Index

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O

oas() - Method in class org.drip.analytics.output.BondEOSMetrics

Retrieve the Bond Option Adjusted Spread

oas() - Method in class org.drip.analytics.output.BondRVMeasures

Retrieve the OAS

oasConvexity() - Method in class org.drip.analytics.output.BondEOSMetrics

Retrieve the Bond Option Adjusted Spread Convexity

oasDuration() - Method in class org.drip.analytics.output.BondEOSMetrics

Retrieve the Bond Option Adjusted Spread Duration

oasFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from ASW to Maturity

oasFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent

oasFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from ASW to Work-out

oasFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from ASW to Optimal Exercise

oasFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from Bond Basis to Maturity

oasFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent

oasFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from Bond Basis to Work-out

oasFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from Bond Basis to Optimal Exercise

oasFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from Credit Basis to Maturity

oasFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent

oasFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from Credit Basis to Work-out

oasFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from Credit Basis to Optimal Exercise

oasFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from Discount Margin to Maturity

oasFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent

oasFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from Discount Margin to Work-out

oasFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from Discount Margin to Optimal Exercise

oasFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from E Spread to Maturity

oasFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent

oasFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from E Spread to Work-out

oasFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from E Spread to Optimal Exercise

oasFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from G Spread to Maturity

oasFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent

oasFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from G Spread to Work-out

oasFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from G Spread to Optimal Exercise

oasFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from I Spread to Maturity

oasFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent

oasFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from I Spread to Work-out

oasFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from I Spread to Optimal Exercise

oasFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from J Spread to Maturity

oasFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent

oasFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from J Spread to Work-out

oasFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from J Spread to Optimal Exercise

oasFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from N Spread to Maturity

oasFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent

oasFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from N Spread to Work-out

oasFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from N Spread to Optimal Exercise

oasFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from PECS to Maturity

oasFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent

oasFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from PECS to Work-out

oasFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from PECS to Optimal Exercise

oasFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from Price to Maturity

oasFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent

oasFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from Price to Work-out

oasFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from Price to Optimal Exercise

oasFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from TSY Spread to Maturity

oasFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent

oasFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from TSY Spread to Work-out

oasFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from TSY Spread to Optimal Exercise

oasFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from Yield to Maturity

oasFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent

oasFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from Yield to Work-out

oasFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from Yield Spread to Maturity

oasFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent

oasFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from Yield Spread to Work-out

oasFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from Yield Spread to Optimal Exercise

oasFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from Yield to Optimal Exercise

oasFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from Z Spread to Maturity

oasFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent

oasFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from Z Spread to Work-out

oasFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent

oasFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond

Calculate OAS from Z Spread to Optimal Exercise

oasTM() - Method in class org.drip.analytics.output.BondEOSMetrics

Retrieve the Bond Option Adjusted Spread To Maturity

OAT1 - Class in org.drip.sample.treasuryfuturesapi

OAT1 demonstrates the Invocation and Examination of the OAT1 10Y FRTR Treasury Futures.

OAT1() - Constructor for class org.drip.sample.treasuryfuturesapi.OAT1

OAT1Attribution - Class in org.drip.sample.treasuryfuturespnl

OAT1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the OAT1 Series.

OAT1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.OAT1Attribution

OAT1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed

OAT1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated OAT1 Closes Feed.

OAT1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.OAT1ClosesReconstitutor

OAT1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk

OAT1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the OAT1 Treasury Futures.

OAT1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.OAT1KeyRateDuration

objective() - Method in class org.drip.optimization.canonical.LinearProgram

Retrieve the Objective Term

OBJECTIVE_FUNCTION_SEQUENCE_CONVERGENCE - Static variable in class org.drip.function.rdtor1solver.ConvergenceControl

Solve Using the Convergence of the Objective Function Realization

objectiveBenchmark() - Method in class org.drip.portfolioconstruction.core.Account

Retrieve the Objective Benchmark Instance

objectiveCoefficient() - Method in class org.drip.optimization.constrained.FritzJohnMultipliers

Retrieve the Fritz John Objective Function Multiplier

objectiveCoefficientMap() - Method in class org.drip.optimization.lp.LinearProgramFormulator

Retrieve the Map of the Objective Coefficients

objectiveCoefficientMap(Map<String, Double>) - Method in class org.drip.optimization.lp.LinearProgramFormulator

Set the Objective Coefficient Map

ObjectiveConstraintVariateSet - Class in org.drip.function.rdtor1

ObjectiveConstraintVariateSet holds a R^d To R¹ Variates corresponding to the Objective Function and the Constraint Function respectively.

ObjectiveConstraintVariateSet(double[], double[]) - Constructor for class org.drip.function.rdtor1.ObjectiveConstraintVariateSet

ObjectiveConstraintVariate Constructor

objectiveFunction() - Method in class org.drip.function.rdtor1.LagrangianMultivariate

Retrieve the Objective R^d To R^1 Function Instance

objectiveFunction() - Method in class org.drip.function.rdtor1solver.BarrierFixedPointFinder

Retrieve the Objective Function

objectiveFunction() - Method in class org.drip.function.rdtor1solver.FixedRdFinder

Retrieve the Objective Function

objectiveFunction() - Method in class org.drip.optimization.constrained.OptimizationFramework

Retrieve the R^d To R^1 Objective Function

objectiveFunction() - Method in class org.drip.portfolioconstruction.optimizer.Strategy

Retrieve the Objective Function

ObjectiveFunction - Class in org.drip.portfolioconstruction.optimizer

ObjectiveFunction holds the Terms composing the Objective Function and their Weights.

ObjectiveFunction() - Constructor for class org.drip.portfolioconstruction.optimizer.ObjectiveFunction

Empty Objective Function Constructor

objectiveFunctionDimension() - Method in class org.drip.function.rdtor1.LagrangianMultivariate

Retrieve the Objective Function Dimension

ObjectiveFunctionPointMetrics - Class in org.drip.function.rdtor1solver

ObjectiveFunctionPointMetrics holds the R^d Point Base and Sensitivity Metrics of the Objective Function.

ObjectiveFunctionPointMetrics(double[], double[][]) - Constructor for class org.drip.function.rdtor1solver.ObjectiveFunctionPointMetrics

ObjectiveFunctionPointMetrics Constructor

objectiveTerm() - Method in class org.drip.portfolioconstruction.optimizer.ObjectiveTermUnit

Retrieve the Objective Term

ObjectiveTerm - Class in org.drip.portfolioconstruction.optimizer

ObjectiveTerm holds the Details of a given Objective Term.

objectiveTermRealizationMap() - Method in class org.drip.portfolioconstruction.optimizer.RebalancerAnalytics

Retrieve the Map of Objective Term Realizations

ObjectiveTermUnit - Class in org.drip.portfolioconstruction.optimizer

ObjectiveTermUnit holds the Details of a Single Objective Term that forms the Strategy.

ObjectiveTermUnit(ObjectiveTerm, double) - Constructor for class org.drip.portfolioconstruction.optimizer.ObjectiveTermUnit

ObjectiveTermUnit Constructor

objectiveUtility() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator

Retrieve the Mean Variance Objective Utility Function

objectiveUtility() - Method in class org.drip.execution.nonadaptive.StaticOptimalScheme

Retrieve the Optimizer Objective Utility Function

ObjectiveUtility - Interface in org.drip.execution.risk

ObjectiveUtility exposes the Objective Utility Function that needs to be optimized to extract the Optimal Execution Trajectory.

objectiveValue() - Method in class org.drip.portfolioconstruction.optimizer.RebalancerAnalytics

Retrieve the Objective Function Value

objectiveVariates() - Method in class org.drip.function.rdtor1.ObjectiveConstraintVariateSet

Retrieve the Array of the Objective Function Variates

ObjectSpecification - Class in org.drip.xva.proto

ObjectSpecification contains the Specification Base of a Named Object.

ObjectSpecification(String, String) - Constructor for class org.drip.xva.proto.ObjectSpecification

ObjectSpecification Constructor

observationCount() - Method in class org.drip.measure.bayesian.ConjugateParameterPrior

Retrieve the Count of the Observation Suite

observationProduct() - Method in class org.drip.measure.gamma.ConjugateShapePrior

Retrieve the Product of the Observation Suite

observationSum() - Method in class org.drip.measure.gamma.ConjugateScalePrior

Retrieve the Sum of the Observation Suite

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

Integer Month - October

OddEvenNodeShuffle(ListUtil.ListNode<V>) - Static method in class org.drip.service.common.ListUtil

Given a singly linked list, group all odd nodes together followed by the even nodes.

OE1 - Class in org.drip.sample.treasuryfuturesapi

OE1 demonstrates the Invocation and Examination of the OE1 5Y DBR BOBL Treasury Futures.

OE1() - Constructor for class org.drip.sample.treasuryfuturesapi.OE1

OE1Attribution - Class in org.drip.sample.treasuryfuturespnl

OE1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the OE1 Series.

OE1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.OE1Attribution

OE1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed

OE1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated OE1 Closes Feed.

OE1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.OE1ClosesReconstitutor

OE1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk

OE1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the OE1 Treasury Futures.

OE1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.OE1KeyRateDuration

offset() - Method in class org.drip.execution.athl.PermanentImpactNoArbitrage

offset() - Method in class org.drip.execution.impact.ParticipationRateLinear

Retrieve the Offset Market Impact Parameter

offset() - Method in class org.drip.execution.impact.TransactionFunctionLinear

Retrieve the Offset Market Impact Parameter

offset() - Method in class org.drip.function.r1tor1.OffsetIdempotent

Retrieve the Offset

offset() - Method in class org.drip.learning.svm.RdDecisionFunction

Retrieve the Offset

OffsetIdempotent - Class in org.drip.function.r1tor1

OffsetIdempotent provides the Implementation of the Offset Idempotent Operator - f(x) = x - C.

OffsetIdempotent(double) - Constructor for class org.drip.function.r1tor1.OffsetIdempotent

OffsetIdempotent Constructor

OISCurveQuoteSensitivity - Class in org.drip.sample.sensitivity

OISCurveQuoteSensitivity demonstrates the calculation of the OIS discount curve sensitivity to the calibration instrument quotes.

OISCurveQuoteSensitivity() - Constructor for class org.drip.sample.sensitivity.OISCurveQuoteSensitivity

OISFixFloat(JulianDate, String, String[], double[], boolean) - Static method in class org.drip.service.template.OTCInstrumentBuilder

Construct an Array of OTC Fix Float OIS Instances

OISFixFloat(JulianDate, String, String, double, boolean) - Static method in class org.drip.service.template.OTCInstrumentBuilder

Construct an Instance of OTC OIS Fix Float Swap

OISFixFloatFutures(JulianDate, String, String[], String[], double[], boolean) - Static method in class org.drip.service.template.OTCInstrumentBuilder

Construct an Array of OTC OIS Fix-Float Futures

OISFromLIBORSwapFedFundBasis(double, double) - Static method in class org.drip.analytics.support.Helper

Compute the uncompounded OIS Rate from the LIBOR Swap Rate and the LIBOR Swap Rate - Fed Fund Basis.

OISFromLIBORSwapFedFundBasis2(double, double) - Static method in class org.drip.analytics.support.Helper

Compute the Daily Compounded OIS Rate from the LIBOR Swap Rate and the LIBOR Swap Rate - Fed Fund Basis.

oisSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR

Retrieve the OIS Sensitivity Margin Map

oisTenorDeltaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR

Retrieve the OIS Tenor Delta Risk Weight

oisTenorMargin(BucketSensitivitySettingsIR) - Method in class org.drip.simm.product.BucketSensitivityIR

Generate the OIS Tenor Sensitivity Margin Map

oisTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketCurvatureSettingsIR

oisTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketSensitivitySettingsIR

Retrieve the OIS Tenor Risk Weight

oisTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR

oisTenorSensitivity() - Method in class org.drip.simm.product.BucketSensitivityIR

Retrieve the OIS Risk Factor Tenor Sensitivity

oisTenorVegaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR

Retrieve the OIS Tenor Vega Risk Weight

omdHorizon() - Method in class org.drip.execution.principal.HorizonInformationRatioDependence

Retrieve the Optimal Measure Dependence for the Time Horizon

omdInformationRatio() - Method in class org.drip.execution.principal.HorizonInformationRatioDependence

Retrieve the Optimal Measure Dependence for the Time Horizon

ON_GROSS_RETURNS - Static variable in class org.drip.investing.engine.FactorBetaType

Beta on Gross Factor Returns

ON_MARKET_PREMIA - Static variable in class org.drip.investing.engine.FactorBetaType

Beta on Market Premia

ON_RISK_PREMIA - Static variable in class org.drip.investing.engine.FactorBetaType

Beta on Risk Premia

OnePoint(double, double) - Static method in class org.drip.numerical.integration.GaussLegendreQuadratureGenerator

Generate the One Point Gauss Legendre Quadrature over [a, b] onto [-1, +1]

OnePoint(AbscissaTransform) - Static method in class org.drip.numerical.integration.GaussLegendreQuadratureGenerator

Generate the One Point Gauss Legendre Quadrature over [-1, +1]

OneThirdOrder(int) - Static method in class org.drip.specialfunction.bessel.ModifiedSecondIntegralEstimator

Construct the Modified Bessel Second Kind Estimator for the 1.

OneWayBaselProxy - Class in org.drip.sample.xvafixfloat

OneWayBaselProxy simulates for various Latent States and Exposures for an Fix Float Swap and computes the XVA Metrics using the Basel Proxy-Style Exposure Generator using Burgard Kjaer One Way CSA Vertexes.

OneWayBaselProxy() - Constructor for class org.drip.sample.xvafixfloat.OneWayBaselProxy

OneWayCSA(JulianDate, double, double, MarketEdge, CloseOut) - Static method in class org.drip.xva.vertex.BurgardKjaerBuilder

Construct a Standard Instance of BurgardKjaerVertex using One Way CSA

OPEN - Static variable in class org.drip.oms.transaction.OrderState

OPEN

OpenRegressorSet - Class in org.drip.regression.fixedpointfinder

OpenRegressorSet implements the regression run for the Open (i.e., Newton) Fixed Point Search Method.

OpenRegressorSet() - Constructor for class org.drip.regression.fixedpointfinder.OpenRegressorSet

OpenRegressorSet Constructor

OperatingHours - Class in org.drip.oms.exchange

OperatingHours maintains the Venue Specific Operating Hours.

OperatingHours() - Constructor for class org.drip.oms.exchange.OperatingHours

OperationTimeComplexity - Class in org.drip.graph.asymptote

OperationTimeComplexity holds the Series of Asymptotic Behavior Specifications of the Algorithm's Operations.

OperationTimeComplexity(BigOAsymptoteSpec, BigOAsymptoteSpec, BigOAsymptoteSpec, BigOAsymptoteSpec) - Constructor for class org.drip.graph.asymptote.OperationTimeComplexity

OperationTimeComplexity Constructor

operationTimeComplexityMap() - Method in class org.drip.graph.asymptote.AlgorithmTimeComplexity

Retrieve the Time Complexity Map of the Algorithm's Operations

OperatorClassCoveringBounds - Interface in org.drip.spaces.cover

OperatorClassCoveringBounds implements the estimate Lower/Upper Bounds and/or Absolute Values of the Covering Number for the Operator Class.

operatorNorm() - Method in class org.drip.spaces.cover.MaureyOperatorCoveringBounds

Retrieve the Operator Norm of Interest

operatorPopulationMetricNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite

operatorPopulationMetricNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite

operatorPopulationMetricNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite

Compute the Operator Population Metric Norm

operatorPopulationSupremumNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite

operatorPopulationSupremumNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite

operatorPopulationSupremumNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite

Compute the Operator Population Supremum Norm

operatorSampleMetricNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite

operatorSampleMetricNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite

operatorSampleMetricNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite

Compute the Operator Sample Metric Norm

operatorSampleSupremumNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite

operatorSampleSupremumNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite

operatorSampleSupremumNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite

Compute the Operator Sample Supremum Norm

optimalAskClaimsInventoryVertex() - Method in class org.drip.oms.indifference.ReservationPricer

Retrieve the Optimal Ask Claims Based Inventory Vertex

optimalBidClaimsInventoryVertex() - Method in class org.drip.oms.indifference.ReservationPricer

Retrieve the Optimal Bid Claims Based Inventory Vertex

OptimalBottleneckSpanningTreeGenerator - Class in org.drip.graph.treebuilder

OptimalBottleneckSpanningTreeGenerator exposes the Functionality behind the Minimum/Maximum Bottleneck Spanning Tree Generation for the given Graph.

optimalDepth() - Method in class org.drip.graph.decisiontree.ComplexityEstimate

Retrieve the Optimal Depth of the Decision Tree

optimalDepth() - Method in class org.drip.graph.decisiontree.GenerationComplexity

Retrieve the Optimal Depth of the Decision Tree

optimalDTFinderUpperBound() - Method in class org.drip.graph.decisiontree.ComplexityEstimate

Retrieve the Upper Bound on the Time for finding the Optimal DT Finding Time

optimalExerciseConvexity() - Method in class org.drip.analytics.output.BondEOSMetrics

Retrieve the Optimal Exercise Convexity UDT

optimalExerciseDuration() - Method in class org.drip.analytics.output.BondEOSMetrics

Retrieve the Optimal Exercise Duration UDT

optimalExerciseOAS() - Method in class org.drip.analytics.output.BondEOSMetrics

Retrieve the Optimal Exercise OAS UDT

optimalExerciseOASGap() - Method in class org.drip.analytics.output.BondEOSMetrics

Retrieve the Optimal Exercise OAS Gap UDT

optimalExercisePrice() - Method in class org.drip.analytics.output.BondEOSMetrics

Retrieve the Optimal Exercise Price UDT

optimalExerciseValue() - Method in class org.drip.analytics.output.BondEOSMetrics

Retrieve the Optimal Exercise Value UDT

optimalInformationRatio(double) - Method in class org.drip.execution.principal.Almgren2003Estimator

Compute the Optimal Information Ratio

optimalInformationRatioHorizon(double) - Method in class org.drip.execution.principal.Almgren2003Estimator

Generate the Horizon that results in the Optimal Information Ratio

OptimalLabelingSpanningTreeGenerator - Class in org.drip.graph.treebuilder

OptimalLabelingSpanningTreeGenerator exposes the Functionality behind the Minimum/Maximum Labeling Spanning Tree Generation for the given Graph.

OptimalMeasureDependence - Class in org.drip.execution.principal

OptimalMeasureDependence contains the Dependence Exponents on Liquidity, Trade Size, and Permanent Impact Adjusted Principal Discount for the Optimal Principal Horizon and the Optional Information Ratio.

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

OptimalMeasureDependence Constructor

optimalMeasures() - Method in class org.drip.execution.principal.Almgren2003Estimator

Generate the Constant/Exponent Dependencies on the Market Parameters for the Optimal Execution Horizon / Information Ratio

OptimalMeasuresConstantExponent - Class in org.drip.sample.principal

OptimalMeasuresConstantExponent demonstrates the Dependence Exponents on Liquidity, Trade Size, and Permanent Impact Adjusted Principal Discount for the Optimal Principal Horizon and the Optional Information Ratio.

OptimalMeasuresConstantExponent() - Constructor for class org.drip.sample.principal.OptimalMeasuresConstantExponent

OptimalMeasuresDiscountDependence - Class in org.drip.sample.principal

OptimalMeasuresDiscountDependence demonstrates the Dependence of the Optimal Principal Measures on the Discount.

OptimalMeasuresDiscountDependence() - Constructor for class org.drip.sample.principal.OptimalMeasuresDiscountDependence

OptimalMeasuresReconciler - Class in org.drip.sample.principal

OptimalMeasuresReconciler reconciles the Dependence Exponents on Liquidity, Trade Size, and Permanent Impact Adjusted Principal Discount for the Optimal Principal Horizon and the Optional Information Ratio with Almgren and Chriss (2003).

OptimalMeasuresReconciler() - Constructor for class org.drip.sample.principal.OptimalMeasuresReconciler

optimalMetrics() - Method in class org.drip.portfolioconstruction.allocator.HoldingsAllocation

Retrieve the Optimal Portfolio Metrics

optimalNoClaimsInventoryVertex() - Method in class org.drip.oms.indifference.ReservationPricer

Retrieve the Optimal No-claims Inventory Vertex

OptimalPathGenerator - Class in org.drip.graph.shortestpath

OptimalPathGenerator contains the Stubs for generating the Optimal (Shortest/Longest) Path on a Directed Graph.

optimalPortfolio() - Method in class org.drip.portfolioconstruction.allocator.HoldingsAllocation

Retrieve the Optimal Portfolio Instance

optimalPortfolioMap() - Method in class org.drip.portfolioconstruction.mpt.MarkovitzBullet

Retrieve the Map of Optimal Portfolios

OptimalSerialCorrelationAdjustment - Class in org.drip.execution.discrete

OptimalSerialCorrelationAdjustment contains an Estimate of the Optimal Adjustments attributable to Cross Period Serial Price Correlations over the Slice Time Interval.

OptimalSerialCorrelationAdjustment(double, double) - Constructor for class org.drip.execution.discrete.OptimalSerialCorrelationAdjustment

OptimalSerialCorrelationAdjustment Constructor

OptimalSerialCorrelationImpact - Class in org.drip.sample.almgrenchriss

OptimalSerialCorrelationImpact estimates the Optimal Adjustment to the Optimal Trading Trajectory attributable to Serial Correlation in accordance with the Specification of Almgren and Chriss (2000) for the given Risk Aversion Parameter without the Asset Drift.

OptimalSerialCorrelationImpact() - Constructor for class org.drip.sample.almgrenchriss.OptimalSerialCorrelationImpact

optimalSpanningForest() - Method in class org.drip.graph.mstgreedy.BoruvkaGenerator

optimalSpanningForest() - Method in class org.drip.graph.mstgreedy.KruskalGenerator

optimalSpanningForest() - Method in class org.drip.graph.mstgreedy.PrimGenerator

optimalSpanningForest() - Method in class org.drip.graph.mstgreedy.ReverseDeleteGenerator

optimalSpanningForest() - Method in class org.drip.graph.treebuilder.OptimalSpanningForestGenerator

Generate the Optimal Spanning Forest

OptimalSpanningForestGenerator - Class in org.drip.graph.treebuilder

OptimalSpanningForestGenerator exposes the Algorithmic Implementation for the Generation of the Minimum/Maximum Spanning Forest.

OptimalTrajectoryDRI - Class in org.drip.sample.athl

OptimalTrajectoryDRI demonstrates the Trade Scheduling using the Equity Market Impact Functions determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for DRI.

OptimalTrajectoryDRI() - Constructor for class org.drip.sample.athl.OptimalTrajectoryDRI

OptimalTrajectoryIBM - Class in org.drip.sample.athl

OptimalTrajectoryIBM demonstrates the Trade Scheduling using the Equity Market Impact Functions determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for IBM.

OptimalTrajectoryIBM() - Constructor for class org.drip.sample.athl.OptimalTrajectoryIBM

OptimalTrajectoryMeasures - Class in org.drip.sample.principal

OptimalTrajectoryMeasures demonstrates the Trade Scheduling using the Equity Market Impact Functions determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for IBM.

OptimalTrajectoryMeasures() - Constructor for class org.drip.sample.principal.OptimalTrajectoryMeasures

OptimalTrajectoryNoDrift - Class in org.drip.sample.almgrenchriss

OptimalTrajectoryNoDrift demonstrates the Generation of the Optimal Trading Trajectory in accordance with the Specification of Almgren and Chriss (2000) for the given Risk Aversion Parameter without the Asset Drift.

OptimalTrajectoryNoDrift - Class in org.drip.sample.lvar

OptimalTrajectoryNoDrift generates the Trade/Holdings List of Optimal Execution Schedule based on the Evolution Walk Parameters specified according to the Liquidity VaR Optimal Objective Function, exclusive of Drift.

OptimalTrajectoryNoDrift() - Constructor for class org.drip.sample.almgrenchriss.OptimalTrajectoryNoDrift

OptimalTrajectoryNoDrift() - Constructor for class org.drip.sample.lvar.OptimalTrajectoryNoDrift

OptimalTrajectoryTradeAnalysis - Class in org.drip.sample.athl

OptimalTrajectoryTradeAnalysis analyzes the Impact of Input Parameters on the Trade Scheduling using the Equity Market Impact Functions determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for IBM.

OptimalTrajectoryTradeAnalysis() - Constructor for class org.drip.sample.athl.OptimalTrajectoryTradeAnalysis

OptimalTrajectoryVolatilityAnalysis - Class in org.drip.sample.athl

OptimalTrajectoryVolatilityAnalysis analyzes the Impact of Input Parameters on the Trade Scheduling using the Equity Market Impact Functions determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for IBM.

OptimalTrajectoryVolatilityAnalysis() - Constructor for class org.drip.sample.athl.OptimalTrajectoryVolatilityAnalysis

OptimalTrajectoryWithDrift - Class in org.drip.sample.almgrenchriss

OptimalTrajectoryWithDrift demonstrates the Generation of the Optimal Trading Trajectory in accordance with the Specification of Almgren and Chriss (2000) for the given Risk Aversion Parameter inclusive of the Asset Drift.

OptimalTrajectoryWithDrift - Class in org.drip.sample.lvar

OptimalTrajectoryWithDrift generates the Trade/Holdings List of Optimal Execution Schedule based on the Evolution Walk Parameters specified according to the Liquidity VaR Optimal Objective Function, inclusive of Drift.

OptimalTrajectoryWithDrift() - Constructor for class org.drip.sample.almgrenchriss.OptimalTrajectoryWithDrift

OptimalTrajectoryWithDrift() - Constructor for class org.drip.sample.lvar.OptimalTrajectoryWithDrift

OptimalUtilization - Class in org.drip.sample.algo

OptimalUtilization finds all elements from each of two arrays such that the sum of their values is less or equal to target and as close to target as possible.

OptimalUtilization() - Constructor for class org.drip.sample.algo.OptimalUtilization

optimalValue() - Method in class org.drip.oms.indifference.UtilityExpectationOptimizationRun

Retrieve the Optimal Value of the Utility Expectation Optimization Run

OptimizationFramework - Class in org.drip.optimization.constrained

OptimizationFramework holds the Non Linear Objective Function and the Collection of Equality and the Inequality Constraints that correspond to the Optimization Setup.

OptimizationFramework(RdToR1, RdToR1[], RdToR1[]) - Constructor for class org.drip.optimization.constrained.OptimizationFramework

OptimizationFramework Constructor

optimizationRun(R1Univariate, double) - Method in class org.drip.oms.indifference.UtilityFunctionExpectation

Generate the Utility Expectation Optimization Run given the Underlier Price Distribution

optimizationRun(R1Distribution, double[], double) - Method in class org.drip.oms.indifference.UtilityFunctionExpectation

Generate the Utility Expectation Optimization Run given the Underlier Price Array and Discrete Distribution

optimize() - Method in class org.drip.portfolioconstruction.optimizer.Rebalancer

Conduct an Optimization Run to Generate the Rebalancer Analytics

optimizeClassificationHyperplane(short[], double, double) - Method in class org.drip.learning.svm.RdDecisionFunction

Optimize the Hyper-plane for the Purposes of Classification

OptimizeMemoryUsage(int[], int[], int) - Static method in class org.drip.service.common.ArrayUtil

Give a computer with total k memory space, and an array of foreground tasks and background tasks the computer needs to do.

optimizeRegressionHyperplane(double[], double, double) - Method in class org.drip.learning.svm.RdDecisionFunction

Optimize the Hyper-plane for the Purposes of Regression

OptionComponent - Class in org.drip.product.option

OptionComponent extends ComponentMarketParamRef and provides the following methods:

Get the component's initial notional, notional, and coupon.

OptionHelper - Class in org.drip.analytics.support

OptionHelper contains the collection of the option valuation related utility functions used by the modules.

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

optionPV() - Method in class org.drip.product.calib.VolatilityProductQuoteSet

Retrieve the PV of an Option on the Product

OracleInit(String) - Static method in class org.drip.param.config.ConfigLoader

Initialize the Oracle database from the connection parameters set in the XML Configuration file

order() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectoryControl

Generate the Order Specification corresponding to the Trajectory Control

order() - Method in class org.drip.exposure.regression.PykhtinPillar

Retrieve the Point Exposure Order

order() - Method in class org.drip.graph.heap.BinomialTree

Retrieve the Order of the Binomial Tree

order() - Method in class org.drip.optimization.necessary.ConditionQualifier

Retrieve the Condition Qualifier Order

Order - Class in org.drip.oms.transaction

Order holds the Details of an Order.

Order(OrderIssuer, String, String, int, Date, Side, double, TimeInForce, OrderFillWholeSettings, DisplaySettings) - Constructor for class org.drip.oms.transaction.Order

Order Constructor

OrderBlock - Class in org.drip.oms.transaction

OrderBlock maintains an L2 Entry Block inside an Order Book.

OrderBlock(ZonedDateTime, double, double) - Constructor for class org.drip.oms.transaction.OrderBlock

OrderBlock Constructor

OrderBlockL2 - Class in org.drip.oms.depth

OrderBlockL2 maintains a Deep Price Book for a Venue.

OrderBlockL2(boolean) - Constructor for class org.drip.oms.depth.OrderBlockL2

OrderBlockL2 Constructor

orderedAskBook() - Method in class org.drip.oms.depth.MontageL1Manager

Retrieve the Ordered Ask Book

orderedAskBookList() - Method in class org.drip.oms.depth.MontageL1Manager

Retrieve the Ordered Ask Book List

orderedBidBook() - Method in class org.drip.oms.depth.MontageL1Manager

Retrieve the Ordered Bid Book

orderedBidBookList() - Method in class org.drip.oms.depth.MontageL1Manager

Retrieve the Ordered Bid Book List

orderedBlockMap() - Method in class org.drip.oms.depth.OrderBlockL2

Retrieve the Ordered Block Map

orderedEigenComponentArray(double[][]) - Method in class org.drip.numerical.eigen.QREigenComponentExtractor

Generate the Ordered List of Eigen Components arranged by Ascending Eigenvalue

orderedEntryListMap() - Method in class org.drip.oms.depth.MontageL1SizeLayer

Retrieve the Ordered Montage L1 Entry Map

orderedRegularSingularPoints() - Method in class org.drip.specialfunction.ode.SecondOrder

Retrieve the Ordered Regular Singular Points of the Second Order ODE

orderedRegularSingularPoints() - Method in class org.drip.specialfunction.ode.SecondOrderBessel

orderedRegularSingularPoints() - Method in class org.drip.specialfunction.ode.SecondOrderHelmholtz

orderedRegularSingularPoints() - Method in class org.drip.specialfunction.ode.SecondOrderModifiedBessel

orderedRegularSingularPoints() - Method in class org.drip.specialfunction.ode.SecondOrderRiccatiBessel

orderedSeriesMap() - Method in class org.drip.numerical.estimation.R1Estimate

Retrieve the Higher Order Series Map

OrderedVertexGroup - Class in org.drip.graph.search

OrderedVertexGroup holds the Grouping of the Ordered Search (BFS/DFS) of the Vertexes of a Graph.

OrderedVertexGroup() - Constructor for class org.drip.graph.search.OrderedVertexGroup

OrderedVertexGroup Constructor

OrderExecutionProvider - Interface in org.drip.oms.fill

VWAP implements the Volume-Weighted Average Price VWAP that carries the Metrics associated with Trades in a Session.

OrderFillWholeSettings - Class in org.drip.oms.transaction

OrderFillWholeSettings maintains the Fill-whole Settings of an Order.

OrderFillWholeSettings(int, int) - Constructor for class org.drip.oms.transaction.OrderFillWholeSettings

OrderFillWholeSettings Constructor

OrderFulfillment - Class in org.drip.oms.fill

OrderFulfillment holds the Details of a Filled Order.

OrderFulfillment(Date, double, double) - Constructor for class org.drip.oms.fill.OrderFulfillment

OrderFulfillment Constructor

OrderIssuer - Class in org.drip.oms.transaction

OrderIssuer holds the Details of the Order Issuer.

OrderIssuer(String, int) - Constructor for class org.drip.oms.transaction.OrderIssuer

OrderIssuer Constructor

OrderMinusFour() - Static method in class org.drip.specialfunction.bessel.SphericalFirstEstimator

Retrieve the Order -4 Spherical Bessel First Kind Estimator

OrderMinusOne() - Static method in class org.drip.specialfunction.bessel.SphericalFirstEstimator

Retrieve the Order -1 Spherical Bessel First Kind Estimator

OrderMinusThree() - Static method in class org.drip.specialfunction.bessel.SphericalFirstEstimator

Retrieve the Order -3 Spherical Bessel First Kind Estimator

OrderMinusTwo() - Static method in class org.drip.specialfunction.bessel.SphericalFirstEstimator

Retrieve the Order -2 Spherical Bessel First Kind Estimator

OrderPlusOne() - Static method in class org.drip.specialfunction.bessel.SphericalFirstEstimator

Retrieve the Order +1 Spherical Bessel First Kind Estimator

OrderPlusOne() - Static method in class org.drip.specialfunction.bessel.SphericalSecondEstimator

Retrieve the Order +1 Spherical Bessel Second Kind Estimator

OrderPlusThree() - Static method in class org.drip.specialfunction.bessel.SphericalFirstEstimator

Retrieve the Order +3 Spherical Bessel First Kind Estimator

OrderPlusThree() - Static method in class org.drip.specialfunction.bessel.SphericalSecondEstimator

Retrieve the Order +3 Spherical Bessel Second Kind Estimator

OrderPlusTwo() - Static method in class org.drip.specialfunction.bessel.SphericalFirstEstimator

Retrieve the Order +2 Spherical Bessel First Kind Estimator

OrderPlusTwo() - Static method in class org.drip.specialfunction.bessel.SphericalSecondEstimator

Retrieve the Order +2 Spherical Bessel Second Kind Estimator

orderSeries(int) - Method in class org.drip.numerical.estimation.R1Estimate

Retrieve the Series corresponding to the Specified Order

orderSize() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryDeterminant

Retrieve the Order Size

orderSpecification() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator

Retrieve the Order Specification

orderSpecification() - Method in class org.drip.execution.nonadaptive.StaticOptimalSchemeContinuous

Retrieve the Order Specification

OrderSpecification - Class in org.drip.execution.strategy

OrderSpecification contains the Parameters that constitute an Order, namely the Size and the Execution Time.

OrderSpecification(double, double) - Constructor for class org.drip.execution.strategy.OrderSpecification

OrderSpecification Constructor

OrderState - Class in org.drip.oms.transaction

OrderState holds the different States of an Order.

OrderState() - Constructor for class org.drip.oms.transaction.OrderState

orderStatisticCount() - Method in class org.drip.validation.quantile.PlottingPositionGenerator

Retrieve the Count of Order Statistics

orderStatisticOrdinal() - Method in class org.drip.validation.quantile.PlottingPosition

Retrieve the Order Statistic Ordinal

OrderStatisticSelector<K> - Class in org.drip.graph.selection

OrderStatisticSelector exposes the Functionality to Select the k^th Extremum Order Statistic.

OrderStatisticsJointMoment(R1RateDistribution, int, int, int) - Static method in class org.drip.measure.exponential.IIDComposite

Compute the Joint Moment of the Order Statistics for a Set of i.i.d.

orderStatisticX() - Method in class org.drip.validation.quantile.QQVertex

Retrieve the X Order Statistic

orderStatisticY() - Method in class org.drip.validation.quantile.QQVertex

Retrieve the Y Order Statistic

OrderType - Class in org.drip.oms.transaction

OrderType holds the different Types of Orders.

OrderType() - Constructor for class org.drip.oms.transaction.OrderType

OrderZero() - Static method in class org.drip.specialfunction.bessel.SphericalFirstEstimator

Retrieve the Order 0 Spherical Bessel First Kind Estimator

OrderZero() - Static method in class org.drip.specialfunction.bessel.SphericalSecondEstimator

Retrieve the Order 0 Spherical Bessel Second Kind Estimator

org.drip.analytics.cashflow - package org.drip.analytics.cashflow

Unit/Composite Cash Flow Periods.

org.drip.analytics.date - package org.drip.analytics.date

Date/Time Creation/Manipulation/Usage

org.drip.analytics.daycount - package org.drip.analytics.daycount

Day Count Year Fraction Utilities

org.drip.analytics.definition - package org.drip.analytics.definition

Latent State Curves, Surfaces, Turns

org.drip.analytics.eventday - package org.drip.analytics.eventday

Fixed/Variable Custom Holiday Creation

org.drip.analytics.holset - package org.drip.analytics.holset

Built in Locale Holiday Set

org.drip.analytics.input - package org.drip.analytics.input

Curve Surface Construction Customization Inputs

org.drip.analytics.output - package org.drip.analytics.output

Period Product Targeted Valuation Measures

org.drip.analytics.support - package org.drip.analytics.support

Assorted Support and Helper Utilities

org.drip.capital.allocation - package org.drip.capital.allocation

Economic Risk Capital Entity Allocation

org.drip.capital.bcbs - package org.drip.capital.bcbs

BCBS and Jurisdictional Capital Ratios

org.drip.capital.definition - package org.drip.capital.definition

Economic Risk Capital Categorical Definitions

org.drip.capital.entity - package org.drip.capital.entity

Economic Risk Capital Estimation Nodes

org.drip.capital.env - package org.drip.capital.env

Economic Risk Capital Parameter Factories

org.drip.capital.explain - package org.drip.capital.explain

Economic Risk Capital Attribution Explain

org.drip.capital.feed - package org.drip.capital.feed

Risk Capital Estimation - Feed Processors

org.drip.capital.label - package org.drip.capital.label

Economic Risk Capital Entity Labels

org.drip.capital.setting - package org.drip.capital.setting

Economic Risk Capital Simulation Settings

org.drip.capital.shell - package org.drip.capital.shell

Economic Risk Capital Parameter Contexts

org.drip.capital.simulation - package org.drip.capital.simulation

Economic Risk Capital Simulation Ensemble

org.drip.capital.stress - package org.drip.capital.stress

Economic Risk Capital Stress Event Settings

org.drip.capital.systemicscenario - package org.drip.capital.systemicscenario

Systemic Stress Scenario Design/Construction

org.drip.dynamics.evolution - package org.drip.dynamics.evolution

Latent State Evolution Edges/Vertexes

org.drip.dynamics.hjm - package org.drip.dynamics.hjm

HJM Based Latent State Evolution

org.drip.dynamics.hullwhite - package org.drip.dynamics.hullwhite

Hull White Latent State Evolution

org.drip.dynamics.ito - package org.drip.dynamics.ito

Ito Stochastic Process Dynamics Foundation

org.drip.dynamics.kolmogorov - package org.drip.dynamics.kolmogorov

Fokker Planck Kolmogorov Forward/Backward

org.drip.dynamics.lmm - package org.drip.dynamics.lmm

LMM Based Latent State Evolution

org.drip.dynamics.meanreverting - package org.drip.dynamics.meanreverting

Mean Reverting Stochastic Process Dynamics

org.drip.dynamics.physical - package org.drip.dynamics.physical

Implementation of Physical Process Dynamics

org.drip.dynamics.process - package org.drip.dynamics.process

Ito-Dynamics Based Stochastic Process

org.drip.dynamics.sabr - package org.drip.dynamics.sabr

SABR Based Latent State Evolution

org.drip.execution.adaptive - package org.drip.execution.adaptive

Coordinated Variation Based Adaptive Execution

org.drip.execution.athl - package org.drip.execution.athl

Almgren-Thum-Hauptmann-Li Calibration

org.drip.execution.bayesian - package org.drip.execution.bayesian

Bayesian Price Based Optimal Execution

org.drip.execution.capture - package org.drip.execution.capture

Execution Trajectory Transaction Cost Capture

org.drip.execution.cost - package org.drip.execution.cost

Linear Temporary Market Impact Cost

org.drip.execution.discrete - package org.drip.execution.discrete

Trajectory Slice Execution Cost Distribution

org.drip.execution.dynamics - package org.drip.execution.dynamics

Arithmetic Price Evolution Execution Parameters

org.drip.execution.evolution - package org.drip.execution.evolution

Execution Cost Market Impact Decomposition

org.drip.execution.hjb - package org.drip.execution.hjb

Optimal Hamilton-Jacobi-Bellman Execution

org.drip.execution.impact - package org.drip.execution.impact

Market Impact Transaction Function Implementation

org.drip.execution.latent - package org.drip.execution.latent

Correlated Latent Market State Sequence

org.drip.execution.nonadaptive - package org.drip.execution.nonadaptive

Almgren-Chriss Static Optimal Trajectory

org.drip.execution.optimum - package org.drip.execution.optimum

Almgren-Chriss Efficient Trading Trajectories

org.drip.execution.parameters - package org.drip.execution.parameters

Empirical Market Impact Coefficients Calibration

org.drip.execution.principal - package org.drip.execution.principal

Information Ratio Based Principal Trades

org.drip.execution.profiletime - package org.drip.execution.profiletime

Participation Rate Profile Time Models

org.drip.execution.risk - package org.drip.execution.risk

Optimal Execution MVO Efficient Frontier

org.drip.execution.sensitivity - package org.drip.execution.sensitivity

Trajectory Control Nodes Sensitivity Greeks

org.drip.execution.strategy - package org.drip.execution.strategy

Discrete/Continuous Trading Trajectory Schedule

org.drip.execution.tradingtime - package org.drip.execution.tradingtime

Coordinated Variation Trading Time Models

org.drip.exposure.csadynamics - package org.drip.exposure.csadynamics

CSA Numeraire Basis/Measure Dynamics

org.drip.exposure.csatimeline - package org.drip.exposure.csatimeline

Time-line of IMA/CSA Event Dates

org.drip.exposure.evolver - package org.drip.exposure.evolver

Securities and Exposure States Evolvers

org.drip.exposure.generator - package org.drip.exposure.generator

Rates Stream Margin Period Exposure

org.drip.exposure.holdings - package org.drip.exposure.holdings

Holdings Exposure - Position and Dependencies

org.drip.exposure.mpor - package org.drip.exposure.mpor

Margin Period Collateral Amount Estimation

org.drip.exposure.regression - package org.drip.exposure.regression

Regression Based Path Exposure Generation

org.drip.exposure.regressiontrade - package org.drip.exposure.regressiontrade

Exposure Regression under Margin and Trade Payments

org.drip.exposure.universe - package org.drip.exposure.universe

Exposure Generation - Market States Simulation

org.drip.feed.loader - package org.drip.feed.loader

Reference/Market Data Feed Loader

org.drip.feed.metric - package org.drip.feed.metric

Feed Horizon - PnL Explain/Attribution

org.drip.feed.transformer - package org.drip.feed.transformer

Market Data Reconstitutive Feed Transformer

org.drip.function.definition - package org.drip.function.definition

Function Implementation Ancillary Support Objects

org.drip.function.e2erf - package org.drip.function.e2erf

E₂ erf and erf^-1 Implementations

org.drip.function.e2erfc - package org.drip.function.e2erfc

E₂ erfc Estimation Function Implementation

org.drip.function.enerf - package org.drip.function.enerf

E_n erf Series and Generators

org.drip.function.matrix - package org.drip.function.matrix

Support for Functions of Matrices

org.drip.function.r1tor1 - package org.drip.function.r1tor1

Built-in R¹ To R¹ Functions

org.drip.function.r1tor1solver - package org.drip.function.r1tor1solver

Built-in R¹ To R¹ Solvers

org.drip.function.rdtor1 - package org.drip.function.rdtor1

Built-in R^d To R¹ Functions

org.drip.function.rdtor1descent - package org.drip.function.rdtor1descent

R^d To R¹ Gradient Descent Techniques

org.drip.function.rdtor1solver - package org.drip.function.rdtor1solver

Built-in R^d To R^1 Solvers

org.drip.graph.astar - package org.drip.graph.astar

A^* Heuristic Shortest Path Family

org.drip.graph.asymptote - package org.drip.graph.asymptote

Big O Algorithm Asymptotic Analysis

org.drip.graph.bellmanford - package org.drip.graph.bellmanford

Bellman Ford Shortest Path Family

org.drip.graph.concurrency - package org.drip.graph.concurrency

Helper Classes For Concurrent Tasks

org.drip.graph.connectivity - package org.drip.graph.connectivity

Graph Connectivity and Connected Components

org.drip.graph.core - package org.drip.graph.core

Vertexes, Edges, Trees, and Graphs

org.drip.graph.decisiontree - package org.drip.graph.decisiontree

Property Estimates for Decision Trees

org.drip.graph.heap - package org.drip.graph.heap

Heap Based Priority Queue Implementations

org.drip.graph.mst - package org.drip.graph.mst

Agnostic Minimum Spanning Tree Properties

org.drip.graph.mstgreedy - package org.drip.graph.mstgreedy

Greedy Algorithms for MSTs and Forests

org.drip.graph.search - package org.drip.graph.search

BFS, DFS, and Ordered Vertexes

org.drip.graph.selection - package org.drip.graph.selection

k^th Order Statistics Selection Scheme

org.drip.graph.shortestpath - package org.drip.graph.shortestpath

Shortest Path Generation Algorithm Family

org.drip.graph.softheap - package org.drip.graph.softheap

Soft Heap - Approximate Priority Queue

org.drip.graph.subarray - package org.drip.graph.subarray

Sub-set Sum, k-Sum, and Maximum Sub-array Problems

org.drip.graph.treebuilder - package org.drip.graph.treebuilder

Stubs for Spanning Tree Construction

org.drip.historical.attribution - package org.drip.historical.attribution

Position Market Change Components Attribution

org.drip.historical.engine - package org.drip.historical.engine

Product Horizon Change Explain Engine

org.drip.historical.sensitivity - package org.drip.historical.sensitivity

Product Horizon Change Tenor Sensitivity

org.drip.historical.state - package org.drip.historical.state

Historical Implied Curve Node Metrics

org.drip.investing.engine - package org.drip.investing.engine

Quantitative Investment Run Execution Engine

org.drip.investing.factors - package org.drip.investing.factors

Factor Types, Characteristics, and Constitution

org.drip.investing.factorspec - package org.drip.investing.factorspec

Factor Value Categories and Ranges

org.drip.investing.model - package org.drip.investing.model

Multi-Factor Model Suite implementation

org.drip.investing.riskindex - package org.drip.investing.riskindex

Implementation of Risk Factor Indices

org.drip.learning.bound - package org.drip.learning.bound

Covering Numbers, Concentration, Lipschitz Bounds

org.drip.learning.kernel - package org.drip.learning.kernel

Statistical Learning Banach Mercer Kernels

org.drip.learning.regularization - package org.drip.learning.regularization

Statistical Learning Empirical Loss Regularizer

org.drip.learning.rxtor1 - package org.drip.learning.rxtor1

Statistical Learning Empirical Loss Penalizer

org.drip.learning.svm - package org.drip.learning.svm

Kernel SVM Decision Function Operator

org.drip.loan.borrower - package org.drip.loan.borrower

Asset Backed Loan Borrower Characteristics

org.drip.loan.characteristics - package org.drip.loan.characteristics

Asset Backed Loan Level Characteristics

org.drip.market.definition - package org.drip.market.definition

IBOR, FX, Overnight Index Container

org.drip.market.exchange - package org.drip.market.exchange

Deliverable Swap, STIR, Treasury Futures

org.drip.market.issue - package org.drip.market.issue

Market Issue Treasury Setting Container

org.drip.market.otc - package org.drip.market.otc

OTC Dual Stream Option Container

org.drip.measure.bayesian - package org.drip.measure.bayesian

Prior, Conditional, Posterior Theil Bayesian

org.drip.measure.bridge - package org.drip.measure.bridge

Broken Date Brownian Bridge Interpolator

org.drip.measure.chisquare - package org.drip.measure.chisquare

Chi-Square Distribution Implementation/Properties

org.drip.measure.continuous - package org.drip.measure.continuous

R¹ R^d Continuous Random Measure

org.drip.measure.crng - package org.drip.measure.crng

Continuous Random Number Stream Generator

org.drip.measure.discrete - package org.drip.measure.discrete

Antithetic, Quadratically Re-sampled, De-biased Distribution

org.drip.measure.dynamics - package org.drip.measure.dynamics

Jump Diffusion Evolution Evaluator Variants

org.drip.measure.exponential - package org.drip.measure.exponential

R¹ Exponential Distribution Implementation/Properties

org.drip.measure.gamma - package org.drip.measure.gamma

R¹ Gamma Distribution Implementation/Properties

org.drip.measure.gaussian - package org.drip.measure.gaussian

R¹ R^d Covariant Gaussian Quadrature

org.drip.measure.joint - package org.drip.measure.joint

R^d Vertex Edge Realization Evolution

org.drip.measure.lebesgue - package org.drip.measure.lebesgue

Uniform Piece-wise Lebesgue Measure

org.drip.measure.process - package org.drip.measure.process

Jump Diffusion Evolver Process Variants

org.drip.measure.realization - package org.drip.measure.realization

Stochastic Jump Diffusion Vertex Edge

org.drip.measure.statistics - package org.drip.measure.statistics

R¹ R^d Thin Thick Moments

org.drip.measure.stochastic - package org.drip.measure.stochastic

R¹ R¹ To R¹ Process

org.drip.measure.transform - package org.drip.measure.transform

Expressing one Measure Using Another

org.drip.numerical.common - package org.drip.numerical.common

Primitives/Array Manipulate Format Display

org.drip.numerical.differentiation - package org.drip.numerical.differentiation

R¹ R^d Numerical Differentiation Schemes

org.drip.numerical.eigen - package org.drip.numerical.eigen

QR PICE Eigen Component Extractor

org.drip.numerical.estimation - package org.drip.numerical.estimation

Function Numerical Estimates/Corrections/Bounds

org.drip.numerical.fourier - package org.drip.numerical.fourier

Fourier - Rotation Counter, Phase Adjuster

org.drip.numerical.integration - package org.drip.numerical.integration

R¹ R^d Numerical Integration Schemes

org.drip.numerical.laplacian - package org.drip.numerical.laplacian

Laplace Transform - Quadrature Based Evaluation

org.drip.numerical.linearalgebra - package org.drip.numerical.linearalgebra

Linear Algebra Matrix Transform Library

org.drip.numerical.quadrature - package org.drip.numerical.quadrature

R¹ Gaussian Integration Quadrature Schemes

org.drip.oms.benchmark - package org.drip.oms.benchmark

Benchmark/Tie/Peg Price Thresholds

org.drip.oms.depth - package org.drip.oms.depth

L1/L2/L3 Deep Books

org.drip.oms.exchange - package org.drip.oms.exchange

Implementation of Venue Order Handling

org.drip.oms.fill - package org.drip.oms.fill

Implementation of Order Fulfillment Schemes

org.drip.oms.indifference - package org.drip.oms.indifference

Reservation Price Good-deal Bounds

org.drip.oms.switchable - package org.drip.oms.switchable

Implementation of Switchable Stop Order

org.drip.oms.thresholded - package org.drip.oms.thresholded

Implementation of Thresholded Limit Order

org.drip.oms.transaction - package org.drip.oms.transaction

Order Specification and Session Metrics

org.drip.oms.unthresholded - package org.drip.oms.unthresholded

Implementation of Unthresholded Market Orders

org.drip.optimization.canonical - package org.drip.optimization.canonical

Linear Programming Framework Canonical Elements

org.drip.optimization.constrained - package org.drip.optimization.constrained

KKT Fritz-John Constrained Optimizer

org.drip.optimization.cuttingplane - package org.drip.optimization.cuttingplane

Polyhedral Cutting Plane Generation Schemes

org.drip.optimization.lp - package org.drip.optimization.lp

LP Objectives, Constraints, and Optimizers

org.drip.optimization.necessary - package org.drip.optimization.necessary

Constrained Optimizer Necessary Sufficient Conditions

org.drip.optimization.regularity - package org.drip.optimization.regularity

Constrained Optimizer Regularity Qualifier Conditions

org.drip.param.config - package org.drip.param.config

Library Level Configuration Parameters Setting

org.drip.param.creator - package org.drip.param.creator

Market Curves Surfaces Quotes Builder

org.drip.param.definition - package org.drip.param.definition

Latent State Quantification Metrics Tweak

org.drip.param.market - package org.drip.param.market

Curves Surfaces Quotes Fixings Container

org.drip.param.period - package org.drip.param.period

Composite Composable Period Builder Settings

org.drip.param.pricer - package org.drip.param.pricer

Pricing Parameters Customization Settings Control

org.drip.param.quote - package org.drip.param.quote

Multi-sided Multi-Measure Ticks Quotes

org.drip.param.quoting - package org.drip.param.quoting

Quoting Convention Valuation Customization Parameters

org.drip.param.valuation - package org.drip.param.valuation

Valuation Settlement and Valuation Customization Parameters

org.drip.portfolioconstruction.allocator - package org.drip.portfolioconstruction.allocator

MVO Based Portfolio Allocation Construction

org.drip.portfolioconstruction.alm - package org.drip.portfolioconstruction.alm

Sharpe-Tint Asset Liability Manager

org.drip.portfolioconstruction.asset - package org.drip.portfolioconstruction.asset

Asset Characteristics, Bounds, Portfolio Benchmarks

org.drip.portfolioconstruction.bayesian - package org.drip.portfolioconstruction.bayesian

Black Litterman Bayesian Portfolio Construction

org.drip.portfolioconstruction.cardinality - package org.drip.portfolioconstruction.cardinality

Portfolio Construction under Cardinality Bounds

org.drip.portfolioconstruction.composite - package org.drip.portfolioconstruction.composite

Portfolio Construction Component Groups Suite

org.drip.portfolioconstruction.constraint - package org.drip.portfolioconstruction.constraint

Portfolio Construction Constraint Term Suite

org.drip.portfolioconstruction.core - package org.drip.portfolioconstruction.core

Core Portfolio Construction Component Suite

org.drip.portfolioconstruction.cost - package org.drip.portfolioconstruction.cost

Transaction Charge Objective Term Suite

org.drip.portfolioconstruction.mpt - package org.drip.portfolioconstruction.mpt

Security Characteristic Capital Allocation Lines

org.drip.portfolioconstruction.objective - package org.drip.portfolioconstruction.objective

Portfolio Construction Objective Term Suite

org.drip.portfolioconstruction.optimizer - package org.drip.portfolioconstruction.optimizer

Core Portfolio Construction Optimizer Suite

org.drip.portfolioconstruction.params - package org.drip.portfolioconstruction.params

Asset Universe Statistical Properties Container

org.drip.portfolioconstruction.risk - package org.drip.portfolioconstruction.risk

Portfolio Construction Risk/Covariance Component

org.drip.pricer.option - package org.drip.pricer.option

Deterministic/Stochastic Volatility Settings/Greeks

org.drip.product.calib - package org.drip.product.calib

Curve/Surface Calibration Quote Sets

org.drip.product.creator - package org.drip.product.creator

Streams and Products Construction Utilities

org.drip.product.credit - package org.drip.product.credit

Credit Products - Components and Baskets

org.drip.product.definition - package org.drip.product.definition

Fixed Income Components/Baskets Definitions

org.drip.product.fra - package org.drip.product.fra

Standard/Market FRAs - Caps/Floors

org.drip.product.fx - package org.drip.product.fx

FX Forwards, Cross Currency Swaps

org.drip.product.govvie - package org.drip.product.govvie

Treasury Bills, Notes, Bonds, Futures

org.drip.product.option - package org.drip.product.option

Options on Fixed Income Components

org.drip.product.params - package org.drip.product.params

Fixed Income Product Customization Parameters

org.drip.product.rates - package org.drip.product.rates

Fixed Income Multi-Stream Components

org.drip.regression.core - package org.drip.regression.core

Regression Engine Core - Unit Regressors

org.drip.regression.curve - package org.drip.regression.curve

Curve Construction/Reconciliation Regression Engine

org.drip.regression.curvejacobian - package org.drip.regression.curvejacobian

Curve Jacobian Reconciliation Regression Engine

org.drip.regression.fixedpointfinder - package org.drip.regression.fixedpointfinder

Fixed Point Finder Regression Engine

org.drip.regression.spline - package org.drip.regression.spline

Custom Basis Spline Regression Engine

org.drip.sample.agency - package org.drip.sample.agency

Agency Bond Analytical Measures Generation

org.drip.sample.algo - package org.drip.sample.algo

C^x R^x In-Place Manipulation

org.drip.sample.allocation - package org.drip.sample.allocation

Managed Segment Capital Allocation Schemes

org.drip.sample.almgren2003 - package org.drip.sample.almgren2003

Almgren (2003) Power Law Liquidity

org.drip.sample.almgren2009 - package org.drip.sample.almgren2009

Almgren (2009) Optimal Adaptive HJB

org.drip.sample.almgren2012 - package org.drip.sample.almgren2012

Almgren (2012) Dynamic Optimal Adaptive

org.drip.sample.almgrenchriss - package org.drip.sample.almgrenchriss

Almgren Chriss Efficient Frontier Trajectories

org.drip.sample.andersen2017vm - package org.drip.sample.andersen2017vm

Andersen Pykhtin Sokol Regression VM

org.drip.sample.anfuso2017 - package org.drip.sample.anfuso2017

Anfuso, Karyampas, and Nawroth (2017)

org.drip.sample.assetallocation - package org.drip.sample.assetallocation

MVO Based Constrained Optimal Allocator

org.drip.sample.assetallocationexcel - package org.drip.sample.assetallocationexcel

Asset-Bound Allocator Excel Reconciliation

org.drip.sample.assetbacked - package org.drip.sample.assetbacked

ABS Custom Cash Flow Bonds

org.drip.sample.athl - package org.drip.sample.athl

Almgren-Thum-Hauptmann-Li Estimator

org.drip.sample.bcbs - package org.drip.sample.bcbs

BCBS/Jurisdictional Capital/Leverage Compliance Checks

org.drip.sample.bessel - package org.drip.sample.bessel

Estimates of the Bessel Functions

org.drip.sample.beta - package org.drip.sample.beta

Estimates of the Beta Functions

org.drip.sample.betafixedfloat - package org.drip.sample.betafixedfloat

Two Beta Float Float Scheme

org.drip.sample.betafloatfloat - package org.drip.sample.betafloatfloat

Two Beta Float Float Scheme

org.drip.sample.blacklitterman - package org.drip.sample.blacklitterman

Canonical Black Litterman and Extensions

org.drip.sample.bloomberg - package org.drip.sample.bloomberg

Bloomberg CDSO CDSW SWPM YAS

org.drip.sample.bond - package org.drip.sample.bond

Bullet, EOS Bond Metrics + Curve

org.drip.sample.bondapi - package org.drip.sample.bondapi

Fixed Coupon KRD + RV Measures

org.drip.sample.bondeos - package org.drip.sample.bondeos

EOS Bond Bullet/Exercise Measures

org.drip.sample.bondfixed - package org.drip.sample.bondfixed

Fixed Coupon Agency/Corporate Bonds

org.drip.sample.bondfloat - package org.drip.sample.bondfloat

Floating Coupon Bullet Corporate Bond

org.drip.sample.bondmetrics - package org.drip.sample.bondmetrics

Bond Relative Value Replication Demonstration

org.drip.sample.bondsink - package org.drip.sample.bondsink

Sinkable Amortizing Capitalizing Bond Analytics

org.drip.sample.bondswap - package org.drip.sample.bondswap

Swap-Index Bond Analytics Metrics

org.drip.sample.burgard2011 - package org.drip.sample.burgard2011

Burgard Kjaer (2011) PDE Evolver

org.drip.sample.burgard2012 - package org.drip.sample.burgard2012

Burgard Kjaer (2012) Valuation Adjustments

org.drip.sample.burgard2013 - package org.drip.sample.burgard2013

Burgard Kjaer (2013) Valuation Adjustments

org.drip.sample.businessspec - package org.drip.sample.businessspec

Business Grouping and Hierarchy Specification

org.drip.sample.capfloor - package org.drip.sample.capfloor

FRA Standard Cap Floor Valuation

org.drip.sample.cashflow - package org.drip.sample.cashflow

Fixed Income Product Cash Flow Display

org.drip.sample.chisquaredistribution - package org.drip.sample.chisquaredistribution

Chi-Square Distribution Usage/Properties

org.drip.sample.ckls - package org.drip.sample.ckls

Analysis of CKLS Process Variants

org.drip.sample.classifier - package org.drip.sample.classifier

Binary Classifier Supremum Bounds Estimator

org.drip.sample.cma - package org.drip.sample.cma

LATAM Corporate and Sovereign Bonds

org.drip.sample.cms - package org.drip.sample.cms

Dual Stream Constant Maturity Swap

org.drip.sample.concurrency - package org.drip.sample.concurrency

Concurrent Daemons Helper Utilities Illustration

org.drip.sample.connectivity - package org.drip.sample.connectivity

Graph Connectivity and SCC Algorithms

org.drip.sample.corporate - package org.drip.sample.corporate

Corporate Bond Relative Value Analytics

org.drip.sample.correlatedstress - package org.drip.sample.correlatedstress

Correlated Stress Scenario Construction, Query, Generation

org.drip.sample.coveringnumber - package org.drip.sample.coveringnumber

Agnostic Function Covering Number Bounds

org.drip.sample.credit - package org.drip.sample.credit

Single Name Portfolio CDS Analytics

org.drip.sample.creditfeed - package org.drip.sample.creditfeed

CDX NA IG Series Reconstitutor

org.drip.sample.credithistorical - package org.drip.sample.credithistorical

CDX NA IG Historical Metrics

org.drip.sample.creditindexpnl - package org.drip.sample.creditindexpnl

CDX NA IG PnL Attribution

org.drip.sample.creditoption - package org.drip.sample.creditoption

CDS Single Name Index Option

org.drip.sample.cross - package org.drip.sample.cross

Single/Dual Stream XCCY Component

org.drip.sample.csaevents - package org.drip.sample.csaevents

Time-line of IMA/CSA Event Sequences

org.drip.sample.date - package org.drip.sample.date

Calendar Date Roll Day Count

org.drip.sample.descentverifier - package org.drip.sample.descentverifier

Armijo/Wolfe Strong/Weak Curvature

org.drip.sample.digamma - package org.drip.sample.digamma

Estimates of the Digamma Functions

org.drip.sample.distancetest - package org.drip.sample.distancetest

Empirical Univariate Gap Distance Tests

org.drip.sample.dual - package org.drip.sample.dual

G7 Standard Cross Currency Swap

org.drip.sample.efficientfrontier - package org.drip.sample.efficientfrontier

Efficient Frontier Markovitz Bullet Variants

org.drip.sample.efronstein - package org.drip.sample.efronstein

Efron Stein Sequence Sum Bounds

org.drip.sample.env - package org.drip.sample.env

Environment Module Loader Cache Manager

org.drip.sample.erf - package org.drip.sample.erf

E² and Eⁿ erf Estimation

org.drip.sample.erfx - package org.drip.sample.erfx

E² erfc and erfi Estimation

org.drip.sample.execution - package org.drip.sample.execution

Nonlinear Trading Enhanced Market Impact

org.drip.sample.exponential - package org.drip.sample.exponential

R¹ Exponential Distribution Run Sweep

org.drip.sample.fedfund - package org.drip.sample.fedfund

Overnight/Composite Fed Fund LIBOR

org.drip.sample.feed - package org.drip.sample.feed

Loaders for Different Input Files

org.drip.sample.fixfloat - package org.drip.sample.fixfloat

Coupon, Floater, Amortizing IRS Variants

org.drip.sample.fixfloatoption - package org.drip.sample.fixfloatoption

Fix Float Payer Receiver Options

org.drip.sample.fixfloatpnl - package org.drip.sample.fixfloatpnl

Fix Float PnL Attribution Decomposition

org.drip.sample.floatfloat - package org.drip.sample.floatfloat

Float Float OTC Index Definitions

org.drip.sample.forward - package org.drip.sample.forward

IBOR Spline Forward Curve Construction

org.drip.sample.forwardratefutures - package org.drip.sample.forwardratefutures

Jurisdiction IRS Futures Options Definition

org.drip.sample.forwardratefuturesfeed - package org.drip.sample.forwardratefuturesfeed

Forward Rate Futures Feed Reconstitutor

org.drip.sample.forwardratefuturespnl - package org.drip.sample.forwardratefuturespnl

Forward Rate Futures PnL Attribution

org.drip.sample.forwardvolatility - package org.drip.sample.forwardvolatility

Custom Spline Forward Volatility Surface

org.drip.sample.fra - package org.drip.sample.fra

Multi-Curve FRA Market/Standard

org.drip.sample.funding - package org.drip.sample.funding

Shape Preserving Local Funding Curve

org.drip.sample.fundingfeed - package org.drip.sample.fundingfeed

Smooth Shape Preserving Funding Feed

org.drip.sample.fundinghistorical - package org.drip.sample.fundinghistorical

Smooth Shape Preserving Funding Historical

org.drip.sample.fx - package org.drip.sample.fx

Smooth Shape Preserving FX Curve

org.drip.sample.gamma - package org.drip.sample.gamma

Estimates of the Gamma Functions

org.drip.sample.gammadistribution - package org.drip.sample.gammadistribution

R¹ Gamma Distribution Usage/Properties

org.drip.sample.gammaincomplete - package org.drip.sample.gammaincomplete

Estimates of Incomplete Gamma Functions

org.drip.sample.gausskronrod - package org.drip.sample.gausskronrod

R¹ Gauss-Kronrod Quadrature Schemes

org.drip.sample.gaussquadrature - package org.drip.sample.gaussquadrature

R¹ Gauss-Legendre Gauss-Lobatto Quadratures

org.drip.sample.govvie - package org.drip.sample.govvie

Boot/Spline Govvie Curve Construction

org.drip.sample.govviemc - package org.drip.sample.govviemc

Monte Carlo Govvie Path Vertexes

org.drip.sample.graph - package org.drip.sample.graph

Graph Traversal and Navigation Algorithms

org.drip.sample.graphsearch - package org.drip.sample.graphsearch

Breadth/Depth First Search/Ordering

org.drip.sample.heap - package org.drip.sample.heap

Priority Queue and Heap Algorithms

org.drip.sample.helitterman - package org.drip.sample.helitterman

He Litterman (1999) Projection Loadings

org.drip.sample.hjm - package org.drip.sample.hjm

HJM Multi-Factor Principal Dynamics

org.drip.sample.hullwhite - package org.drip.sample.hullwhite

Hull White Trinomial Tree Dynamics

org.drip.sample.hypergeometric - package org.drip.sample.hypergeometric

Estimates of Hyper-geometric Function

org.drip.sample.hypothesistest - package org.drip.sample.hypothesistest

Sample/Ensemble Statistical Hypothesis Tests

org.drip.sample.idzorek - package org.drip.sample.idzorek

Idzorek (2005) User Confidence Tilt

org.drip.sample.intexfeed - package org.drip.sample.intexfeed

Custom Curve Forward Projection Metrics

org.drip.sample.json - package org.drip.sample.json

RFC4627 Compliant JSON Lexer Serializer

org.drip.sample.kolmogorov - package org.drip.sample.kolmogorov

Kolmogorov and Fokker Planck Evolution

org.drip.sample.lanczos - package org.drip.sample.lanczos

Lanczos Gamma Calculation Scheme Illustration

org.drip.sample.lmm - package org.drip.sample.lmm

LMM Multi-Factor Monte Carlo

org.drip.sample.loan - package org.drip.sample.loan

Loan Relative Value Metrics Generation

org.drip.sample.lvar - package org.drip.sample.lvar

Liquidity VaR Based Optimal Trajectory

org.drip.sample.matrix - package org.drip.sample.matrix

Cholesky Factorization, PCA, and Eigenization

org.drip.sample.measure - package org.drip.sample.measure

Lebesgue Measure Brownian Bridge Interpolation

org.drip.sample.mporfixfloat - package org.drip.sample.mporfixfloat

CSA Enforced Fix-Float MPoR

org.drip.sample.mporfixfloatxva - package org.drip.sample.mporfixfloatxva

OTC Fix-Float MPoR XVA

org.drip.sample.mporstream - package org.drip.sample.mporstream

CSA Enforced Stream Path MPoR

org.drip.sample.mst - package org.drip.sample.mst

Minimum Spanning Tree and Forest Algorithms

org.drip.sample.multicurve - package org.drip.sample.multicurve

Multi-Curve Construction and Valuation

org.drip.sample.municipal - package org.drip.sample.municipal

Municipal Bond Analytics Sample Demonstration

org.drip.sample.netting - package org.drip.sample.netting

Netting Portfolio Group Simulation Aggregation

org.drip.sample.newtoncotes - package org.drip.sample.newtoncotes

R¹ Newton-Cotes Quadrature Schemes

org.drip.sample.numeraire - package org.drip.sample.numeraire

R¹ Joint Jump Diffusion Numeraire

org.drip.sample.numerical - package org.drip.sample.numerical

Search, Quadratures, Fourier Phase Tracker

org.drip.sample.ois - package org.drip.sample.ois

Index/Fund OIS Curve Reconcilation

org.drip.sample.oisapi - package org.drip.sample.oisapi

OIS Construction and Valuation API

org.drip.sample.optimizer - package org.drip.sample.optimizer

Lagrangian/KKT Necessary Sufficient Conditions

org.drip.sample.option - package org.drip.sample.option

Deterministic (Black) / Stochastic (Heston) Options

org.drip.sample.overnight - package org.drip.sample.overnight

Shape Preserving Stretch Overnight Curve

org.drip.sample.overnightfeed - package org.drip.sample.overnightfeed

G7 Smooth OIS Feed Reconstitutor

org.drip.sample.overnighthistorical - package org.drip.sample.overnighthistorical

G7 Smooth OIS 1M Forward

org.drip.sample.pareto - package org.drip.sample.pareto

R¹ Pareto Distribution Run Sweep

org.drip.sample.piterbarg2010 - package org.drip.sample.piterbarg2010

Piterbarg (2010) CSA Measure Extraction

org.drip.sample.piterbarg2012 - package org.drip.sample.piterbarg2012

Piterbarg (2012) Domestic Foreign Collateral

org.drip.sample.preferred - package org.drip.sample.preferred

Preferred Stock Analytics Sample Demonstration

org.drip.sample.principal - package org.drip.sample.principal

Information Ratio Based Principal Trading

org.drip.sample.pykhtin2009 - package org.drip.sample.pykhtin2009

Regression Based Secondary Stochastic Projection

org.drip.sample.quantile - package org.drip.sample.quantile

Quantile Generation and Comparison Testing

org.drip.sample.randomdiscrete - package org.drip.sample.randomdiscrete

Discrete Distribution Random Number Generator

org.drip.sample.rdtor1 - package org.drip.sample.rdtor1

Constrained/Unconstrained Covariance Ellipsoid Function

org.drip.sample.rng - package org.drip.sample.rng

QR Unbiased Antithetic Random Generator

org.drip.sample.sabr - package org.drip.sample.sabr

SABR Forward Evolution Black Volatility

org.drip.sample.samplestatistics - package org.drip.sample.samplestatistics

Empirical Univariate Sample Statistical Tests

org.drip.sample.scaledexponential - package org.drip.sample.scaledexponential

Scaled Exponential Function - Estimates/Moments

org.drip.sample.securitysuite - package org.drip.sample.securitysuite

Custom Security Relative Value Demonstration

org.drip.sample.selection - package org.drip.sample.selection

k^th Extremum Element Selection Algorithms

org.drip.sample.semidefinite - package org.drip.sample.semidefinite

Semi-Definite Constrained Ellipsoid Variance

org.drip.sample.sensitivity - package org.drip.sample.sensitivity

Forward Funding OIS Curve Sensitivity

org.drip.sample.sequence - package org.drip.sample.sequence

IID Dual Poisson Sequence Bound

org.drip.sample.service - package org.drip.sample.service

Curve Product Portfolio Valuation Services

org.drip.sample.shortestpath - package org.drip.sample.shortestpath

Source Destination Shortest Path Algorithms

org.drip.sample.simm - package org.drip.sample.simm

ISDA Product SIMM Margin Estimation

org.drip.sample.simmcrnq - package org.drip.sample.simmcrnq

ISDA SIMM Credit Non-Qualifying Estimates

org.drip.sample.simmcrq - package org.drip.sample.simmcrq

ISDA SIMM Credit Qualifying Estimates

org.drip.sample.simmct - package org.drip.sample.simmct

ISDA SIMM Commodity Estimate Runs

org.drip.sample.simmcurvature - package org.drip.sample.simmcurvature

Position Curvature Margin - ISDA Curvature Response vs.

org.drip.sample.simmeq - package org.drip.sample.simmeq

ISDA SIMM Equity Estimate Runs

org.drip.sample.simmfx - package org.drip.sample.simmfx

ISDA SIMM FX Estimate Runs

org.drip.sample.simmir - package org.drip.sample.simmir

ISDA SIMM Rates Estimate Runs

org.drip.sample.simmsettings - package org.drip.sample.simmsettings

ISDA SIMM Calibration Parameter Settings

org.drip.sample.simmvariance - package org.drip.sample.simmvariance

Position Bucket Co-variance - ISDA SIMM vs.

org.drip.sample.simplex - package org.drip.sample.simplex

LP Simplex Formulation and Solution

org.drip.sample.softheap - package org.drip.sample.softheap

Soft Heap Based Priority Queues

org.drip.sample.sovereign - package org.drip.sample.sovereign

Sovereign Bond Construction and Analytics

org.drip.sample.spline - package org.drip.sample.spline

Basis Monic Multic Tension Spline

org.drip.sample.statistics - package org.drip.sample.statistics

Correlated R^d Random Sequence Statistics

org.drip.sample.stirling - package org.drip.sample.stirling

Stirling Approximation Based Gamma Estimates

org.drip.sample.stochasticvolatility - package org.drip.sample.stochasticvolatility

Heston AMST Stochastic Volatility Pricing

org.drip.sample.stretch - package org.drip.sample.stretch

Knot Insertion Curvature Roughness Penalty

org.drip.sample.subarray - package org.drip.sample.subarray

Sub-set and Sub-array Sums/Matches

org.drip.sample.systemicstress - package org.drip.sample.systemicstress

Built-in GSST Scenario Examination

org.drip.sample.tadonkivial - package org.drip.sample.tadonkivial

Tadonki-Vial Cardinality Bound Allocation

org.drip.sample.treasury - package org.drip.sample.treasury

G20 Govvie Bond Definitions YAS

org.drip.sample.treasuryfeed - package org.drip.sample.treasuryfeed

G20 Govvie Bond Feed Reconstitution

org.drip.sample.treasuryfutures - package org.drip.sample.treasuryfutures

UST Futures Eligibility Definitions Valuation

org.drip.sample.treasuryfuturesapi - package org.drip.sample.treasuryfuturesapi

G20 Treasury Futures Valuation API

org.drip.sample.treasuryfuturesfeed - package org.drip.sample.treasuryfuturesfeed

G20 Treasury Futures Feed Reconstitutor

org.drip.sample.treasuryfuturespnl - package org.drip.sample.treasuryfuturespnl

G20 Treasury Futures PnL Attribution

org.drip.sample.treasuryfuturesrisk - package org.drip.sample.treasuryfuturesrisk

Treasury Futures Key Rate Duration

org.drip.sample.treasurypnl - package org.drip.sample.treasurypnl

G20 Benchmark Treasury PnL Attribution

org.drip.sample.trend - package org.drip.sample.trend

Fixed/Variable Bayesian Drift Gain

org.drip.sample.xccy - package org.drip.sample.xccy

OTC Cross Currency Swaps Definition

org.drip.sample.xva - package org.drip.sample.xva

XVA Collateralized Uncollateralized Zero Threshold

org.drip.sample.xvabasel - package org.drip.sample.xvabasel

Basel XVA Accounting Metrics Scheme

org.drip.sample.xvadigest - package org.drip.sample.xvadigest

Basel XVA Accounting Metrics Digest

org.drip.sample.xvafixfloat - package org.drip.sample.xvafixfloat

Cross Product XVA Simulation Digest

org.drip.sample.xvastrategy - package org.drip.sample.xvastrategy

Burgard Kjaer (2013) XVA Strategies

org.drip.sample.xvatopology - package org.drip.sample.xvatopology

Aggregation Group Based XVA Topology

org.drip.sequence.custom - package org.drip.sequence.custom

Glivenko Cantelli Supremum Deviation Bounds

org.drip.sequence.functional - package org.drip.sequence.functional

Efron Stein Functional Supremum Bounds

org.drip.sequence.metrics - package org.drip.sequence.metrics

Sequence Bounds Agnostic Metrics Estimators

org.drip.sequence.random - package org.drip.sequence.random

Correlated Multi-Factor Sequence Generator

org.drip.service.api - package org.drip.service.api

Horizon Roll Attribution Service API

org.drip.service.assetallocation - package org.drip.service.assetallocation

JSON Based In/Out Service

org.drip.service.common - package org.drip.service.common

Assorted Data Structures Support Utilities

org.drip.service.engine - package org.drip.service.engine

Compute Engine Request-Response Thunker

org.drip.service.env - package org.drip.service.env

Library Module Loader Environment Manager

org.drip.service.json - package org.drip.service.json

JSON Based Valuation Request Service

org.drip.service.jsonparser - package org.drip.service.jsonparser

RFC4627 Compliant JSON Message Parser

org.drip.service.product - package org.drip.service.product

Product Horizon PnL Attribution Decomposition

org.drip.service.representation - package org.drip.service.representation

RFC4627 Compliant JSON Message Object

org.drip.service.scenario - package org.drip.service.scenario

Custom Scenario Service Metric Generator

org.drip.service.state - package org.drip.service.state

Curve Based State Metric Generator

org.drip.service.template - package org.drip.service.template

Curve Construction Product Builder Templates

org.drip.simm.commodity - package org.drip.simm.commodity

Commodity Risk Factor Calibration Settings

org.drip.simm.common - package org.drip.simm.common

Common Cross Risk Factor Utilities

org.drip.simm.credit - package org.drip.simm.credit

Credit Qualifying/Non-Qualifying Risk Factor Settings

org.drip.simm.equity - package org.drip.simm.equity

Equity Risk Factor Calibration Settings

org.drip.simm.estimator - package org.drip.simm.estimator

ISDA SIMM Core + Add-On Estimator

org.drip.simm.foundation - package org.drip.simm.foundation

Foundation Utilities for ISDA SIMM

org.drip.simm.fx - package org.drip.simm.fx

FX Risk Factor Calibration Settings

org.drip.simm.margin - package org.drip.simm.margin

ISDA SIMM Risk Factor Margin Metrics

org.drip.simm.parameters - package org.drip.simm.parameters

ISDA SIMM Risk Factor Parameters

org.drip.simm.product - package org.drip.simm.product

ISDA SIMM Risk Factor Sensitivities

org.drip.simm.rates - package org.drip.simm.rates

SIMM IR Risk Factor Settings

org.drip.spaces.big - package org.drip.spaces.big

Big-data In-place Manipulator

org.drip.spaces.cover - package org.drip.spaces.cover

Vector Spaces Covering Number Estimator

org.drip.spaces.functionclass - package org.drip.spaces.functionclass

Normed Finite Spaces Function Class

org.drip.spaces.instance - package org.drip.spaces.instance

Validated Continuous/Combinatorial Metric Spaces

org.drip.spaces.iterator - package org.drip.spaces.iterator

Iterative/Exhaustive Vector Space Scanners

org.drip.spaces.metric - package org.drip.spaces.metric

Hilbert/Banach Normed Metric Spaces

org.drip.spaces.rxtor1 - package org.drip.spaces.rxtor1

R^x To R¹ Normed Function Spaces

org.drip.spaces.rxtord - package org.drip.spaces.rxtord

R^x To R^d Normed Function Spaces

org.drip.spaces.tensor - package org.drip.spaces.tensor

R^x Continuous/Combinatorial Tensor Spaces

org.drip.specialfunction.bessel - package org.drip.specialfunction.bessel

Ordered Bessel Function Variant Estimators

org.drip.specialfunction.beta - package org.drip.specialfunction.beta

Estimation Techniques for Beta Function

org.drip.specialfunction.definition - package org.drip.specialfunction.definition

Definition of Special Function Estimators

org.drip.specialfunction.derived - package org.drip.specialfunction.derived

Special Functions Derived using Others

org.drip.specialfunction.digamma - package org.drip.specialfunction.digamma

Estimation Techniques for Digamma Function

org.drip.specialfunction.gamma - package org.drip.specialfunction.gamma

Analytic/Series/Integral Gamma Estimators

org.drip.specialfunction.generator - package org.drip.specialfunction.generator

Special Function Series Term Generators

org.drip.specialfunction.group - package org.drip.specialfunction.group

Special Function Singularity Solution Group

org.drip.specialfunction.hankel - package org.drip.specialfunction.hankel

Ordered Hankel Function Variant Estimators

org.drip.specialfunction.hypergeometric - package org.drip.specialfunction.hypergeometric

Hyper-geometric Function Estimation Schemes

org.drip.specialfunction.incompletegamma - package org.drip.specialfunction.incompletegamma

Upper/Lower Incomplete Gamma Functions

org.drip.specialfunction.lanczos - package org.drip.specialfunction.lanczos

Lanczos Scheme for Gamma Estimate

org.drip.specialfunction.loggamma - package org.drip.specialfunction.loggamma

Analytic/Series/Integral Log Gamma Estimators

org.drip.specialfunction.ode - package org.drip.specialfunction.ode

Special Function Ordinary Differential Equations

org.drip.specialfunction.property - package org.drip.specialfunction.property

Special Function Property Lemma Verifiers

org.drip.specialfunction.scaledexponential - package org.drip.specialfunction.scaledexponential

Scaled Exponential Function Implementation Distribution

org.drip.spline.basis - package org.drip.spline.basis

Basis Spline Construction/Customization Parameters

org.drip.spline.bspline - package org.drip.spline.bspline

de Boor Rational/Exponential/Tension B-Splines

org.drip.spline.grid - package org.drip.spline.grid

Aggregated/Overlapping Stretch/Span Grids

org.drip.spline.multidimensional - package org.drip.spline.multidimensional

Multi-dimensional Wire Surface Stretch

org.drip.spline.params - package org.drip.spline.params

Spline Segment Construction Control Parameters

org.drip.spline.pchip - package org.drip.spline.pchip

Monotone Convex Themed PCHIP Splines

org.drip.spline.segment - package org.drip.spline.segment

Flexure Penalizing Best Fit Segment

org.drip.spline.stretch - package org.drip.spline.stretch

Multi-Segment Sequence Spline Stretch

org.drip.spline.tension - package org.drip.spline.tension

Koch Lyche Kvasov Tension Splines

org.drip.state.basis - package org.drip.state.basis

Basis State Curve Construction/Estimation

org.drip.state.boot - package org.drip.state.boot

Bootable Discount, Credit, Volatility States

org.drip.state.creator - package org.drip.state.creator

Scenario State Curve/Surface Builders

org.drip.state.credit - package org.drip.state.credit

Credit Latent State Curve Representation

org.drip.state.csa - package org.drip.state.csa

Credit Support Annex Latent State

org.drip.state.curve - package org.drip.state.curve

Basis Spline Based Latent States

org.drip.state.discount - package org.drip.state.discount

Discount Curve Spline Latent State

org.drip.state.estimator - package org.drip.state.estimator

Multi-Pass Customized Stretch Curve

org.drip.state.forward - package org.drip.state.forward

Forward Latent State Curve Estimator

org.drip.state.fx - package org.drip.state.fx

FX Latent State Curve Estimator

org.drip.state.govvie - package org.drip.state.govvie

Govvie Latent State Curve Estimator

org.drip.state.identifier - package org.drip.state.identifier

Latent State Identifier Labels

org.drip.state.inference - package org.drip.state.inference

Latent State Stretch Sequence Inference

org.drip.state.nonlinear - package org.drip.state.nonlinear

Nonlinear (i.e., Boot) Latent State Construction

org.drip.state.repo - package org.drip.state.repo

Latent State Repo Curve Estimator

org.drip.state.representation - package org.drip.state.representation

Latent State Merge Sub-stretch

org.drip.state.sequence - package org.drip.state.sequence

Monte Carlo Path State Realizations

org.drip.state.volatility - package org.drip.state.volatility

Latent State Volatility Curve/Surface

org.drip.template.forwardratefutures - package org.drip.template.forwardratefutures

Forward Rate Futures Construction Template

org.drip.template.irs - package org.drip.template.irs

Standard IRS Fix-Float Template

org.drip.template.state - package org.drip.template.state

Standard Latent State Construction Template

org.drip.template.statebump - package org.drip.template.statebump

Shifted Latent State Construction Template

org.drip.template.ust - package org.drip.template.ust

Standard UST Suite Construction Template

org.drip.validation.distance - package org.drip.validation.distance

Hypothesis Target Distance Test Builders

org.drip.validation.evidence - package org.drip.validation.evidence

Sample and Ensemble Evidence Processing

org.drip.validation.hypothesis - package org.drip.validation.hypothesis

Statistical Hypothesis Validation Test Suite

org.drip.validation.quantile - package org.drip.validation.quantile

Quantile Based Graphical Numerical Validators

org.drip.validation.riskfactorjoint - package org.drip.validation.riskfactorjoint

Joint Risk Factor Aggregate Tests

org.drip.validation.riskfactorsingle - package org.drip.validation.riskfactorsingle

Single Risk Factor Aggregate Tests

org.drip.xva.basel - package org.drip.xva.basel

XVA Based Basel Accounting Measures

org.drip.xva.definition - package org.drip.xva.definition

XVA Definition - Close Out, Universe

org.drip.xva.derivative - package org.drip.xva.derivative

Burgard Kjaer Dynamic Portfolio Replication

org.drip.xva.dynamics - package org.drip.xva.dynamics

XVA Dynamics - Settings and Evolution

org.drip.xva.gross - package org.drip.xva.gross

XVA Gross Adiabat Exposure Aggregation

org.drip.xva.hypothecation - package org.drip.xva.hypothecation

XVA Hypothecation Group Amount Estimation

org.drip.xva.netting - package org.drip.xva.netting

Credit/Debt/Funding Netting Groups

org.drip.xva.pde - package org.drip.xva.pde

Burgard Kjaer PDE Evolution Scheme

org.drip.xva.proto - package org.drip.xva.proto

Collateral, Counter Party, Netting Groups

org.drip.xva.settings - package org.drip.xva.settings

XVA Group and Path Settings

org.drip.xva.strategy - package org.drip.xva.strategy

Replication Strategy Based Netting Group

org.drip.xva.topology - package org.drip.xva.topology

Collateral, Credit/Debt, Funding Topologies

org.drip.xva.vertex - package org.drip.xva.vertex

XVA Hypothecation Group Vertex Generators

OrientedPassageTimeBound - Class in org.drip.sample.efronstein

OrientedPassageTimeBound demonstrates the Computation of the Probabilistic Bounds for the First Passage Time in a Grid of Oriented Percolation using Variants of the Efron-Stein Methodology.

OrientedPassageTimeBound() - Constructor for class org.drip.sample.efronstein.OrientedPassageTimeBound

OrientedPercolationFirstPassage - Class in org.drip.sequence.custom

OrientedPercolationFirstPassage contains Variance Bounds on the Critical Measures of the Standard Problem of First Passage Time in Oriented Percolation.

OrientedPercolationFirstPassage(double, double) - Constructor for class org.drip.sequence.custom.OrientedPercolationFirstPassage

OrientedPercolationFirstPassage Constructor

OriginalPrincipal - Class in org.drip.loan.characteristics

OriginalPrincipal contains the Origination Loan Principal.

OriginalPrincipal(double) - Constructor for class org.drip.loan.characteristics.OriginalPrincipal

OriginalPrincipal Constructor

originalReferenceCoupon() - Method in class org.drip.market.exchange.TreasuryFuturesSettle

Retrieve the Original Reference Coupon

OriginationFICO - Class in org.drip.loan.borrower

OriginationFICO contains the Borrower's FICO Score at a given Loan's Origination.

OriginationFICO(double) - Constructor for class org.drip.loan.borrower.OriginationFICO

OriginationFICO Constructor

originationMonth() - Method in class org.drip.loan.characteristics.Vintage

Retrieve the Origination Month

originationYear() - Method in class org.drip.loan.characteristics.Vintage

Retrieve the Origination Year

OrnsteinUhlenbeck - Interface in org.drip.measure.process

OrnsteinUhlenbeck Interface exposes the Reference Parameter Scales the guide the Random Variable Evolution according to Ornstein-Uhlenbeck Mean Reverting Process.

OrnsteinUhlenbeck(double, double) - Static method in class org.drip.dynamics.meanreverting.CKLSParameters

Construct the Ornstein-Uhlenbeck Instance of the CKLS Parameters

OrnsteinUhlenbeckPair - Class in org.drip.measure.process

OrnsteinUhlenbeckPair guides the Random Variable Evolution according to 2D Ornstein-Uhlenbeck Mean Reverting Process.

OrnsteinUhlenbeckPair(DiffusionEvaluatorOrnsteinUhlenbeck, DiffusionEvaluatorOrnsteinUhlenbeck, double) - Constructor for class org.drip.measure.process.OrnsteinUhlenbeckPair

OrnsteinUhlenbeckPair Constructor

OrnsteinUhlenbeckPopulationCentralMeasures - Class in org.drip.sample.ckls

OrnsteinUhlenbeckPopulationCentralMeasures illustrates the Aging of Population Central Measures, both Temporal and Steady-State, of an Evolving R¹ Ornstein-Uhlenbeck Process.

OrnsteinUhlenbeckPopulationCentralMeasures() - Constructor for class org.drip.sample.ckls.OrnsteinUhlenbeckPopulationCentralMeasures

OrnsteinUhlenbeckSequence - Class in org.drip.execution.latent

OrnsteinUhlenbeckSequence holds the Sequence of the Market State that drives the Liquidity and the Volatility Market States driven using an Ornstein-Uhlenbeck Process.

OrnsteinUhlenbeckSteadyStatePDF - Class in org.drip.sample.kolmogorov

OrnsteinUhlenbeckSteadyStatePDF illustrates the Steady-State Distribution of an Evolving R¹ Ornstein-Uhlenbeck Process.

OrnsteinUhlenbeckSteadyStatePDF() - Constructor for class org.drip.sample.kolmogorov.OrnsteinUhlenbeckSteadyStatePDF

OrnsteinUhlenbeckTemporalPDF - Class in org.drip.sample.kolmogorov

OrnsteinUhlenbeckTemporalPDF illustrates the Temporal Distribution of an Evolving R¹ Ornstein Uhlenbeck Process.

OrnsteinUhlenbeckTemporalPDF() - Constructor for class org.drip.sample.kolmogorov.OrnsteinUhlenbeckTemporalPDF

ornsteinUnlenbeckProcess() - Method in class org.drip.execution.hjb.NonDimensionalCostEvolver

Retrieve the Reference Ornstein-Unlenbeck Process

orthogonalPolynomial(int) - Method in class org.drip.numerical.quadrature.OrthogonalPolynomialSuite

Retrieve the Orthogonal Polynomial corresponding to the Specified Degree

OrthogonalPolynomial - Class in org.drip.numerical.quadrature

OrthogonalPolynomial implements a Single Basis Orthogonal Polynomial used in the Construction of the Quadrature.

OrthogonalPolynomial(TreeMap<Integer, Double>) - Constructor for class org.drip.numerical.quadrature.OrthogonalPolynomial

OrthogonalPolynomial Constructor

orthogonalPolynomialMap() - Method in class org.drip.numerical.quadrature.OrthogonalPolynomialSuite

Retrieve the Orthogonal Polynomial Map

orthogonalPolynomialSuite() - Method in class org.drip.numerical.quadrature.IntegrandGenerator

Retrieve the Orthogonal Polynomial Suite

OrthogonalPolynomialSuite - Class in org.drip.numerical.quadrature

OrthogonalPolynomialSuite holds the Suite of Basis Orthogonal Polynomials used in the Construction of the Quadrature.

OrthogonalPolynomialSuite() - Constructor for class org.drip.numerical.quadrature.OrthogonalPolynomialSuite

Empty OrthogonalPolynomialSuite Constructor

OS_B - Static variable in class org.drip.capital.definition.Business

OS and B Business

OS_B - Static variable in class org.drip.capital.definition.Product

OS and B Product

OSBBreakdown - Class in org.drip.sample.betafloatfloat

OSBBreakdown zeds the Managed Sub-segment Level Allocation for the Specified Managed Segment using the Two Beta Scheme.

OSBBreakdown() - Constructor for class org.drip.sample.betafloatfloat.OSBBreakdown

OSBDetail - Class in org.drip.sample.betafixedfloat

OSBDetail zeds the Managed Sub-segment Level Allocation for the Specified Managed Segment using the Two Beta Scheme.

OSBDetail() - Constructor for class org.drip.sample.betafixedfloat.OSBDetail

OSBExplain - Class in org.drip.sample.allocation

OSBExplain zeds the GOC-Level Stand-alone for the Specified Managed Segment.

OSBExplain() - Constructor for class org.drip.sample.allocation.OSBExplain

OTCAccountingModus - Class in org.drip.xva.basel

OTCAccountingModus implements the Generic Basel Accounting Scheme using the Streamlined Accounting Framework for OTC Derivatives, as described in Albanese and Andersen (2014).

OTCAccountingModusFCAFBA - Class in org.drip.xva.basel

OTCAccountingModusFCAFBA implements the Basel Accounting Scheme using the FCA/FBA Specification of the Streamlined Accounting Framework for OTC Derivatives, as described in Albanese and Andersen (2014).

OTCAccountingModusFCAFBA(ExposureAdjustmentAggregator) - Constructor for class org.drip.xva.basel.OTCAccountingModusFCAFBA

OTCAccountingModusFCAFBA Constructor

OTCAccountingModusFVAFDA - Class in org.drip.xva.basel

OTCAccountingModusFVAFDA implements the Basel Accounting Scheme using the FVA/FDA Specification of the Streamlined Accounting Framework for OTC Derivatives, as described in Albanese and Andersen (2014).

OTCAccountingModusFVAFDA(ExposureAdjustmentAggregator) - Constructor for class org.drip.xva.basel.OTCAccountingModusFVAFDA

OTCAccountingModusFVAFDA Constructor

OTCAccountingPolicy - Class in org.drip.xva.basel

OTCAccountingPolicy implements the Generic Basel Accounting Policy using the Streamlined Accounting Framework for OTC Derivatives, as described in Albanese and Andersen (2014).

OTCAccountingPolicy(double, double, double, double) - Constructor for class org.drip.xva.basel.OTCAccountingPolicy

OTCAccountingPolicy Constructor

OTCCrossCurrencyDefinitions - Class in org.drip.sample.xccy

OTCCrossCurrencyDefinitions contains all the pre-fixed Definitions of the OTC Cross-Currency Float-Float Swap Contracts.

OTCCrossCurrencyDefinitions() - Constructor for class org.drip.sample.xccy.OTCCrossCurrencyDefinitions

OTCCrossCurrencySwaps - Class in org.drip.sample.xccy

OTCCrossCurrencySwaps demonstrates the Construction and Valuation of the Cross-Currency Floating Swap of OTC contracts.

OTCCrossCurrencySwaps() - Constructor for class org.drip.sample.xccy.OTCCrossCurrencySwaps

otcFixFloat() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer

Retrieve the OTC Fix Float Latent State Node Container

otcFixFloat(OTCFixFloatLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer

Retrieve the OTC Fix Float Latent State

otcFixFloat(OTCFixFloatLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer

Retrieve of Labeled OTC Fix Float

otcFixFloatExists(OTCFixFloatLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer

Indicate if the OTC Fix Float Latent State Exists

otcFixFloatLabel() - Method in class org.drip.exposure.holdings.FixFloatBaselPositionEstimator

Retrieve the OTC Fix Float Label

otcFixFloatLabel() - Method in class org.drip.product.credit.BondComponent

otcFixFloatLabel() - Method in class org.drip.product.credit.CDSComponent

otcFixFloatLabel() - Method in interface org.drip.product.definition.ComponentMarketParamRef

Get the Map of OTC Fix Float Latent State Labels

otcFixFloatLabel() - Method in class org.drip.product.fx.FXForwardComponent

otcFixFloatLabel() - Method in class org.drip.product.govvie.TreasuryFutures

otcFixFloatLabel() - Method in class org.drip.product.option.OptionComponent

otcFixFloatLabel() - Method in class org.drip.product.rates.FixFloatComponent

otcFixFloatLabel() - Method in class org.drip.product.rates.FloatFloatComponent

otcFixFloatLabel() - Method in class org.drip.product.rates.RatesBasket

otcFixFloatLabel() - Method in class org.drip.product.rates.SingleStreamComponent

otcFixFloatLabel() - Method in class org.drip.product.rates.Stream

Retrieve the OTC Fix Float Label, if Present

OTCFixFloatLabel - Class in org.drip.state.identifier

OTCFixFloatLabel contains the Index Parameters referencing a Payment on an OTC Fix/Float IRS Par Rate Index.

OTCFixFloatLabel(FloaterIndex, String, String) - Constructor for class org.drip.state.identifier.OTCFixFloatLabel

OTCFixFloatLabel Constructor

otcFixFloatMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer

Retrieve the OTC Fix Float Evolver Map

OTCInstrumentBuilder - Class in org.drip.service.template

OTCInstrumentBuilder contains static Helper API to facilitate Construction of OTC Instruments.

OTCInstrumentBuilder() - Constructor for class org.drip.service.template.OTCInstrumentBuilder

OTCPayerAggressiveTimeline - Class in org.drip.sample.mporfixfloat

OTCPayerAggressiveTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Payer Swap on a Daily Grid using the "Aggressive" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).

OTCPayerAggressiveTimeline() - Constructor for class org.drip.sample.mporfixfloat.OTCPayerAggressiveTimeline

OTCPayerClassicalMinusTimeline - Class in org.drip.sample.mporfixfloat

OTCPayerClassicalMinusTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Payer Swap on a Daily Grid using the "Classical-" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).

OTCPayerClassicalMinusTimeline() - Constructor for class org.drip.sample.mporfixfloat.OTCPayerClassicalMinusTimeline

OTCPayerClassicalPlusTimeline - Class in org.drip.sample.mporfixfloat

OTCPayerClassicalPlusTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Payer Swap on a Daily Grid using the "Classical+" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).

OTCPayerClassicalPlusTimeline() - Constructor for class org.drip.sample.mporfixfloat.OTCPayerClassicalPlusTimeline

OTCPayerConservativeTimeline - Class in org.drip.sample.mporfixfloat

OTCPayerConservativeTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Payer Swap on a Daily Grid using the "Conservative" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).

OTCPayerConservativeTimeline() - Constructor for class org.drip.sample.mporfixfloat.OTCPayerConservativeTimeline

OTCPayerCSAAggressive - Class in org.drip.sample.mporfixfloatxva

OTCPayerCSAAggressive displays the MPoR-related XVA Metrics Suite for the given OTC Payer Swap on a Daily Grid using the "Aggressive" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).

OTCPayerCSAAggressive() - Constructor for class org.drip.sample.mporfixfloatxva.OTCPayerCSAAggressive

OTCPayerCSAClassicalMinus - Class in org.drip.sample.mporfixfloatxva

OTCPayerCSAClassicalMinus displays the MPoR-related XVA Metrics Suite for the given OTC Payer Swap on a Daily Grid using the "Classical-" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).

OTCPayerCSAClassicalMinus() - Constructor for class org.drip.sample.mporfixfloatxva.OTCPayerCSAClassicalMinus

OTCPayerCSAClassicalPlus - Class in org.drip.sample.mporfixfloatxva

OTCPayerCSAClassicalPlus displays the MPoR-related XVA Metrics Suite for the given OTC Payer Swap on a Daily Grid using the "Classical+" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).

OTCPayerCSAClassicalPlus() - Constructor for class org.drip.sample.mporfixfloatxva.OTCPayerCSAClassicalPlus

OTCPayerCSAConservative - Class in org.drip.sample.mporfixfloatxva

OTCPayerCSAConservative displays the MPoR-related XVA Metrics Suite for the given OTC Payer Swap on a Daily Grid using the "Conservative" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).

OTCPayerCSAConservative() - Constructor for class org.drip.sample.mporfixfloatxva.OTCPayerCSAConservative

OTCReceiverAggressiveTimeline - Class in org.drip.sample.mporfixfloat

OTCReceiverAggressiveTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Receiver Swap on a Daily Grid using the "Aggressive" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).

OTCReceiverAggressiveTimeline() - Constructor for class org.drip.sample.mporfixfloat.OTCReceiverAggressiveTimeline

OTCReceiverClassicalMinusTimeline - Class in org.drip.sample.mporfixfloat

OTCReceiverClassicalMinusTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Receiver Swap on a Daily Grid using the "Classical-" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).

OTCReceiverClassicalMinusTimeline() - Constructor for class org.drip.sample.mporfixfloat.OTCReceiverClassicalMinusTimeline

OTCReceiverClassicalPlusTimeline - Class in org.drip.sample.mporfixfloat

OTCReceiverClassicalPlusTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Receiver Swap on a Daily Grid using the "Classical+" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).

OTCReceiverClassicalPlusTimeline() - Constructor for class org.drip.sample.mporfixfloat.OTCReceiverClassicalPlusTimeline

OTCReceiverConservativeTimeline - Class in org.drip.sample.mporfixfloat

OTCReceiverConservativeTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Receiver Swap on a Daily Grid using the "Conservative" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).

OTCReceiverConservativeTimeline() - Constructor for class org.drip.sample.mporfixfloat.OTCReceiverConservativeTimeline

OTCReceiverCSAAggressive - Class in org.drip.sample.mporfixfloatxva

OTCReceiverCSAAggressive displays the MPoR-related XVA Metrics Suite for the given OTC Receiver Swap on a Daily Grid using the "Aggressive" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).

OTCReceiverCSAAggressive() - Constructor for class org.drip.sample.mporfixfloatxva.OTCReceiverCSAAggressive

OTCReceiverCSAClassicalMinus - Class in org.drip.sample.mporfixfloatxva

OTCReceiverCSAClassicalMinus displays the MPoR-related XVA Metrics Suite for the given OTC Receiver Swap on a Daily Grid using the "Classical-" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).

OTCReceiverCSAClassicalMinus() - Constructor for class org.drip.sample.mporfixfloatxva.OTCReceiverCSAClassicalMinus

OTCReceiverCSAClassicalPlus - Class in org.drip.sample.mporfixfloatxva

OTCReceiverCSAClassicalPlus displays the MPoR-related XVA Metrics Suite for the given OTC Receiver Swap on a Daily Grid using the "Classical+" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).

OTCReceiverCSAClassicalPlus() - Constructor for class org.drip.sample.mporfixfloatxva.OTCReceiverCSAClassicalPlus

OTCReceiverCSAConservative - Class in org.drip.sample.mporfixfloatxva

OTCReceiverCSAConservative displays the MPoR-related XVA Metrics Suite for the given OTC Receiver Swap on a Daily Grid using the "Conservative" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).

OTCReceiverCSAConservative() - Constructor for class org.drip.sample.mporfixfloatxva.OTCReceiverCSAConservative

OTCSwapOptionSettlements - Class in org.drip.sample.multicurve

OTCSwapOptionSettlements contains all the pre-fixed Definitions of the OTC Swap Option Settlements.

OTCSwapOptionSettlements() - Constructor for class org.drip.sample.multicurve.OTCSwapOptionSettlements

OTHER_BAM - Static variable in class org.drip.capital.definition.Business

Other_BAM Business

OTHER_CONSUMER - Static variable in class org.drip.capital.definition.Business

Other_Consumer Business

OTHER_FI_UNDERWRITING - Static variable in class org.drip.capital.definition.Business

Other FI Undwrtng Business

OTHER_GLOBAL_MARKETS - Static variable in class org.drip.capital.definition.Business

Other FI Glbl Mkts Business

OTHER_GLOBAL_MARKETS - Static variable in class org.drip.capital.definition.Product

Other_Global_Markets Product

OTHER_SPECIAL_ASSET_POOL - Static variable in class org.drip.capital.definition.Business

Other Special Asset Pool Business

OtherBAMBreakdown - Class in org.drip.sample.betafloatfloat

OtherBAMBreakdown zeds the Managed Sub-segment Level Allocation for the Specified Managed Segment using the Two Beta Scheme.

OtherBAMBreakdown() - Constructor for class org.drip.sample.betafloatfloat.OtherBAMBreakdown

OtherBAMDetail - Class in org.drip.sample.betafixedfloat

OtherBAMDetail zeds the Managed Sub-segment Level Allocation for the Specified Managed Segment using the Two Beta Scheme.

OtherBAMDetail() - Constructor for class org.drip.sample.betafixedfloat.OtherBAMDetail

OtherBAMExplain - Class in org.drip.sample.allocation

OtherBAMExplain zeds the GOC-Level Stand-alone for the Specified Managed Segment.

OtherBAMExplain() - Constructor for class org.drip.sample.allocation.OtherBAMExplain

OtherConsumerBreakdown - Class in org.drip.sample.betafloatfloat

OtherConsumerBreakdown zeds the Managed Sub-segment Level Allocation for the Specified Managed Segment using the Two Beta Scheme.

OtherConsumerBreakdown() - Constructor for class org.drip.sample.betafloatfloat.OtherConsumerBreakdown

OtherConsumerDetail - Class in org.drip.sample.betafixedfloat

OtherConsumerDetail zeds the Managed Sub-segment Level Allocation for the Specified Managed Segment using the Two Beta Scheme.

OtherConsumerDetail() - Constructor for class org.drip.sample.betafixedfloat.OtherConsumerDetail

OtherConsumerExplain - Class in org.drip.sample.allocation

OtherConsumerExplain zeds the GOC-Level Stand-alone for the Specified Managed Segment.

OtherConsumerExplain() - Constructor for class org.drip.sample.allocation.OtherConsumerExplain

OtherFIUndwrtngBreakdown - Class in org.drip.sample.betafloatfloat

OtherFIUndwrtngBreakdown zeds the Managed Sub-segment Level Allocation for the Specified Managed Segment using the Two Beta Scheme.

OtherFIUndwrtngBreakdown() - Constructor for class org.drip.sample.betafloatfloat.OtherFIUndwrtngBreakdown

OtherFIUndwrtngDetail - Class in org.drip.sample.betafixedfloat

OtherFIUndwrtngDetail zeds the Managed Sub-segment Level Allocation for the Specified Managed Segment using the Two Beta Scheme.

OtherFIUndwrtngDetail() - Constructor for class org.drip.sample.betafixedfloat.OtherFIUndwrtngDetail

OtherFIUndwrtngExplain - Class in org.drip.sample.allocation

OtherFIUndwrtngExplain zeds the GOC-Level Stand-alone for the Specified Managed Segment.

OtherFIUndwrtngExplain() - Constructor for class org.drip.sample.allocation.OtherFIUndwrtngExplain

OtherGlblMktsBreakdown - Class in org.drip.sample.betafloatfloat

OtherGlblMktsBreakdown zeds the Managed Sub-segment Level Allocation for the Specified Managed Segment using the Two Beta Scheme.

OtherGlblMktsBreakdown() - Constructor for class org.drip.sample.betafloatfloat.OtherGlblMktsBreakdown

OtherGlblMktsDetail - Class in org.drip.sample.betafixedfloat

OtherGlblMktsDetail zeds the Managed Sub-segment Level Allocation for the Specified Managed Segment using the Two Beta Scheme.

OtherGlblMktsDetail() - Constructor for class org.drip.sample.betafixedfloat.OtherGlblMktsDetail

OtherGlblMktsExplain - Class in org.drip.sample.allocation

OtherGlblMktsExplain zeds the GOC-Level Stand-alone for the Specified Managed Segment.

OtherGlblMktsExplain() - Constructor for class org.drip.sample.allocation.OtherGlblMktsExplain

OtherSpecialAssetPoolBreakdown - Class in org.drip.sample.betafloatfloat

OtherSpecialAssetPoolBreakdown zeds the Managed Sub-segment Level Allocation for the Specified Managed Segment using the Two Beta Scheme.

OtherSpecialAssetPoolBreakdown() - Constructor for class org.drip.sample.betafloatfloat.OtherSpecialAssetPoolBreakdown

OtherSpecialAssetPoolDetail - Class in org.drip.sample.betafixedfloat

OtherSpecialAssetPoolDetail zeds the Managed Sub-segment Level Allocation for the Specified Managed Segment using the Two Beta Scheme.

OtherSpecialAssetPoolDetail() - Constructor for class org.drip.sample.betafixedfloat.OtherSpecialAssetPoolDetail

OtherSpecialAssetPoolExplain - Class in org.drip.sample.allocation

OtherSpecialAssetPoolExplain zeds the GOC-Level Stand-alone for the Specified Managed Segment.

OtherSpecialAssetPoolExplain() - Constructor for class org.drip.sample.allocation.OtherSpecialAssetPoolExplain

OToole2013 - Class in org.drip.sample.blacklitterman

OToole2013 reconciles the Outputs of the Black-Litterman Model Process.

OToole2013() - Constructor for class org.drip.sample.blacklitterman.OToole2013

outcomeArray() - Method in class org.drip.capital.stress.PnLSeries

Retrieve the Array of PnL Outcomes

outcomeMap() - Method in class org.drip.validation.distance.HypothesisOutcomeSuite

Retrieve the Outcome Map

outDegree() - Method in class org.drip.graph.core.Vertex

Retrieve the Out-Degree of the Vertex

output() - Method in class org.drip.function.definition.VariateOutputPair

Retrieve the Function Output Value Array

output() - Method in class org.drip.service.api.DateDiscountCurvePair

Retrieve the Output Dump

output(JulianDate) - Method in class org.drip.exposure.mpor.CollateralAmountEstimator

Generate the MarginAmountEstimatorOutput Instance

outputDimension() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite

Compute the Output Dimension

outputMetricVectorSpace() - Method in class org.drip.learning.kernel.IntegralOperatorEigenContainer

Retrieve the Eigen Output Space

outputMetricVectorSpace() - Method in class org.drip.learning.kernel.SymmetricRdToNormedR1Kernel

Retrieve the Output R^1 Metric Vector Space

outputMetricVectorSpace() - Method in class org.drip.learning.kernel.SymmetricRdToNormedRdKernel

Retrieve the Output R^d Metric Vector Space

outputMetricVectorSpace() - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite

outputMetricVectorSpace() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite

outputMetricVectorSpace() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite

Retrieve the Output Vector Space

outputMetricVectorSpace() - Method in class org.drip.spaces.rxtor1.NormedR1ToNormedR1

outputMetricVectorSpace() - Method in class org.drip.spaces.rxtor1.NormedRdToNormedR1

outputMetricVectorSpace() - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1

Retrieve the Output Metric Vector Space

outputMetricVectorSpace() - Method in class org.drip.spaces.rxtord.NormedR1ToNormedRd

outputMetricVectorSpace() - Method in class org.drip.spaces.rxtord.NormedRdToNormedRd

outputMetricVectorSpace() - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd

Retrieve the Output Metric Vector Space

outputVectorMetricSpace() - Method in class org.drip.learning.kernel.IntegralOperator

Retrieve the Kernel Integral Operator Output Space

outright() - Method in class org.drip.product.calib.FXForwardQuoteSet

Retrieve the Terminal FX Forward Outright

outstandingFactorSchedule() - Method in class org.drip.product.params.NotionalSetting

Retrieve the Outstanding Factor Schedule

outstandingUnits() - Method in class org.drip.execution.parameters.AssetFlowSettings

Retrieve the Outstanding Number of the Traded Units

overlap(LatentStateMergeSubStretch) - Method in class org.drip.state.representation.LatentStateMergeSubStretch

Identify if the Supplied Merge Stretch overlaps with the provided one.

OverlappingStretchSpan - Class in org.drip.spline.grid

OverlappingStretchSpan implements the Span interface, and the collection functionality of overlapping Stretches.

OverlappingStretchSpan(MultiSegmentSequence) - Constructor for class org.drip.spline.grid.OverlappingStretchSpan

OverlappingStretchSpan constructor

overnight() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer

Retrieve the Overnight Latent State Node Container

overnight() - Method in class org.drip.exposure.evolver.PrimarySecurityDynamicsContainer

Retrieve the Overnight Index Primary Security

overnight() - Method in class org.drip.state.identifier.FloaterLabel

Indicate if the Index is an Overnight Index

overnight() - Method in class org.drip.state.identifier.OvernightLabel

Indicate if the Index is an Overnight Index

overnight(OvernightLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer

Retrieve the Overnight Latent State

overnight(OvernightLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer

Retrieve of Labeled Overnight

OvernightArithmeticCompoundingConvexity - Class in org.drip.sample.ois

OvernightArithmeticCompoundingConvexity contains an assessment of the impact of the Overnight Index Volatility, the Funding Numeraire Volatility, and the ON Index/Funding Correlation on the Overnight Floating Stream.

OvernightArithmeticCompoundingConvexity() - Constructor for class org.drip.sample.ois.OvernightArithmeticCompoundingConvexity

overnightCurve() - Method in class org.drip.state.csa.MultilateralBasisCurve

Retrieve the Overnight Curve

OvernightCurve(JulianDate, String, String[], double[], String, String[], double[], String, String[], String[], double[], String, String[], double[], String, int) - Static method in class org.drip.service.template.LatentMarketStateBuilder

Construct an Overnight Curve from Overnight Exchange/OTC Market Instruments

OvernightCurve(JulianDate, String, String[], double[], String, String[], double[], String, String[], String[], double[], String, String[], double[], String, SegmentCustomBuilderControl) - Static method in class org.drip.service.template.LatentMarketStateBuilder

Construct an Overnight Curve from Overnight Exchange/OTC Market Instruments

OvernightCurveAPI - Class in org.drip.service.state

OvernightCurveAPI computes the Metrics associated the Overnight Curve State.

OvernightCurveAPI() - Constructor for class org.drip.service.state.OvernightCurveAPI

OvernightDeposit(JulianDate, String, String) - Static method in class org.drip.service.template.OTCInstrumentBuilder

Construct an OTC Overnight Deposit Instrument from the Spot Date and the Maturity Tenor

OvernightDeposit(JulianDate, String, String[]) - Static method in class org.drip.service.template.OTCInstrumentBuilder

Construct an Array of OTC Overnight Deposit Instrument from their Maturity Tenors

OvernightEdgeDates(int, int, String) - Static method in class org.drip.analytics.support.CompositePeriodBuilder

Generate the List of Overnight Edge Dates between the specified dates, using the specified Calendar

OvernightEdgeDates(JulianDate, JulianDate, String) - Static method in class org.drip.analytics.support.CompositePeriodBuilder

Generate the List of Overnight Edge Dates between the specified dates, using the specified Calendar

overnightExists(OvernightLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer

Indicate if the Overnight Latent State Exists

OvernightFedFundLIBORSwap - Class in org.drip.sample.fedfund

OvernightFedFundLIBORSwap demonstrates the Construction, the Valuation, and Bloomberg Metrics Analysis for the Composite Fed Fund vs.

OvernightFedFundLIBORSwap() - Constructor for class org.drip.sample.fedfund.OvernightFedFundLIBORSwap

OvernightFixedFloatContainer - Class in org.drip.market.otc

OvernightFixedFloatContainer holds the settings of the standard OTC Overnight Fix-Float Swap Contract Conventions.

OvernightFixedFloatContainer() - Constructor for class org.drip.market.otc.OvernightFixedFloatContainer

overnightIndex() - Method in class org.drip.state.identifier.OvernightLabel

Retrieve the Overnight Index

OvernightIndex - Class in org.drip.market.definition

OvernightIndex contains the definitions of the overnight indexes of different jurisdictions.

OvernightIndex(String, String, String, String, String, String, int, int) - Constructor for class org.drip.market.definition.OvernightIndex

OvernightIndex Constructor

OvernightIndexContainer - Class in org.drip.market.definition

OvernightIndexContainer holds the definitions of the overnight index definitions corresponding to different jurisdictions.

OvernightIndexContainer() - Constructor for class org.drip.market.definition.OvernightIndexContainer

OvernightIndexCurve - Class in org.drip.sample.forward

OvernightIndexCurve illustrates the Construction and Usage of the Overnight Index Discount Curve.

OvernightIndexCurve() - Constructor for class org.drip.sample.forward.OvernightIndexCurve

OvernightIndexMarksReconstitutor - Class in org.drip.feed.transformer

OvernightIndexMarksReconstitutor transforms the Overnight Instrument Manifest Measures (e.g., Deposits and OIS) Feed Inputs into Formats appropriate for Overnight Curve Construction and Measure Generation.

OvernightIndexMarksReconstitutor() - Constructor for class org.drip.feed.transformer.OvernightIndexMarksReconstitutor

OvernightIndexSwapAPI - Class in org.drip.service.product

OvernightIndexSwapAPI exposes the Pricing and the Scenario Runs for an Overnight Index Swap.

OvernightIndexSwapAPI() - Constructor for class org.drip.service.product.OvernightIndexSwapAPI

OvernightJurisdictionIndexDefinition - Class in org.drip.sample.ois

OvernightJurisdictionIndexDefinition demonstrates the functionality to retrieve the Overnight Index Settings across the various Jurisdictions.

OvernightJurisdictionIndexDefinition() - Constructor for class org.drip.sample.ois.OvernightJurisdictionIndexDefinition

overnightLabel() - Method in class org.drip.xva.proto.CollateralGroupSpecification

Retrieve the Overnight Label

overnightLabel() - Method in class org.drip.xva.topology.CollateralGroup

Retrieve the Overnight Label

OvernightLabel - Class in org.drip.state.identifier

OvernightLabel contains the Index Parameters referencing an Overnight Index.

overnightLabelMap() - Method in class org.drip.xva.topology.Adiabat

Retrieve the Overnight Label Map

overnightLabelMap() - Method in class org.drip.xva.topology.AdiabatMarketParams

Retrieve the Map of Overnight Labels

overnightLabelMap() - Method in class org.drip.xva.topology.CreditDebtGroup

Retrieve the Overnight Label Map

overnightLabelMap() - Method in class org.drip.xva.topology.FundingGroup

Retrieve the Overnight Label Map

overnightMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer

Retrieve the Overnight Evolver Map

overnightOvernightCorrelation(OvernightLabel, OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer

Retrieve the Correlation Surface between the Pair of Overnight Latent States

overnightPaydownCorrelation(OvernightLabel, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer

Retrieve the Correlation Surface for the specified Overnight and the Pay-down Latent States

overnightRate() - Method in class org.drip.exposure.universe.MarketVertex

Retrieve the Realized Overnight Index Rate

overnightRatingCorrelation(OvernightLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer

Retrieve the Correlation Surface for the specified Overnight and the Rating Latent States

overnightRecoveryCorrelation(OvernightLabel, EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer

Retrieve the Correlation Surface for the specified Overnight and the Recovery Latent States

overnightReplicator() - Method in class org.drip.exposure.universe.MarketVertex

Retrieve the Realized Overnight Index Numeraire

overnightRepoCorrelation(OvernightLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer

Retrieve the Correlation Surface for the specified Overnight and the Repo Latent States

overnightState(OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer

Retrieve the Overnight Latent State Corresponding to the Label

OvernightState - Class in org.drip.template.state

OvernightState sets up the Calibration and the Construction of the Overnight Latent State and examine the Emitted Metrics.

OvernightState() - Constructor for class org.drip.template.state.OvernightState

OvernightStateShifted - Class in org.drip.template.statebump

OvernightStateShifted demonstrates the Generation of the Tenor Bumped Overnight Curves.

OvernightStateShifted() - Constructor for class org.drip.template.statebump.OvernightStateShifted

overnightVolatility(OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer

Retrieve the Volatility Curve for the Overnight Latent State Label

Ozhukarai - Class in org.drip.sample.bondswap

Ozhukarai demonstrates the Analytics Calculation/Reconciliation for the OTC Fix-Float Index Based Bond Ozhukarai.

Ozhukarai() - Constructor for class org.drip.sample.bondswap.Ozhukarai

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