Constant Field Values
Contents
org.drip.*
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org.drip.analytics.cashflow.ComposableUnitPeriod Modifier and Type Constant Field Value public static final int
NODE_INSIDE_SEGMENT
2
public static final int
NODE_LEFT_OF_SEGMENT
1
public static final int
NODE_RIGHT_OF_SEGMENT
4
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org.drip.analytics.date.DateUtil Modifier and Type Constant Field Value public static final int
APRIL
4
public static final int
AUGUST
8
public static final int
DECEMBER
12
public static final int
FEBRUARY
2
public static final int
FRIDAY
4
public static final int
JANUARY
1
public static final int
JULY
7
public static final int
JUNE
6
public static final int
LEFT_INCLUDE
1
public static final int
MARCH
3
public static final int
MAY
5
public static final int
MONDAY
0
public static final int
NOVEMBER
11
public static final int
OCTOBER
10
public static final int
RIGHT_INCLUDE
2
public static final int
SATURDAY
5
public static final int
SEPTEMBER
9
public static final int
SUNDAY
6
public static final int
THURSDAY
3
public static final int
TUESDAY
1
public static final int
WEDNESDAY
2
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org.drip.analytics.daycount.Convention Modifier and Type Constant Field Value public static final int
DATE_ROLL_ACTUAL
0
public static final int
DATE_ROLL_FOLLOWING
1
public static final int
DATE_ROLL_MODIFIED_FOLLOWING
2
public static final int
DATE_ROLL_MODIFIED_FOLLOWING_BIMONTHLY
4
public static final int
DATE_ROLL_MODIFIED_PREVIOUS
16
public static final int
DATE_ROLL_PREVIOUS
8
public static final int
WEEKDAY_HOLS
1
public static final int
WEEKEND_HOLS
2
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org.drip.analytics.definition.LatentStateStatic Modifier and Type Constant Field Value public static final java.lang.String
DISCOUNT_QM_COMPOUNDED_SHORT_RATE
"DISCOUNT_QM_COMPOUNDED_SHORT_RATE"
public static final java.lang.String
DISCOUNT_QM_DISCOUNT_FACTOR
"DISCOUNT_QM_DISCOUNT_FACTOR"
public static final java.lang.String
DISCOUNT_QM_FORWARD_RATE
"DISCOUNT_QM_FORWARD_RATE"
public static final java.lang.String
DISCOUNT_QM_ZERO_RATE
"DISCOUNT_QM_ZERO_RATE"
public static final java.lang.String
FORWARD_QM_CONTINUOUSLY_COMPOUNDED_FORWARD_RATE
"FORWARD_QM_CONTINUOUSLY_COMPOUNDED_FORWARD_RATE"
public static final java.lang.String
FORWARD_QM_FORWARD_RATE
"FORWARD_QM_FORWARD_RATE"
public static final java.lang.String
FORWARD_QM_INSTANTANEOUS_EFFECTIVE_FORWARD_RATE
"FORWARD_QM_EFFECTIVE_ANNUAL_FORWARD_RATE"
public static final java.lang.String
FORWARD_QM_INSTANTANEOUS_FORWARD_RATE
"FORWARD_QM_INSTANTANEOUS_FORWARD_RATE"
public static final java.lang.String
FORWARD_QM_INSTANTANEOUS_NOMINAL_FORWARD_RATE
"FORWARD_QM_NOMINAL_ANNUAL_FORWARD_RATE"
public static final java.lang.String
FORWARD_QM_LIBOR_RATE
"FORWARD_QM_LIBOR_RATE"
public static final java.lang.String
FORWARD_QM_SHIFTED_FORWARD_RATE
"FORWARD_QM_SHIFTED_FORWARD_RATE"
public static final java.lang.String
FX_QM_FORWARD_OUTRIGHT
"FX_QM_FORWARD_OUTRIGHT"
public static final java.lang.String
GOVVIE_QM_YIELD
"GOVVIE_QM_YIELD"
public static final java.lang.String
LATENT_STATE_FORWARD
"LATENT_STATE_FORWARD"
public static final java.lang.String
LATENT_STATE_FUNDING
"LATENT_STATE_FUNDING"
public static final java.lang.String
LATENT_STATE_FX
"LATENT_STATE_FX"
public static final java.lang.String
LATENT_STATE_GOVVIE
"LATENT_STATE_GOVVIE"
public static final java.lang.String
LATENT_STATE_VOLATILITY
"LATENT_STATE_VOLATILITY"
public static final java.lang.String
VOLATILITY_QM_LOGNORMAL_VOLATILITY
"VOLATILITY_QM_LOGNORMAL_VOLATILITY"
public static final java.lang.String
VOLATILITY_QM_NORMAL_VOLATILITY
"VOLATILITY_QM_NORMAL_VOLATILITY"
public static final java.lang.String
VOLATILITY_QM_SABR_VOLATILITY
"VOLATILITY_QM_SABR_VOLATILITY"
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org.drip.analytics.eventday.DateInMonth Modifier and Type Constant Field Value public static final int
INSTANCE_GENERATOR_RULE_EDGE_LAG
1
public static final int
INSTANCE_GENERATOR_RULE_SPECIFIC_DAY_OF_MONTH
3
public static final int
INSTANCE_GENERATOR_RULE_WEEK_DAY
2
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org.drip.analytics.support.CompositePeriodBuilder Modifier and Type Constant Field Value public static final int
ACCRUAL_COMPOUNDING_RULE_ARITHMETIC
1
public static final int
ACCRUAL_COMPOUNDING_RULE_GEOMETRIC
2
public static final int
EDGE_DATE_SEQUENCE_FORWARD
0
public static final int
EDGE_DATE_SEQUENCE_OVERNIGHT
4
public static final int
EDGE_DATE_SEQUENCE_REGULAR
2
public static final int
EDGE_DATE_SEQUENCE_REVERSE
1
public static final int
EDGE_DATE_SEQUENCE_SINGLE
8
public static final int
FULL_FRONT_PERIOD
1
public static final int
LONG_STUB
2
public static final int
REFERENCE_PERIOD_IN_ADVANCE
1
public static final int
REFERENCE_PERIOD_IN_ARREARS
0
public static final int
SHORT_STUB
0
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org.drip.capital.allocation.CorrelationCategoryBeta Modifier and Type Constant Field Value public static final int
ELASTICITY_FIXED
0
public static final int
ELASTICITY_FLOAT
1
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org.drip.capital.allocation.EntityComponentAssignmentScheme Modifier and Type Constant Field Value public static final int
BETA
1
public static final int
PRO_RATA
2
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org.drip.capital.allocation.EntityComponentCorrelationCategory Modifier and Type Constant Field Value public static final int
ENTITY_CORRELATION
4
public static final int
HEDGE
0
public static final int
HIGH_CORRELATION
1
public static final int
LOW_CORRELATION
3
public static final int
MEDIUM_CORRELATION
2
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org.drip.capital.allocation.EntityComponentProRataCategory Modifier and Type Constant Field Value public static final int
MARGINAL
1
public static final int
STANDALONE
2
public static final int
STANDALONE_TO_WORST
3
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org.drip.capital.definition.Business Modifier and Type Constant Field Value public static final java.lang.String
ADVISORY
"Advisory"
public static final java.lang.String
AI
"AI"
public static final java.lang.String
BHCFINANCIAL
"BHCFinancial"
public static final java.lang.String
CAI
"CAI"
public static final java.lang.String
CAPITAL_MARKETS_ORGANIZATION
"Capital Markets Organization"
public static final java.lang.String
CAPITAL_MARKETS_ORIGINATION_LENDING
"Capital Markets Origination Lending"
public static final java.lang.String
CARDS
"Cards"
public static final java.lang.String
CASH
"Cash"
public static final java.lang.String
CENTRAL_AMERICA_MORTGAGES
"Central America Mortgages"
public static final java.lang.String
CLP
"CLP"
public static final java.lang.String
COMMERCIAL_REAL_ESTATE
"Commercial Real Estate"
public static final java.lang.String
COMMODITIES
"Commodities"
public static final java.lang.String
COMMODITIES_HOUSTON
"Commodts Houston"
public static final java.lang.String
CONSUMER_CARDS
"Consumer_Cards"
public static final java.lang.String
CONSUMER_OTHER
"Consumer_Other"
public static final java.lang.String
CONVERTS
"Converts"
public static final java.lang.String
CORPORATE_CENTER
"CorpCtr"
public static final java.lang.String
CREDIT_MACRO_HEDGE
"Credit Macro Hedge"
public static final java.lang.String
CREDIT_MARKETS
"Credit Markets"
public static final java.lang.String
CREDIT_TRADING
"Credit Trading"
public static final java.lang.String
DISTRESSED
"Distressed"
public static final java.lang.String
EM_ABF
"EM ABF"
public static final java.lang.String
EM_ASSET_BACKED_FINANCE
"EM Asset Backed Finance"
public static final java.lang.String
EM_BONDS
"EM Bonds"
public static final java.lang.String
EM_CREDIT_TRADING
"EM Credit Trading"
public static final java.lang.String
EM_PRIMARY_LOANS
"EM Prm Loans"
public static final java.lang.String
EQUITIES
"Equities"
public static final java.lang.String
EQUITY_DERIVATIVES
"Equity Derivative"
public static final java.lang.String
EQUITY_UNDERWRITING
"Equity Undwrt"
public static final java.lang.String
FIMA
"FIMA"
public static final java.lang.String
FINANCE
"Finance"
public static final java.lang.String
G10_FX
"G10 FX"
public static final java.lang.String
G10_RATES
"G10 Rates"
public static final java.lang.String
GLOBAL_CREDIT_MARKETS
"Global Credit Markets"
public static final java.lang.String
GLOBAL_SECURITIZED_MARKETS
"Glbl Securitized Markets"
public static final java.lang.String
GSSG_WEST
"GSSG West"
public static final java.lang.String
GTS
"GTS"
public static final java.lang.String
GTS_HOLDINGS_TRADE
"GTS Holdings-Trade"
public static final java.lang.String
GWM
"GWM"
public static final java.lang.String
IG_BONDS
"IG Bonds"
public static final java.lang.String
IG_PRIMARY_LOANS
"IG Prmry Loans"
public static final java.lang.String
INTERNATIONAL_CARDS
"International Cards"
public static final java.lang.String
INTERNATIONAL_RETAIL_BANKING
"International Retail Banking"
public static final java.lang.String
LEVERAGED_FINANCE
"Lev Fin"
public static final java.lang.String
LOAN_PORTFOLIO_MANAGEMENT
"Loan Portfolio Management"
public static final java.lang.String
LOCAL_MARKETS
"Local Mkts"
public static final java.lang.String
LONG_TERM_ASSET_GROUP
"Long Term Asset Group"
public static final java.lang.String
MUNICIPAL
"Munis"
public static final java.lang.String
MUNICIPAL_SECURITIES
"Municipal Securities"
public static final java.lang.String
MUNICIPAL_SECURITIES_BHC_COMMUNITY
"Municipal Securities - BHC Community"
public static final java.lang.String
NIKKO_INVESTMENTS
"Nikko Investments"
public static final java.lang.String
OS_B
"OS&B"
public static final java.lang.String
OTHER_BAM
"Other_BAM"
public static final java.lang.String
OTHER_CONSUMER
"Other_Consumer"
public static final java.lang.String
OTHER_FI_UNDERWRITING
"Other FI Undwrtng"
public static final java.lang.String
OTHER_GLOBAL_MARKETS
"Other Glbl Mkts"
public static final java.lang.String
OTHER_SPECIAL_ASSET_POOL
"Other Special Asset Pool"
public static final java.lang.String
PECD
"PECD"
public static final java.lang.String
PRIME_FINANCE
"Prime Finance"
public static final java.lang.String
PRIMERICA_FINANCIAL_SERVICES
"Primerica Financial Services"
public static final java.lang.String
PRIVATE_BANKING
"Private Banking"
public static final java.lang.String
PROJECT_FINANCE
"Project Finance"
public static final java.lang.String
RATES_AND_CURRENCIES
"Rates and Currencies"
public static final java.lang.String
REAL_ESTATE_LENDING
"Real Estate Lending"
public static final java.lang.String
RETAIL_AUTO_LENDING
"Retail Auto Lending"
public static final java.lang.String
RETAIL_BANKING
"Retail Banking"
public static final java.lang.String
RETAIL_PARTNER_CARDS
"Retail Partner Cards"
public static final java.lang.String
RISK_TREASURY
"Risk Treasury"
public static final java.lang.String
RUBICON_INDIA
"Rubicon - India"
public static final java.lang.String
SAP_ADMIN
"SAP Admin"
public static final java.lang.String
SECURITIZED_MARKETS
"Securitized Mkts"
public static final java.lang.String
SHORT_TERM
"Short Term"
public static final java.lang.String
SMITH_BARNEY_BAM
"Smith_Barney_BAM"
public static final java.lang.String
STUDENT_LOANS
"Student Loans"
public static final java.lang.String
US_COMMERCIAL_BANKING
"US Commercial Banking"
public static final java.lang.String
US_CONSUMER_INSTALLMENT_LOANS
"US Consumer Installment Loans"
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org.drip.capital.definition.Group Modifier and Type Constant Field Value public static final java.lang.String
BHCCORP_CONSUMER
"BHC - Consumer"
public static final java.lang.String
BHCCORP_ICG
"BHC - ICG"
public static final java.lang.String
CORPORATE_CENTER
"CorpCtr"
public static final java.lang.String
HOLDINGS
"Holdings"
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org.drip.capital.definition.Product Modifier and Type Constant Field Value public static final java.lang.String
ADVISORY
"Advisory"
public static final java.lang.String
BAM
"BAM"
public static final java.lang.String
CAI
"CAI"
public static final java.lang.String
COMMODITIES
"Commodities"
public static final java.lang.String
CONSUMER
"Consumer"
public static final java.lang.String
CORPORATE_CENTER
"CorpCtr"
public static final java.lang.String
EM_ABF
"EM ABF"
public static final java.lang.String
EQUITIES
"Equities"
public static final java.lang.String
EQUITY_UNDERWRITING
"Equity_Underwriting"
public static final java.lang.String
FIXED_INCOME_UNDERWRITING
"Fixed_Income_Underwriting"
public static final java.lang.String
FX_LOCAL_MARKETS
"FX_Local_Markets"
public static final java.lang.String
G10_RATES
"G10_Rates"
public static final java.lang.String
G10_RISK_TREASURY_RV_FINANCE
"G10_Risk_Treasury_RV_Finance"
public static final java.lang.String
GSP
"GSP"
public static final java.lang.String
GTS
"GTS"
public static final java.lang.String
GWM
"GWM"
public static final java.lang.String
HOLDINGS_CONSUMER
"Holdings_Consumer"
public static final java.lang.String
NIKKO_INVESTMENTS
"Nikko Investments"
public static final java.lang.String
OS_B
"OS&B"
public static final java.lang.String
OTHER_GLOBAL_MARKETS
"Other_Global_Markets"
public static final java.lang.String
PRIME_FINANCE
"Prime Finance"
public static final java.lang.String
SAP
"SAP"
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org.drip.capital.definition.Region Modifier and Type Constant Field Value public static final java.lang.String
ASIA
"ASIA"
public static final java.lang.String
EMEA
"EMEA"
public static final java.lang.String
LATIN_AMERICA
"LATIN AMERICA"
public static final java.lang.String
NORTH_AMERICA
"NORTH AMERICA"
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org.drip.capital.definition.StressScenarioType Modifier and Type Constant Field Value public static final java.lang.String
CORRELATED
"CORRELATED"
public static final java.lang.String
IDIOSYNCRATIC
"IDIOSYNCRATIC"
public static final java.lang.String
SYSTEMIC
"SYSTEMIC"
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org.drip.capital.definition.SystemicScenarioDefinition Modifier and Type Constant Field Value public static final java.lang.String
BASELINE_1974
"1974 Baseline"
public static final java.lang.String
BASELINE_2008
"2008 Baseline"
public static final java.lang.String
DEEP_DOWNTURN
"Deep Downturn"
public static final java.lang.String
DOLLAR_DECLINE
"Dollar Decline"
public static final java.lang.String
INTEREST_RATE_SHOCK
"Interest Rate Shock"
public static final java.lang.String
LOST_DECADE
"Lost Decade"
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org.drip.capital.label.Coordinate Modifier and Type Constant Field Value public static final java.lang.String
FQN_DELIMITER
"@"
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org.drip.capital.setting.SimulationControl Modifier and Type Constant Field Value public static final int
SYSTEMIC_STRESS_INCIDENCE_RANDOM_SAMPLING
1
public static final int
SYSTEMIC_STRESS_INCIDENCE_STRATIFIED_SAMPLING
2
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org.drip.capital.stress.EventProbabilityLadder Modifier and Type Constant Field Value public static final java.lang.String
NO_REALIZATION
""
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org.drip.capital.systemicscenario.CriterionUnit Modifier and Type Constant Field Value public static final int
ABSOLUTE
4
public static final int
BASIS_POINT
1
public static final int
PERCENT
2
public static final int
PERCENT_POINT
8
public static final int
VOLATILITY_POINT
16
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org.drip.capital.systemicscenario.MarketSegment Modifier and Type Constant Field Value public static final java.lang.String
DM
"DM"
public static final java.lang.String
DM_HI_VOL
"DM_HI_VOL"
public static final java.lang.String
DM_LO_VOL
"DM_LO_VOL"
public static final java.lang.String
EM
"EM"
public static final java.lang.String
EM_HI_VOL
"EM_HI_VOL"
public static final java.lang.String
EM_LO_VOL
"EM_LO_VOL"
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org.drip.capital.systemicscenario.SystemicStressShockIndicator Modifier and Type Constant Field Value public static final java.lang.String
DEFLATIONARY
"DEFLATIONARY"
public static final int
DOWN
-1
public static final java.lang.String
INFLATIONARY
"INFLATIONARY"
public static final java.lang.String
NEITHER
"NEITHER"
public static final int
UNSPECIFIED
0
public static final int
UP
1
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org.drip.capital.systemicscenario.TypeOfChange Modifier and Type Constant Field Value public static final java.lang.String
CHANGE_AS_PERCENT_OF_CALENDAR_2008_SPREAD_WIDENING
"Change as % of Calendar 2008 Spread Widening"
public static final java.lang.String
CHANGE_VS_4_Q_FORWARD
"Change vs. 4 Q Forward"
public static final java.lang.String
CHANGE_VS_CURRENT
"Change vs. Current Q/Q-4"
public static final java.lang.String
NONE
"None"
public static final java.lang.String
PEAK_VS_CURRENT_LEVEL
"Peak vs. Current Level"
public static final java.lang.String
SCENARIO_GDP_GROWTH
"Scenario GDP Growth Q/Q-4"
public static final java.lang.String
VOLATILITY_POINT_CHANGE_AS_PERCENT_OF_2008_VOLATILITY_POINT_CHANGE
"Volatility Point Change as % Calendar 2008 Volatility Point Change"
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org.drip.dynamics.physical.FundamentalConstants Modifier and Type Constant Field Value public static final double
AVOGADRO
6.02214086E23
public static final double
BOLTZMANN
1.38064852E-23
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org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator Modifier and Type Constant Field Value public static final int
TRADE_RATE_STATIC_INITIALIZATION
1
public static final int
TRADE_RATE_ZERO_INITIALIZATION
2
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org.drip.exposure.csatimeline.EventDateBuilder Modifier and Type Constant Field Value public static final int
CURE_PERIOD_IMA_1992
3
public static final int
CURE_PERIOD_IMA_2002
1
public static final int
ED_COMMUNICATION_DELAY_AGGRESSIVE
1
public static final int
ED_COMMUNICATION_DELAY_CONSERVATIVE
2
public static final int
ETD_CALL_OUT_DELAY_AGGRESSIVE
1
public static final int
ETD_CALL_OUT_DELAY_CONSERVATIVE
12
public static final int
ETD_DESIGNATION_DELAY_AGGRESSIVE
1
public static final int
ETD_DESIGNATION_DELAY_CONSERVATIVE
3
public static final int
MARGIN_FREQUENCY_DAILY
1
public static final int
PED_CALL_OUT_DELAY_AGGRESSIVE
1
public static final int
PED_CALL_OUT_DELAY_CONSERVATIVE
3
public static final int
PED_COMMUNICATION_DELAY_AGGRESSIVE
1
public static final int
PED_COMMUNICATION_DELAY_CONSERVATIVE
2
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org.drip.exposure.mpor.MarginPeriodOfRisk Modifier and Type Constant Field Value public static final int
MPOR_INTERPOLATION_BROWNIAN_BRIDGE
4
public static final int
MPOR_INTERPOLATION_LINEAR
1
public static final int
MPOR_INTERPOLATION_SQRT_T
2
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org.drip.exposure.regression.LocalVolatilityGenerationControl Modifier and Type Constant Field Value public static final double
LOCAL_VOLATILITY_SMOOTHING_FLOOR_BIAS
0.9
public static final double
PYKHTIN_2009_EMPIRICAL_CEILING_FACTOR
0.05
public static final int
PYKHTIN_2009_EMPIRICAL_FLOOR
20
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org.drip.feed.transformer.FundingFixFloatMarksReconstitutor Modifier and Type Constant Field Value public static final double
s_dblScaler
0.01
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org.drip.feed.transformer.GovvieTreasuryMarksReconstitutor Modifier and Type Constant Field Value public static final double
s_dblScaler
0.01
public static final java.lang.String
s_strCalibrationMeasure
"Yield"
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org.drip.feed.transformer.OvernightIndexMarksReconstitutor Modifier and Type Constant Field Value public static final double
s_dblScaler
0.01
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org.drip.function.definition.RxToR1Property Modifier and Type Constant Field Value public static final java.lang.String
EQ
"EQ"
public static final java.lang.String
GT
"GT"
public static final java.lang.String
GTE
"GTE"
public static final java.lang.String
LT
"LT"
public static final java.lang.String
LTE
"LTE"
public static final double
MISMATCH_TOLERANCE
0.01
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org.drip.function.r1tor1.HyperbolicTension Modifier and Type Constant Field Value public static final int
COSH
2
public static final int
SINH
1
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org.drip.function.r1tor1solver.InitializationHeuristics Modifier and Type Constant Field Value public static final int
BRACKETING_CUSTOM_BCP
16
public static final int
BRACKETING_EDGE_HINTS
1
public static final int
BRACKETING_FLOOR_CEILING
4
public static final int
BRACKETING_GENERIC_BCP
0
public static final int
BRACKETING_MID_HINT
2
public static final int
SEARCH_HARD_BRACKETS
8
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org.drip.function.rdtor1descent.ArmijoEvolutionVerifier Modifier and Type Constant Field Value public static final double
NOCEDAL_WRIGHT_ARMIJO_PARAMETER
1.0E-4
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org.drip.function.rdtor1descent.CurvatureEvolutionVerifier Modifier and Type Constant Field Value public static final double
NOCEDAL_WRIGHT_CURVATURE_PARAMETER
0.9
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org.drip.function.rdtor1solver.ConvergenceControl Modifier and Type Constant Field Value public static final int
OBJECTIVE_FUNCTION_SEQUENCE_CONVERGENCE
1
public static final int
VARIATE_CONSTRAINT_SEQUENCE_CONVERGENCE
2
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org.drip.graph.asymptote.BigOAsymptoteForm Modifier and Type Constant Field Value public static final java.lang.String
CONSTANT
"O (1) "
public static final java.lang.String
EXP_SQRT_LOG_LOG_N
"O (exp^sqrt(log log n))"
public static final java.lang.String
LOG_LOG_N
"O (log log n)"
public static final java.lang.String
LOG_N
"O (log n) "
public static final java.lang.String
N
"O (n) "
public static final java.lang.String
N_LOG_N
"O (n log n) "
public static final java.lang.String
N_SQUARED
"O (n * n) "
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org.drip.graph.asymptote.BigOAsymptoteType Modifier and Type Constant Field Value public static final java.lang.String
BIG_O
"Big O Bound"
public static final java.lang.String
BIG_OMEGA
"Big Omega Bound"
public static final java.lang.String
BIG_THETA
"Big Theta Bound"
public static final java.lang.String
SMALL_O
"Small O Bound"
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org.drip.graph.core.DirectedType Modifier and Type Constant Field Value public static final int
COMPLETE
4
public static final int
COMPLETE_BIPARTITE
8
public static final int
CYCLICAL
2
public static final int
N_DIMENSIONAL_HYPERCUBE
16
public static final int
TREE
1
public static final int
UNSPECIFIED
0
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org.drip.graph.selection.FloydRivestPartitionControl Modifier and Type Constant Field Value public static final double
ALGORITHM_489_SHRINKAGE
0.5
public static final int
ALGORITHM_489_WIDTH_LIMIT
600
-
org.drip.graph.softheap.KaplanZwickTargetSize Modifier and Type Constant Field Value public static final double
STANDARD_RANK_SCALER
1.5
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org.drip.graph.subarray.ThreeSumVariantBuilder Modifier and Type Constant Field Value public static final int
COMPARATOR
1
public static final int
HASH_TABLE
2
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org.drip.investing.engine.AssetType Modifier and Type Constant Field Value public static final int
COMMODITY
6
public static final int
CORPORATE_BOND
4
public static final int
GOVERNMENT_BOND
5
public static final int
STOCK
0
public static final int
STOCK_FUND
2
public static final int
STOCK_FUND_OF_FUNDS
3
public static final int
STOCK_INDEX
1
-
org.drip.investing.engine.FactorBetaType Modifier and Type Constant Field Value public static final int
ON_GROSS_RETURNS
1
public static final int
ON_MARKET_PREMIA
3
public static final int
ON_RISK_PREMIA
2
-
org.drip.investing.factors.PortfolioFinancingScheme Modifier and Type Constant Field Value public static final int
SELF_FUNDING
2
public static final int
ZERO_COST
2
public static final int
ZERO_INVESTMENT
1
-
org.drip.investing.factors.RiskPremiumCategory Modifier and Type Constant Field Value public static final int
COMMODITY
16
public static final int
CREDIT_SPREAD
2
public static final int
EQUITY
4
public static final int
FX
8
public static final int
INTEREST_RATE
1
-
org.drip.investing.factorspec.CapitalizationCategory Modifier and Type Constant Field Value public static final int
BIG
1
public static final int
SMALL
0
public static final int
UNDEFINED
-1
-
org.drip.investing.factorspec.CarryCategory Modifier and Type Constant Field Value public static final int
GAIN
0
public static final int
LOSE
1
public static final int
UNDEFINED
-1
-
org.drip.investing.factorspec.GrowthCategory Modifier and Type Constant Field Value public static final int
HIGH
0
public static final int
LOW
1
public static final int
UNDEFINED
-1
-
org.drip.investing.factorspec.InvestmentCategory Modifier and Type Constant Field Value public static final int
AGGRESSIVE
0
public static final int
CONSERVATIVE
1
public static final int
UNDEFINED
-1
-
org.drip.investing.factorspec.LeverageCategory Modifier and Type Constant Field Value public static final int
HIGH
0
public static final int
LOW
1
public static final int
UNDEFINED
-1
-
org.drip.investing.factorspec.MarketCategory Modifier and Type Constant Field Value public static final int
ABSENT
1
public static final int
PRESENT
0
-
org.drip.investing.factorspec.MomentumCategory Modifier and Type Constant Field Value public static final int
LOSER
1
public static final int
UNDEFINED
-1
public static final int
WINNER
0
-
org.drip.investing.factorspec.ProfitabilityCategory Modifier and Type Constant Field Value public static final int
ROBUST
0
public static final int
UNDEFINED
-1
public static final int
WEAK
1
-
org.drip.investing.factorspec.TermCategory Modifier and Type Constant Field Value public static final int
LONG
0
public static final int
SHORT
1
public static final int
UNDEFINED
-1
-
org.drip.investing.factorspec.ValueCategory Modifier and Type Constant Field Value public static final int
HIGH
1
public static final int
LOW
0
public static final int
UNDEFINED
-1
-
org.drip.investing.factorspec.VolatilityCategory Modifier and Type Constant Field Value public static final int
HIGH
1
public static final int
LOW
0
public static final int
UNDEFINED
-1
-
org.drip.investing.riskindex.ValueFactorMetrics Modifier and Type Constant Field Value public static final int
DIVIDEND_YIELD
4
public static final int
PB_RATIO
2
public static final int
PE_RATIO
1
public static final int
PRICE_TO_BOOK_RATIO
2
public static final int
PRICE_TO_EARNINGS_RATIO
1
public static final int
PRICE_TO_SALES_RATIO
3
public static final int
PS_RATIO
3
-
org.drip.learning.bound.CoveringNumberBoundBuilder Modifier and Type Constant Field Value public static final double
EPSILON_EXPONENT_AGNOSTIC_CONVEX_LEARNING
1.0
public static final double
EPSILON_EXPONENT_AGNOSTIC_LEARNING
2.0
public static final double
EPSILON_EXPONENT_REGRESSION_LEARNING
1.0
-
org.drip.learning.bound.DiagonalOperatorCoveringBound Modifier and Type Constant Field Value public static final int
BASE_DIAGONAL_ENTROPY_ASYMPTOTE_EXPONENT
1
public static final int
LOG_DIAGONAL_ENTROPY_ASYMPTOTE_EXPONENT
2
-
org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator Modifier and Type Constant Field Value public static final int
SUPREMUM_PENALTY_EMPIRICAL_LOSS
1
public static final int
SUPREMUM_PENALTY_EMPIRICAL_RISK
8
public static final int
SUPREMUM_PENALTY_REGULARIZED_LOSS
4
public static final int
SUPREMUM_PENALTY_REGULARIZED_RISK
32
public static final int
SUPREMUM_PENALTY_STRUCTURAL_LOSS
2
public static final int
SUPREMUM_PENALTY_STRUCTURAL_RISK
16
-
org.drip.market.exchange.TreasuryFuturesSettle Modifier and Type Constant Field Value public static final int
QUOTE_REFERENCE_INDEX_AUD_BOND_FUTURES_STYLE
3
public static final int
QUOTE_REFERENCE_INDEX_CONVERSION_FACTOR
2
public static final int
QUOTE_REFERENCE_INDEX_FLAT
1
public static final int
SETTLE_TYPE_CASH
1
public static final int
SETTLE_TYPE_PHYSICAL_DELIVERY
2
-
org.drip.market.otc.SwapOptionSettlement Modifier and Type Constant Field Value public static final int
SETTLEMENT_QUOTE_EXACT_CURVE
2
public static final int
SETTLEMENT_QUOTE_IRR
1
public static final int
SETTLEMENT_TYPE_CASH_SETTLED
1
public static final int
SETTLEMENT_TYPE_PHYSICAL_DELIVERY
2
-
org.drip.measure.gamma.R1ShapeScaleDiscrete Modifier and Type Constant Field Value public static final int
DISCRETE_RANDOM_FROM_AHRENS_DIETER
2
public static final int
DISCRETE_RANDOM_FROM_INVERSE_CDF
1
public static final int
DISCRETE_RANDOM_FROM_MARSAGLIA
3
-
org.drip.numerical.common.R1ClosenessVerifier Modifier and Type Constant Field Value public static final double
ABSOLUTE_TOLERANCE_DEFAULT
1.0E-8
public static final double
RELATIVE_TOLERANCE_DEFAULT
1.0E-5
-
org.drip.numerical.eigenization.QREigenComponentExtractor Modifier and Type Constant Field Value public static final int
DEFAULT_EIGENIZATION_ITERATION_COUNT
100
-
org.drip.numerical.estimation.R1ToR1IntegrandEstimator Modifier and Type Constant Field Value public static final int
INTEGRAND_LIMITS_SETTING_ZERO_INFINITY
1
public static final int
INTEGRAND_LIMITS_SETTING_ZERO_ONE
0
-
org.drip.numerical.fourier.PhaseAdjuster Modifier and Type Constant Field Value public static final int
MULTI_VALUE_BRANCH_PHASE_TRACKER_NONE
0
public static final int
MULTI_VALUE_BRANCH_PHASE_TRACKER_ROTATION_COUNT
1
public static final int
MULTI_VALUE_BRANCH_POWER_PHASE_TRACKER_KAHL_JACKEL
2
-
org.drip.numerical.fourier.RotationCountPhaseTracker Modifier and Type Constant Field Value public static final int
APPLY_BACKWARD
1
public static final int
APPLY_FORWARD
2
public static final int
APPLY_NONE
0
-
org.drip.numerical.iterativesolver.SuccessiveOverRelaxationIteratorSetting Modifier and Type Constant Field Value public static final double
ABSOLUTE_LEVEL_THRESOLD_DEFAULT
1.0E-6
public static final double
ABSOLUTE_TOLERANCE_DEFAULT
1.0E-8
public static final double
RELATIVE_TOLERANCE_DEFAULT
1.0E-5
public static final double
RELAXATION_PARAMETER_DEFAULT
0.5
public static final double
RELAXATION_PARAMETER_GAUSS_SEIDEL
1.0
public static final int
SOR_ITERATION_LIMIT_DEFAULT
100
-
org.drip.numerical.linearalgebra.GershgorinDisc Modifier and Type Constant Field Value public static final double
ABSOLUTE_TOLERANCE_DEFAULT
1.0E-8
public static final double
RELATIVE_TOLERANCE_DEFAULT
1.0E-5
-
org.drip.numerical.linearsolver.ShermanMorrisonScheme Modifier and Type Constant Field Value public static final double
BATISTA_KARAWIA_DEFAULT_GAMMA
1.0
-
org.drip.oms.transaction.OrderFillWholeSettings Modifier and Type Constant Field Value public static final int
ALL_OR_NONE
2
public static final int
FILL_OR_KILL
1
-
org.drip.oms.transaction.OrderIssuer Modifier and Type Constant Field Value public static final int
CLIENT
1
public static final int
DEALER
2
-
org.drip.oms.transaction.OrderState Modifier and Type Constant Field Value public static final int
CANCELED
16
public static final int
FILLED
8
public static final int
OPEN
1
public static final int
PARTIALLY_FILLED
4
public static final int
UNFILLED
2
-
org.drip.oms.transaction.TimeInForce Modifier and Type Constant Field Value public static final int
TIF_DAY
1
public static final int
TIF_EXTENDED
2
public static final int
TIF_IMMEDIATE
3
public static final int
TIF_ON_MARKET_CLOSE
5
public static final int
TIF_ON_MARKET_OPEN
4
-
org.drip.optimization.lp.LinearRelation Modifier and Type Constant Field Value public static final int
EQ
2
public static final int
GTE
4
public static final int
LTE
1
-
org.drip.optimization.lp.SyntheticVariableType Modifier and Type Constant Field Value public static final int
ARTIFICIAL
2
public static final int
SLACK
1
-
org.drip.param.definition.CreditManifestMeasureTweak Modifier and Type Constant Field Value public static final java.lang.String
CREDIT_TWEAK_NODE_MEASURE_HAZARD
"Hazard"
public static final java.lang.String
CREDIT_TWEAK_NODE_MEASURE_QUOTE
"Quote"
public static final java.lang.String
CREDIT_TWEAK_NODE_PARAM_QUOTE
"Quote"
public static final java.lang.String
CREDIT_TWEAK_NODE_PARAM_RECOVERY
"Recovery"
-
org.drip.param.definition.ManifestMeasureTweak Modifier and Type Constant Field Value public static final int
FLAT
-1
-
org.drip.param.market.CreditCurveScenarioContainer Modifier and Type Constant Field Value public static final int
CC_BASE
0
public static final int
CC_FLAT_DN
2
public static final int
CC_FLAT_UP
1
public static final int
CC_RR_FLAT_DN
32
public static final int
CC_RR_FLAT_UP
16
public static final int
CC_TENOR_DN
8
public static final int
CC_TENOR_UP
4
-
org.drip.param.market.DiscountCurveScenarioContainer Modifier and Type Constant Field Value public static final int
DC_BASE
0
public static final int
DC_FLAT_DN
2
public static final int
DC_FLAT_UP
1
public static final int
DC_TENOR_DN
8
public static final int
DC_TENOR_UP
4
-
org.drip.param.period.FixingSetting Modifier and Type Constant Field Value public static final int
FIXING_COMPOSITE_PERIOD_END
2
public static final int
FIXING_COMPOSITE_PERIOD_START
1
public static final int
FIXING_PRESET_STATIC
4
-
org.drip.param.pricer.CreditPricerParams Modifier and Type Constant Field Value public static final int
PERIOD_DAY_STEPS_MINIMUM
7
public static final int
PERIOD_DISCRETIZATION_DAY_STEP
1
public static final int
PERIOD_DISCRETIZATION_FULL_COUPON
3
public static final int
PERIOD_DISCRETIZATION_PERIOD_STEP
2
-
org.drip.param.quoting.QuotedSpreadInterpreter Modifier and Type Constant Field Value public static final java.lang.String
CONV_CDS
"CONV"
public static final java.lang.String
SNAC_CDS
"SNAC"
public static final java.lang.String
STEM_CDS
"CONV"
-
org.drip.param.valuation.WorkoutInfo Modifier and Type Constant Field Value public static final int
WO_TYPE_CALL
1
public static final int
WO_TYPE_MATURITY
3
public static final int
WO_TYPE_PUT
2
-
org.drip.portfolioconstruction.allocator.EqualityConstraintSettings Modifier and Type Constant Field Value public static final int
FULLY_INVESTED_CONSTRAINT
2
public static final int
NO_CONSTRAINT
1
public static final int
RETURNS_CONSTRAINT
4
-
org.drip.portfolioconstruction.alm.InvestorCliffSettings Modifier and Type Constant Field Value public static final int
DATE_PHASE_AFTER_MORTALITY
2
public static final int
DATE_PHASE_AFTER_RETIREMENT
1
public static final int
DATE_PHASE_BEFORE_RETIREMENT
0
-
org.drip.portfolioconstruction.core.BlockCategory Modifier and Type Constant Field Value public static final int
ACCOUNT
4
public static final int
ASSET
1
public static final int
ATTRIBUTE_JOINT_DENSE
2048
public static final int
ATTRIBUTE_JOINT_FACTOR
8192
public static final int
BENCHMARK
32
public static final int
BLOCK_ATTRIBUTE
128
public static final int
BLOCK_CLASSIFICATION
1024
public static final int
FACTOR
2
public static final int
FORMULATION_TERM
256
public static final int
HOLDINGS
8
public static final int
REBALANCER
64
public static final int
STRATEGY
16
public static final int
TAX_ACCOUNTING_SCHEME
4096
public static final int
TRANSACTION_CHARGE
512
-
org.drip.pricer.option.HestonStochasticVolatilityAlgorithm Modifier and Type Constant Field Value public static final int
PAYOFF_TRANSFORM_SCHEME_AMST_2007
1
public static final int
PAYOFF_TRANSFORM_SCHEME_HESTON_1993
1
-
org.drip.product.creator.BondBuilder Modifier and Type Constant Field Value public static final int
BOND_TYPE_SIMPLE_FIXED
0
public static final int
BOND_TYPE_SIMPLE_FLOATER
1
public static final int
BOND_TYPE_SIMPLE_FROM_CF
2
-
org.drip.product.credit.CDSComponent.SpreadCalibrator Modifier and Type Constant Field Value public static final int
CALIBRATION_TYPE_FLAT_CURVE_NODES
2
public static final int
CALIBRATION_TYPE_FLAT_INSTRUMENT_NODE
1
public static final int
CALIBRATION_TYPE_NODE_PARALLEL_BUMP
4
-
org.drip.product.govvie.TreasuryFutures Modifier and Type Constant Field Value public static final int
FORWARD_PRICE_CREDIT_BASIS
3
public static final int
FORWARD_PRICE_OAS
0
public static final int
FORWARD_PRICE_YIELD
1
public static final int
FORWARD_PRICE_ZSPREAD
2
-
org.drip.product.params.EmbeddedOptionSchedule Modifier and Type Constant Field Value public static final int
CALL_NOTICE_PERIOD_DEFAULT
30
-
org.drip.product.params.LastTradingDateSetting Modifier and Type Constant Field Value public static final int
MID_CURVE_OPTION
2
public static final int
MID_CURVE_OPTION_QUARTERLY
0
public static final int
MID_CURVE_OPTION_SERIAL
1
-
org.drip.product.params.NotionalSetting Modifier and Type Constant Field Value public static final int
PERIOD_AMORT_AT_END
2
public static final int
PERIOD_AMORT_AT_START
1
public static final int
PERIOD_AMORT_EFFECTIVE
3
-
org.drip.regression.core.RegressionEngine Modifier and Type Constant Field Value public static final int
REGRESSION_DETAIL_MODULE_AGGREGATED
4
public static final int
REGRESSION_DETAIL_MODULE_UNIT_AGGREGATED
2
public static final int
REGRESSION_DETAIL_MODULE_UNIT_DECOMPOSED
1
public static final int
REGRESSION_DETAIL_STATS
8
-
org.drip.sequence.metrics.PivotedDepartureBounds Modifier and Type Constant Field Value public static final int
PIVOT_ANCHOR_TYPE_CUSTOM
4
public static final int
PIVOT_ANCHOR_TYPE_MEAN
2
public static final int
PIVOT_ANCHOR_TYPE_ZERO
1
-
org.drip.service.common.StringUtil Modifier and Type Constant Field Value public static final java.lang.String
NULL_SER_STRING
"<<null>>"
public static final double
VERSION
2.4
-
org.drip.service.engine.ComputeServer Modifier and Type Constant Field Value public static final int
DRIP_COMPUTE_ENGINE_PORT
9090
-
org.drip.service.jsonparser.LexicalProcessor Modifier and Type Constant Field Value public static final int
S_END
6
public static final int
S_IN_ARRAY
3
public static final int
S_IN_ERROR
-1
public static final int
S_IN_FINISHED_VALUE
1
public static final int
S_IN_OBJECT
2
public static final int
S_IN_PAIR_VALUE
5
public static final int
S_INIT
0
public static final int
S_PASSED_PAIR_KEY
4
-
org.drip.service.jsonparser.ParseException Modifier and Type Constant Field Value public static final int
ERROR_UNEXPECTED_CHAR
0
public static final int
ERROR_UNEXPECTED_EXCEPTION
2
public static final int
ERROR_UNEXPECTED_TOKEN
1
-
org.drip.service.jsonparser.Yylex Modifier and Type Constant Field Value public static final int
STRING_BEGIN
2
public static final int
YYEOF
-1
public static final int
YYINITIAL
0
-
org.drip.service.jsonparser.Yytoken Modifier and Type Constant Field Value public static final int
TYPE_COLON
6
public static final int
TYPE_COMMA
5
public static final int
TYPE_EOF
-1
public static final int
TYPE_LEFT_BRACE
1
public static final int
TYPE_LEFT_SQUARE
3
public static final int
TYPE_RIGHT_BRACE
2
public static final int
TYPE_RIGHT_SQUARE
4
public static final int
TYPE_VALUE
0
-
org.drip.service.scenario.BondReplicator Modifier and Type Constant Field Value public static final double
CORPORATE_LOAN_RECOVERY_RATE
0.7
public static final double
CORPORATE_SENIOR_RECOVERY_RATE
0.4
public static final double
CORPORATE_SUBORDINATE_RECOVERY_RATE
0.2
-
org.drip.service.template.LatentMarketStateBuilder Modifier and Type Constant Field Value public static final int
SHAPE_PRESERVING
0
public static final int
SMOOTH
1
-
org.drip.simm.commodity.CTSystemics20 Modifier and Type Constant Field Value public static final double
HISTORICAL_VOLATILITY_RATIO
0.8
public static final double
VEGA_RISK_WEIGHT
0.38
-
org.drip.simm.commodity.CTSystemics21 Modifier and Type Constant Field Value public static final double
HISTORICAL_VOLATILITY_RATIO
0.74
public static final double
VEGA_RISK_WEIGHT
0.27
-
org.drip.simm.commodity.CTSystemics24 Modifier and Type Constant Field Value public static final double
HISTORICAL_VOLATILITY_RATIO
0.64
public static final double
VEGA_RISK_WEIGHT
0.61
-
org.drip.simm.common.Chargram Modifier and Type Constant Field Value public static final java.lang.String
CRNQ
"CRNQ"
public static final java.lang.String
CRQ
"CRQ"
public static final java.lang.String
CT
"CT"
public static final java.lang.String
EQ
"EQ"
public static final java.lang.String
FX
"FX"
public static final java.lang.String
IR
"IR"
-
org.drip.simm.common.CrossRiskClassCorrelation20 Modifier and Type Constant Field Value public static final double
CRNQ_CT
0.25
public static final double
CRNQ_EQ
0.23
public static final double
CRNQ_FX
0.18
public static final double
CRQ_CRNQ
0.3
public static final double
CRQ_CT
0.46
public static final double
CRQ_EQ
0.66
public static final double
CRQ_FX
0.27
public static final double
CT_FX
0.32
public static final double
EQ_CT
0.39
public static final double
EQ_FX
0.24
public static final double
IR_CRNQ
0.18
public static final double
IR_CRQ
0.28
public static final double
IR_CT
0.3
public static final double
IR_EQ
0.18
public static final double
IR_FX
0.22
-
org.drip.simm.common.CrossRiskClassCorrelation21 Modifier and Type Constant Field Value public static final double
CRNQ_CT
0.22
public static final double
CRNQ_EQ
0.17
public static final double
CRNQ_FX
0.11
public static final double
CRQ_CRNQ
0.26
public static final double
CRQ_CT
0.45
public static final double
CRQ_EQ
0.65
public static final double
CRQ_FX
0.24
public static final double
CT_FX
0.32
public static final double
EQ_CT
0.39
public static final double
EQ_FX
0.23
public static final double
IR_CRNQ
0.15
public static final double
IR_CRQ
0.25
public static final double
IR_CT
0.3
public static final double
IR_EQ
0.19
public static final double
IR_FX
0.26
-
org.drip.simm.common.CrossRiskClassCorrelation24 Modifier and Type Constant Field Value public static final double
CRNQ_CT
0.4
public static final double
CRNQ_EQ
0.48
public static final double
CRNQ_FX
0.14
public static final double
CRQ_CRNQ
0.45
public static final double
CRQ_CT
0.52
public static final double
CRQ_EQ
0.69
public static final double
CRQ_FX
0.42
public static final double
CT_FX
0.38
public static final double
EQ_CT
0.52
public static final double
EQ_FX
0.34
public static final double
IR_CRNQ
0.19
public static final double
IR_CRQ
0.32
public static final double
IR_CT
0.41
public static final double
IR_EQ
0.33
public static final double
IR_FX
0.28
-
org.drip.simm.common.ProductClassMultiplicativeScale Modifier and Type Constant Field Value public static final double
MS_COMMODITY_DEFAULT
1.0
public static final double
MS_CREDIT_NON_QUALIFYING_DEFAULT
1.0
public static final double
MS_CREDIT_QUALIFYING_DEFAULT
1.0
public static final double
MS_EQUITY_DEFAULT
1.0
public static final double
MS_RATESFX_DEFAULT
1.0
-
org.drip.simm.credit.CRNQBucketCorrelation20 Modifier and Type Constant Field Value public static final double
GT_80PC_OVERLAP_NON_RESIDUAL
0.57
public static final double
GT_80PC_OVERLAP_RESIDUAL
0.5
public static final double
LT_80PC_OVERLAP_NON_RESIDUAL
0.27
public static final double
LT_80PC_OVERLAP_RESIDUAL
0.5
public static final double
NON_RESIDUAL_TO_NON_RESIDUAL
0.21
-
org.drip.simm.credit.CRNQBucketCorrelation21 Modifier and Type Constant Field Value public static final double
GT_80PC_OVERLAP_NON_RESIDUAL
0.57
public static final double
GT_80PC_OVERLAP_RESIDUAL
0.5
public static final double
LT_80PC_OVERLAP_NON_RESIDUAL
0.2
public static final double
LT_80PC_OVERLAP_RESIDUAL
0.5
public static final double
NON_RESIDUAL_TO_NON_RESIDUAL
0.16
-
org.drip.simm.credit.CRNQBucketCorrelation24 Modifier and Type Constant Field Value public static final double
GT_80PC_OVERLAP_NON_RESIDUAL
0.86
public static final double
GT_80PC_OVERLAP_RESIDUAL
0.5
public static final double
LT_80PC_OVERLAP_NON_RESIDUAL
0.33
public static final double
LT_80PC_OVERLAP_RESIDUAL
0.5
public static final double
NON_RESIDUAL_TO_NON_RESIDUAL
0.36
-
org.drip.simm.credit.CRNQSystemics20 Modifier and Type Constant Field Value public static final double
VEGA_RISK_WEIGHT
0.27
-
org.drip.simm.credit.CRNQSystemics21 Modifier and Type Constant Field Value public static final double
VEGA_RISK_WEIGHT
0.27
-
org.drip.simm.credit.CRNQSystemics24 Modifier and Type Constant Field Value public static final double
VEGA_RISK_WEIGHT
0.73
-
org.drip.simm.credit.CRQBucketCorrelation20 Modifier and Type Constant Field Value public static final double
DIFFERENT_ISSUER_SENIORITY_NON_RESIDUAL
0.45
public static final double
DIFFERENT_ISSUER_SENIORITY_RESIDUAL
0.5
public static final double
SAME_ISSUER_SENIORITY_NON_RESIDUAL
0.97
public static final double
SAME_ISSUER_SENIORITY_RESIDUAL
0.5
-
org.drip.simm.credit.CRQBucketCorrelation21 Modifier and Type Constant Field Value public static final double
DIFFERENT_ISSUER_SENIORITY_NON_RESIDUAL
0.39
public static final double
DIFFERENT_ISSUER_SENIORITY_RESIDUAL
0.5
public static final double
SAME_ISSUER_SENIORITY_NON_RESIDUAL
0.96
public static final double
SAME_ISSUER_SENIORITY_RESIDUAL
0.5
-
org.drip.simm.credit.CRQBucketCorrelation24 Modifier and Type Constant Field Value public static final double
DIFFERENT_ISSUER_SENIORITY_NON_RESIDUAL
0.41
public static final double
DIFFERENT_ISSUER_SENIORITY_RESIDUAL
0.5
public static final double
SAME_ISSUER_SENIORITY_NON_RESIDUAL
0.92
public static final double
SAME_ISSUER_SENIORITY_RESIDUAL
0.5
-
org.drip.simm.credit.CRQSystemics20 Modifier and Type Constant Field Value public static final double
BASE_CORRELATION_CORRELATION
0.1
public static final double
BASE_CORRELATION_RISK_WEIGHT
20.0
public static final double
RESIDUAL_BUCKET_RISK_WEIGHT
238.0
public static final double
VEGA_RISK_WEIGHT
0.27
-
org.drip.simm.credit.CRQSystemics21 Modifier and Type Constant Field Value public static final double
BASE_CORRELATION_CORRELATION
0.05
public static final double
BASE_CORRELATION_RISK_WEIGHT
19.0
public static final double
RESIDUAL_BUCKET_RISK_WEIGHT
187.0
public static final double
VEGA_RISK_WEIGHT
0.27
-
org.drip.simm.credit.CRQSystemics24 Modifier and Type Constant Field Value public static final double
BASE_CORRELATION_CORRELATION
0.25
public static final double
BASE_CORRELATION_RISK_WEIGHT
11.0
public static final double
RESIDUAL_BUCKET_RISK_WEIGHT
452.0
public static final double
VEGA_RISK_WEIGHT
0.73
-
org.drip.simm.credit.CRSystemics Modifier and Type Constant Field Value public static final java.lang.String
CREDIT_QUALITY_HIGH_YIELD
"HY"
public static final java.lang.String
CREDIT_QUALITY_HY
"HY"
public static final java.lang.String
CREDIT_QUALITY_IG
"IG"
public static final java.lang.String
CREDIT_QUALITY_INVESTMENT_GRADE
"IG"
public static final java.lang.String
CREDIT_QUALITY_NOT_RATED
"NR"
public static final java.lang.String
CREDIT_QUALITY_NR
"NR"
public static final java.lang.String
CREDIT_QUALITY_UNSPECIFIED
"UNSPECIFIED"
-
org.drip.simm.equity.EQSystemics20 Modifier and Type Constant Field Value public static final double
HISTORICAL_VOLATILITY_RATIO
0.65
public static final double
RESIDUAL_BUCKET_CORRELATION
0.0
-
org.drip.simm.equity.EQSystemics21 Modifier and Type Constant Field Value public static final double
HISTORICAL_VOLATILITY_RATIO
0.59
public static final double
RESIDUAL_BUCKET_CORRELATION
0.0
-
org.drip.simm.equity.EQSystemics24 Modifier and Type Constant Field Value public static final double
HISTORICAL_VOLATILITY_RATIO
0.54
public static final double
RESIDUAL_BUCKET_CORRELATION
0.0
-
org.drip.simm.equity.MarketCapitalizationSystemics Modifier and Type Constant Field Value public static final java.lang.String
ALL
"ALL"
public static final java.lang.String
LARGE
"LARGE"
public static final double
LARGE_MARKET_CAPITALIZATION_CUTOFF
2.0E9
public static final java.lang.String
SMALL
"SMALL"
-
org.drip.simm.equity.RegionSystemics Modifier and Type Constant Field Value public static final java.lang.String
ALL
"ALL"
public static final java.lang.String
DEVELOPED_MARKETS
"DEVELOPED_MARKETS"
public static final java.lang.String
EMERGING_MARKETS
"EMERGING_MARKETS"
-
org.drip.simm.foundation.CurvatureResponseCornishFischer Modifier and Type Constant Field Value public static final double
CURVATURE_VAR_CUT_OFF
0.995
-
org.drip.simm.foundation.MarginEstimationSettings Modifier and Type Constant Field Value public static final java.lang.String
POSITION_PRINCIPAL_COMPONENT_COVARIANCE_ESTIMATOR_FRTB
"FRTB"
public static final java.lang.String
POSITION_PRINCIPAL_COMPONENT_COVARIANCE_ESTIMATOR_ISDA
"ISDA"
-
org.drip.simm.fx.FXSystemics20 Modifier and Type Constant Field Value public static final double
CORRELATION
0.5
public static final double
DELTA_RISK_WEIGHT
8.2
public static final double
HISTORICAL_VOLATILITY_RATIO
0.6
public static final double
VEGA_RISK_WEIGHT
0.33
-
org.drip.simm.fx.FXSystemics21 Modifier and Type Constant Field Value public static final double
CORRELATION
0.5
public static final double
DELTA_RISK_WEIGHT
8.1
public static final double
HISTORICAL_VOLATILITY_RATIO
0.63
public static final double
VEGA_RISK_WEIGHT
0.3
-
org.drip.simm.fx.FXSystemics24 Modifier and Type Constant Field Value public static final double
HIGH_HIGH_DELTA_RISK_WEIGHT
10.2
public static final double
HIGH_HIGH_HIGH_CORRELATION
0.5
public static final double
HIGH_HIGH_REGULAR_CORRELATION
0.39
public static final double
HIGH_REGULAR_DELTA_RISK_WEIGHT
13.0
public static final double
HIGH_REGULAR_HIGH_CORRELATION
0.39
public static final double
HIGH_REGULAR_REGULAR_CORRELATION
0.85
public static final double
HISTORICAL_VOLATILITY_RATIO
0.55
public static final double
REGULAR_HIGH_DELTA_RISK_WEIGHT
13.0
public static final double
REGULAR_HIGH_HIGH_CORRELATION
0.69
public static final double
REGULAR_HIGH_REGULAR_CORRELATION
0.28
public static final double
REGULAR_REGULAR_DELTA_RISK_WEIGHT
7.3
public static final double
REGULAR_REGULAR_HIGH_CORRELATION
0.28
public static final double
REGULAR_REGULAR_REGULAR_CORRELATION
0.5
public static final double
VEGA_RISK_WEIGHT
0.47
public static final double
VOLATILITY_CURVATURE_CORRELATION
0.5
-
org.drip.simm.rates.IRSystemics Modifier and Type Constant Field Value public static final java.lang.String
SUB_CURVE_LIBOR_12M
"LIBOR_12M"
public static final java.lang.String
SUB_CURVE_LIBOR_1M
"LIBOR_1M"
public static final java.lang.String
SUB_CURVE_LIBOR_3M
"LIBOR_3M"
public static final java.lang.String
SUB_CURVE_LIBOR_6M
"LIBOR_6M"
public static final java.lang.String
SUB_CURVE_MUNICIPAL
"MUNICIPAL"
public static final java.lang.String
SUB_CURVE_OIS
"OIS"
public static final java.lang.String
SUB_CURVE_PRIME
"PRIME"
public static final java.lang.String
TRADE_FREQUENCY_LESS_WELL_TRADED
"LESS_WELL_TRADED"
public static final java.lang.String
TRADE_FREQUENCY_WELL_TRADED
"WELL_TRADED"
public static final java.lang.String
VOLATILITY_TYPE_HIGH
"HIGH"
public static final java.lang.String
VOLATILITY_TYPE_LOW
"LOW"
public static final java.lang.String
VOLATILITY_TYPE_NULL
"NULL"
public static final java.lang.String
VOLATILITY_TYPE_REGULAR
"REGULAR"
-
org.drip.simm.rates.IRSystemics20 Modifier and Type Constant Field Value public static final double
CROSS_CURRENCY_CORRELATION
0.23
public static final double
HISTORICAL_VOLATILITY_RATIO
1.0
public static final double
SINGLE_CURRENCY_BASIS_SWAP_SPREAD_INFLATION_CORRELATION
0.2
public static final double
SINGLE_CURRENCY_CROSS_CURVE_CORRELATION
0.98
public static final double
SINGLE_CURRENCY_CURVE_BASIS_SWAP_SPREAD_CORRELATION
0.2
public static final double
SINGLE_CURRENCY_CURVE_BASIS_SWAP_SPREAD_RISK_WEIGHT
20.0
public static final double
SINGLE_CURRENCY_CURVE_INFLATION_CORRELATION
0.29
public static final double
SINGLE_CURRENCY_CURVE_INFLATION_RISK_WEIGHT
46.0
public static final double
SINGLE_CURRENCY_CURVE_VOLATILITY_INFLATION_VOLATILITY_CORRELATION
0.29
public static final double
VEGA_RISK_WEIGHT
0.21
-
org.drip.simm.rates.IRSystemics21 Modifier and Type Constant Field Value public static final double
CROSS_CURRENCY_CORRELATION
0.21
public static final double
HISTORICAL_VOLATILITY_RATIO
0.62
public static final double
SINGLE_CURRENCY_BASIS_SWAP_SPREAD_INFLATION_CORRELATION
0.19
public static final double
SINGLE_CURRENCY_CROSS_CURVE_CORRELATION
0.98
public static final double
SINGLE_CURRENCY_CURVE_BASIS_SWAP_SPREAD_CORRELATION
0.19
public static final double
SINGLE_CURRENCY_CURVE_BASIS_SWAP_SPREAD_RISK_WEIGHT
21.0
public static final double
SINGLE_CURRENCY_CURVE_INFLATION_CORRELATION
0.33
public static final double
SINGLE_CURRENCY_CURVE_INFLATION_RISK_WEIGHT
48.0
public static final double
SINGLE_CURRENCY_CURVE_VOLATILITY_INFLATION_VOLATILITY_CORRELATION
0.33
public static final double
VEGA_RISK_WEIGHT
0.16
-
org.drip.simm.rates.IRSystemics24 Modifier and Type Constant Field Value public static final double
CROSS_CURRENCY_CORRELATION
0.22
public static final double
HISTORICAL_VOLATILITY_RATIO
0.44
public static final double
SINGLE_CURRENCY_BASIS_SWAP_SPREAD_INFLATION_CORRELATION
0.07
public static final double
SINGLE_CURRENCY_CROSS_CURVE_CORRELATION
0.986
public static final double
SINGLE_CURRENCY_CURVE_BASIS_SWAP_SPREAD_CORRELATION
0.07
public static final double
SINGLE_CURRENCY_CURVE_BASIS_SWAP_SPREAD_RISK_WEIGHT
21.0
public static final double
SINGLE_CURRENCY_CURVE_INFLATION_CORRELATION
0.41
public static final double
SINGLE_CURRENCY_CURVE_INFLATION_RISK_WEIGHT
64.0
public static final double
SINGLE_CURRENCY_CURVE_VOLATILITY_INFLATION_VOLATILITY_CORRELATION
0.41
public static final double
VEGA_RISK_WEIGHT
0.18
-
org.drip.spaces.cover.MaureyOperatorCoveringBounds Modifier and Type Constant Field Value public static final double
HILBERT_SUPREMUM_IDENTITY_CONSTANT
1.86
public static final double
WILLIAMSON_SMOLA_SCHOLKOPF_CONSTANT
103.0
-
org.drip.spaces.metric.GeneralizedMetricVectorSpace Modifier and Type Constant Field Value public static final int
EUCLIDEAN_NORM
2
public static final int
L2_NORM
2
public static final int
LINFINITITY_NORM
100
-
org.drip.spaces.tensor.BinaryBooleanVector Modifier and Type Constant Field Value public static final short
BBV_DOWN
-1
public static final short
BBV_UP
1
-
org.drip.spaces.tensor.Cardinality Modifier and Type Constant Field Value public static final int
CARD_COUNTABLY_FINITE
1
public static final int
CARD_COUNTABLY_INFINITE
2
public static final int
CARD_UNCOUNTABLY_INFINITE
3
-
org.drip.specialfunction.gamma.Definitions Modifier and Type Constant Field Value public static final double
EULER_MASCHERONI
0.5772156649015329
public static final double
MINIMUM_VALUE
0.885603
public static final double
MINIMUM_VARIATE_LOCATION
1.461632144968
-
org.drip.specialfunction.group.RiemannSphereSpanner Modifier and Type Constant Field Value public static final int
SCHWARZ_TRIANGLE_TILES_COMPLEX_PLANE
2
public static final int
SCHWARZ_TRIANGLE_TILES_NOTHING
0
public static final int
SCHWARZ_TRIANGLE_TILES_RIEMANN_SPHERE
1
public static final int
SCHWARZ_TRIANGLE_TILES_UPPER_HALF_PLANE
3
-
org.drip.spline.bspline.BasisHatPairGenerator Modifier and Type Constant Field Value public static final java.lang.String
PROCESSED_CUBIC_RATIONAL
"PROCESSED_CUBIC_RATIONAL"
public static final java.lang.String
PROCESSED_TENSION_HYPERBOLIC
"PROCESSED_TENSION_HYPERBOLIC"
public static final java.lang.String
RAW_TENSION_HYPERBOLIC
"RAW_TENSION_HYPERBOLIC"
-
org.drip.spline.bspline.BasisHatShapeControl Modifier and Type Constant Field Value public static final java.lang.String
SHAPE_CONTROL_RATIONAL_EXPONENTIAL
"SHAPE_CONTROL_RATIONAL_EXPONENTIAL"
public static final java.lang.String
SHAPE_CONTROL_RATIONAL_LINEAR
"SHAPE_CONTROL_RATIONAL_LINEAR"
public static final java.lang.String
SHAPE_CONTROL_RATIONAL_QUADRATIC
"SHAPE_CONTROL_RATIONAL_QUADRATIC"
-
org.drip.spline.params.SegmentResponseValueConstraint Modifier and Type Constant Field Value public static final int
LEFT_OF_CONSTRAINT
1
public static final int
RIGHT_OF_CONSTRAINT
2
public static final int
SPLITS_CONSTRAINT
4
-
org.drip.spline.pchip.LocalMonotoneCkGenerator Modifier and Type Constant Field Value public static final java.lang.String
C1_AKIMA
"C1_AKIMA"
public static final java.lang.String
C1_BESSEL
"C1_BESSEL"
public static final java.lang.String
C1_HARMONIC
"C1_HARMONIC"
public static final java.lang.String
C1_HUYNH_LE_FLOCH
"C1_HUYNH_LE_FLOCH"
public static final java.lang.String
C1_HYMAN83
"C1_HYMAN83"
public static final java.lang.String
C1_HYMAN89
"C1_HYMAN89"
public static final java.lang.String
C1_KRUGER
"C1_KRUGER"
public static final java.lang.String
C1_MONOTONE_CONVEX
"C1_MONOTONE_CONVEX"
public static final java.lang.String
C1_VAN_LEER
"C1_VAN_LEER"
public static final java.lang.String
C1_VANILLA
"C1_VANILLA"
-
org.drip.spline.segment.LatentStateResponseModel Modifier and Type Constant Field Value public static final int
LEFT_NODE_VALUE_PARAMETER_INDEX
0
public static final int
RIGHT_NODE_VALUE_PARAMETER_INDEX
1
-
org.drip.spline.segment.Monotonocity Modifier and Type Constant Field Value public static final int
INFLECTION
7
public static final int
MAXIMA
6
public static final int
MINIMA
5
public static final int
MONOTONIC
2
public static final int
NON_MONOTONIC
4
-
org.drip.spline.stretch.BoundarySettings Modifier and Type Constant Field Value public static final int
BOUNDARY_CONDITION_FINANCIAL
4
public static final int
BOUNDARY_CONDITION_FLOATING
1
public static final int
BOUNDARY_CONDITION_NATURAL
2
public static final int
BOUNDARY_CONDITION_NOT_A_KNOT
8
-
org.drip.spline.stretch.MultiSegmentSequence Modifier and Type Constant Field Value public static final int
CALIBRATE
1
public static final int
CALIBRATE_JACOBIAN
2
-
org.drip.spline.stretch.MultiSegmentSequenceBuilder Modifier and Type Constant Field Value public static final java.lang.String
BASIS_SPLINE_BERNSTEIN_POLYNOMIAL
"BernsteinPolynomial"
public static final java.lang.String
BASIS_SPLINE_EXPONENTIAL_MIXTURE
"ExponentialMixture"
public static final java.lang.String
BASIS_SPLINE_EXPONENTIAL_RATIONAL
"ExponentialRational"
public static final java.lang.String
BASIS_SPLINE_EXPONENTIAL_TENSION
"ExponentialTension"
public static final java.lang.String
BASIS_SPLINE_HYPERBOLIC_TENSION
"HyperbolicTension"
public static final java.lang.String
BASIS_SPLINE_KAKLIS_PANDELIS
"KaklisPandelis"
public static final java.lang.String
BASIS_SPLINE_KLK_EXPONENTIAL_TENSION
"KLKExponentialTension"
public static final java.lang.String
BASIS_SPLINE_KLK_HYPERBOLIC_TENSION
"KLKHyperbolicTension"
public static final java.lang.String
BASIS_SPLINE_KLK_RATIONAL_LINEAR_TENSION
"KLKRationalLinearTension"
public static final java.lang.String
BASIS_SPLINE_KLK_RATIONAL_QUADRATIC_TENSION
"KLKRationalQuadraticTension"
public static final java.lang.String
BASIS_SPLINE_POLYNOMIAL
"Polynomial"
-
org.drip.state.basis.BasisCurve Modifier and Type Constant Field Value public static final java.lang.String
LATENT_STATE_BASIS
"LATENT_STATE_BASIS"
public static final java.lang.String
QUANTIFICATION_METRIC_FORWARD_RATE
"QUANTIFICATION_METRIC_FORWARD_RATE"
-
org.drip.state.identifier.EntityCreditLabel Modifier and Type Constant Field Value public static final java.lang.String
SENIORITY_SENIOR
"SENIOR"
public static final java.lang.String
SENIORITY_SUBORDINATE
"SUBORDINATE"
-
org.drip.state.identifier.EntityEquityLabel Modifier and Type Constant Field Value public static final double
DEFAULT_TICK_SIZE
0.01
-
org.drip.state.repo.RepoCurve Modifier and Type Constant Field Value public static final java.lang.String
LATENT_STATE_REPO
"LATENT_STATE_REPO"
public static final java.lang.String
QUANTIFICATION_METRIC_REPO_RATE
"QUANTIFICATION_METRIC_REPO_RATE"
-
org.drip.validation.hypothesis.SignificanceTestSetting Modifier and Type Constant Field Value public static final double
ANFUSO_KARYAMPAS_NAWROTH_2017_P_TEST_THRESHOLD
0.01
public static final int
DOUBLE_TAIL_CHECK
2
public static final double
FISHER_1925_P_TEST_THRESHOLD
0.05
public static final int
LEFT_TAIL_CHECK
0
public static final int
RIGHT_TAIL_CHECK
1
-
org.drip.validation.quantile.PlottingPositionGeneratorHeuristic Modifier and Type Constant Field Value public static final double
RELIEF_BERNARD_BOS_LEVENBACH_1953
0.3
public static final double
RELIEF_BLOM_1958
0.375
public static final double
RELIEF_BMDP_2018
0.333333
public static final double
RELIEF_CUNNANE_1978
0.4
public static final double
RELIEF_FILLIBEN_1975
1.0
public static final double
RELIEF_GRINGORTEN_1963
0.44
public static final double
RELIEF_HAZEN_1913
0.5
public static final double
RELIEF_LARSEN_CURRANT_HUNT_1980
0.567
public static final double
RELIEF_NIST_2013
0.3175
public static final double
RELIEF_STANDARD
0.0
public static final double
RELIEF_YU_HUANG_2001
0.326
-
org.drip.xva.definition.PDEEvolutionControl Modifier and Type Constant Field Value public static final int
CLOSEOUT_BURGARD_KJAER
2
public static final int
CLOSEOUT_GREGORY_LI_TANG
1
-
org.drip.xva.settings.AdjustmentDigestScheme Modifier and Type Constant Field Value public static final int
ALBANESE_ANDERSEN_METRICS_POINTER
1
-
org.drip.xva.settings.BrokenDateScheme Modifier and Type Constant Field Value public static final int
LINEAR_TIME
2
public static final int
SQUARE_ROOT_OF_TIME
3
public static final int
THREE_POINT_BROWNIAN_BRIDGE
1
-
org.drip.xva.settings.CloseOutScheme Modifier and Type Constant Field Value public static final int
BILATERAL
1
public static final int
ISDA_92
0
-
org.drip.xva.settings.PositionReplicationScheme Modifier and Type Constant Field Value public static final int
ALBANESE_ANDERSEN_VERTEX
1
public static final int
BURGARD_KJAER_GOLD_PLATED_TWO_WAY_CSA_VERTEX
4
public static final int
BURGARD_KJAER_HEDGE_ERROR_DUAL_BOND_VERTEX
2
public static final int
BURGARD_KJAER_ONE_WAY_CSA_VERTEX
5
public static final int
BURGARD_KJAER_SEMI_REPLICATION_DUAL_BOND_VERTEX
3
public static final int
BURGARD_KJAER_SET_OFF_VERTEX
6
-
org.drip.xva.settings.StandardizedExposureGeneratorScheme Modifier and Type Constant Field Value public static final int
BASEL_STANDARD_TIME_INTEGRAND
365