Uses of Class
org.drip.quant.calculus.WengertJacobian

Packages that use WengertJacobian

Package	Description
org.drip.product.credit
org.drip.product.definition
org.drip.product.fra
org.drip.product.fx
org.drip.product.option
org.drip.product.rates
org.drip.quant.calculus
org.drip.quant.common
org.drip.spline.grid
org.drip.spline.segment
org.drip.spline.stretch
org.drip.state.basis
org.drip.state.curve
org.drip.state.discount
org.drip.state.forward
org.drip.state.fx
org.drip.state.govvie
org.drip.state.nonlinear

Uses of WengertJacobian in org.drip.product.credit

Methods in org.drip.product.credit that return WengertJacobian

Modifier and Type	Method and Description
WengertJacobian	CDSComponent.jackDDirtyPVDManifestMeasure(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp)
WengertJacobian	BondComponent.jackDDirtyPVDManifestMeasure(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp)
WengertJacobian	CDSComponent.manifestMeasureDFMicroJack(java.lang.String strManifestMeasure, ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp)
WengertJacobian	BondComponent.manifestMeasureDFMicroJack(java.lang.String strManifestMeasure, ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp)

Uses of WengertJacobian in org.drip.product.definition

Methods in org.drip.product.definition that return WengertJacobian

Modifier and Type	Method and Description
abstract WengertJacobian	CalibratableComponent.jackDDirtyPVDManifestMeasure(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp) Compute the Jacobian of the Dirty PV to the Calibrated Input Manifest Measures
abstract WengertJacobian	CalibratableComponent.manifestMeasureDFMicroJack(java.lang.String strMainfestMeasure, ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp) Compute the micro-Jacobian of the given measure to the DF

Uses of WengertJacobian in org.drip.product.fra

Methods in org.drip.product.fra that return WengertJacobian

Modifier and Type	Method and Description
WengertJacobian	FRAStandardComponent.jackDDirtyPVDManifestMeasure(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp)
WengertJacobian	FRAStandardComponent.manifestMeasureDFMicroJack(java.lang.String strManifestMeasure, ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp)

Uses of WengertJacobian in org.drip.product.fx

Methods in org.drip.product.fx that return WengertJacobian

Modifier and Type	Method and Description
WengertJacobian	FXForwardComponent.jackDDirtyPVDManifestMeasure(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParams)
WengertJacobian	FXForwardComponent.manifestMeasureDFMicroJack(java.lang.String strManifestMeasure, ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParams)

Uses of WengertJacobian in org.drip.product.option

Methods in org.drip.product.option that return WengertJacobian

Modifier and Type	Method and Description
WengertJacobian	OptionComponent.jackDDirtyPVDManifestMeasure(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp)
WengertJacobian	OptionComponent.manifestMeasureDFMicroJack(java.lang.String strMainfestMeasure, ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp)

Uses of WengertJacobian in org.drip.product.rates

Methods in org.drip.product.rates that return WengertJacobian

Modifier and Type	Method and Description
WengertJacobian	Stream.jackDDirtyPVDManifestMeasure(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp) Generate the Jacobian of the Dirty PV to the Manifest Measure
WengertJacobian	SingleStreamComponent.jackDDirtyPVDManifestMeasure(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParams)
WengertJacobian	RatesBasket.jackDDirtyPVDManifestMeasure(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParams)
WengertJacobian	FloatFloatComponent.jackDDirtyPVDManifestMeasure(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParams)
WengertJacobian	FixFloatComponent.jackDDirtyPVDManifestMeasure(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParams)
WengertJacobian	Stream.manifestMeasureDFMicroJack(java.lang.String strManifestMeasure, ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp) Generate the micro-Jacobian of the Manifest Measure to the Discount Factor
WengertJacobian	SingleStreamComponent.manifestMeasureDFMicroJack(java.lang.String strManifestMeasure, ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParams)
WengertJacobian	RatesBasket.manifestMeasureDFMicroJack(java.lang.String strMainfestMeasure, ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParams)
WengertJacobian	FloatFloatComponent.manifestMeasureDFMicroJack(java.lang.String strManifestMeasure, ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParams)
WengertJacobian	FixFloatComponent.manifestMeasureDFMicroJack(java.lang.String strManifestMeasure, ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParams)

Uses of WengertJacobian in org.drip.quant.calculus

Methods in org.drip.quant.calculus with parameters of type WengertJacobian

Modifier and Type	Method and Description
boolean	WengertJacobian.cumulativeMerge(WengertJacobian wjOther) Accumulate and merge partial entries from the other CurveWengertJacobian
boolean	WengertJacobian.cumulativeMerge(WengertJacobian wjOther, double dblWeight) Accumulate and merge the weighted partial entries from the other CurveWengertJacobian

Uses of WengertJacobian in org.drip.quant.common

Methods in org.drip.quant.common that return WengertJacobian

Modifier and Type	Method and Description
static WengertJacobian	CollectionUtil.AppendWengert(java.util.List<WengertJacobian> lsWJ) Append the Wengert Jacobians inside the list onto one single composite

Method parameters in org.drip.quant.common with type arguments of type WengertJacobian

Modifier and Type	Method and Description
static WengertJacobian	CollectionUtil.AppendWengert(java.util.List<WengertJacobian> lsWJ) Append the Wengert Jacobians inside the list onto one single composite

Uses of WengertJacobian in org.drip.spline.grid

Methods in org.drip.spline.grid that return WengertJacobian

Modifier and Type	Method and Description
WengertJacobian	Span.jackDResponseDManifestMeasure(java.lang.String strManifestMeasure, double dblPredictorOrdinate, int iOrder) Calculate the Response Derivative to the Manifest Measure at the specified Ordinate
WengertJacobian	OverlappingStretchSpan.jackDResponseDManifestMeasure(java.lang.String strManifestMeasure, double dblPredictorOrdinate, int iOrder)
WengertJacobian	AggregatedSpan.jackDResponseDManifestMeasure(java.lang.String strManifestMeasure, double dblPredictorOrdinate, int iOrder)

Uses of WengertJacobian in org.drip.spline.segment

Methods in org.drip.spline.segment that return WengertJacobian

Modifier and Type	Method and Description
WengertJacobian	LatentStateResponseModel.jackDCoeffDEdgeInputs() Calculate the Jacobian of the Segment's Response Basis Function Coefficients to the Edge Inputs
WengertJacobian	LatentStateResponseModel.jackDCoeffDEdgeParams(double[] adblPredictorOrdinate, double[] adblResponseValue, double[] adblLeftEdgeDeriv, double[] adblRightEdgeDeriv, SegmentBasisFlexureConstraint[] aSBFC, SegmentBestFitResponse sbfr) Calibrate the segment and calculate the Jacobian of the Segment's Response Basis Function Coefficients to the Edge Parameters
WengertJacobian	LatentStateResponseModel.jackDCoeffDEdgeParams(double dblLeftValue, double dblLeftSlope, double dblRightValue, SegmentBestFitResponse sbfrState) Calibrate the Coefficients from the Edge Response Values and the Left Edge Response Value Slope and calculate the Jacobian of the Segment's Response Basis Function Coefficients to the Edge Parameters
WengertJacobian	LatentStateResponseModel.jackDCoeffDEdgeParams(LatentStateResponseModel csPreceeding, java.lang.String strManifestMeasure, double dblRightStateValue, SegmentBestFitResponse sbfrState, double dblRightStateManifestSensitivity, SegmentBestFitResponse sbfrManifestSensitivity) Calibrate the coefficients from the prior Segment and the Response Value at the Right Predictor Ordinate and calculate the Jacobian of the Segment's Response Basis Function Coefficients to the Edge Parameters
WengertJacobian	LatentStateResponseModel.jackDResponseDBasisCoeff(double dblPredictorOrdinate, int iOrder) Calculate the Jacobian of the Response to the Basis Coefficients at the given Predictor Ordinate
WengertJacobian	LatentStateResponseModel.jackDResponseDEdgeInput(double dblPredictorOrdinate, int iOrder) Calculate the Jacobian of the Response to the Edge Inputs at the given Predictor Ordinate

Uses of WengertJacobian in org.drip.spline.stretch

Methods in org.drip.spline.stretch that return WengertJacobian

Modifier and Type	Method and Description
WengertJacobian	SingleSegmentSequence.jackDResponseDCalibrationInput(double dblPredictorOrdinate, int iOrder) Calculate the Response Derivative to the Calibration Inputs at the specified Ordinate
WengertJacobian	SingleSegmentLagrangePolynomial.jackDResponseDCalibrationInput(double dblPredictorOrdinate, int iOrder)
WengertJacobian	CalibratableMultiSegmentSequence.jackDResponseDCalibrationInput(double dblPredictorOrdinate, int iOrder)
WengertJacobian	SingleSegmentSequence.jackDResponseDManifestMeasure(java.lang.String strManifestMeasure, double dblPredictorOrdinate, int iOrder) Calculate the Response Derivative to the Manifest Measure at the specified Ordinate
WengertJacobian	SingleSegmentLagrangePolynomial.jackDResponseDManifestMeasure(java.lang.String strManifestMeasure, double dblPredictorOrdinate, int iOrder)
WengertJacobian	CalibratableMultiSegmentSequence.jackDResponseDManifestMeasure(java.lang.String strManifestMeasure, double dblPredictorOrdinate, int iOrder)

Uses of WengertJacobian in org.drip.state.basis

Methods in org.drip.state.basis that return WengertJacobian

Modifier and Type	Method and Description
abstract WengertJacobian	BasisCurve.jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, int dblDate) Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
WengertJacobian	BasisCurve.jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, JulianDate dt) Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
WengertJacobian	BasisCurve.jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, java.lang.String strTenor) Retrieve the Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor

Uses of WengertJacobian in org.drip.state.curve

Methods in org.drip.state.curve that return WengertJacobian

Modifier and Type	Method and Description
WengertJacobian	ZeroRateDiscountCurve.jackDDFDManifestMeasure(int iDate, java.lang.String strManifestMeasure)
WengertJacobian	ForeignCollateralizedDiscountCurve.jackDDFDManifestMeasure(int iDate, java.lang.String strManifestMeasure)
WengertJacobian	DiscountFactorDiscountCurve.jackDDFDManifestMeasure(int iDate, java.lang.String strManifestMeasure)
WengertJacobian	DeterministicCollateralChoiceDiscountCurve.jackDDFDManifestMeasure(int iDate, java.lang.String strManifestMeasure)
WengertJacobian	BasisSplineGovvieYield.jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, int iDate)
WengertJacobian	BasisSplineFXForward.jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, int iDate)
WengertJacobian	BasisSplineForwardRate.jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, int iDate)
WengertJacobian	BasisSplineBasisCurve.jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, int iDate)

Uses of WengertJacobian in org.drip.state.discount

Methods in org.drip.state.discount that return WengertJacobian

Modifier and Type	Method and Description
WengertJacobian	MergedDiscountForwardCurve.compJackDPVDManifestMeasure(int iDate) Calculate the Jacobian of PV at the given date to the Manifest Measure of each component in the calibration set to the DF
WengertJacobian	MergedDiscountForwardCurve.compJackDPVDManifestMeasure(JulianDate dt) Calculate the Jacobian of PV at the given date to the Manifest Measure of each component in the calibration set to the DF
abstract WengertJacobian	MergedDiscountForwardCurve.jackDDFDManifestMeasure(int iDate, java.lang.String strManifestMeasure) Retrieve the Manifest Measure Jacobian of the Discount Factor to the given date
WengertJacobian	MergedDiscountForwardCurve.jackDDFDManifestMeasure(JulianDate dt, java.lang.String strManifestMeasure) Retrieve the Manifest Measure Jacobian of the Discount Factor to the given date
WengertJacobian	MergedDiscountForwardCurve.jackDDFDManifestMeasure(java.lang.String strTenor, java.lang.String strManifestMeasure) Retrieve the Manifest Measure Jacobian of the Discount Factor to the date implied by the given Tenor
WengertJacobian	MergedDiscountForwardCurve.jackDForwardDManifestMeasure(int iDate1, int iDate2, java.lang.String strManifestMeasure, double dblElapsedYear) Retrieve the Jacobian of the Forward Rate to the Manifest Measure between the given dates
WengertJacobian	MergedDiscountForwardCurve.jackDForwardDManifestMeasure(JulianDate dt1, JulianDate dt2, java.lang.String strManifestMeasure, double dblElapsedYear) Retrieve the Jacobian of the Forward Rate to the Manifest Measure between the given dates
WengertJacobian	MergedDiscountForwardCurve.jackDForwardDManifestMeasure(JulianDate dt, java.lang.String strTenor, java.lang.String strManifestMeasure, double dblElapsedYear) Retrieve the Jacobian of the Forward Rate to the Manifest Measure at the given date
WengertJacobian	MergedDiscountForwardCurve.zeroRateJack(int iDate, java.lang.String strManifestMeasure) Retrieve the Jacobian for the Zero Rate to the given date
WengertJacobian	MergedDiscountForwardCurve.zeroRateJack(JulianDate dt, java.lang.String strManifestMeasure) Retrieve the Jacobian for the Zero Rate to the given date

Uses of WengertJacobian in org.drip.state.forward

Methods in org.drip.state.forward that return WengertJacobian

Modifier and Type	Method and Description
abstract WengertJacobian	ForwardCurve.jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, int dblDate) Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
WengertJacobian	ForwardCurve.jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, JulianDate dt) Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
WengertJacobian	ForwardCurve.jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, java.lang.String strTenor) Retrieve the Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor

Uses of WengertJacobian in org.drip.state.fx

Methods in org.drip.state.fx that return WengertJacobian

Modifier and Type	Method and Description
abstract WengertJacobian	FXCurve.jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, int iDate) Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
WengertJacobian	FXCurve.jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, JulianDate dt) Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
WengertJacobian	FXCurve.jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, java.lang.String strTenor) Retrieve the Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor

Uses of WengertJacobian in org.drip.state.govvie

Methods in org.drip.state.govvie that return WengertJacobian

Modifier and Type	Method and Description
abstract WengertJacobian	GovvieCurve.jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, int iDate) Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
WengertJacobian	GovvieCurve.jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, JulianDate dt) Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
WengertJacobian	GovvieCurve.jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, java.lang.String strTenor) Retrieve the Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor

Uses of WengertJacobian in org.drip.state.nonlinear

Methods in org.drip.state.nonlinear that return WengertJacobian

Modifier and Type	Method and Description
WengertJacobian	FlatForwardDiscountCurve.jackDDFDManifestMeasure(int iDate, java.lang.String strManifestMeasure)
WengertJacobian	FlatYieldGovvieCurve.jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, int iDate)
WengertJacobian	FlatForwardFXCurve.jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, int iDate)
WengertJacobian	FlatForwardForwardCurve.jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, int iDate)