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H

HaganWestForwardInterpolator - Class in org.drip.sample.funding

This sample illustrates using the Hagan and West (2006) Estimator.

HaganWestForwardInterpolator() - Constructor for class org.drip.sample.funding.HaganWestForwardInterpolator

halfLife() - Method in class org.drip.execution.optimum.AlmgrenChrissDiscrete

Retrieve the Half-Life

HALFSECOND - Static variable in class org.drip.analytics.date.DateUtil

HALF_SECOND Constant for Julian Date Construction

HarmonicC1(double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator

Generate a Harmonic C1 Array from the specified Array of Predictor Ordinates and the Response Values Fritcsh and Butland (1984) A Method for constructing local monotonic piece-wise cubic interpolants - SIAM J on Scientific and Statistical Computing 5, 300-304.

hashCode() - Method in class org.drip.analytics.date.JulianDate

hashCode() - Method in class org.drip.spline.segment.LatentStateInelastic

hasOFReachedGoal(double, double, double) - Method in class org.drip.function.r1tor1solver.ExecutionControl

Check to see if the OF has reached the goal

hat() - Method in class org.drip.spline.basis.BSplineSequenceParams

Retrieve the Basis Hat Type

hazard() - Method in class org.drip.function.r1tor1.ExponentialDecay

Retrieve the Hazard

Hazard(int, String, String, double, int, double) - Static method in class org.drip.state.creator.ScenarioCreditCurveBuilder

Create an instance of the CreditCurve object from a solitary hazard rate node

Hazard(JulianDate, String, String, int[], double[], double) - Static method in class org.drip.state.creator.ScenarioCreditCurveBuilder

Create a credit curve from an array of dates and hazard rates

Hazard(int, String, String, double[], int[], double[], int[], int) - Static method in class org.drip.state.creator.ScenarioCreditCurveBuilder

Create a credit curve from hazard rate and recovery rate term structures

hazard(JulianDate, JulianDate) - Method in class org.drip.state.credit.CreditCurve

Calculate the hazard rate between a pair of forward dates

hazard(JulianDate) - Method in class org.drip.state.credit.CreditCurve

Calculate the hazard rate to the given date

hazard(String) - Method in class org.drip.state.credit.CreditCurve

Calculate the hazard rate to the given tenor

header(int) - Method in class org.drip.feed.loader.CSVGrid

Retrieve the Header identified by the Index

header() - Method in class org.drip.historical.attribution.PositionChangeComponents

Retrieve the Row of Header Fields

header(String) - Method in class org.drip.historical.attribution.PositionMarketSnap

Retrieve the Row of Header Fields

headers() - Method in class org.drip.feed.loader.CSVGrid

Retrieve the Array of Headers

heapSort() - Method in class org.drip.spaces.big.BigR1Array

Heap Sort the Big Array

Helper - Class in org.drip.analytics.support

AnalyticsHelper contains the collection of the analytics related utility functions used by the modules.

Helper() - Constructor for class org.drip.analytics.support.Helper

HermiteBasisSplineRegressor - Class in org.drip.regression.spline

HermiteBasisSplineRegressor implements the Hermite basis spline regressor for the given basis spline.

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

Retrieve the Objective Function Penalty Hessian

hessian(double[]) - Method in class org.drip.function.definition.RdToR1

Evaluate The Hessian for the given Input Variates

hessian(double[]) - Method in class org.drip.function.rdtor1.AffineBoundMultivariate

hessian(double[]) - Method in class org.drip.function.rdtor1.AffineMultivariate

hessian(double[]) - Method in class org.drip.function.rdtor1.CovarianceEllipsoidMultivariate

hessian(double[]) - Method in class org.drip.function.rdtor1.LagrangianMultivariate

hessian(double[]) - Method in class org.drip.function.rdtor1.RiskObjectiveUtilityMultivariate

hessian() - Method in class org.drip.function.rdtor1solver.ObjectiveFunctionPointMetrics

Retrieve the Hessian Matrix

hessian(double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework

HestonAMSTPayoffTransform - Class in org.drip.sample.stochasticvolatility

HestonAMSTPayoffTransform contains an Comparison of the two ways of computing the Fourier convolution of the terminal payoff - the original Heston (1993) method, and the Albrecher, Mayer, Schoutens, and Tistaert tweak (2007).

HestonAMSTPayoffTransform() - Constructor for class org.drip.sample.stochasticvolatility.HestonAMSTPayoffTransform

HestonOptionPricerParams - Class in org.drip.param.pricer

HestonOptionPricerParams holds the parameters that drive the dynamics of the Heston stochastic volatility model.

HestonOptionPricerParams(int, double, double, double, double, double, int) - Constructor for class org.drip.param.pricer.HestonOptionPricerParams

HestonOptionPricerParams constructor

HestonRunMarketSurface(String, JulianDate, String, double, double, boolean, double, double[], String[], HestonOptionPricerParams, boolean, SegmentCustomBuilderControl, SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioMarketSurfaceBuilder

Create a Price/Volatility Market Surface Based off of a Single Run using the Heston 1993 Model

HestonStochasticVolatilityAlgorithm - Class in org.drip.pricer.option

HestonStochasticVolatilityAlgorithm implements the Heston 1993 Stochastic Volatility European Call and Put Options Pricer.

HestonStochasticVolatilityAlgorithm(HestonOptionPricerParams) - Constructor for class org.drip.pricer.option.HestonStochasticVolatilityAlgorithm

HestonStochasticVolatilityAlgorithm constructor

HighUrgencyTrajectoryComparison - Class in org.drip.sample.almgren2009

HighUrgencyTrajectoryComparison compares the Static Continuous Trading Trajectory generated by the Almgren and Chriss (2012) Scheme against the High Urgency Asymptote Version.

HighUrgencyTrajectoryComparison() - Constructor for class org.drip.sample.almgren2009.HighUrgencyTrajectoryComparison

HILBERT_SUPREMUM_IDENTITY_CONSTANT - Static variable in class org.drip.spaces.cover.MaureyOperatorCoveringBounds

Maurey Constant - from the Hilbert - Supremum Identity Map Estimate

HilbertRxToSupremumRdFinite - Class in org.drip.spaces.functionclass

HilbertRxToSupremumRdFinite implements the Class F with f E f : Hilbert R^x To Supremum R^d Space of Finite Functions.

HilbertRxToSupremumRdFinite(double, NormedRxToNormedRd[]) - Constructor for class org.drip.spaces.functionclass.HilbertRxToSupremumRdFinite

HilbertRxToSupremumRdFinite Constructor

HilbertSupremumIdentityMap(int, double) - Static method in class org.drip.spaces.cover.MaureyOperatorCoveringBounds

Construct an Instance Hilbert To Supremum Identity Map based Maurey Operator Covering Bounds

HilbertSupremumKernelSpace - Class in org.drip.learning.kernel

HilbertSupremumKernelSpace contains the Space of Kernels S that are a Transform from the R^d L2 Hilbert To R^m L-Infinity Supremum Banach Spaces.

HilbertSupremumKernelSpace() - Constructor for class org.drip.learning.kernel.HilbertSupremumKernelSpace

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

Retrieve the Univariate Weighted Histogram

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

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

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

histogram() - Method in class org.drip.measure.lebesgue.R1PiecewiseDisplaced

histogram() - Method in class org.drip.measure.lebesgue.R1PiecewiseLinear

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

HistoricalMap(JulianDate[], String[], double[][], String, int) - Static method in class org.drip.service.state.FundingCurveAPI

Generate the Funding Curve Map

HKD - Class in org.drip.template.irs

HKD contains a Templated Pricing of the OTC Fix-Float HKD IRS Instrument.

HKD() - Constructor for class org.drip.template.irs.HKD

HKDHoliday - Class in org.drip.analytics.holset

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

HKDIRSAttribution - Class in org.drip.sample.fixfloatpnl

HKDIRSAttribution generates the Historical PnL Attribution for HKD IRS.

HKDIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.HKDIRSAttribution

HKDShapePreserving1YStart - Class in org.drip.sample.fundinghistorical

HKDShapePreserving1YStart Generates the Historical HKD Shape Preserving Funding Curve Native Compounded Forward Rate starting at 1Y Tenor.

HKDShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.HKDShapePreserving1YStart

HKDShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed

HKDShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the HKD Input Marks.

HKDShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.HKDShapePreservingReconstitutor

holdings() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryState

Retrieve the Trajectory State Time Node Holdings

holdings() - Method in class org.drip.execution.strategy.ContinuousTradingTrajectory

Retrieve the Holdings Function

holdings() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectory

Retrieve the Array of the Number of Units Outstanding

holdings() - Method in class org.drip.execution.tradingtime.VolumeTimeFrame

Retrieve the Holdings

holdingsDriftAdjustment() - Method in class org.drip.execution.optimum.AlmgrenChrissDriftDiscrete

Retrieve the Array of the Holdings Drift Adjustment

holdingsShift() - Method in class org.drip.execution.discrete.OptimalSerialCorrelationAdjustment

Retrieve the Optimal Holdings Shift

HolidayLocations() - Static method in class org.drip.analytics.daycount.Convention

Retrieve the set of holiday locations

Holidays(int, int, String) - Static method in class org.drip.analytics.daycount.Convention

Calculate the Number of Holidays between the Start and the End Dates

holidays() - Method in class org.drip.analytics.eventday.Locale

Return the set of week day holidays

HolidaySet(int, int, String) - Static method in class org.drip.analytics.daycount.Convention

Calculate the Set of Holidays between the Start and the End Dates

horizon(String) - Method in class org.drip.historical.engine.MarketMeasureRollDown

Retrieve the Horizon Market Metric

horizon() - Method in class org.drip.historical.engine.MarketMeasureRollDown

Retrieve the Roll Down Horizon Metric Map

horizon() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityCashFlow

Retrieve the Snapshot's Investment Horizon

HorizonChangeAttribution(DiscountCurve, CreditCurve, DiscountCurve, CreditCurve, String) - Static method in class org.drip.service.product.CreditIndexAPI

Generate the CDS Horizon Change Attribution

HorizonChangeAttribution(JulianDate[], int, String[], double[][], String[], double[]) - Static method in class org.drip.service.product.CreditIndexAPI

Generate the Funding/Credit Curve Horizon Metrics

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

Returns Attribution for the Specified Bond Instance

HorizonChangeAttribution(MergedDiscountForwardCurve, MergedDiscountForwardCurve, CaseInsensitiveHashMap<MergedDiscountForwardCurve>, String) - Static method in class org.drip.service.product.FixFloatAPI

Compute the Horizon Change Attribution Details for the Specified Fix-Float Swap

HorizonChangeAttribution(JulianDate, JulianDate, String[], double[], double[], String[], double[], double[], String, String, String[], int) - Static method in class org.drip.service.product.FixFloatAPI

Generate the Funding Curve Horizon Metrics

HorizonChangeAttribution(JulianDate[], int, String[], double[][], String[], double[][], String, String, String[], int) - Static method in class org.drip.service.product.FixFloatAPI

Generate the Funding Curve Horizon Metrics

HorizonChangeAttribution(JulianDate[], JulianDate[], double[], String) - Static method in class org.drip.service.product.FundingFuturesAPI

Generate the Funding Futures Horizon Metrics

HorizonChangeAttribution(GovvieCurve, GovvieCurve, CaseInsensitiveHashMap<GovvieCurve>, String, String) - Static method in class org.drip.service.product.TreasuryAPI

Compute the Horizon Change Attribution Details for the Specified Treasury Bond

HorizonChangeAttribution(JulianDate, JulianDate, String[], double[], double[], String, String, String[], int) - Static method in class org.drip.service.product.TreasuryAPI

Generate the Govvie Curve Horizon Metrics

HorizonChangeAttribution(JulianDate[], int, String[], double[][], String, String, String[], int) - Static method in class org.drip.service.product.TreasuryAPI

Generate the Govvie Curve Horizon Metrics

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

Returns Attribution for the Treasury Futures

HorizonChangeExplainExecutor - Class in org.drip.historical.engine

HorizonChangeExplainExecutor executes the Sequence of Calls for the Calculation of the Component's Horizon Change Explain.

HorizonChangeExplainExecutor() - Constructor for class org.drip.historical.engine.HorizonChangeExplainExecutor

HorizonChangeExplainProcessor - Class in org.drip.historical.engine

HorizonChangeExplainProcessor holds the Stubs associated with the Computation of the Horizon Position Change Components for the given Product.

HorizonInformationRatioDependence - Class in org.drip.execution.principal

HorizonInformationRatioDependence holds the Dependence Constants/Exponents for the Optimal Information Ratio and the corresponding Horizon.

HorizonInformationRatioDependence(OptimalMeasureDependence, OptimalMeasureDependence) - Constructor for class org.drip.execution.principal.HorizonInformationRatioDependence

HorizonInformationRatioDependence Constructor

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

Generate the Horizon Treasury Curve Tenor Key Rate Sensitivity/Duration

HorizonMetrics(JulianDate, JulianDate, JulianDate, double, double, String) - Static method in class org.drip.service.product.FundingFuturesAPI

Generate the Funding Futures Horizon Metrics

HorizonMetrics(JulianDate[], String[], double[][], String[], double[], String[]) - Static method in class org.drip.service.state.CreditCurveAPI

Generate the Horizon Metrics for the Specified Inputs

HorizonMetrics(JulianDate[], String[], double[][], String[], String[], String, int) - Static method in class org.drip.service.state.FundingCurveAPI

Generate the Funding Curve Horizon Metrics

HorizonMetrics(JulianDate[], String[], double[][], String[], String[], String, int) - Static method in class org.drip.service.state.OvernightCurveAPI

Generate the Overnight Curve Horizon Metrics For an Array of Closing Dates

horizonPrincipalMeasure(double) - Method in class org.drip.execution.principal.GrossProfitEstimator

Generate R^1 Univariate Normal Gross Profit Distribution from the specified Principal Discount

HRKHoliday - Class in org.drip.analytics.holset

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

HUFHoliday - Class in org.drip.analytics.holset

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

HUFIRSAttribution - Class in org.drip.sample.fixfloatpnl

HUFIRSAttribution generates the Historical PnL Attribution for HUF IRS.

HUFIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.HUFIRSAttribution

HUFShapePreserving1YStart - Class in org.drip.sample.fundinghistorical

HUFShapePreserving1YStart Generates the Historical HUF Shape Preserving Funding Curve Native Compounded Forward Rate starting at 1Y Tenor.

HUFShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.HUFShapePreserving1YStart

HUFShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed

HUFShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the HUF Input Marks.

HUFShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.HUFShapePreservingReconstitutor

HuynhLeFlochLimiterC1(double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator

Generate a Huynh Le Floch Limiter C1 Array from the specified Array of Predictor Ordinates and the Response Values.

Hyman83C1(double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator

Generate a Hyman83 C1 Array from the specified Array of Predictor Ordinates and the Response Values Hyman (1983) Accurate Monotonicity Preserving Cubic Interpolation - SIAM J on Numerical Analysis 4 (4), 645-654.

Hyman89C1(double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator

Generate a Hyman89 C1 Array from the specified Array of Predictor Ordinates and the Response Values Doherty, Edelman, and Hyman (1989) Non-negative, monotonic, or convexity preserving cubic and quintic Hermite interpolation - Mathematics of Computation 52 (186), 471-494.

Hyman89QuinticMonotoneC1(double[], double[], double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator

Generate C1 Slope Quintic Polynomial is Monotone using the Hyman89 Algorithm Doherty, Edelman, and Hyman (1989) Non-negative, monotonic, or convexity preserving cubic and quintic Hermite interpolation - Mathematics of Computation 52 (186), 471-494.

HyperbolicTension - Class in org.drip.function.r1tor1

HyperbolicTension provides the evaluation of the Hyperbolic Tension Function and its derivatives for a specified variate.

HyperbolicTension(int, double) - Constructor for class org.drip.function.r1tor1.HyperbolicTension

HyperbolicTension constructor

HyperbolicTensionBasisSet(ExponentialTensionSetParams) - Static method in class org.drip.spline.basis.FunctionSetBuilder

This function implements the elastic coefficients for the segment using tension hyperbolic basis splines inside - [0,...,1) - Globally [x_0,...,x_1).

HyperbolicTensionHatPair(double, double, double, double) - Static method in class org.drip.spline.bspline.BasisHatPairGenerator

Generate the array of the Hyperbolic Phy and Psy Hat Function Pair

hyperboloidBoundaryValue() - Method in class org.drip.execution.optimum.PowerImpactContinuous

Retrieve the Optimal Trajectory Hyperboloid Boundary Value

hyperVolume() - Method in interface org.drip.spaces.tensor.GeneralizedVector

Retrieve the "Hyper" Volume of the Vector Space

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

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

hyperVolume() - Method in class org.drip.spaces.tensor.RdCombinatorialVector

hyperVolume() - Method in class org.drip.spaces.tensor.RdContinuousVector

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