constructor for class org.drip.function.r1tor1.ExponentialDecay
-
ExponentialDecay constructor
- ExponentiallyCompoundedFlatRate(JulianDate, String, double) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
Create a Discount Curve from the Exponentially Compounded Flat Rate
- ExponentialMixtureBasisSet(ExponentialMixtureSetParams) - Static method in class org.drip.spline.basis.FunctionSetBuilder
-
Construct the Exponential Mixture Basis Set
y = A + B * exp(-l_1 * x) + C * exp(-l_2 * x) + D * exp(-l_3 * x)
- ExponentialMixtureSetParams - Class in org.drip.spline.basis
-
ExponentialMixtureSetParams implements per-segment parameters for the exponential mixture basis set -
the array of the exponential tension parameters, one per each entity in the mixture.
- ExponentialMixtureSetParams(double[]) - Constructor for class org.drip.spline.basis.ExponentialMixtureSetParams
-
ExponentialMixtureSetParams constructor
- ExponentialRationalBasisSet(ExponentialRationalSetParams) - Static method in class org.drip.spline.basis.FunctionSetBuilder
-
Construct the Exponential Rational Basis Set
y = A + B / (1+x) + C * exp(-x) + D * exp(-x) / (1+x)
- ExponentialRationalSetParams - Class in org.drip.spline.basis
-
ExponentialRationalSetParams implements per-segment parameters for the exponential rational basis set
- the exponential tension and the rational tension parameters.
- ExponentialRationalSetParams(double, double) - Constructor for class org.drip.spline.basis.ExponentialRationalSetParams
-
ExponentialRationalSetParams constructor
- ExponentialTension - Class in org.drip.function.r1tor1
-
ExponentialTension provides the evaluation of the Exponential Tension Function and its derivatives for a
specified variate.
- ExponentialTension(double, double) - Constructor for class org.drip.function.r1tor1.ExponentialTension
-
ExponentialTension constructor
- exponentialTension() - Method in class org.drip.spline.basis.ExponentialRationalSetParams
-
Get the Exponential Tension
- ExponentialTensionBasisSet(ExponentialTensionSetParams) - Static method in class org.drip.spline.basis.FunctionSetBuilder
-
This function implements the elastic coefficients for the segment using tension exponential basis
splines inside - [0,...,1) - Globally [x_0,...,x_1).
- ExponentialTensionLeftHat - Class in org.drip.spline.bspline
-
ExponentialTensionLeftHat implements the TensionBasisHat interface in accordance with the left exponential
hat basis function laid out in the basic framework outlined in Koch and Lyche (1989), Koch and Lyche
(1993), and Kvasov (2000) Papers.
- ExponentialTensionLeftHat(double, double, double) - Constructor for class org.drip.spline.bspline.ExponentialTensionLeftHat
-
ExponentialTensionLeftHat constructor
- ExponentialTensionLeftRaw - Class in org.drip.spline.bspline
-
ExponentialTensionLeftRaw implements the TensionBasisHat interface in accordance with the raw left
exponential hat basis function laid out in the basic framework outlined in Koch and Lyche (1989), Koch
and Lyche (1993), and Kvasov (2000) Papers.
- ExponentialTensionLeftRaw(double, double, double) - Constructor for class org.drip.spline.bspline.ExponentialTensionLeftRaw
-
ExponentialTensionLeftRaw constructor
- ExponentialTensionRightHat - Class in org.drip.spline.bspline
-
ExponentialTensionRightHat implements the TensionBasisHat interface in accordance with the right
exponential hat basis function laid out in the basic framework outlined in Koch and Lyche (1989), Koch
and Lyche (1993), and Kvasov (2000) Papers.
- ExponentialTensionRightHat(double, double, double) - Constructor for class org.drip.spline.bspline.ExponentialTensionRightHat
-
ExponentialTensionRightHat constructor
- ExponentialTensionRightRaw - Class in org.drip.spline.bspline
-
ExponentialTensionRightRaw implements the TensionBasisHat interface in accordance with the raw right
exponential hat basis function laid out in the basic framework outlined in Koch and Lyche (1989), Koch
and Lyche (1993), and Kvasov (2000) Papers.
- ExponentialTensionRightRaw(double, double, double) - Constructor for class org.drip.spline.bspline.ExponentialTensionRightRaw
-
ExponentialTensionRightRaw constructor
- ExponentialTensionSegmentControlParams(double, SegmentInelasticDesignControl, ResponseScalingShapeControl) - Static method in class org.drip.sample.stretch.KnotInsertionPolynomialEstimator
-
- ExponentialTensionSetParams - Class in org.drip.spline.basis
-
ExponentialTensionSetParams implements per-segment parameters for the exponential tension basis set -
currently it only contains the tension parameter.
- ExponentialTensionSetParams(double) - Constructor for class org.drip.spline.basis.ExponentialTensionSetParams
-
ExponentialTensionSetParams constructor
- Exponentiate(ComplexNumber) - Static method in class org.drip.quant.fourier.ComplexNumber
-
Exponentiate the Complex Number
- exponentScaler() - Method in class org.drip.learning.bound.CoveringNumberLossBound
-
Retrieve the Exponent Scaler