| Modifier and Type | Method and Description |
|---|---|
static double |
OptionHelper.IntegratedCrossVolQuanto(VolatilityCurve vc1,
VolatilityCurve vc2,
R1ToR1 r1r1Correlation,
int iStartDate,
int iEndDate)
Compute the Integrated Cross Volatility Quanto Product given the corresponding volatility and the
correlation curves, and the date spans
|
static double |
OptionHelper.IntegratedFRACrossVolConvexityExponent(VolatilityCurve vcForward,
VolatilityCurve vcFunding,
R1ToR1 r1r1ForwardFundingCorrelation,
double dblForwardShiftedLogNormalScaler,
double dblFundingShiftedLogNormalScaler,
int iStartDate,
int iEndDate)
Compute the Integrated FRA Cross Volatility Convexity Exponent given the corresponding volatility and
the correlation Curves, and the date spans
|
| Modifier and Type | Method and Description |
|---|---|
R1ToR1 |
G2PlusPlus.ifrInitialTermStructure()
Retrieve the Initial Instantaneous Forward Rate Term Structure
|
R1ToR1 |
MultiFactorStateEvolver.instantaneousForwardInitialTermStructure()
Retrieve the Initial Instantaneous Forward Rate Term Structure
|
R1ToR1 |
MultiFactorVolatility.xDateVolatilityFunction(int iFactorIndex,
int iXDate)
Retrieve the Factor-Specific Univariate Volatility Function for the Specified Date
|
| Constructor and Description |
|---|
G2PlusPlus(double dblSigma,
double dblA,
double dblEta,
double dblB,
UnivariateSequenceGenerator[] aRSG,
double dblRho,
R1ToR1 auIFRInitial)
G2PlusPlus Constructor
|
MultiFactorStateEvolver(FundingLabel lslFunding,
ForwardLabel lslForward,
MultiFactorVolatility mfv,
R1ToR1 auInitialInstantaneousForwardRate)
MultiFactorStateEvolver Constructor
|
| Modifier and Type | Method and Description |
|---|---|
R1ToR1 |
SingleFactorStateEvolver.ifrInitialTermStructure()
Retrieve the Initial Instantaneous Forward Rate Term Structure
|
| Constructor and Description |
|---|
SingleFactorStateEvolver(FundingLabel lslFunding,
double dblSigma,
double dblA,
R1ToR1 auIFRInitial,
UnivariateSequenceGenerator usg)
SingleFactorStateEvolver Constructor
|
| Constructor and Description |
|---|
ContinuousForwardRateEvolver(FundingLabel lslFunding,
ForwardLabel lslForward,
MultiFactorVolatility mfv,
R1ToR1 auInitialInstantaneousForwardRate)
ContinuousForwardRateEvolver Constructor
|
| Modifier and Type | Class and Description |
|---|---|
class |
PermanentImpactNoArbitrage
PermanentImpactNoArbitrage implements the Linear Permanent Market Impact with Coefficients that have been
determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the no Quasi-Arbitrage Criterion
identified by Huberman and Stanzl (2004).
|
class |
PermanentImpactQuasiArbitrage
PermanentImpactQuasiArbitrage implements the Linear Permanent Market Impact with Coefficients that have
been determined empirically by Almgren, Thum, Hauptmann, and Li (2005), independent of the no
Quasi-Arbitrage Criterion identified by Huberman and Stanzl (2004).
|
class |
TemporaryImpact
TemporaryImpact implements the Temporary Market Impact with Exponent/Coefficients that have been
determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren
(2003).
|
| Modifier and Type | Method and Description |
|---|---|
static ArithmeticPriceEvolutionParameters |
ArithmeticPriceEvolutionParametersBuilder.CoordinatedVariation(R1ToR1 r1ToR1Volatility,
CoordinatedVariation cv)
Construct a Arithmetic Price Evolution Parameters from Coordinated Variation Instance
|
| Modifier and Type | Class and Description |
|---|---|
class |
ParticipationRateLinear
ParticipationRateLinear implements a Linear Temporary/Permanent Market Impact Function where the Price
Change scales linearly with the Trade Rate, along with an Offset.
|
class |
ParticipationRatePower
ParticipationRatePower implements a Power-Law Based Temporary/Permanent Market Impact Function where the
Price Change scales as a Power of the Trade Rate.
|
class |
TransactionFunction
TransactionFunction exports the Temporary/Permanent Market Impact Displacement/Volatility Functional
Dependence on the Trade Rate.
|
class |
TransactionFunctionLinear
TransactionFunctionLinear exposes the Linear Impact Function Stubs as defined in Almgren and Chriss (2000)
and Almgren (2003).
|
class |
TransactionFunctionPower
TransactionFunctionPower exposes the Power Law Impact Function Stubs as defined in Almgren and Chriss
(2000) and Almgren (2003).
|
| Modifier and Type | Method and Description |
|---|---|
static PowerImpactContinuous |
PowerImpactContinuous.Standard(double dblExecutionTime,
double dblTransactionCostExpectation,
double dblTransactionCostVariance,
double dblCharacteristicTime,
double dblExecutionTimeUpperBound,
double dblHyperboloidBoundaryValue,
double dblMarketPower,
R1ToR1 r1ToR1Holdings,
R1ToR1 r1ToR1TransactionCostExpectation,
R1ToR1 r1ToR1TransactionCostVariance)
Construct the Standard PowerImpactContinuous Instance
|
| Constructor and Description |
|---|
EfficientTradingTrajectoryContinuous(double dblExecutionTime,
double dblTransactionCostExpectation,
double dblTransactionCostVariance,
double dblCharacteristicTime,
double dblMarketPower,
R1ToR1 r1ToR1Holdings,
R1ToR1 r1ToR1TradeRate,
R1ToR1 r1ToR1TransactionCostExpectation,
R1ToR1 r1ToR1TransactionCostVariance)
EfficientTradingTrajectoryContinuous Constructor
|
PowerImpactContinuous(double dblExecutionTime,
double dblTransactionCostExpectation,
double dblTransactionCostVariance,
double dblCharacteristicTime,
double dblExecutionTimeUpperBound,
double dblHyperboloidBoundaryValue,
double dblMarketPower,
R1ToR1 r1ToR1Holdings,
R1ToR1 r1ToR1TradeRate,
R1ToR1 r1ToR1TransactionCostExpectation,
R1ToR1 r1ToR1TransactionCostVariance)
PowerImpactContinuous Constructor
|
| Modifier and Type | Method and Description |
|---|---|
R1ToR1 |
ArithmeticPriceDynamicsSettings.volatilityFunction()
Retrieve the Asset Annual Volatility Function
|
| Constructor and Description |
|---|
ArithmeticPriceDynamicsSettings(double dblDrift,
R1ToR1 r1ToR1Volatility,
double dblSerialCorrelation)
ArithmeticPriceDynamicsSettings Constructor
|
| Modifier and Type | Class and Description |
|---|---|
class |
GrossProfitExpectation
GrossProfitExpectation implements the R^1 To R^1 Univariate that computes the Explicit Profit of a
Principal Execution given the Optimal Trajectory.
|
| Modifier and Type | Method and Description |
|---|---|
R1ToR1 |
ContinuousTradingTrajectory.holdings()
Retrieve the Holdings Function
|
R1ToR1 |
ContinuousTradingTrajectory.tradeRate()
Retrieve the Trade Rate Function
|
R1ToR1 |
ContinuousTradingTrajectory.transactionCostExpectationFunction()
Retrieve the Transaction Cost Expectation Function
|
R1ToR1 |
ContinuousTradingTrajectory.transactionCostVarianceFunction()
Retrieve the Transaction Cost Variance Function
|
| Modifier and Type | Method and Description |
|---|---|
static ContinuousTradingTrajectory |
ContinuousTradingTrajectory.Standard(double dblExecutionTime,
R1ToR1 r1ToR1Holdings,
R1ToR1 r1ToR1TransactionCostExpectation,
R1ToR1 r1ToR1TransactionCostVariance)
Construct a Standard Instance of ContinuousTradingTrajectory
|
| Constructor and Description |
|---|
ContinuousTradingTrajectory(double dblExecutionTime,
R1ToR1 r1ToR1Holdings,
R1ToR1 r1ToR1TradeRate,
R1ToR1 r1ToR1TransactionCostExpectation,
R1ToR1 r1ToR1TransactionCostVariance)
ContinuousTradingTrajectory Constructor
|
| Modifier and Type | Method and Description |
|---|---|
R1ToR1 |
CoordinatedParticipationRateLinear.volatilityFunction()
Compute the Volatility Function from the Liquidity Function
|
R1ToR1 |
CoordinatedVariation.volatilityFunction(R1ToR1 r1ToR1Liquidity)
Compute the Volatility Function from the Liquidity Function
|
| Modifier and Type | Method and Description |
|---|---|
R1ToR1 |
CoordinatedVariation.volatilityFunction(R1ToR1 r1ToR1Liquidity)
Compute the Volatility Function from the Liquidity Function
|
| Constructor and Description |
|---|
CoordinatedParticipationRateLinear(CoordinatedVariation cv,
R1ToR1 r1ToR1Volatility)
CoordinatedParticipationRateLinear Constructor
|
| Modifier and Type | Class and Description |
|---|---|
class |
AlmgrenEnhancedEulerUpdate
AlmgrenEnhancedEulerUpdate is a R^1 To R^1 Function that is used in Almgren (2009, 2012) to illustrate the
Construction of the Enhanced Euler Update Scheme.
|
class |
AndersenPiterbargMeanReverter
AndersenPiterbargMeanReverter implements the mean-reverting Univariate Function detailed in:
- Andersen and Piterbarg (2010): Interest Rate Modeling (3 Volumes), Atlantic Financial Press.
|
class |
Bennett
Bennett is implementation of the Bennett's Function used in the Estimation of the Bennett's Concentration
Inequality.
|
class |
BernsteinPolynomial
BernsteinPolynomial provides the evaluation of the BernsteinPolynomial and its derivatives for a specified
variate.
|
class |
ExponentialDecay
ExponentialDecay implements the scaled exponential decay Univariate Function.
|
class |
ExponentialTension
ExponentialTension provides the evaluation of the Exponential Tension Function and its derivatives for a
specified variate.
|
class |
FlatUnivariate
FlatUnivariate implements the level constant Univariate Function.
|
class |
FunctionClassSupremum
FunctionClassSupremum implements the Univariate Function that corresponds to the Supremum among the
specified Class of Functions.
|
class |
HyperbolicTension
HyperbolicTension provides the evaluation of the Hyperbolic Tension Function and its derivatives for a
specified variate.
|
class |
LinearRationalShapeControl
LinearRationalShapeControl implements the deterministic rational shape control functionality on top of the
estimator basis splines inside - [0,...,1) - Globally [x_0,...,x_1):
y = 1 / [1 + lambda * x]
where is the normalized ordinate mapped as
x === (x - x_i-1) / (x_i - x_i-1)
|
class |
LinearRationalTensionExponential
LinearRationalTensionExponential provides the evaluation of the Convolution of the Linear Rational and the
Tension Exponential Functons and its derivatives for a specified variate.
|
class |
NaturalLogSeriesElement
NaturalLogSeriesElement implements an element in the natural log series expansion.
|
class |
OffsetIdempotent
OffsetIdempotent provides the Implementation of the Offset Idempotent Operator - f(x) = x - C.
|
class |
Polynomial
Polynomial provides the evaluation of the n-th order Polynomial and its derivatives for a specified
variate.
|
class |
QuadraticRationalShapeControl
QuadraticRationalShapeControl implements the deterministic rational shape control functionality on top of
the estimator basis splines inside - [0,...,1) - Globally [x_0,...,x_1):
y = 1 / [1 + lambda * x * (1-x)]
where is the normalized ordinate mapped as
x ==== (x - x_i-1) / (x_i - x_i-1)
|
class |
SABRLIBORCapVolatility
SABRLIBORCapVolatility implements the Deterministic, Non-local Cap Volatility Scheme detailed in:
- Rebonato, R., K.
|
class |
UnivariateConvolution
This class provides the evaluation of the Convolution au1 * au2 and its derivatives for a specified
variate.
|
class |
UnivariateReciprocal
UnivariateReciprocal provides the evaluation 1/f(x) instead of f(x) for a given f.
|
class |
UnivariateReflection
UnivariateReflection provides the evaluation f(1-x) instead of f(x) for a given f.
|
| Modifier and Type | Method and Description |
|---|---|
R1ToR1[] |
FunctionClassSupremum.functionClass()
Retrieve the Class of Functions
|
R1ToR1 |
FunctionClassSupremum.supremumFunction(double dblVariate)
Retrieve the Supremum Function corresponding to the specified Variate
|
| Constructor and Description |
|---|
AndersenPiterbargMeanReverter(ExponentialDecay auExpDecay,
R1ToR1 auSteadyState)
AndersenPiterbargMeanReverter constructor
|
FunctionClassSupremum(R1ToR1[] aAUClass)
FunctionClassSupremum Cnstructor
|
UnivariateConvolution(R1ToR1 au1,
R1ToR1 au2)
Construct a PolynomialMirrorCross instance
|
UnivariateReciprocal(R1ToR1 au)
UnivariateReciprocal constructor
|
UnivariateReflection(R1ToR1 au)
UnivariateReflection constructor
|
| Modifier and Type | Method and Description |
|---|---|
static double |
VariateIteratorPrimitive.MultiFunction(double dblX1,
double dblX2,
double dblX3,
double dblY1,
double dblY2,
double dblY3,
R1ToR1 of,
double dblOFTarget,
FixedPointFinderOutput rfop)
Iterate for the next variate using the multi-function method
|
| Constructor and Description |
|---|
ExecutionControl(R1ToR1 of,
ExecutionControlParams ecp)
ExecutionControl constructor
|
ExecutionInitializer(R1ToR1 of,
ConvergenceControlParams ccp,
boolean bTrendBracketRight)
ExecutionInitializer constructor
|
FixedPointFinderBracketing(double dblOFGoal,
R1ToR1 of,
ExecutionControl ec,
int iIteratorPrimitive,
boolean bWhine)
FixedPointFinderBracketing constructor
|
FixedPointFinderBrent(double dblOFGoal,
R1ToR1 of,
boolean bWhine)
FixedPointFinderBrent constructor
|
FixedPointFinderNewton(double dblOFGoal,
R1ToR1 of,
boolean bWhine)
FixedPointFinderNewton constructor
|
FixedPointFinderZheng(double dblOFGoal,
R1ToR1 of,
boolean bWhine)
FixedPointFinderZheng constructor
|
| Modifier and Type | Class and Description |
|---|---|
class |
EmpiricalLearnerLoss
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.
|
| Modifier and Type | Method and Description |
|---|---|
R1ToR1 |
EmpiricalLearnerLoss.learner()
Retrieve the Learning Function
|
R1ToR1 |
CoveringNumberLossBound.sampleCoefficient()
Retrieve the Sample Coefficient Function
|
| Modifier and Type | Method and Description |
|---|---|
static CoveringNumberLossBound |
CoveringNumberBoundBuilder.AgnosticConvexLearning(R1ToR1 funcSampleCoefficient,
double dblExponentScaler)
Construct the Agnostic Convex Learning CoveringNumberProbabilityBound Instance
|
static CoveringNumberLossBound |
CoveringNumberBoundBuilder.AgnosticLearning(R1ToR1 funcSampleCoefficient,
double dblExponentScaler)
Construct the Agnostic Learning CoveringNumberProbabilityBound Instance
|
static CoveringNumberLossBound |
CoveringNumberBoundBuilder.RegressionLearning(R1ToR1 funcSampleCoefficient,
double dblExponentScaler)
Construct the Regression Learning CoveringNumberProbabilityBound Instance
|
| Constructor and Description |
|---|
CoveringNumberLossBound(R1ToR1 funcSampleCoefficient,
double dblEpsilonExponent,
double dblExponentScaler)
CoveringNumberLossBound Constructor
|
EmpiricalLearnerLoss(R1ToR1 learner,
double dblRealization)
EmpiricalLearnerLoss Constructor
|
| Modifier and Type | Method and Description |
|---|---|
R1ToR1 |
RegularizationFunction.r1Tor1()
Retrieve the R^1 To R^1 Regularization Function
|
| Modifier and Type | Method and Description |
|---|---|
static RegularizerR1ToR1 |
RegularizerBuilder.R1CombinatorialToR1Continuous(R1ToR1 funcRegularizerR1ToR1,
NormedR1CombinatorialToR1Continuous funcSpaceR1ToR1,
double dblLambda)
Construct an Instance of R^1 Combinatorial To R^1 Continuous Regularizer
|
static RegularizerR1ToR1 |
RegularizerBuilder.R1ContinuousToR1Continuous(R1ToR1 funcRegularizerR1ToR1,
NormedR1ContinuousToR1Continuous funcSpaceR1ToR1,
double dblLambda)
Construct an Instance of R^1 Continuous To R^1 Continuous Regularizer
|
double |
RegularizerR1ToR1.structuralLoss(R1ToR1 funcR1ToR1,
double[] adblX)
Compute the Regularization Sample Structural Loss
|
double |
RegularizerR1ContinuousToR1Continuous.structuralLoss(R1ToR1 funcR1ToR1,
double[] adblX) |
double |
RegularizerR1CombinatorialToR1Continuous.structuralLoss(R1ToR1 funcR1ToR1,
double[] adblX) |
double |
RegularizerR1ToR1.structuralRisk(R1R1 distR1R1,
R1ToR1 funcR1ToR1,
double[] adblX,
double[] adblY)
Compute the Regularization Sample Structural Loss
|
double |
RegularizerR1ContinuousToR1Continuous.structuralRisk(R1R1 distR1R1,
R1ToR1 funcR1ToR1,
double[] adblX,
double[] adblY) |
double |
RegularizerR1CombinatorialToR1Continuous.structuralRisk(R1R1 distR1R1,
R1ToR1 funcR1ToR1,
double[] adblX,
double[] adblY) |
static RegularizerR1ToR1 |
RegularizerBuilder.ToR1Continuous(R1ToR1 funcRegularizerR1ToR1,
R1Normed r1Input,
R1Continuous r1ContinuousOutput,
double dblLambda)
Construct an Instance of R^1 Combinatorial/Continuous To R^1 Continuous Regularizer
|
| Constructor and Description |
|---|
RegularizationFunction(R1ToR1 regR1ToR1,
RdToR1 regRdToR1,
double dblLambda)
RegularizationFunction Constructor
|
RegularizerR1CombinatorialToR1Continuous(R1ToR1 funcRegularizerR1ToR1,
R1Combinatorial r1CombinatorialInput,
R1Continuous r1ContinuousOutput,
double dblLambda)
RegularizerR1CombinatorialToR1Continuous Function Space Constructor
|
RegularizerR1ContinuousToR1Continuous(R1ToR1 funcRegularizerR1ToR1,
R1Continuous r1ContinuousInput,
R1Continuous r1ContinuousOutput,
double dblLambda)
RegularizerR1ContinuousToR1Continuous Function Space Constructor
|
| Modifier and Type | Method and Description |
|---|---|
R1ToR1 |
EmpiricalPenaltySupremumEstimator.supremumR1ToR1(double[] adblX)
Retrieve the Supremum R^1 To R^1 Function Instance for the specified Variate Sequence
|
| Modifier and Type | Method and Description |
|---|---|
double |
LpLossLearner.empiricalLoss(R1ToR1 funcLearnerR1ToR1,
GeneralizedValidatedVector gvviX,
GeneralizedValidatedVector gvviY) |
double |
LipschitzLossLearner.empiricalLoss(R1ToR1 funcLearnerR1ToR1,
GeneralizedValidatedVector gvviX,
GeneralizedValidatedVector gvviY) |
double |
L1LossLearner.empiricalLoss(R1ToR1 funcLearnerR1ToR1,
GeneralizedValidatedVector gvviX,
GeneralizedValidatedVector gvviY) |
double |
EmpiricalLearningMetricEstimator.empiricalLoss(R1ToR1 funcLearnerR1ToR1,
GeneralizedValidatedVector gvviX,
GeneralizedValidatedVector gvviY)
Compute the Empirical Sample Loss
|
double |
LpLossLearner.empiricalRisk(R1R1 distR1R1,
R1ToR1 funcLearnerR1ToR1,
GeneralizedValidatedVector gvviX,
GeneralizedValidatedVector gvviY) |
double |
LipschitzLossLearner.empiricalRisk(R1R1 distR1R1,
R1ToR1 funcLearnerR1ToR1,
GeneralizedValidatedVector gvviX,
GeneralizedValidatedVector gvviY) |
double |
L1LossLearner.empiricalRisk(R1R1 distR1R1,
R1ToR1 funcLearnerR1ToR1,
GeneralizedValidatedVector gvviX,
GeneralizedValidatedVector gvviY) |
double |
EmpiricalLearningMetricEstimator.empiricalRisk(R1R1 distR1R1,
R1ToR1 funcLearnerR1ToR1,
GeneralizedValidatedVector gvviX,
GeneralizedValidatedVector gvviY)
Compute the Empirical Sample Risk
|
double |
GeneralizedLearner.regularizedLoss(R1ToR1 funcLearnerR1ToR1,
GeneralizedValidatedVector gvviX,
GeneralizedValidatedVector gvviY) |
double |
EmpiricalLearningMetricEstimator.regularizedLoss(R1ToR1 funcLearnerR1ToR1,
GeneralizedValidatedVector gvviX,
GeneralizedValidatedVector gvviY)
Compute the Regularized Sample Loss (Empirical + Structural)
|
double |
GeneralizedLearner.regularizedRisk(R1R1 distR1R1,
R1ToR1 funcLearnerR1ToR1,
GeneralizedValidatedVector gvviX,
GeneralizedValidatedVector gvviY) |
double |
EmpiricalLearningMetricEstimator.regularizedRisk(R1R1 distR1R1,
R1ToR1 funcLearnerR1ToR1,
GeneralizedValidatedVector gvviX,
GeneralizedValidatedVector gvviY)
Compute the Regularized Sample Risk (Empirical + Structural)
|
double |
GeneralizedLearner.structuralLoss(R1ToR1 funcLearnerR1ToR1,
GeneralizedValidatedVector gvvi) |
double |
EmpiricalLearningMetricEstimator.structuralLoss(R1ToR1 funcLearnerR1ToR1,
GeneralizedValidatedVector gvvi)
Compute the Structural Sample Loss
|
double |
GeneralizedLearner.structuralRisk(R1R1 distR1R1,
R1ToR1 funcLearnerR1ToR1,
GeneralizedValidatedVector gvviX,
GeneralizedValidatedVector gvviY) |
double |
EmpiricalLearningMetricEstimator.structuralRisk(R1R1 distR1R1,
R1ToR1 funcLearnerR1ToR1,
GeneralizedValidatedVector gvviX,
GeneralizedValidatedVector gvviY)
Compute the Structural Sample Risk
|
| Modifier and Type | Method and Description |
|---|---|
R1ToR1 |
CurveSurfaceQuoteContainer.collateralCollateralCorrelation(java.lang.String strCurrency1,
java.lang.String strCurrency2)
Retrieve the Correlation Surface for the specified Collateral Currency Pair
|
R1ToR1 |
CurveSurfaceQuoteContainer.collateralCreditCorrelation(java.lang.String strCollateralCurrency,
CreditLabel creditLabel)
Retrieve the Correlation Surface between the Collateral and the Credit Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.collateralCustomCorrelation(java.lang.String strCollateralCurrency,
CustomLabel customLabel)
Retrieve the Correlation Surface between the Collateral and the Custom Metric Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.collateralEquityCorrelation(java.lang.String strCollateralCurrency,
EquityLabel equityLabel)
Retrieve the Correlation Surface between the Collateral and the Equity Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.collateralForwardCorrelation(java.lang.String strCollateralCurrency,
ForwardLabel forwardLabel)
Retrieve the Correlation Surface between the Collateral and the Forward Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.collateralFundingCorrelation(java.lang.String strCollateralCurrency,
FundingLabel fundingLabel)
Retrieve the Correlation Surface between the Collateral and the Funding Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.collateralFXCorrelation(java.lang.String strCollateralCurrency,
FXLabel fxLabel)
Retrieve the Correlation Surface for the specified Collateral and the FX Latent State Label
|
R1ToR1 |
CurveSurfaceQuoteContainer.collateralGovvieCorrelation(java.lang.String strCollateralCurrency,
GovvieLabel govvieLabel)
Retrieve the Correlation Surface for the specified Collateral and Govvie Latent State Labels
|
R1ToR1 |
CurveSurfaceQuoteContainer.collateralOvernightCorrelation(java.lang.String strCollateralCurrency,
OvernightLabel overnightLabel)
Retrieve the Correlation Surface between the Collateral and the Overnight Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.collateralPaydownCorrelation(java.lang.String strCollateralCurrency,
PaydownLabel paydownLabel)
Retrieve the Correlation Surface for the specified Collateral and Pay-down Latent State Labels
|
R1ToR1 |
CurveSurfaceQuoteContainer.collateralRatingCorrelation(java.lang.String strCollateralCurrency,
RatingLabel ratingLabel)
Retrieve the Correlation Surface for the specified Collateral and Rating Latent State Labels
|
R1ToR1 |
CurveSurfaceQuoteContainer.collateralRecoveryCorrelation(java.lang.String strCollateralCurrency,
RecoveryLabel recoveryLabel)
Retrieve the Correlation Surface for the specified Collateral and Recovery Latent State Labels
|
R1ToR1 |
CurveSurfaceQuoteContainer.collateralRepoCorrelation(java.lang.String strCollateralCurrency,
RepoLabel repoLabel)
Retrieve the Correlation Surface for the specified Collateral and Repo Latent State Labels
|
R1ToR1 |
CurveSurfaceQuoteContainer.creditCreditCorrelation(CreditLabel creditLabel1,
CreditLabel creditLabel2)
Retrieve the Correlation Surface between the Pair of Credit Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.creditCustomMetricCorrelation(CreditLabel creditLabel,
CustomLabel customLabel)
Retrieve the Correlation Surface between the Credit and the Custom Metric Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.creditEquityCorrelation(CreditLabel creditLabel,
EquityLabel equityLabel)
Retrieve the Correlation Surface between the Credit and the Equity Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.creditForwardCorrelation(CreditLabel creditLabel,
ForwardLabel forwardLabel)
Retrieve the Correlation Surface between the Credit and the Forward Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.creditFundingCorrelation(CreditLabel creditLabel,
FundingLabel fundingLabel)
Retrieve the Correlation Surface between the Credit and the Funding Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.creditFXCorrelation(CreditLabel creditLabel,
FXLabel fxLabel)
Retrieve the Correlation Surface between the Credit and the FX Latent State Labels
|
R1ToR1 |
CurveSurfaceQuoteContainer.creditGovvieCorrelation(CreditLabel creditLabel,
GovvieLabel govvieLabel)
Retrieve the Correlation Surface between the Credit and the Govvie Latent State Labels
|
R1ToR1 |
CurveSurfaceQuoteContainer.creditOvernightCorrelation(CreditLabel creditLabel,
OvernightLabel overnightLabel)
Retrieve the Correlation Surface between the Credit and the Overnight Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.creditPaydownCorrelation(CreditLabel creditLabel,
PaydownLabel paydownLabel)
Retrieve the Correlation Surface between the Credit and the Pay-down Latent State Labels
|
R1ToR1 |
CurveSurfaceQuoteContainer.creditRatingCorrelation(CreditLabel creditLabel,
RatingLabel ratingLabel)
Retrieve the Correlation Surface between the Credit and the Rating Latent State Labels
|
R1ToR1 |
CurveSurfaceQuoteContainer.creditRecoveryCorrelation(CreditLabel creditLabel,
RecoveryLabel recoveryLabel)
Retrieve the Correlation Surface between the Credit and the Recovery Latent State Labels
|
R1ToR1 |
CurveSurfaceQuoteContainer.creditRepoCorrelation(CreditLabel creditLabel,
RepoLabel repoLabel)
Retrieve the Correlation Surface between the Credit and the Repo Latent State Labels
|
R1ToR1 |
CurveSurfaceQuoteContainer.customCustomCorrelation(CustomLabel customLabel1,
CustomLabel customLabel2)
Retrieve the Correlation Surface between the Custom Metric Latent State Pair
|
R1ToR1 |
CurveSurfaceQuoteContainer.customEquityCorrelation(CustomLabel customLabel,
EquityLabel equityLabel)
Retrieve the Correlation Surface between the Custom Metric and the Equity Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.customForwardCorrelation(CustomLabel customLabel,
ForwardLabel forwardLabel)
Retrieve the Correlation Surface between the Custom Metric and the Forward Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.customFXCorrelation(CustomLabel customLabel,
FXLabel fxLabel)
Retrieve the Correlation Surface between the Custom Metric and the FX Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.customGovvieCorrelation(CustomLabel customLabel,
GovvieLabel govvieLabel)
Retrieve the Correlation Surface between the Custom Metric and the Govvie Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.customMetricFundingCorrelation(CustomLabel customLabel,
FundingLabel fundingLabel)
Retrieve the Correlation Surface between Custom Metric and the Funding Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.customOvernightCorrelation(CustomLabel customLabel,
OvernightLabel overnightLabel)
Retrieve the Correlation Surface between the Custom Metric and the Overnight Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.customPaydownCorrelation(CustomLabel customLabel,
PaydownLabel paydownLabel)
Retrieve the Correlation Surface between the Custom Metric and the Pay-down Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.customRatingCorrelation(CustomLabel customLabel,
RatingLabel ratingLabel)
Retrieve the Correlation Surface between the Custom Metric and the Rating Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.customRecoveryCorrelation(CustomLabel customLabel,
RecoveryLabel recoveryLabel)
Retrieve the Correlation Surface between the Custom Metric and the Recovery Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.customRepoCorrelation(CustomLabel customLabel,
RepoLabel repoLabel)
Retrieve the Correlation Surface between the Custom Metric and the Repo Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.equityEquityCorrelation(EquityLabel equityLabel1,
EquityLabel equityLabel2)
Retrieve the Correlation Surface between the Pair of Equity Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.equityForwardCorrelation(EquityLabel equityLabel,
ForwardLabel forwardLabel)
Retrieve the Correlation Surface between the Equity and the Forward Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.equityFundingCorrelation(EquityLabel equityLabel,
FundingLabel fundingLabel)
Retrieve the Correlation Surface between Equity and the Funding Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.equityFXCorrelation(EquityLabel equityLabel,
FXLabel fxLabel)
Retrieve the Correlation Surface between the Equity and the FX Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.equityGovvieCorrelation(EquityLabel equityLabel,
GovvieLabel govvieLabel)
Retrieve the Correlation Surface between the Equity and the Govvie Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.equityOvernightCorrelation(EquityLabel equityLabel,
OvernightLabel overnightLabel)
Retrieve the Correlation Surface between Equity and the Overnight Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.equityPaydownCorrelation(EquityLabel equityLabel,
PaydownLabel paydownLabel)
Retrieve the Correlation Surface between the Equity and the Pay-down Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.equityRatingCorrelation(EquityLabel equityLabel,
RatingLabel ratingLabel)
Retrieve the Correlation Surface between the Equity and the Rating Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.equityRecoveryCorrelation(EquityLabel equityLabel,
RecoveryLabel recoveryLabel)
Retrieve the Correlation Surface between the Equity and the Recovery Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.equityRepoCorrelation(EquityLabel equityLabel,
RepoLabel repoLabel)
Retrieve the Correlation Surface between the Equity and the Repo Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.equityState(EquityLabel equityLabel)
Retrieve the Equity State for the specified Equity Latent State Label
|
R1ToR1 |
CurveSurfaceQuoteContainer.forwardForwardCorrelation(ForwardLabel forwardLabel1,
ForwardLabel forwardLabel2)
Retrieve the Correlation Surface between the Pair of Forward Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.forwardFundingCorrelation(ForwardLabel forwardLabel,
FundingLabel fundingLabel)
Retrieve the Correlation Surface between the Forward and the Funding Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.forwardFXCorrelation(ForwardLabel forwardLabel,
FXLabel fxLabel)
Retrieve the Correlation Surface between the Forward and the FX Latent State Labels
|
R1ToR1 |
CurveSurfaceQuoteContainer.forwardGovvieCorrelation(ForwardLabel forwardLabel,
GovvieLabel govvieLabel)
Retrieve the Correlation Surface between the Forward and the Govvie Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.forwardOvernightCorrelation(ForwardLabel forwardLabel,
OvernightLabel overnightLabel)
Retrieve the Correlation Surface between the Forward and the Overnight Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.forwardPaydownCorrelation(ForwardLabel forwardLabel,
PaydownLabel paydownLabel)
Retrieve the Correlation Surface between the Forward and the Pay-down Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.forwardRatingCorrelation(ForwardLabel forwardLabel,
RatingLabel ratingLabel)
Retrieve the Correlation Surface between the Forward and the Rating Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.forwardRecoveryCorrelation(ForwardLabel forwardLabel,
RecoveryLabel recoveryLabel)
Retrieve the Correlation Surface between the Forward and the Recovery Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.forwardRepoCorrelation(ForwardLabel forwardLabel,
RepoLabel repoLabel)
Retrieve the Correlation Surface between the Forward and the Repo Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.fundingFundingCorrelation(FundingLabel fundingLabel1,
FundingLabel fundingLabel2)
Retrieve the Correlation Surface between the Pair of Funding Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.fundingFXCorrelation(FundingLabel fundingLabel,
FXLabel fxLabel)
Retrieve the Correlation Surface between the Funding and the FX Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.fundingGovvieCorrelation(FundingLabel fundingLabel,
GovvieLabel govvieLabel)
Retrieve the Correlation Surface between the Funding and the Govvie Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.fundingOvernightCorrelation(FundingLabel fundingLabel,
OvernightLabel overnightLabel)
Retrieve the Correlation Surface between the Funding and the Overnight Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.fundingPaydownCorrelation(FundingLabel fundingLabel,
PaydownLabel paydownLabel)
Retrieve the Correlation Surface between the Funding and the Pay-down Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.fundingRatingCorrelation(FundingLabel fundingLabel,
RatingLabel ratingLabel)
Retrieve the Correlation Surface between the Funding and the Rating Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.fundingRecoveryCorrelation(FundingLabel fundingLabel,
RecoveryLabel recoveryLabel)
Retrieve the Correlation Surface between the Funding and the Recovery Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.fundingRepoCorrelation(FundingLabel fundingLabel,
RepoLabel repoLabel)
Retrieve the Correlation Surface between the Funding and the Repo Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.fxFXCorrelation(FXLabel fxLabel1,
FXLabel fxLabel2)
Retrieve the Correlation Surface for the specified FX Latent State Label Set
|
R1ToR1 |
CurveSurfaceQuoteContainer.fxGovvieCorrelation(FXLabel fxLabel,
GovvieLabel govvieLabel)
Retrieve the Correlation Surface for the specified FX and the Govvie Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.fxOvernightCorrelation(FXLabel fxLabel,
OvernightLabel overnightLabel)
Retrieve the Correlation Surface for the specified FX and the Overnight Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.fxPaydownCorrelation(FXLabel fxLabel,
PaydownLabel paydownLabel)
Retrieve the Correlation Surface for the specified FX and the Pay-down Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.fxRatingCorrelation(FXLabel fxLabel,
RatingLabel ratingLabel)
Retrieve the Correlation Surface for the specified FX and the Rating Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.fxRecoveryCorrelation(FXLabel fxLabel,
RecoveryLabel recoveryLabel)
Retrieve the Correlation Surface for the specified FX and the Recovery Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.fxRepoCorrelation(FXLabel fxLabel,
RepoLabel repoLabel)
Retrieve the Correlation Surface for the specified FX and the Repo Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.govvieGovvieCorrelation(GovvieLabel govvieLabel1,
GovvieLabel govvieLabel2)
Retrieve the Correlation Surface for the specified Govvie Latent State Pair
|
R1ToR1 |
CurveSurfaceQuoteContainer.govvieOvernightCorrelation(GovvieLabel govvieLabel,
OvernightLabel overnightLabel)
Retrieve the Correlation Surface for the specified Govvie and the Overnight Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.govviePaydownCorrelation(GovvieLabel govvieLabel,
PaydownLabel paydownLabel)
Retrieve the Correlation Surface for the specified Govvie and the Pay-down Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.govvieRecoveryCorrelation(GovvieLabel govvieLabel,
RatingLabel ratingLabel)
Retrieve the Correlation Surface for the specified Govvie and the Rating Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.govvieRecoveryCorrelation(GovvieLabel govvieLabel,
RecoveryLabel recoveryLabel)
Retrieve the Correlation Surface for the specified Govvie and the Recovery Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.govvieRepoCorrelation(GovvieLabel govvieLabel,
RepoLabel repoLabel)
Retrieve the Correlation Surface for the specified Govvie and the Repo Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.overnightOvernightCorrelation(OvernightLabel overnightLabel1,
OvernightLabel overnightLabel2)
Retrieve the Correlation Surface between the Pair of Overnight Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.overnightPaydownCorrelation(OvernightLabel overnightLabel,
PaydownLabel paydownLabel)
Retrieve the Correlation Surface for the specified Overnight and the Pay-down Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.overnightRatingCorrelation(OvernightLabel overnightLabel,
RatingLabel ratingLabel)
Retrieve the Correlation Surface for the specified Overnight and the Rating Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.overnightRecoveryCorrelation(OvernightLabel overnightLabel,
RecoveryLabel recoveryLabel)
Retrieve the Correlation Surface for the specified Overnight and the Recovery Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.overnightRepoCorrelation(OvernightLabel overnightLabel,
RepoLabel repoLabel)
Retrieve the Correlation Surface for the specified Overnight and the Repo Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.paydownPaydownCorrelation(PaydownLabel paydownLabel1,
PaydownLabel paydownLabel2)
Retrieve the Correlation Surface for the specified Pay-down Latent State Pair
|
R1ToR1 |
CurveSurfaceQuoteContainer.paydownRatingCorrelation(PaydownLabel paydownLabel,
RatingLabel ratingLabel)
Retrieve the Correlation Surface for the specified Pay-down and the Rating Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.paydownRecoveryCorrelation(PaydownLabel paydownLabel,
RecoveryLabel recoveryLabel)
Retrieve the Correlation Surface for the specified Pay-down and the Recovery Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.paydownRepoCorrelation(PaydownLabel paydownLabel,
RepoLabel repoLabel)
Retrieve the Correlation Surface for the specified Pay-down and the Repo Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.paydownState(PaydownLabel paydownLabel)
Retrieve the Pay-down State for the specified Pay-down Latent State Label
|
R1ToR1 |
CurveSurfaceQuoteContainer.ratingRatingCorrelation(RatingLabel ratingLabel1,
RatingLabel ratingLabel2)
Retrieve the Correlation Surface for the specified Rating and the Rating Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.ratingRecoveryCorrelation(RatingLabel ratingLabel,
RecoveryLabel recoveryLabel)
Retrieve the Correlation Surface for the specified Rating and Recovery Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.ratingRepoCorrelation(RatingLabel ratingLabel,
RepoLabel repoLabel)
Retrieve the Correlation Surface for the specified Rating and Repo Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.recoveryRecoveryCorrelation(RecoveryLabel recoveryLabel1,
RecoveryLabel recoveryLabel2)
Retrieve the Correlation Surface for the specified Recovery Latent State Pair
|
R1ToR1 |
CurveSurfaceQuoteContainer.recoveryRepoCorrelation(RecoveryLabel recoveryLabel,
RepoLabel repoLabel)
Retrieve the Correlation Surface for the specified Recovery and the Repo Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.repoRepoCorrelation(RepoLabel repoLabel1,
RepoLabel repoLabel2)
Retrieve the Correlation Surface between the Pair of Repo Latent States
|
| Modifier and Type | Method and Description |
|---|---|
boolean |
CurveSurfaceQuoteContainer.setCollateralCollateralCorrelation(java.lang.String strCurrency1,
java.lang.String strCurrency2,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Collateral Currency Pair
|
boolean |
CurveSurfaceQuoteContainer.setCollateralCreditCorrelation(java.lang.String strCollateralCurrency,
CreditLabel creditLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Collateral and the Credit Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCollateralCustomCorrelation(java.lang.String strCollateralCurrency,
CustomLabel customLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Collateral and the Custom Metric Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCollateralEquityCorrelation(java.lang.String strCollateralCurrency,
EquityLabel equityLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Collateral and the Equity Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCollateralForwardCorrelation(java.lang.String strCollateralCurrency,
ForwardLabel forwardLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Collateral and the Forward Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCollateralFundingCorrelation(java.lang.String strCollateralCurrency,
FundingLabel fundingLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Collateral and the Funding Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCollateralFXCorrelation(java.lang.String strCollateralCurrency,
FXLabel fxLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Collateral and FX Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCollateralGovvieCorrelation(java.lang.String strCollateralCurrency,
GovvieLabel govvieLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Collateral and Govvie Latent State Labels
|
boolean |
CurveSurfaceQuoteContainer.setCollateralOvernightCorrelation(java.lang.String strCollateralCurrency,
OvernightLabel overnightLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Collateral and the Overnight Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCollateralPaydownCorrelation(java.lang.String strCollateralCurrency,
PaydownLabel paydownLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Collateral and Pay-down Latent State Labels
|
boolean |
CurveSurfaceQuoteContainer.setCollateralRatingCorrelation(java.lang.String strCollateralCurrency,
RatingLabel ratingLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Collateral and Rating Latent State Labels
|
boolean |
CurveSurfaceQuoteContainer.setCollateralRecoveryCorrelation(java.lang.String strCollateralCurrency,
RecoveryLabel recoveryLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Collateral and Recovery Latent State Labels
|
boolean |
CurveSurfaceQuoteContainer.setCollateralRepoCorrelation(java.lang.String strCollateralCurrency,
RepoLabel repoLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Collateral and Repo Latent State Labels
|
boolean |
CurveSurfaceQuoteContainer.setCreditCreditCorrelation(CreditLabel creditLabel1,
CreditLabel creditLabel2,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Pair of Credit Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCreditCustomCorrelation(CreditLabel creditLabel,
CustomLabel customLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Credit and the Custom Metric Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCreditEquityCorrelation(CreditLabel creditLabel,
EquityLabel equityLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Credit and the Equity Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCreditForwardCorrelation(CreditLabel creditLabel,
ForwardLabel forwardLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Credit and the Forward Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCreditFundingCorrelation(CreditLabel creditLabel,
FundingLabel fundingLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Credit and the Funding Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCreditFXCorrelation(CreditLabel creditLabel,
FXLabel fxLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Credit and the FX Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCreditGovvieCorrelation(CreditLabel creditLabel,
GovvieLabel govvieLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Credit and the Govvie Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCreditOvernightCorrelation(CreditLabel creditLabel,
OvernightLabel overnightLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Credit and the Overnight Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCreditPaydownCorrelation(CreditLabel creditLabel,
PaydownLabel paydownLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Credit and the Pay-down Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCreditRatingCorrelation(CreditLabel creditLabel,
RatingLabel ratingLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Credit and the Rating Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCreditRecoveryCorrelation(CreditLabel creditLabel,
RecoveryLabel recoveryLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Credit and the Recovery Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCreditRepoCorrelation(CreditLabel creditLabel,
RepoLabel repoLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Credit and the Repo Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCustomCustomCorrelation(CustomLabel customLabel1,
CustomLabel customLabel2,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Custom Metric Latent State Pair
|
boolean |
CurveSurfaceQuoteContainer.setCustomEquityCorrelation(CustomLabel customLabel,
EquityLabel equityLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Custom Metric and the Equity Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCustomForwardCorrelation(CustomLabel customLabel,
ForwardLabel forwardLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Custom Metric and the Forward Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCustomFundingCorrelation(CustomLabel customLabel,
FundingLabel fundingLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Custom Metric and the Funding Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCustomFXCorrelation(CustomLabel customLabel,
FXLabel fxLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Custom Metric and the FX Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCustomGovvieCorrelation(CustomLabel customLabel,
GovvieLabel govvieLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Custom Metric and the Govvie Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCustomOvernightCorrelation(CustomLabel customLabel,
OvernightLabel overnightLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Custom Metric and the Overnight Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCustomPaydownCorrelation(CustomLabel customLabel,
PaydownLabel paydownLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Custom Metric and the Pay-down Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCustomRatingCorrelation(CustomLabel customLabel,
RatingLabel ratingLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Custom Metric and the Rating Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCustomRecoveryCorrelation(CustomLabel customLabel,
RecoveryLabel recoveryLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Custom Metric and the Recovery Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCustomRepoCorrelation(CustomLabel customLabel,
RepoLabel repoLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Custom Metric and the Repo Latent States
|
boolean |
CurveSurfaceQuoteContainer.setEquityEquityCorrelation(EquityLabel equityLabel1,
EquityLabel equityLabel2,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Pair of Equity Latent States
|
boolean |
CurveSurfaceQuoteContainer.setEquityForwardCorrelation(EquityLabel equityLabel,
ForwardLabel forwardLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Equity and the Forward Latent States
|
boolean |
CurveSurfaceQuoteContainer.setEquityFundingCorrelation(EquityLabel equityLabel,
FundingLabel fundingLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Equity and the Funding Latent States
|
boolean |
CurveSurfaceQuoteContainer.setEquityFXCorrelation(EquityLabel equityLabel,
FXLabel fxLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Equity and the FX Latent States
|
boolean |
CurveSurfaceQuoteContainer.setEquityGovvieCorrelation(EquityLabel equityLabel,
GovvieLabel govvieLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Equity and the Govvie Latent States
|
boolean |
CurveSurfaceQuoteContainer.setEquityOvernightCorrelation(EquityLabel equityLabel,
OvernightLabel overnightLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Equity and the Overnight Latent States
|
boolean |
CurveSurfaceQuoteContainer.setEquityPaydownCorrelation(EquityLabel equityLabel,
PaydownLabel paydownLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Equity and the Pay-down Latent States
|
boolean |
CurveSurfaceQuoteContainer.setEquityRatingCorrelation(EquityLabel equityLabel,
RatingLabel ratingLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Equity and the Rating Latent States
|
boolean |
CurveSurfaceQuoteContainer.setEquityRecoveryCorrelation(EquityLabel equityLabel,
RecoveryLabel recoveryLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Equity and the Recovery Latent States
|
boolean |
CurveSurfaceQuoteContainer.setEquityRepoCorrelation(EquityLabel equityLabel,
RepoLabel repoLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Equity and the Repo Latent States
|
boolean |
CurveSurfaceQuoteContainer.setEquityState(EquityLabel equityLabel,
R1ToR1 auEquity)
(Re)-set the Equity State for the specified Equity Latent State Label
|
boolean |
CurveSurfaceQuoteContainer.setForwardForwardCorrelation(ForwardLabel forwardLabel1,
ForwardLabel forwardLabel2,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Pair of Forward Latent States
|
boolean |
CurveSurfaceQuoteContainer.setForwardFundingCorrelation(ForwardLabel forwardLabel,
FundingLabel fundingLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Forward and the Funding Latent States
|
boolean |
CurveSurfaceQuoteContainer.setForwardFXCorrelation(ForwardLabel forwardLabel,
FXLabel fxLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Forward and the FX Latent State Labels
|
boolean |
CurveSurfaceQuoteContainer.setForwardGovvieCorrelation(ForwardLabel forwardLabel,
GovvieLabel govvieLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Forward and the Govvie Latent States
|
boolean |
CurveSurfaceQuoteContainer.setForwardOvernightCorrelation(ForwardLabel forwardLabel,
OvernightLabel overnightLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Forward and the Overnight Latent States
|
boolean |
CurveSurfaceQuoteContainer.setForwardPaydownCorrelation(ForwardLabel forwardLabel,
PaydownLabel paydownLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Forward and the Pay-down Latent States
|
boolean |
CurveSurfaceQuoteContainer.setForwardRatingCorrelation(ForwardLabel forwardLabel,
RatingLabel ratingLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Forward and the Rating Latent States
|
boolean |
CurveSurfaceQuoteContainer.setForwardRecoveryCorrelation(ForwardLabel forwardLabel,
RecoveryLabel recoveryLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Forward and the Recovery Latent States
|
boolean |
CurveSurfaceQuoteContainer.setForwardRepoCorrelation(ForwardLabel forwardLabel,
RepoLabel repoLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Forward and the Repo Latent States
|
boolean |
CurveSurfaceQuoteContainer.setFundingFundingCorrelation(FundingLabel fundingLabel1,
FundingLabel fundingLabel2,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Pair of Funding Latent States
|
boolean |
CurveSurfaceQuoteContainer.setFundingFXCorrelation(FundingLabel fundingLabel,
FXLabel fxLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Funding and the FX Latent States
|
boolean |
CurveSurfaceQuoteContainer.setFundingGovvieCorrelation(FundingLabel fundingLabel,
GovvieLabel govvieLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Funding and the Govvie Latent States
|
boolean |
CurveSurfaceQuoteContainer.setFundingOvernightCorrelation(FundingLabel fundingLabel,
OvernightLabel overnightLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Funding and the Overnight Latent States
|
boolean |
CurveSurfaceQuoteContainer.setFundingPaydownCorrelation(FundingLabel fundingLabel,
PaydownLabel paydownLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Funding and the Pay-down Latent States
|
boolean |
CurveSurfaceQuoteContainer.setFundingRecoveryCorrelation(FundingLabel fundingLabel,
RatingLabel ratingLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Funding and the Rating Latent States
|
boolean |
CurveSurfaceQuoteContainer.setFundingRecoveryCorrelation(FundingLabel fundingLabel,
RecoveryLabel recoveryLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Funding and the Recovery Latent States
|
boolean |
CurveSurfaceQuoteContainer.setFundingRepoCorrelation(FundingLabel fundingLabel,
RepoLabel repoLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Funding and the Repo Latent States
|
boolean |
CurveSurfaceQuoteContainer.setFXFXCorrelation(FXLabel fxLabel1,
FXLabel fxLabel2,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified FX Latent State Label Set
|
boolean |
CurveSurfaceQuoteContainer.setFXGovvieCorrelation(FXLabel fxLabel,
GovvieLabel govvieLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified FX and the Govvie Latent States
|
boolean |
CurveSurfaceQuoteContainer.setFXOvernightCorrelation(FXLabel fxLabel,
OvernightLabel overnightLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified FX and the Overnight Latent States
|
boolean |
CurveSurfaceQuoteContainer.setFXPaydownCorrelation(FXLabel fxLabel,
PaydownLabel paydownLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified FX and the Pay-down Latent States
|
boolean |
CurveSurfaceQuoteContainer.setFXRatingCorrelation(FXLabel fxLabel,
RatingLabel ratingLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified FX and the Rating Latent States
|
boolean |
CurveSurfaceQuoteContainer.setFXRecoveryCorrelation(FXLabel fxLabel,
RecoveryLabel recoveryLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified FX and the Recovery Latent States
|
boolean |
CurveSurfaceQuoteContainer.setFXRepoCorrelation(FXLabel fxLabel,
RepoLabel repoLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified FX and the Repo Latent States
|
boolean |
CurveSurfaceQuoteContainer.setGovvieGovvieCorrelation(GovvieLabel govvieLabel1,
GovvieLabel govvieLabel2,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the Govvie Latent State Pair
|
boolean |
CurveSurfaceQuoteContainer.setGovvieOvernightCorrelation(GovvieLabel govvieLabel,
OvernightLabel overnightLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Govvie and the Overnight Latent States
|
boolean |
CurveSurfaceQuoteContainer.setGovviePaydownCorrelation(GovvieLabel govvieLabel,
PaydownLabel paydownLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Govvie and the Pay-down Latent States
|
boolean |
CurveSurfaceQuoteContainer.setGovvieRatingCorrelation(GovvieLabel govvieLabel,
RatingLabel ratingLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Govvie and the Rating Latent States
|
boolean |
CurveSurfaceQuoteContainer.setGovvieRecoveryCorrelation(GovvieLabel govvieLabel,
RecoveryLabel recoveryLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Govvie and the Recovery Latent States
|
boolean |
CurveSurfaceQuoteContainer.setGovvieRepoCorrelation(GovvieLabel govvieLabel,
RepoLabel repoLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Govvie and the Repo Latent States
|
boolean |
CurveSurfaceQuoteContainer.setOvernightOvernightCorrelation(OvernightLabel overnightLabel1,
OvernightLabel overnightLabel2,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Pair of Overnight Latent States
|
boolean |
CurveSurfaceQuoteContainer.setOvernightPaydownCorrelation(OvernightLabel overnightLabel,
PaydownLabel paydownLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Overnight and the Pay-down Latent States
|
boolean |
CurveSurfaceQuoteContainer.setOvernightRatingCorrelation(OvernightLabel overnightLabel,
RatingLabel ratingLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Overnight and the Rating Latent States
|
boolean |
CurveSurfaceQuoteContainer.setOvernightRecoveryCorrelation(OvernightLabel overnightLabel,
RecoveryLabel recoveryLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Overnight and the Recovery Latent States
|
boolean |
CurveSurfaceQuoteContainer.setOvernightRepoCorrelation(OvernightLabel overnightLabel,
RepoLabel repoLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Overnight and the Repo Latent States
|
boolean |
CurveSurfaceQuoteContainer.setPaydownCurve(PaydownLabel paydownLabel,
R1ToR1 auPaydown)
(Re)-set the Pay-down State for the specified Pay-down Latent State Label
|
boolean |
CurveSurfaceQuoteContainer.setPaydownPaydownCorrelation(PaydownLabel paydownLabel1,
PaydownLabel paydownLabel2,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the Pay-down Latent State Pair
|
boolean |
CurveSurfaceQuoteContainer.setPaydownRatingCorrelation(PaydownLabel paydownLabel,
RatingLabel ratingLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Pay-down and the Rating Latent States
|
boolean |
CurveSurfaceQuoteContainer.setPaydownRecoveryCorrelation(PaydownLabel paydownLabel,
RecoveryLabel recoveryLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Pay-down and the Recovery Latent States
|
boolean |
CurveSurfaceQuoteContainer.setPaydownRepoCorrelation(PaydownLabel paydownLabel,
RepoLabel repoLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Pay-down and the Repo Latent States
|
boolean |
CurveSurfaceQuoteContainer.setRatingRatingCorrelation(RatingLabel ratingLabel1,
RatingLabel ratingLabel2,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Pair of Rating Latent States
|
boolean |
CurveSurfaceQuoteContainer.setRatingRecoveryCorrelation(RatingLabel ratingLabel,
RecoveryLabel recoveryLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Rating and Recovery Latent States
|
boolean |
CurveSurfaceQuoteContainer.setRatingRepoCorrelation(RatingLabel ratingLabel,
RepoLabel repoLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Rating and Repo Latent States
|
boolean |
CurveSurfaceQuoteContainer.setRecoveryRecoveryCorrelation(RecoveryLabel recoveryLabel1,
RecoveryLabel recoveryLabel2,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the Recovery Latent State Pair
|
boolean |
CurveSurfaceQuoteContainer.setRecoveryRepoCorrelation(RecoveryLabel recoveryLabel,
RepoLabel repoLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Recovery and the Repo Latent States
|
boolean |
CurveSurfaceQuoteContainer.setRepoRepoCorrelation(RepoLabel repoLabel1,
RepoLabel repoLabel2,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Pair of Repo Latent States
|
| Modifier and Type | Method and Description |
|---|---|
R1ToR1 |
BlackLittermanCombinationEngine.tiltDepartureR1ToR1(double[] adblUserConfidenceProjectionTilt,
int iProjectionIndex,
boolean bDerivative)
Generate the Squared Tilt Departure R^1 To R^1
|
| Modifier and Type | Method and Description |
|---|---|
Greeks |
FokkerPlanckGenerator.greeks(int iSpotDate,
int iExpiryDate,
double dblStrike,
MergedDiscountForwardCurve dcFunding,
double dblUnderlier,
boolean bIsPut,
boolean bIsForward,
R1ToR1 funcVolatilityR1ToR1)
Carry out a Sensitivity Run and generate the Pricing related measure set
|
double |
FokkerPlanckGenerator.payoff(int iSpotDate,
int iExpiryDate,
double dblStrike,
MergedDiscountForwardCurve dcFunding,
double dblUnderlier,
boolean bIsPut,
boolean bIsForward,
R1ToR1 funcVolatilityR1ToR1,
boolean bAsPrice)
Compute the Expected Payoff of the Option from the Inputs
|
| Modifier and Type | Method and Description |
|---|---|
CaseInsensitiveTreeMap<java.lang.Double> |
EuropeanCallPut.value(ValuationParams valParams,
double dblUnderlier,
boolean bIsForward,
MergedDiscountForwardCurve dc,
R1ToR1 auVolatility,
FokkerPlanckGenerator fpg)
Generate the Measure Set for the Option
|
| Modifier and Type | Method and Description |
|---|---|
static double |
R1ToR1Integrator.Boole(R1ToR1 funcR1ToR1,
double dblLeft,
double dblRight)
Compute the function's integral within the specified limits using the Boole rule.
|
static double |
R1ToR1Integrator.LeftInfinite(R1ToR1 funcR1ToR1,
double dblRight)
Integrate the specified Function Numerically from -infinity to the specified Right Limit
|
static double |
R1ToR1Integrator.LeftInfiniteRightInfinite(R1ToR1 funcR1ToR1)
Integrate Numerically over [-infinity, +infinity] using a Change of Variables
|
static double |
R1ToR1Integrator.LinearQuadrature(R1ToR1 funcR1ToR1,
double dblLeft,
double dblRight)
Compute the function's integral within the specified limits using the LinearQuadrature technique.
|
static double |
R1ToR1Integrator.MidPoint(R1ToR1 funcR1ToR1,
double dblLeft,
double dblRight)
Compute the function's integral within the specified limits using the Mid-point rule.
|
static double |
R1ToR1Integrator.RightInfinite(R1ToR1 funcR1ToR1,
double dblLeft)
Integrate the specified Function Numerically from the specified Left Limit to +infinity
|
static double |
R1ToR1Integrator.Simpson(R1ToR1 funcR1ToR1,
double dblLeft,
double dblRight)
Compute the function's integral within the specified limits using the Simpson rule.
|
static double |
R1ToR1Integrator.Simpson38(R1ToR1 funcR1ToR1,
double dblLeft,
double dblRight)
Compute the function's integral within the specified limits using the Simpson 3/8 rule.
|
static double |
R1ToR1Integrator.Trapezoidal(R1ToR1 funcR1ToR1,
double dblLeft,
double dblRight)
Compute the function's integral within the specified limits using the Trapezoidal rule.
|
| Modifier and Type | Method and Description |
|---|---|
R1ToR1 |
KernelDensityEstimationL1.kernelFunction()
Retrieve the Kernel Function
|
R1ToR1 |
KernelDensityEstimationL1.responseFunction()
Retrieve the Response Function
|
| Constructor and Description |
|---|
KernelDensityEstimationL1(R1ToR1 auKernel,
double dblSmoothingParameter,
int iSampleSize,
R1ToR1 auResponse)
KernelDensityEstimationL1 Constructor
|
| Modifier and Type | Class and Description |
|---|---|
class |
BinaryIdempotentUnivariateRandom
BinaryIdempotentUnivariateRandom contains the Implementation of the Objective Function dependent on
Binary Idempotent Univariate Random Variable.
|
class |
BoundedIdempotentUnivariateRandom
BoundedIdempotentUnivariateRandom contains the Implementation of the Objective Function dependent on
Bounded Idempotent Univariate Random Variable.
|
class |
FunctionSupremumUnivariateRandom
FunctionSupremumUnivariateRandom contains the Implementation of the FunctionClassSupremum Objective
Function dependent on Univariate Random Variable.
|
class |
IdempotentUnivariateRandom
IdempotentUnivariateRandom contains the Implementation of the OffsetIdempotent Objective Function
dependent on Univariate Random Variable.
|
| Constructor and Description |
|---|
FunctionSupremumUnivariateRandom(R1ToR1[] aAUClass,
R1 dist)
FunctionSupremumUnivariateRandom Constructor
|
| Modifier and Type | Method and Description |
|---|---|
PivotedDepartureBounds |
SingleSequenceAgnosticMetrics.chebyshevAssociationBound(R1ToR1 au1,
boolean bNonDecreasing1,
R1ToR1 au2,
boolean bNonDecreasing2)
Retrieve the Chebyshev's Association Joint Expectation Bound
|
SingleSequenceAgnosticMetrics |
SingleSequenceAgnosticMetrics.functionSequenceMetrics(R1ToR1 au)
Generate the Metrics for the Univariate Function Sequence
|
double |
SingleSequenceAgnosticMetrics.markovUpperProbabilityBound(double dblLevel,
R1ToR1 auNonDecreasing)
Retrieve the Markov Upper Limiting Probability Bound for the Specified Level:
- P (X gte t) lte E[f(X)] / f(t)
|
| Modifier and Type | Method and Description |
|---|---|
R1ToR1 |
ScaleSensitiveCoveringBounds.fatShatteringFunction()
Retrieve the Fat Shattering Coefficient Function
|
| Constructor and Description |
|---|
ScaleSensitiveCoveringBounds(R1ToR1 r1r1FatShatter,
int iSampleSize)
ScaleSensitiveCoveringBounds Constructor
|
| Modifier and Type | Method and Description |
|---|---|
R1ToR1[] |
NormedR1ToNormedR1Finite.functionR1ToR1Set()
Retrieve the Finite Class of R^1 To R^1 Functions
|
| Modifier and Type | Method and Description |
|---|---|
static NormedR1ToL1R1Finite |
NormedR1ToL1R1Finite.BoundedPredictorBoundedResponse(double dblMaureyConstant,
R1ToR1[] aR1ToR1,
double dblPredictorSupport,
double dblResponseBound)
Create Bounded R^1 To Bounded L1 R^1 Function Class for the specified Bounded Class of Finite
Functions
|
FunctionClassCoveringBounds |
NormedRxToNormedRxFinite.scaleSensitiveCoveringBounds(GeneralizedValidatedVector gvvi,
R1ToR1 funcR1ToR1FatShatter)
Retrieve the Scale-Sensitive Covering Number Upper/Lower Bounds given the Specified Sample for the
Function Class
|
| Modifier and Type | Method and Description |
|---|---|
double |
R1Normed.borelMeasureSpaceExpectation(R1ToR1 funcR1ToR1)
Compute the Borel Measure Expectation for the specified R^1 To R^1 Function over the full Input Space
|
double |
R1Continuous.borelMeasureSpaceExpectation(R1ToR1 funcR1ToR1) |
double |
R1Combinatorial.borelMeasureSpaceExpectation(R1ToR1 funcR1ToR1) |
| Modifier and Type | Method and Description |
|---|---|
R1ToR1 |
NormedR1ToNormedR1.function()
Retrieve the Underlying R1ToR1 Function
|
| Constructor and Description |
|---|
NormedR1CombinatorialToR1Continuous(R1Combinatorial r1CombinatorialInput,
R1Continuous r1ContinuousOutput,
R1ToR1 funcR1ToR1)
NormedR1CombinatorialToR1Continuous Function Space Constructor
|
NormedR1ContinuousToR1Continuous(R1Continuous r1ContinuousInput,
R1Continuous r1ContinuousOutput,
R1ToR1 funcR1ToR1)
NormedR1ContinuousToR1Continuous Function Space Constructor
|
| Modifier and Type | Method and Description |
|---|---|
R1ToR1 |
FunctionSet.indexedBasisFunction(int iBasisIndex)
Retrieve the Basis Function identified by the specified Index
|
| Constructor and Description |
|---|
FunctionSet(R1ToR1[] aAUResponseBasis) |
| Modifier and Type | Class and Description |
|---|---|
class |
BasisHatShapeControl
BasisHatShapeControl implements the shape control function for the hat basis set as laid out in the
framework outlined in Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000) Papers.
|
class |
CubicRationalLeftRaw
CubicRationalLeftRaw implements the TensionBasisHat interface in accordance with the raw left cubic
rational hat basis function laid out in the basic framework outlined in Koch and Lyche (1989), Koch and
Lyche (1993), and Kvasov (2000) Papers.
|
class |
CubicRationalRightRaw
CubicRationalRightRaw implements the TensionBasisHat interface in accordance with the raw right cubic
rational hat basis function laid out in the basic framework outlined in Koch and Lyche (1989), Koch and
Lyche (1993), and Kvasov (2000) Papers.
|
class |
ExponentialTensionLeftHat
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.
|
class |
ExponentialTensionLeftRaw
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.
|
class |
ExponentialTensionRightHat
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.
|
class |
ExponentialTensionRightRaw
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.
|
class |
LeftHatShapeControl
LeftHatShapeControl implements the BasisHatShapeControl interface for the left hat basis set as laid out
in the basic framework outlined in Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000)
Papers.
|
class |
RightHatShapeControl
RightHatShapeControl implements the BasisHatShapeControl interface for the right hat basis set as laid out
in the basic framework outlined in Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000)
Papers.
|
class |
SegmentBasisFunction
SegmentBasisFunction is the abstract class over which the local ordered envelope functions for the B Splines
are implemented.
|
class |
SegmentMonicBasisFunction
SegmentMonicBasisFunction implements the local monic B Spline that envelopes the predictor ordinates, and
the corresponding set of ordinates/basis functions.
|
class |
SegmentMulticBasisFunction
SegmentMulticBasisFunction implements the local quadratic B Spline that envelopes the predictor ordinates,
and the corresponding set of ordinates/basis functions.
|
class |
TensionBasisHat
TensionBasisHat implements the common basis hat function that form the basis for all B Splines.
|
class |
TensionProcessedBasisHat
TensionProcessedBasisHat implements the processed hat basis function of the form laid out in the basic
framework outlined in Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000) Papers.
|
| Constructor and Description |
|---|
SegmentBasisFunctionSet(int iNumBasisToUse,
double dblTension,
R1ToR1[] aAUHat)
SegmentBasisFunctionSet constructor
|
| Modifier and Type | Method and Description |
|---|---|
R1ToR1 |
ResponseScalingShapeControl.shapeController()
Retrieve the Shape Control Univariate Function
|
| Constructor and Description |
|---|
ResponseScalingShapeControl(boolean bIsLocal,
R1ToR1 auShapeControl)
ResponseScalingShapeControl constructor
|
| Modifier and Type | Class and Description |
|---|---|
class |
MonotoneConvexHaganWest
This class implements the regime using the Hagan and West (2006) Estimator.
|
| Modifier and Type | Class and Description |
|---|---|
class |
CalibratableMultiSegmentSequence
CalibratableMultiSegmentSequence implements the MultiSegmentSequence span that spans multiple segments.
|
| Modifier and Type | Method and Description |
|---|---|
R1ToR1 |
SingleSegmentSequence.toAU()
Convert the Segment Sequence into an AbstractUnivariate Instance
|
R1ToR1 |
SingleSegmentLagrangePolynomial.toAU() |
R1ToR1 |
CalibratableMultiSegmentSequence.toAU() |
| Modifier and Type | Class and Description |
|---|---|
class |
KLKHyperbolicTensionPhy
KLKHyperbolicTensionPhy implements the basic framework and the family of C2 Tension Splines outlined in
Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000) Papers.
|
class |
KLKHyperbolicTensionPsy
KLKHyperbolicTensionPsy implements the basic framework and the family of C2 Tension Splines outlined in
Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000) Papers.
|
| Modifier and Type | Method and Description |
|---|---|
static R1ToR1[] |
KochLycheKvasovBasis.GenerateMonicBSplineSet(double dblTension)
Generate the Monic BSpline Basis Function Set
|
static R1ToR1[] |
KochLycheKvasovBasis.GenerateQuadraticBSplineSet(double dblTension)
Generate the Quadratic BSpline Basis Function Set
|
| Constructor and Description |
|---|
ForeignCollateralizedDiscountCurve(java.lang.String strCurrency,
MergedDiscountForwardCurve dcCollateralForeign,
FXCurve fxForward,
VolatilityCurve vcCollateralForeign,
VolatilityCurve vcFX,
R1ToR1 r1r1CollateralForeignFXCorrelation)
ForeignCollateralizedDiscountCurve constructor
|
| Modifier and Type | Class and Description |
|---|---|
class |
CurveStretch
CurveStretch expands the regular Multi-Segment Stretch to aid the calibration of Boot-strapped
Instruments.
|