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All Classes|All Packages

F

f() - Method in class org.drip.measure.chisquare.R1NonCentralAbdelAty
Retrieve the Abdel-Aty (1954) f Parameter
F - Class in org.drip.sample.randomdiscrete
F demonstrates Generation of F R2 Random Numbers with Two different Degrees of Freedom.
F() - Constructor for class org.drip.sample.randomdiscrete.F
 
F(int, int, int) - Static method in class org.drip.measure.discrete.SequenceGenerator
Generate an Array of F Distributed Random Numbers
factor() - Method in class org.drip.analytics.output.ExerciseInfo
Retrieve the Exercise Factor
factor() - Method in class org.drip.investing.engine.AssetLoading
Retrieve the Underlying Factor
factor() - Method in class org.drip.param.valuation.WorkoutInfo
Retrieve the Work-out Factor
factor(int) - Method in class org.drip.product.params.EmbeddedOptionSchedule
Get the specific indexed factor
Factor - Class in org.drip.investing.factors
Factor holds the Named Factor and its Portfolio.
Factor - Class in org.drip.portfolioconstruction.core
Factor holds the Details of a specific Factor.
Factor(String, String, String) - Constructor for class org.drip.portfolioconstruction.core.Factor
Factor Constructor
FACTOR - Static variable in class org.drip.portfolioconstruction.core.BlockCategory
Block Category - FACTOR
factorAssetLoading() - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
Retrieve the Joint Factor-Asset Loading Map
factorAssetLoading(String) - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
Retrieve the Loadings for the specified Factor
factorBeta() - Method in class org.drip.investing.engine.AssetLoading
Retrieve the Factor Beta
factorBetaType() - Method in class org.drip.investing.engine.AssetLoading
Retrieve the Factor Beta Type
FactorBetaType - Class in org.drip.investing.engine
FactorBetaType holds the various Kinds of Factor Betas.
FactorBetaType() - Constructor for class org.drip.investing.engine.FactorBetaType
 
factorCategory() - Method in class org.drip.investing.factors.FactorComponentLoading
Retrieve the Factor Category
factorCodeSet() - Method in class org.drip.investing.factors.FactorModel
Retrieve the Set of Factor Codes
FactorComponentLoading - Class in org.drip.investing.factors
FactorComponentLoading holds the Weight and the Loading corresponding to each Factor.
FactorComponentLoading(String, int, int, int, double, double, double) - Constructor for class org.drip.investing.factors.FactorComponentLoading
FactorComponentLoading Constructor
factorComponentLoadingMasterUniverseMap() - Method in class org.drip.investing.factors.FactorPortfolio
Retrieve the Factor Component Loading Master Universe Map
factorCount() - Method in class org.drip.dynamics.ito.DiffusionTensor
Retrieve the Factor Count
Factorial(int) - Static method in class org.drip.numerical.common.NumberUtil
This function implements Factorial N.
FactorialEstimate - Class in org.drip.sample.stirling
FactorialEstimate illustrates the Stirling's Approximation of the Factorial Function.
FactorialEstimate() - Constructor for class org.drip.sample.stirling.FactorialEstimate
 
FactorialEstimateLaplaceCorrection - Class in org.drip.sample.stirling
FactorialEstimateLaplaceCorrection illustrates the Laplace Correction applied to the Stirling's Approximation of the Factorial Function.
FactorialEstimateLaplaceCorrection() - Constructor for class org.drip.sample.stirling.FactorialEstimateLaplaceCorrection
 
FactorialEstimateNemesCorrection - Class in org.drip.sample.stirling
FactorialEstimateNemesCorrection illustrates the Nemes Correction applied to the Stirling's Approximation of the Factorial Function.
FactorialEstimateNemesCorrection() - Constructor for class org.drip.sample.stirling.FactorialEstimateNemesCorrection
 
FactorialEstimateRobbinsBounds - Class in org.drip.sample.stirling
FactorialEstimateRobbinsBounds illustrates the Robbin's Bounds to Stirling's Approximation of the Factorial Function.
FactorialEstimateRobbinsBounds() - Constructor for class org.drip.sample.stirling.FactorialEstimateRobbinsBounds
 
factorizingOperator() - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
Retrieve the Factorizing Diagonal Scaling Operator Instance
factorJointAttribute() - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
Retrieve the Factor-to-Factor Attribute Map
factorMap() - Method in class org.drip.investing.factors.FactorModel
Retrieve the Named Map of Factors underlying the Model
FactorMeta - Class in org.drip.investing.factors
FactorMeta maintains the Meta Attributes of every Factor.
FactorMeta() - Constructor for class org.drip.investing.factors.FactorMeta
 
FactorModel - Class in org.drip.investing.factors
FactorModel contains the Settings of a Scheme that calibrates Betas over the specified Collection of Factors.
FactorModel(String, String) - Constructor for class org.drip.investing.factors.FactorModel
FactorModel Constructor
factorPointVolatility(int, int) - Method in class org.drip.dynamics.hjm.MultiFactorVolatility
Compute the Array of Factor Point Volatilities
factorPointVolatility(int, int, int) - Method in class org.drip.dynamics.hjm.MultiFactorVolatility
Compute the Factor Point Volatility
FactorPortfolio - Class in org.drip.investing.factors
FactorPortfolio has the Portfolio Details that constitute a Factor.
FactorPortfolio(Map<String, FactorComponentLoading>, String, boolean, int) - Constructor for class org.drip.investing.factors.FactorPortfolio
FactorPortfolio Constructor
FactorPortfolioComponentAttribute - Class in org.drip.investing.factors
FactorPortfolioComponentAttribute holds the Attributes of each Component that constitutes the Factor Portfolio.
FactorPortfolioComponentAttribute(double, double, int) - Constructor for class org.drip.investing.factors.FactorPortfolioComponentAttribute
FactorPortfolioComponentAttribute Constructor
FactorPortfolioRanker - Interface in org.drip.investing.factors
FactorPortfolioRanker contains Functionality for Ranking the Factor Portfolio Constituents.
factorPredictorArray() - Method in class org.drip.fdm.definition.EvolutionGrid1D
Retrieve the Array of Factor Predictors
factorPredictorArray() - Method in class org.drip.fdm.definition.R1EvolutionSnapshot
Retrieve the Array of Factor Predictors
factors() - Method in class org.drip.product.params.EmbeddedOptionSchedule
Get the array of factors
factors() - Method in class org.drip.sequence.random.PrincipalFactorSequenceGenerator
Retrieve the Principal Component Factor Array
factorSchedule() - Method in class org.drip.product.params.CouponSetting
Retrieve the Factor Schedule
factorSensitivity() - Method in class org.drip.capital.feed.CapitalUnitCorrelatedScenario
Retrieve the Factor Sensitivity
factorSensitivity() - Method in class org.drip.capital.feed.CapitalUnitIdiosyncraticScenario
Retrieve the Factor Sensitivity
factorSet() - Method in class org.drip.investing.factors.FactorModel
Retrieve the Collection of Factors
factorWeight() - Method in class org.drip.sequence.random.PrincipalFactorSequenceGenerator
Retrieve the Array of Factor Weights
FALSE_POSITION - Static variable in class org.drip.function.r1tor1solver.VariateIteratorPrimitive
False Position
FalsePosition(double, double, double, double) - Static method in class org.drip.function.r1tor1solver.VariateIteratorPrimitive
Iterate for the next variate using false position
FamaFrench3F - Class in org.drip.investing.model
FamaFrench3F implements the Three-Factor Fama-French Model.
FamaFrench5F - Class in org.drip.investing.model
FamaFrench3F implements the Five-Factor Fama-French Model.
family() - Method in class org.drip.market.definition.FloaterIndex
Retrieve the Index Family
family() - Method in class org.drip.simm.product.CreditEntity
Retrieve the Credit Entity Family
family() - Method in class org.drip.state.identifier.FloaterLabel
Retrieve the Family
family() - Method in class org.drip.state.identifier.OvernightLabel
Retrieve the Family
Faridabad - Class in org.drip.sample.bondeos
Faridabad demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Faridabad.
Faridabad() - Constructor for class org.drip.sample.bondeos.Faridabad
 
fatShatteringFunction() - Method in class org.drip.spaces.cover.ScaleSensitiveCoveringBounds
Retrieve the Fat Shattering Coefficient Function
FavoriteGenres - Class in org.drip.sample.algo
FavoriteGenres is the most listened to genre.
FavoriteGenres() - Constructor for class org.drip.sample.algo.FavoriteGenres
 
fba() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Expected FBA
fba() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for FBA
FBB1 - Class in org.drip.sample.treasuryfuturesapi
FBB1 demonstrates the Invocation and Examination of the FBB1 10Y SPGB Treasury Futures.
FBB1() - Constructor for class org.drip.sample.treasuryfuturesapi.FBB1
 
FBB1Attribution - Class in org.drip.sample.treasuryfuturespnl
FBB1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the FBB1 Series.
FBB1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.FBB1Attribution
 
FBB1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
FBB1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated FBB1 Closes Feed.
FBB1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.FBB1ClosesReconstitutor
 
FBB1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
FBB1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the FBB1 Treasury Futures.
FBB1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.FBB1KeyRateDuration
 
fca() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Expected FCA
fca() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for FCA
fda() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Expected FDA
fda() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for FDA
FDA(double) - Static method in class org.drip.xva.basel.ValueAdjustment
Construct the FDA Value Adjustment Instance
feasibleStart() - Method in class org.drip.portfolioconstruction.allocator.BoundedHoldingsAllocationControl
Retrieve an Array of Viable Starting Variates From Within the Feasible Region
feasibleStart() - Method in class org.drip.portfolioconstruction.asset.AssetBounds
Retrieve a Viable Feasible Starting Point
featureMaureyOperatorEntropy(int) - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
Compute the Decision Function Entropy Number Upper Bound using the Product of the Feature Space's Maurey Upper Bound for the Entropy for the specified Entropy Number and the Scaling Operator Entropy Number Upper Bound
featureMaureyOperatorNorm(int) - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
Compute the Decision Function Entropy Number Upper Bound using the Product of the Feature Space's Maurey Upper Bound for the Entropy for the specified Entropy Number and the Scaling Operator Norm
featureNormOperatorEntropy() - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
Compute the Decision Function Entropy Number Upper Bound using the Product of the Feature Space's Norm for the Upper Bound of the Entropy Number and the Scaling Operator Entropy Number Upper Bound
featureSpaceDimension() - Method in class org.drip.learning.kernel.SymmetricRdToNormedR1Kernel
Compute the Feature Space Input Dimension
featureSpaceDimension() - Method in class org.drip.learning.kernel.SymmetricRdToNormedRdKernel
Compute the Feature Space Input Dimension
featureSpaceDimension() - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
Retrieve the Feature Space Dimension
featureSpaceMaureyBound(int) - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
Compute the Feature Space's Maurey Bound for the Entropy Number given the specified Entropy Number
featureSpaceMaureyConstant() - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
Retrieve the Feature Space Maurey Constant
FEBRUARY - Static variable in class org.drip.analytics.date.DateUtil
Integer Month - February
FederalReserve() - Static method in class org.drip.capital.bcbs.HighQualityLiquidAssetStandard
Generate an Instance of the Fed's HQLA Standard
FederalReserveStandard() - Static method in class org.drip.capital.bcbs.HighQualityLiquidAssetSettings
Retrieve the Federal Reserve Version of the HQLA Settings Standard
FedFundFutures - Class in org.drip.sample.forwardratefutures
FedFundFutures contains the demonstration of the construction and the Valuation of the Fed Fund Futures Contract.
FedFundFutures() - Constructor for class org.drip.sample.forwardratefutures.FedFundFutures
 
FedFundOvernightCompounding - Class in org.drip.sample.fedfund
FedFundOvernightCompounding demonstrates in detail the methodology behind the overnight compounding used in the Overnight fund Floating Stream Accrual.
FedFundOvernightCompounding() - Constructor for class org.drip.sample.fedfund.FedFundOvernightCompounding
 
feePolicy(ExposureAdjustmentAggregator) - Method in class org.drip.xva.basel.OTCAccountingModus
Generate the Fee Policy Based on the Aggregation Incremental
feePolicy(ExposureAdjustmentAggregator) - Method in class org.drip.xva.basel.OTCAccountingModusFCAFBA
 
feePolicy(ExposureAdjustmentAggregator) - Method in class org.drip.xva.basel.OTCAccountingModusFVAFDA
 
Feicheng - Class in org.drip.sample.bondeos
Feicheng demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Feicheng.
Feicheng() - Constructor for class org.drip.sample.bondeos.Feicheng
 
fHeuristic() - Method in class org.drip.graph.astar.VertexContextEpsilonAdmissibleHeuristic
Retrieve the F Heuristic
fHeuristic() - Method in class org.drip.graph.shortestpath.FloydWarshall
Retrieve the F Heuristic
fHeuristic() - Method in class org.drip.graph.shortestpath.OptimalPathGenerator
Retrieve the F Heuristic
fHeuristic() - Method in class org.drip.graph.shortestpath.VertexAugmentor
Retrieve the F Heuristic
FHeuristic - Class in org.drip.graph.astar
FHeuristic implements the A* F-Heuristic Value at a Vertex.
FHeuristic(VertexFunction, VertexFunction) - Constructor for class org.drip.graph.astar.FHeuristic
FHeuristic Constructor
FibonacciHeapTimeComplexity - Class in org.drip.graph.asymptote
FibonacciHeapTimeComplexity maintains the Asymptotic Behavior Specifications of a Fibonacci Heap's Operations.
FibonacciHeapTimeComplexity() - Constructor for class org.drip.graph.asymptote.FibonacciHeapTimeComplexity
 
fields() - Method in class org.drip.product.calib.ProductQuoteSet
Return the Set of Fields Available
FIFOBinary() - Static method in class org.drip.graph.heap.TimedCollection
Construct a Binary FIFO (i.e, Queue) Version of TimedCollection
FIFOBinomial() - Static method in class org.drip.graph.heap.TimedCollection
Construct a Binomial FIFO (i.e, Queue) Version of TimedCollection
fill(OrderExecutionProvider) - Method in class org.drip.oms.fill.NestedFulfillmentScheme
Fill the Order Using Child Orders
FILL_OR_KILL - Static variable in class org.drip.oms.transaction.OrderFillWholeSettings
Fill or Kill
FILLED - Static variable in class org.drip.oms.transaction.OrderState
FILLED
Filliben1975(int) - Static method in class org.drip.validation.quantile.PlottingPositionGeneratorHeuristic
Construct the Filliben (1975) Version of the PlottingPositionGeneratorHeuristic
fillOrKill() - Method in class org.drip.oms.transaction.Order
Retrieve the Fill-or-Kill Flag
FillOrKill() - Static method in class org.drip.oms.transaction.OrderFillWholeSettings
Generate a Standard Fill-and-kill OrderFillWholeSettings Instance
fillWholeSettings() - Method in class org.drip.oms.transaction.Order
Retrieve the Fill-Whole Settings
filterOutBuys() - Method in class org.drip.portfolioconstruction.postoptimization.FinalAllocationProcessControl
Retrieve the Filter Out Buys Flag
filterOutSells() - Method in class org.drip.portfolioconstruction.postoptimization.FinalAllocationProcessControl
Retrieve the Filter Out Sells Flag
FIMA - Static variable in class org.drip.capital.definition.Business
FIMA Business
FIMHoliday - Class in org.drip.analytics.holset
FIMHoliday holds the FIM Holidays.
FIMHoliday() - Constructor for class org.drip.analytics.holset.FIMHoliday
FIMHoliday Constructor
FinalAllocationProcessControl - Class in org.drip.portfolioconstruction.postoptimization
FinalAllocationProcessControl contains settings for processing the post-optimized portfolio.
FinalAllocationProcessControl(boolean, boolean, double) - Constructor for class org.drip.portfolioconstruction.postoptimization.FinalAllocationProcessControl
FinalAllocationProcessControl Constructor
FinalAllocationProcessor - Class in org.drip.portfolioconstruction.postoptimization
FinalAllocationProcessor processes the post-optimized portfolio.
FinalAllocationProcessor(Holdings, Holdings) - Constructor for class org.drip.portfolioconstruction.postoptimization.FinalAllocationProcessor
FinalAllocationProcessor Constructor
finalDate() - Method in class org.drip.dynamics.evolution.LSQMCurveUpdate
Retrieve the Final Date
finalDelivery() - Method in class org.drip.market.exchange.TreasuryFuturesEventDates
Retrieve the Final Delivery Date
finalHoldings() - Method in class org.drip.portfolioconstruction.optimizer.RebalancerAnalytics
Retrieve the Final Holdings of the Optimizer Run
finalMaturity() - Method in class org.drip.product.credit.BondComponent
 
finalMaturity() - Method in class org.drip.product.definition.Bond
Return the bond's final maturity
finalMaturityDate() - Method in class org.drip.product.params.BondStream
Retrieve the Final Maturity Date
finalShortRateVariance() - Method in class org.drip.dynamics.hullwhite.ShortRateUpdate
Retrieve the Final Short Rate Variance
FINANCE - Static variable in class org.drip.capital.definition.Business
Finance Business
FinanceBreakdown - Class in org.drip.sample.betafloatfloat
FinanceBreakdown zeds the Managed Sub-segment Level Allocation for the Specified Managed Segment using the Two Beta Scheme.
FinanceBreakdown() - Constructor for class org.drip.sample.betafloatfloat.FinanceBreakdown
 
FinanceDetail - Class in org.drip.sample.betafixedfloat
FinanceDetail zeds the Managed Sub-segment Level Allocation for the Specified Managed Segment using the Two Beta Scheme.
FinanceDetail() - Constructor for class org.drip.sample.betafixedfloat.FinanceDetail
 
FinanceExplain - Class in org.drip.sample.allocation
FinanceExplain zeds the GOC-Level Stand-alone for the Specified Managed Segment.
FinanceExplain() - Constructor for class org.drip.sample.allocation.FinanceExplain
 
FINANCIALS - Static variable in class org.drip.simm.credit.SectorSystemics
The Financials Sector
FinancialStandard() - Static method in class org.drip.spline.stretch.BoundarySettings
Return the Instance of the Standard Financial Boundary Condition
financingScheme() - Method in class org.drip.investing.factors.FactorPortfolio
Retrieve the Financing Scheme
find(VariateInequalityConstraintMultiplier) - Method in class org.drip.function.rdtor1solver.FixedRdFinder
Find the Optimal Variate-Inequality Constraint Multiplier Tuple using the Iteration Parameters provided by the Convergence Control Instance
finderStepCount() - Method in class org.drip.function.rdtor1solver.ConvergenceControl
Retrieve the Number of Finder Steps
findRoot() - Method in class org.drip.function.r1tor1solver.FixedPointFinder
Invoke the solution 1D root finding sequence
findRoot(InitializationHeuristics) - Method in class org.drip.function.r1tor1solver.FixedPointFinder
Invoke the solution 1D root finding sequence
FindSignatureCount(int[]) - Static method in class org.drip.service.common.ArrayUtil
There are n students, numbered from 1 to n, each with their own year-book.
finish() - Method in class org.drip.exposure.universe.MarketEdge
Retrieve the Market State Vertex Finish
finish() - Method in class org.drip.measure.discrete.BoundedUniformIntegerDistribution
Retrieve the Finish
finish() - Method in class org.drip.measure.realization.JumpDiffusionEdge
Retrieve the Finish Realization
finish() - Method in class org.drip.oms.benchmark.VWAP
Finish the VWAP Session
finish() - Method in class org.drip.sequence.random.BoundedUniformInteger
Retrieve the Finish
finishDate() - Method in class org.drip.analytics.definition.Turn
Retrieve the Finish Date
finishSnap() - Method in class org.drip.service.env.InvocationRecord
Retrieve the Finish Snapshot
finishTime() - Method in class org.drip.execution.cost.LinearTemporaryImpact
Retrieve the Finish Time
finishTime() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectoryControl
Retrieve the Finish Time of the Trading Trajectory
Firozabad - Class in org.drip.sample.bondsink
Firozabad generates the Full Suite of Replication Metrics for the Sinker Bond Firozabad.
Firozabad() - Constructor for class org.drip.sample.bondsink.Firozabad
 
first() - Method in class org.drip.spaces.iterator.SequenceIndexIterator
Retrieve the First Cursor
FirstAndLastPosition(int[], int) - Static method in class org.drip.service.common.ArrayUtil
Find the First and the Last Locations of the Target in the Array
firstCouponDate() - Method in class org.drip.product.credit.BondComponent
 
firstCouponDate() - Method in class org.drip.product.credit.CDSComponent
 
firstCouponDate() - Method in class org.drip.product.definition.BasketProduct
Get the first coupon date
firstCouponDate() - Method in class org.drip.product.definition.Component
Get the First Coupon Date
firstCouponDate() - Method in class org.drip.product.fx.FXForwardComponent
 
firstCouponDate() - Method in class org.drip.product.govvie.TreasuryFutures
 
firstCouponDate() - Method in class org.drip.product.option.OptionComponent
 
firstCouponDate() - Method in class org.drip.product.rates.FixFloatComponent
 
firstCouponDate() - Method in class org.drip.product.rates.FloatFloatComponent
 
firstCouponDate() - Method in class org.drip.product.rates.RatesBasket
 
firstCouponDate() - Method in class org.drip.product.rates.SingleStreamComponent
 
firstCouponDate() - Method in class org.drip.product.rates.Stream
Retrieve the First Coupon Pay Date
firstCouponRate() - Method in class org.drip.analytics.output.BondWorkoutMeasures
Retrieve the First Coupon Rate
firstDate() - Method in class org.drip.historical.attribution.PositionChangeComponents
Retrieve the First Date
firstDate() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
Retrieve the First Date of the Horizon Change
firstDelivery() - Method in class org.drip.market.exchange.TreasuryFuturesEventDates
Retrieve the First Delivery Date
firstDerivative(int, int) - Method in class org.drip.numerical.differentiation.WengertJacobian
Retrieve {D(Wengert)}/{D(Parameter)} for the Wengert and the parameter identified by their indices
FirstDerivative - Class in org.drip.specialfunction.gamma
FirstDerivative implements the Analytic First Derivatives of the Gamma Function.
FirstDerivative(DerivativeControl) - Constructor for class org.drip.specialfunction.gamma.FirstDerivative
FirstDerivative Constructor
firstDerivativeCoefficient() - Method in class org.drip.specialfunction.ode.SecondOrder
Retrieve the R2 to R1 First Derivative Coefficient Function
FirstDerivativeEstimate - Class in org.drip.sample.gamma
FirstDerivativeEstimate demonstrates the Estimation of the First Derivative of the Gamma Function.
FirstDerivativeEstimate() - Constructor for class org.drip.sample.gamma.FirstDerivativeEstimate
 
FirstFrobeniusEstimate - Class in org.drip.sample.bessel
FirstFrobeniusEstimate illustrates the Frobenius Series Based Estimation for the Cylindrical Bessel Function of the First Kind.
FirstFrobeniusEstimate() - Constructor for class org.drip.sample.bessel.FirstFrobeniusEstimate
 
FirstFrobeniusSeries - Class in org.drip.specialfunction.bessel
FirstFrobeniusSeries implements the Frobenius Series for the Cylindrical Bessel Function of the First Kind.
FirstFrobeniusSeries() - Constructor for class org.drip.specialfunction.bessel.FirstFrobeniusSeries
 
FirstFrobeniusSeriesEstimator - Class in org.drip.specialfunction.bessel
FirstFrobeniusSeriesEstimator implements the Frobenius Series Estimator for the Cylindrical Bessel Function of the First Kind.
FirstFrobeniusSeriesTerm - Class in org.drip.specialfunction.bessel
FirstFrobeniusSeriesTerm implements the Frobenius Series Term for the Cylindrical Bessel Function of the First Kind.
FirstFrobeniusSeriesTerm(R1ToR1) - Constructor for class org.drip.specialfunction.bessel.FirstFrobeniusSeriesTerm
FirstFrobeniusSeriesTerm Constructor
FirstGesselStantonKoepf() - Static method in class org.drip.specialfunction.property.HypergeometricEqualityLemma
Construct the First Gessel Stanton Koepf Rational Z Verifier
firstIndexRate() - Method in class org.drip.analytics.output.BondWorkoutMeasures
Retrieve the First Index Rate
firstMarketParameters() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
Retrieve the First Date's Market Parameters
FirstMisingPositiveInteger(int[]) - Static method in class org.drip.service.common.ArrayUtil
Given an unsorted integer array, find the smallest missing positive integer.
firstMoment(R1ToR1) - Method in class org.drip.specialfunction.definition.ScaledExponentialEstimator
Compute the First Moment
FirstOrderDerivativeSpecialCase(double, double) - Static method in class org.drip.specialfunction.property.HypergeometricEqualityLemma
Construct the First-Order Derivative Special Case Verifier
FirstOrderDerivativeSwitch(double, double) - Static method in class org.drip.specialfunction.property.HypergeometricEqualityLemma
Construct the First-Order Derivative Switch Verifier
FirstOrderSpecialCaseProperty - Class in org.drip.sample.hypergeometric
FirstOrderSpecialCaseProperty verifies the First-Order Derivative Special Case (c = a + 1) Identity Lemma.
FirstOrderSpecialCaseProperty() - Constructor for class org.drip.sample.hypergeometric.FirstOrderSpecialCaseProperty
 
FirstOrderSwitchProperty - Class in org.drip.sample.hypergeometric
FirstOrderSwitchProperty verifies the First-Order Derivative Parameter Switch Identity Lemma.
FirstOrderSwitchProperty() - Constructor for class org.drip.sample.hypergeometric.FirstOrderSwitchProperty
 
FirstPenultimateDateFixedFloat(int, int, int, int, int, double, String, String, int, int, int, int, double, DateAdjustParams, DateAdjustParams, DateAdjustParams, ForwardLabel, EntityCDSLabel) - Static method in class org.drip.product.creator.StreamBuilder
Generate Mixed Fixed-Float Stream off of the specified Parameters
FirstPenultimateDateFixedStream(int, int, int, int, int, double, String, String, DateAdjustParams, DateAdjustParams, DateAdjustParams, String, EntityCDSLabel) - Static method in class org.drip.product.creator.StreamBuilder
Generate the Fixed Stream Off of the specified Parameters
FirstPenultimateDateFloatStream(int, int, int, int, int, double, DateAdjustParams, DateAdjustParams, DateAdjustParams, FloaterLabel, EntityCDSLabel) - Static method in class org.drip.product.creator.StreamBuilder
Generate the Float Stream off of the specified Parameters
firstPeriod() - Method in class org.drip.product.params.BondStream
Return the first Coupon period
firstPrunePassHoldingsAllocation() - Method in class org.drip.portfolioconstruction.cardinality.TadonkiVialHoldingsAllocation
Retrieve the First Prune Pass Holdings Allocation
FirstSchlafliIntegerEstimate - Class in org.drip.sample.bessel
FirstSchlafliIntegerEstimate illustrates the Schlafli Integral Based Estimation for the Cylindrical Bessel Function of the First Kind for Integer Orders.
FirstSchlafliIntegerEstimate() - Constructor for class org.drip.sample.bessel.FirstSchlafliIntegerEstimate
 
FirstSchlafliIntegralEstimator - Class in org.drip.specialfunction.bessel
FirstSchlafliIntegralEstimator implements the Integral Estimator for the Cylindrical Bessel Function of the First Kind.
FirstSchlafliNonIntegerEstimate - Class in org.drip.sample.bessel
FirstSchlafliNonIntegerEstimate illustrates the Schlafli Integral Based Estimation for the Cylindrical Bessel Function of the First Kind for Non-Integer Orders.
FirstSchlafliNonIntegerEstimate() - Constructor for class org.drip.sample.bessel.FirstSchlafliNonIntegerEstimate
 
firstSettleDate() - Method in class org.drip.product.params.QuoteConvention
Retrieve the First Settle Date
FISHER_1925_P_TEST_THRESHOLD - Static variable in class org.drip.validation.hypothesis.SignificanceTestSetting
Fisher (1925) Significance Test Threshold
FisherDoubleTail() - Static method in class org.drip.validation.hypothesis.SignificanceTestSetting
Construct Double Tail Check Significance Test Setting using the Fisher Threshold
fisherInformation() - Method in class org.drip.measure.continuous.R1Univariate
Retrieve the Fisher Information of the Distribution
fisherInformation() - Method in class org.drip.measure.exponential.R1RateDistribution
 
FisherLeftTail() - Static method in class org.drip.validation.hypothesis.SignificanceTestSetting
Construct Left Tail Check Significance Test Setting using the Fisher Threshold
FisherRightTail() - Static method in class org.drip.validation.hypothesis.SignificanceTestSetting
Construct Right Tail Check Significance Test Setting using the Fisher Threshold
FivePoint(double, double) - Static method in class org.drip.numerical.integration.GaussLegendreQuadratureGenerator
Generate the Five Point Gauss Legendre Quadrature over [a, b] onto [-1, +1]
FivePoint(double, double) - Static method in class org.drip.numerical.integration.GaussLobattoQuadratureGenerator
Generate the Five Point Gauss Legendre Quadrature over [a, b] onto [-1, +1]
FivePoint(AbscissaTransform) - Static method in class org.drip.numerical.integration.GaussLegendreQuadratureGenerator
Generate the Five Point Gauss Legendre Quadrature over [-1, +1]
FivePoint(AbscissaTransform) - Static method in class org.drip.numerical.integration.GaussLobattoQuadratureGenerator
Generate the Five Point Gauss Lobatto Quadrature over [-1, +1]
fixed() - Method in class org.drip.capital.allocation.EntityComponentCapitalAssignment
Retrieve the Total Fixed Elasticity Capital
fixed() - Method in class org.drip.capital.allocation.EntityComponentElasticityAttribution
Retrieve the Fixed Attribution
fixed() - Method in class org.drip.capital.allocation.EntityElasticityAttribution
Retrieve the Fixed Beta Capital Component
Fixed - Class in org.drip.analytics.eventday
Fixed contains the fixed holiday’s date and month.
Fixed(int, int, Weekend, String) - Constructor for class org.drip.analytics.eventday.Fixed
Construct the object from the day, month, weekend, and description
FIXED_INCOME_UNDERWRITING - Static variable in class org.drip.capital.definition.Product
Fixed_Income_Underwriting Product
fixed1DAccrualDays() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 1D Fixed Accrual Period
fixed1DDCF() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the Period 1D Fixed DCF
fixed1MDCF() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the Period 1M Fixed DCF
fixed3MDCF() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the Period 3M Fixed DCF
FixedAssetBackedClient - Class in org.drip.sample.service
FixedAssetBackedClient demonstrates the Invocation and Examination of the JSON-based Fixed Payment Asset Backed Loan Service Client.
FixedAssetBackedClient() - Constructor for class org.drip.sample.service.FixedAssetBackedClient
 
FixedAssetBackedProcessor - Class in org.drip.service.json
FixedAssetBackedProcessor Sets Up and Executes a JSON Based In/Out Product Constant Payment Asset Backed Loan Processor.
FixedAssetBackedProcessor() - Constructor for class org.drip.service.json.FixedAssetBackedProcessor
 
FixedBondAPI - Class in org.drip.service.product
FixedBondAPI demonstrates the Details behind the Pricing and the Scenario Runs behind a Fixed Bond.
FixedBondAPI() - Constructor for class org.drip.service.product.FixedBondAPI
 
FixedBullet1 - Class in org.drip.sample.agency
FixedBullet1 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation Functionality.
FixedBullet1 - Class in org.drip.sample.corporate
FixedBullet1 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation Functionality.
FixedBullet1() - Constructor for class org.drip.sample.agency.FixedBullet1
 
FixedBullet1() - Constructor for class org.drip.sample.corporate.FixedBullet1
 
FixedBullet2 - Class in org.drip.sample.agency
FixedBullet2 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation Functionality.
FixedBullet2 - Class in org.drip.sample.corporate
FixedBullet2 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation Functionality.
FixedBullet2() - Constructor for class org.drip.sample.agency.FixedBullet2
 
FixedBullet2() - Constructor for class org.drip.sample.corporate.FixedBullet2
 
FixedBullet3 - Class in org.drip.sample.corporate
FixedBullet3 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation Functionality.
FixedBullet3() - Constructor for class org.drip.sample.corporate.FixedBullet3
 
FixedBullet4 - Class in org.drip.sample.corporate
FixedBullet4 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation Functionality.
FixedBullet4() - Constructor for class org.drip.sample.corporate.FixedBullet4
 
FixedBullet5 - Class in org.drip.sample.corporate
FixedBullet5 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation Functionality.
FixedBullet5() - Constructor for class org.drip.sample.corporate.FixedBullet5
 
FixedBullet6 - Class in org.drip.sample.corporate
FixedBullet6 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation Functionality.
FixedBullet6() - Constructor for class org.drip.sample.corporate.FixedBullet6
 
FixedBullet7 - Class in org.drip.sample.corporate
FixedBullet7 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation Functionality.
FixedBullet7() - Constructor for class org.drip.sample.corporate.FixedBullet7
 
FixedBullet8 - Class in org.drip.sample.corporate
FixedBullet8 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation Functionality.
FixedBullet8() - Constructor for class org.drip.sample.corporate.FixedBullet8
 
fixedCharge() - Method in class org.drip.portfolioconstruction.cost.TransactionChargeFixed
Retrieve the Fixed Transaction Cost Charge
FixedChargeBuyTerm - Class in org.drip.portfolioconstruction.objective
FixedChargeBuyTerm implements the Objective Term that optimizes the Charges incurred by the Buy Trades in the Target Portfolio under a Fixed Charge from the Starting Allocation.
FixedChargeBuyTerm(String, Holdings, TransactionChargeFixed[]) - Constructor for class org.drip.portfolioconstruction.objective.FixedChargeBuyTerm
FixedChargeBuyTerm Constructor
FixedChargeSellTerm - Class in org.drip.portfolioconstruction.objective
FixedChargeSellTerm implements the Objective Term that optimizes the Charge incurred by the Sell Trades in the Target Portfolio under a Fixed Charge from the Starting Allocation.
FixedChargeSellTerm(String, Holdings, TransactionChargeFixed[]) - Constructor for class org.drip.portfolioconstruction.objective.FixedChargeSellTerm
FixedChargeSellTerm Constructor
FixedChargeTerm - Class in org.drip.portfolioconstruction.objective
FixedChargeTerm implements the Objective Term that optimizes the Charge incurred by the Buy/Sell Trades in the Target Portfolio under a Fixed Charge from the Starting Allocation.
FixedChargeTerm(String, Holdings, TransactionCharge[]) - Constructor for class org.drip.portfolioconstruction.objective.FixedChargeTerm
FixedChargeTerm Constructor
FixedCompositeUnit(List<Integer>, CompositePeriodSetting, UnitCouponAccrualSetting, ComposableFixedUnitSetting) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
Construct the List of Composite Fixed Periods from the corresponding Composable Fixed Period Units
fixedCoupon() - Method in class org.drip.historical.attribution.CDSMarketSnap
Retrieve the Fixed Coupon
fixedCoupon() - Method in class org.drip.market.otc.CreditIndexConvention
Retrieve the Fixed Coupon
fixedCoupon() - Method in class org.drip.param.period.ComposableFixedUnitSetting
Retrieve the Fixed Coupon
FixedCoupon - Class in org.drip.sample.bondapi
FixedCoupon demonstrates the Invocation and Examination of the Metrics for the Fixed Coupon Bond.
FixedCoupon() - Constructor for class org.drip.sample.bondapi.FixedCoupon
 
FixedCouponBondPeriods - Class in org.drip.sample.cashflow
FixedCouponBondPeriods demonstrates the Cash Flow Period Details for a Fixed Coupon Bond.
FixedCouponBondPeriods() - Constructor for class org.drip.sample.cashflow.FixedCouponBondPeriods
 
FixedCouponKeyRateDuration - Class in org.drip.sample.bondapi
FixedCouponKeyRateDuration demonstrates the Invocation and Examination of the Key Rate Duration Computation for the Specified Treasury Futures.
FixedCouponKeyRateDuration() - Constructor for class org.drip.sample.bondapi.FixedCouponKeyRateDuration
 
FixedCouponRVMeasures - Class in org.drip.sample.bondapi
FixedCouponRVMeasures demonstrates the Invocation and Examination of the Relative Value Metrics for the Fixed Coupon Bond.
FixedCouponRVMeasures() - Constructor for class org.drip.sample.bondapi.FixedCouponRVMeasures
 
FixedDriftTrajectoryComparator - Class in org.drip.sample.trend
FixedDriftTrajectoryComparator demonstrates the Optimal Trajectory for a Price Process with Bayes' Drift, Arithmetic Volatility, and Linear Temporary Market Impact.
FixedDriftTrajectoryComparator() - Constructor for class org.drip.sample.trend.FixedDriftTrajectoryComparator
 
FixedFloatSwapConvention - Class in org.drip.market.otc
FixedFloatSwapConvention contains the Details of the Fixed-Float Swap Component of an OTC contact.
FixedFloatSwapConvention(FixedStreamConvention, FloatStreamConvention, int) - Constructor for class org.drip.market.otc.FixedFloatSwapConvention
FixedFloatSwapConvention Constructor
FixedFPToFloatFP(String, String, int, int, int, int, int, double, String, String, int, int, int, int, double, String, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams) - Static method in class org.drip.product.creator.BondBuilder
Construct a Fixed To Float Bond Component
FixedFToFloatF(String, String, int, int, int, int, double, String, String, int, int, int, double, String, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams) - Static method in class org.drip.product.creator.BondBuilder
Construct a Fixed To Float Bond Component
FixedFToFloatP(String, String, int, int, int, int, double, String, String, int, int, int, double, String, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams) - Static method in class org.drip.product.creator.BondBuilder
Construct a Fixed To Float Bond Component
FixedInterval(OrderSpecification, int) - Static method in class org.drip.execution.strategy.DiscreteTradingTrajectoryControl
Create a DiscreteTradingTrajectoryControl from Fixed Intervals
FixedPointFinder - Class in org.drip.function.r1tor1solver
FixedPointFinder is the base abstract class that is implemented by customized invocations, e.g., Newton's method, or any of the bracketing methodologies.
FixedPointFinderBracketing - Class in org.drip.function.r1tor1solver
FixedPointFinderBracketing customizes the FixedPointFinder for bracketing based fixed point finder functionality.
FixedPointFinderBracketing(double, R1ToR1, ExecutionControl, int, boolean) - Constructor for class org.drip.function.r1tor1solver.FixedPointFinderBracketing
FixedPointFinderBracketing constructor
FixedPointFinderBrent - Class in org.drip.function.r1tor1solver
FixedPointFinderBrent customizes FixedPointFinderBracketing by applying the Brent's scheme of compound variate selector.
FixedPointFinderBrent(double, R1ToR1, boolean) - Constructor for class org.drip.function.r1tor1solver.FixedPointFinderBrent
FixedPointFinderBrent constructor
FixedPointFinderNewton - Class in org.drip.function.r1tor1solver
FixedPointFinderNewton customizes the FixedPointFinder for Open (Newton's) fixed point finder functionality.
FixedPointFinderNewton(double, R1ToR1, boolean) - Constructor for class org.drip.function.r1tor1solver.FixedPointFinderNewton
FixedPointFinderNewton constructor
FixedPointFinderOutput - Class in org.drip.function.r1tor1solver
FixedPointFinderOutput holds the result of the fixed point search.
FixedPointFinderOutput(ExecutionInitializationOutput) - Constructor for class org.drip.function.r1tor1solver.FixedPointFinderOutput
FixedPointFinderOutput constructor
FixedPointFinderRegressionEngine - Class in org.drip.regression.fixedpointfinder
FixedPointFinderRegressionEngine implements the RegressionEngine for the Fixed Point Finder regression.
FixedPointFinderRegressionEngine(int, int) - Constructor for class org.drip.regression.fixedpointfinder.FixedPointFinderRegressionEngine
FixedPointFinderRegressionEngine Constuctor
FixedPointFinderZheng - Class in org.drip.function.r1tor1solver
FixedPointFinderZheng implements the fixed point locator using Zheng's improvement to Brent's method.
FixedPointFinderZheng(double, R1ToR1, boolean) - Constructor for class org.drip.function.r1tor1solver.FixedPointFinderZheng
FixedPointFinderZheng constructor
FixedPointSearch - Class in org.drip.sample.numerical
FixedPointSearch contains a sample illustration of usage of the Root Finder Library.
FixedPointSearch() - Constructor for class org.drip.sample.numerical.FixedPointSearch
 
FixedPricePegScheme - Class in org.drip.oms.benchmark
FixedPricePegScheme implements Fixed Peg Price Scheme for Peg Orders.
FixedPricePegScheme(double) - Constructor for class org.drip.oms.benchmark.FixedPricePegScheme
FixedPricePegScheme Constructor
FixedPToFloatF(String, String, int, int, int, int, double, String, String, int, int, int, double, String, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams) - Static method in class org.drip.product.creator.BondBuilder
Construct a Fixed To Float Bond Component
FixedPToFloatP(String, String, int, int, int, int, double, String, String, int, int, int, double, String, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams) - Static method in class org.drip.product.creator.BondBuilder
Construct a Fixed To Float Bond Component
FixedRdFinder - Class in org.drip.function.rdtor1solver
FixedRdFinder exports the Methods needed for the locating a Fixed Rd Point.
fixedStreamConvention() - Method in class org.drip.market.otc.FixedFloatSwapConvention
Retrieve the Fixed Stream Convention
FixedStreamConvention - Class in org.drip.market.otc
FixedStreamConvention contains the details of the fixed stream of an OTC fixed-float IBOR/Overnight Swap Contact.
FixedStreamConvention(String, String, String, String, String, int) - Constructor for class org.drip.market.otc.FixedStreamConvention
FixedStreamConvention Constructor
fixedStreamMPoR() - Method in class org.drip.exposure.generator.FixFloatMPoR
Retrieve the Fixed Stream MPoR
FixedStreamMPoR - Class in org.drip.exposure.generator
FixedStreamMPoR estimates the MPoR Variation Margin and the Trade Payments for the given Fixed Coupon Stream off of the Realized Market Path.
FixedStreamMPoR(Stream, double) - Constructor for class org.drip.exposure.generator.FixedStreamMPoR
FixedStreamMPoR Constructor
FixedStreamQuoteSet - Class in org.drip.product.calib
FixedStreamQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the Fixed Stream.
FixedStreamQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.FixedStreamQuoteSet
FixedStreamQuoteSet Constructor
FixedThreshold(String, double, double, int, int, double, int) - Static method in class org.drip.xva.proto.PositionGroupSpecification
Generate a Fixed-Threshold Instance of the Named Position Group
FixedUnits(int, int, UnitCouponAccrualSetting, ComposableFixedUnitSetting) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
Construct the List of Composable Fixed Units from the inputs
FixFloatAggressiveLong - Class in org.drip.sample.andersen2017vm
FixFloatAggressiveLong generates the Ensemble of Dense Variation Margin Estimates and the eventual Collateralized Variation Margin from Sparse Nodes for a Long Fix-Float Swap across the Ensemble of Paths using the Andersen, Albanese, and Pykhtin (2017) Aggressive Scheme.
FixFloatAggressiveLong() - Constructor for class org.drip.sample.andersen2017vm.FixFloatAggressiveLong
 
FixFloatAggressiveShort - Class in org.drip.sample.andersen2017vm
FixFloatAggressiveShort generates the Ensemble of Dense Variation Margin Estimates and the eventual Collateralized Variation Margin from Sparse Nodes for a Short Fix-Float Swap across the Ensemble of Paths using the Andersen, Albanese, and Pykhtin (2017) Aggressive Scheme.
FixFloatAggressiveShort() - Constructor for class org.drip.sample.andersen2017vm.FixFloatAggressiveShort
 
FixFloatAPI - Class in org.drip.service.product
FixFloatAPI contains the Functionality associated with the Horizon Analysis of the Fix Float Swap.
FixFloatAPI() - Constructor for class org.drip.service.product.FixFloatAPI
 
FixFloatBaselPositionEstimator - Class in org.drip.exposure.holdings
FixFloatBaselPositionEstimator evaluates the Value of a Fix Float Position Group given the Realized Market Path using the Basel Scheme.
FixFloatBaselPositionEstimator(int, OTCFixFloatLabel) - Constructor for class org.drip.exposure.holdings.FixFloatBaselPositionEstimator
FixFloatBaselPositionEstimator Constructor
FixFloatClassicalMinusLong - Class in org.drip.sample.andersen2017vm
FixFloatClassicalMinusLong generates the Ensemble of Dense Variation Margin Estimates and the eventual Collateralized Variation Margin from Sparse Nodes for a Long Fix-Float Swap across the Ensemble of Paths using the Andersen, Albanese, and Pykhtin (2017) Classical- Scheme.
FixFloatClassicalMinusLong() - Constructor for class org.drip.sample.andersen2017vm.FixFloatClassicalMinusLong
 
FixFloatClassicalMinusShort - Class in org.drip.sample.andersen2017vm
FixFloatClassicalMinusShort generates the Ensemble of Dense Variation Margin Estimates and the eventual Collateralized Variation Margin from Sparse Nodes for a Short Fix-Float Swap across the Ensemble of Paths using the Andersen, Albanese, and Pykhtin (2017) Classical- Scheme.
FixFloatClassicalMinusShort() - Constructor for class org.drip.sample.andersen2017vm.FixFloatClassicalMinusShort
 
FixFloatClassicalPlusLong - Class in org.drip.sample.andersen2017vm
FixFloatClassicalPlusLong generates the Ensemble of Dense Variation Margin Estimates and the eventual Collateralized Variation Margin from Sparse Nodes for a Long Fix-Float Swap across the Ensemble of Paths using the Andersen, Albanese, and Pykhtin (2017) Classical+ Scheme.
FixFloatClassicalPlusLong() - Constructor for class org.drip.sample.andersen2017vm.FixFloatClassicalPlusLong
 
FixFloatClassicalPlusShort - Class in org.drip.sample.andersen2017vm
FixFloatClassicalPlusShort generates the Ensemble of Dense Variation Margin Estimates and the eventual Collateralized Variation Margin from Sparse Nodes for a Short Fix-Float Swap across the Ensemble of Paths using the Andersen, Albanese, and Pykhtin (2017) Classical+ Scheme.
FixFloatClassicalPlusShort() - Constructor for class org.drip.sample.andersen2017vm.FixFloatClassicalPlusShort
 
FixFloatClient - Class in org.drip.sample.service
FixFloatClient demonstrates the Invocation and Examination of the JSON-based Fix Float Valuation Service Client.
FixFloatClient() - Constructor for class org.drip.sample.service.FixFloatClient
 
FixFloatComponent - Class in org.drip.product.rates
FixFloatComponent contains the implementation of the Fix-Float Index Basis Swap product contract/valuation details.
FixFloatComponent(Stream, Stream, CashSettleParams) - Constructor for class org.drip.product.rates.FixFloatComponent
Construct the FixFloatComponent from the Reference Fixed and the Derived Floating Streams.
FixFloatConservativeLong - Class in org.drip.sample.andersen2017vm
FixFloatConservativeLong generates the Ensemble of Dense Variation Margin Estimates and the eventual Collateralized Variation Margin from Sparse Nodes for a Long Fix-Float Swap across the Ensemble of Paths using the Andersen, Albanese, and Pykhtin (2017) Conservative Scheme.
FixFloatConservativeLong() - Constructor for class org.drip.sample.andersen2017vm.FixFloatConservativeLong
 
FixFloatConservativeShort - Class in org.drip.sample.andersen2017vm
FixFloatConservativeShort generates the Ensemble of Dense Variation Margin Estimates and the eventual Collateralized Variation Margin from Sparse Nodes for a Short Fix-Float Swap across the Ensemble of Paths using the Andersen, Albanese, and Pykhtin (2017) Conservative Scheme.
FixFloatConservativeShort() - Constructor for class org.drip.sample.andersen2017vm.FixFloatConservativeShort
 
FixFloatCustom(JulianDate, ForwardLabel, String) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct a Standard Fix Float Swap Instances
FixFloatCustom(JulianDate, ForwardLabel, String[]) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct an Array of Custom Fix Float Swap Instances
FixFloatEuropeanOption - Class in org.drip.product.option
FixFloatEuropeanOption implements the Payer/Receiver European Option on the Fix-Float Swap.
FixFloatEuropeanOption(String, FixFloatComponent, String, boolean, double, double, LastTradingDateSetting, CashSettleParams) - Constructor for class org.drip.product.option.FixFloatEuropeanOption
FixFloatEuropeanOption constructor
FixFloatExplainProcessor - Class in org.drip.historical.engine
FixFloatExplainProcessor contains the Functionality associated with the Horizon Analysis of the Fix Float Swap.
FixFloatExplainProcessor(FixFloatComponent, int, String, double, JulianDate, JulianDate, CurveSurfaceQuoteContainer, CurveSurfaceQuoteContainer, CaseInsensitiveHashMap<CurveSurfaceQuoteContainer>) - Constructor for class org.drip.historical.engine.FixFloatExplainProcessor
FixFloatExplainProcessor Constructor
FixFloatFixFloat - Class in org.drip.sample.cross
FixFloatFixFloat demonstrates the construction, the usage, and the eventual valuation of the Cross Currency Basis Swap built out of a pair of fix-float swaps.
FixFloatFixFloat() - Constructor for class org.drip.sample.cross.FixFloatFixFloat
 
FixFloatFixFloatAnalysis - Class in org.drip.sample.cross
FixFloatFixFloatAnalysis demonstrates the Funding Volatility, Forward Volatility, FX Volatility, Funding/Forward Correlation, Funding/FX Correlation, and Forward/FX Correlation across the 2 currencies (USD and EUR) on the Valuation of the Cross Currency Basis Swap built out of a pair of fix-float swaps.
FixFloatFixFloatAnalysis() - Constructor for class org.drip.sample.cross.FixFloatFixFloatAnalysis
 
FixFloatForwardCurve - Class in org.drip.sample.multicurve
FixFloatForwardCurve contains the sample demonstrating the full functionality behind creating highly customized spline based forward curves from fix-float swaps and the discount curves.
FixFloatForwardCurve() - Constructor for class org.drip.sample.multicurve.FixFloatForwardCurve
 
FixFloatFundingInstrument - Class in org.drip.service.api
FixFloatFundingInstrument contains the Fix Float Instrument Inputs for the Funding Curve Construction Purposes.
FixFloatFundingInstrument(JulianDate, String, String[], double[], int) - Constructor for class org.drip.service.api.FixFloatFundingInstrument
FixFloatFundingInstrument Constructor
FixFloatInAdvanceIMMPeriods - Class in org.drip.sample.cashflow
FixFloatInAdvanceIMMPeriods demonstrates the Cash Flow Period Details for an In-Advance Fix-Float IMM Swap.
FixFloatInAdvanceIMMPeriods() - Constructor for class org.drip.sample.cashflow.FixFloatInAdvanceIMMPeriods
 
FixFloatInAdvancePeriods - Class in org.drip.sample.cashflow
FixFloatInAdvancePeriod demonstrates the Cash Flow Period Details for an In-Advance Fix-Float Swap.
FixFloatInAdvancePeriods() - Constructor for class org.drip.sample.cashflow.FixFloatInAdvancePeriods
 
FixFloatInArrearsIMMPeriods - Class in org.drip.sample.cashflow
FixFloatInArrearsIMMPeriods demonstrates the Cash Flow Period Details for an In-Arrears Fix-Float IMM Swap.
FixFloatInArrearsIMMPeriods() - Constructor for class org.drip.sample.cashflow.FixFloatInArrearsIMMPeriods
 
FixFloatInArrearsPeriods - Class in org.drip.sample.cashflow
FixFloatInArrearsPeriods demonstrates the Cash Flow Period Details for an In-Arrears Fix-Float Swap.
FixFloatInArrearsPeriods() - Constructor for class org.drip.sample.cashflow.FixFloatInArrearsPeriods
 
FixFloatMetricComparison - Class in org.drip.sample.cms
FixFloatMetricComparison demonstrates the Construction and Valuation of an In-Advance and In-Arrears Variants of the CMS Fix-Float Swap.
FixFloatMetricComparison() - Constructor for class org.drip.sample.cms.FixFloatMetricComparison
 
FixFloatMonteCarloEvolver - Class in org.drip.sample.lmm
FixFloatMonteCarloEvolver demonstrates the steps associated with a LMM-Based Monte-Carlo pricing of a Standard Fix-Float Swap.
FixFloatMonteCarloEvolver() - Constructor for class org.drip.sample.lmm.FixFloatMonteCarloEvolver
 
FixFloatMPoR - Class in org.drip.exposure.generator
FixFloatMPoR estimates the MPoR Variation Margin and the Trade Payments for the given Fix Float Component off of the Realized Market Path.
FixFloatMPoR(FixFloatComponent, double) - Constructor for class org.drip.exposure.generator.FixFloatMPoR
FixFloatMPoR Constructor
FixFloatPnLAttributor - Class in org.drip.feed.metric
FixFloatPnLAttributor generates the Date Valuation and Position Change PnL Explain Attributions for the Standard OTC Fix Float Swap.
FixFloatPnLAttributor() - Constructor for class org.drip.feed.metric.FixFloatPnLAttributor
 
FixFloatProcessor - Class in org.drip.service.json
FixFloatProcessor Sets Up and Executes a JSON Based In/Out Fix Float Swap Valuation Processor.
FixFloatProcessor() - Constructor for class org.drip.service.json.FixFloatProcessor
 
fixFloatQuote() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Array of Fix-Float IRS Instrument Quotes
FixFloatQuoteSet - Class in org.drip.product.calib
FixFloatQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the Fix-Float Swap Component.
FixFloatQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.FixFloatQuoteSet
FixFloatQuoteSet Constructor
FixFloatStandard(JulianDate, String, String, String[], String, double) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct an Array of OTC Fix Float Swaps using the specified Input Parameters
FixFloatStandard(JulianDate, String, String, String, String, double) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct an OTC Standard Fix Float Swap using the specified Input Parameters
FixFloatSwap - Class in org.drip.sample.multicurve
FixFloatSwap contains a full valuation run on the Multi-Curve Fix-Float IRS Product.
FixFloatSwap() - Constructor for class org.drip.sample.multicurve.FixFloatSwap
 
FixFloatSwapAnalysis - Class in org.drip.sample.multicurve
FixFloatSwapAnalysis contains an analysis if the correlation and volatility impact on the fix-float Swap.
FixFloatSwapAnalysis() - Constructor for class org.drip.sample.multicurve.FixFloatSwapAnalysis
 
FixFloatSwapIMM - Class in org.drip.sample.multicurve
FixFloatSwapIMM contains a full valuation run on the IMM Fix-Float Swap Product.
FixFloatSwapIMM() - Constructor for class org.drip.sample.multicurve.FixFloatSwapIMM
 
fixFloatTenor() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Array of Fix-Float IRS Instrument Maturity Tenors
fixFloatTenor() - Method in class org.drip.state.identifier.OTCFixFloatLabel
Retrieve the Fix Float Tenor
FixFloatVABank - Class in org.drip.sample.burgard2012
FixFloatVABank illustrates the Fix-Float Swap Valuation Adjustment Metrics Dependence on the Bank Spread using the Set of Netting Group Exposure Simulations.
FixFloatVABank() - Constructor for class org.drip.sample.burgard2012.FixFloatVABank
 
FixFloatVACounterParty - Class in org.drip.sample.burgard2012
FixFloatVACounterParty illustrates the Fix-Float Swap Valuation Adjustment Metrics Dependence on the Counter Party Spread using the Set of Netting Group Exposure Simulations.
FixFloatVACounterParty() - Constructor for class org.drip.sample.burgard2012.FixFloatVACounterParty
 
FixFloatVarianceAnalysis - Class in org.drip.sample.cms
FixFloatVarianceAnalysis demonstrates the Construction and Valuation Impact of Volatility and Correlation on the CMS Fix-Float Swap.
FixFloatVarianceAnalysis() - Constructor for class org.drip.sample.cms.FixFloatVarianceAnalysis
 
fixing() - Method in class org.drip.analytics.input.BootCurveConstructionInput
 
fixing() - Method in interface org.drip.analytics.input.CurveConstructionInputSet
Retrieve the Latent State Fixings Container
fixing() - Method in class org.drip.analytics.input.LatentStateShapePreservingCCIS
 
fixing(int, LatentStateLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Fixing for the Specified Date/LSL Combination
fixing(int, LatentStateLabel) - Method in class org.drip.param.market.LatentStateFixingsContainer
Retrieve the Latent State Fixing for the Specified Date
fixing(JulianDate, LatentStateLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Fixing for the Specified Date/LSL Combination
fixing(JulianDate, LatentStateLabel) - Method in class org.drip.param.market.LatentStateFixingsContainer
Retrieve the Latent State Fixing for the Specified Date/LSL Combination
FIXING_COMPOSITE_PERIOD_END - Static variable in class org.drip.param.period.FixingSetting
Fixing Based off of the End of the Composite Period
FIXING_COMPOSITE_PERIOD_START - Static variable in class org.drip.param.period.FixingSetting
Fixing Based off of the Start of the Composite Period
FIXING_PRESET_STATIC - Static variable in class org.drip.param.period.FixingSetting
Fixing Based off of the Start of a Pre-determined Static Date
fixingDate() - Method in class org.drip.analytics.cashflow.ReferenceIndexPeriod
Reference Period Fixing Date
fixings() - Method in class org.drip.param.definition.ScenarioMarketParams
Retrieve the Latent State Fixings Container
fixings() - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Latent State Fixings
fixings() - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
FixingSetting - Class in org.drip.param.period
FixingSetting implements the custom setting parameters for the Latent State Fixing Settings.
FixingSetting(int, DateAdjustParams, int) - Constructor for class org.drip.param.period.FixingSetting
FixingSetting Constructor
fixingType() - Method in class org.drip.market.otc.CrossFloatSwapConvention
Retrieve the Fixing Setting Type
fjm() - Method in class org.drip.optimization.constrained.RegularityConditions
Retrieve the Fritz John Mutipliers
Flat - Class in org.drip.function.r1tor1operator
Flat implements the level constant Univariate Function.
Flat(double) - Constructor for class org.drip.function.r1tor1operator.Flat
Flat constructor
FLAT - Static variable in class org.drip.param.definition.ManifestMeasureTweak
Flat Manifest Measure Tweak Mode
flatCreditDeltaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
Retrieve the Flat Credit Delta Measure Map
flatCreditGammaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
Retrieve the Flat Credit Gamma Measure Map
flatCurve(double, boolean, double) - Method in class org.drip.state.credit.CreditCurve
Create a flat hazard curve from the inputs
flatCurve(double, boolean, double) - Method in class org.drip.state.nonlinear.ForwardHazardCreditCurve
 
flatform() - Method in class org.drip.measure.discrete.VertexRd
Flatten out into a 2D Array
flatForward(int[]) - Method in class org.drip.state.curve.BasisSplineGovvieYield
Construct a Flat Forward Instance of the Curve at the specified Date Nodes
flatForward(String[]) - Method in class org.drip.state.curve.BasisSplineGovvieYield
Construct a Flat Forward Instance of the Curve at the specified Date Node Tenors
flatForward(String, int, int[]) - Method in class org.drip.state.discount.DiscountCurve
Construct a Flat Forward Instance of the Curve at the specified Date Nodes
FlatForward(int, VolatilityLabel, String, double) - Static method in class org.drip.state.creator.ScenarioDeterministicVolatilityBuilder
Construct the Flat Constant Forward Volatility Forward Curve
FlatForwardDiscountCurve - Class in org.drip.state.nonlinear
FlatForwardDiscountCurve manages the Discounting Latent State, using the Forward Rate as the State Response Representation.
FlatForwardDiscountCurve(JulianDate, String, int[], double[], boolean, String, int) - Constructor for class org.drip.state.nonlinear.FlatForwardDiscountCurve
Boot-strap a constant forward discount curve from an array of dates and discount rates
FlatForwardForwardCurve - Class in org.drip.state.nonlinear
FlatForwardForwardCurve contains an implementation of the flat forward rate forward curve.
FlatForwardForwardCurve(JulianDate, ForwardLabel, double) - Constructor for class org.drip.state.nonlinear.FlatForwardForwardCurve
FlatForwardForwardCurve constructor
FlatForwardForwardCurve(JulianDate, ForwardLabel, double) - Static method in class org.drip.state.creator.ScenarioForwardCurveBuilder
Construct an Instance of the Flat Forward Rate Forward Curve
FlatForwardFXCurve - Class in org.drip.state.nonlinear
FlatForwardFXCurve manages the Volatility Latent State, using the Forward FX as the State Response Representation.
FlatForwardFXCurve(int, CurrencyPair, double, int[], double[]) - Constructor for class org.drip.state.nonlinear.FlatForwardFXCurve
FlatForwardVolatilityCurve Constructor
FlatForwardGovvieCurve - Class in org.drip.state.nonlinear
FlatForwardGovvieCurve manages the Govvie Latent State, using the Flat Forward Rate as the State Response Representation.
FlatForwardGovvieCurve(int, String, String, int[], double[]) - Constructor for class org.drip.state.nonlinear.FlatForwardGovvieCurve
Construct a Govvie Curve from an Array of Dates and Flat Forward Yields
FlatForwardRepoCurve - Class in org.drip.state.nonlinear
FlatForwardRepoCurve manages the Repo Latent State, using the Forward Repo Rate as the State Response Representation.
FlatForwardRepoCurve(int, Component, int[], double[]) - Constructor for class org.drip.state.nonlinear.FlatForwardRepoCurve
FlatForwardRepoCurve Constructor
FlatForwardVolatilityCurve - Class in org.drip.state.nonlinear
FlatForwardVolatilityCurve manages the Volatility Latent State, using the Forward Volatility as the State Response Representation.
FlatForwardVolatilityCurve(int, VolatilityLabel, String, int[], double[]) - Constructor for class org.drip.state.nonlinear.FlatForwardVolatilityCurve
FlatForwardVolatilityCurve Constructor
FlatHazard(int, String, String, double, double) - Static method in class org.drip.state.creator.ScenarioCreditCurveBuilder
Create a CreditCurve instance from a single node hazard rate
flatIRDeltaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
Retrieve the Flat IR Delta Measure Map
flatIRGammaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
Retrieve the Flat IR Gamma Measure Map
FlatMultivariateRandom - Class in org.drip.sequence.functional
FlatMultivariateRandom contains the Implementation of the Flat Objective Function dependent on Multivariate Random Variables.
FlatMultivariateRandom(double) - Constructor for class org.drip.sequence.functional.FlatMultivariateRandom
FlatMultivariateRandom Constructor
flatNativeForward(int[], double) - Method in class org.drip.state.discount.DiscountCurve
Construct Flat Native Forward Instance of the Curve at the specified Date Nodes
flatNativeForward(String[], double) - Method in class org.drip.state.discount.DiscountCurve
Construct Flat Native Forward Instance of the Curve at the specified Date Node Tenors
flatNativeForwardEI(int[], int, double) - Method in class org.drip.state.discount.DiscountCurve
Construct Flat Native Forward Instance of the Curve at the specified Date Nodes with (Exclusive/Inclusive) Bumps applied within the Tenors
FlatRateRepoCurve(JulianDate, Component, double) - Static method in class org.drip.state.creator.ScenarioRepoCurveBuilder
Construct a Repo Curve using the Flat Repo Rate
flatRRDeltaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
Retrieve the Flat RR Delta Measure Map
flatRRGammaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
Retrieve the Flat RR Gamma Measure Map
FlatStringTo2DSDMap(String, String, String, boolean, String) - Static method in class org.drip.service.common.CollectionUtil
Turn a flattened 2D (string, double) string sequence into its corresponding map
FlatStringTo3DSDMap(String, String, String, String, boolean, String) - Static method in class org.drip.service.common.CollectionUtil
Turn a flattened 3D (string, string, double) string sequence into its corresponding map
FlatStringTo4DSDMap(String, String, String, String, boolean, String) - Static method in class org.drip.service.common.CollectionUtil
Turn a flattened 4D (string, string, string, double) string sequence into its corresponding map
flatValue() - Method in class org.drip.sequence.functional.FlatMultivariateRandom
Retrieve the Flat Value
flatVolatilityFromPrice(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.fra.FRAStandardCapFloor
Imply the Flat Cap/Floor Volatility from the Calibration Price
FlatYieldGovvieCurve - Class in org.drip.state.nonlinear
FlatYieldGovvieCurve manages the Govvie Latent State, using the Flat Yield as the State Response Representation.
FlatYieldGovvieCurve(int, String, String, int[], double[]) - Constructor for class org.drip.state.nonlinear.FlatYieldGovvieCurve
Construct a Govvie curve from an array of dates and Yields
flexureConstraint() - Method in class org.drip.spline.params.SegmentStateCalibrationInputs
Retrieve the Array of Segment Basis Flexure Constraints
FliegelvanFlandernJulian - Class in org.drip.sample.date
FliegelvanFlandernJulian demonstrates Gregorian To-From Julian Date Conversion Functionality.
FliegelvanFlandernJulian() - Constructor for class org.drip.sample.date.FliegelvanFlandernJulian
 
flip() - Method in class org.drip.specialfunction.bessel.HankelAsymptoteSeriesTerm
Odd/Even Term Sign Flip
flipBottomSign() - Method in class org.drip.investing.factors.TopDownSegmentRanker
Indicate if the Signs of the Bottom Components must be Flipped
flipWeightSign() - Method in class org.drip.investing.factors.FactorComponentLoading
Flip the Weight Sign
floatCouponConvention() - Method in class org.drip.product.credit.BondComponent
 
floatCouponConvention() - Method in class org.drip.product.definition.Bond
Return the bond's floating coupon convention
floaterIndex() - Method in class org.drip.market.otc.FloatStreamConvention
Retrieve the Forward Label
floaterIndex() - Method in class org.drip.state.identifier.FloaterLabel
Retrieve the Floater Index
FloaterIndex - Class in org.drip.market.definition
FloaterIndex contains the definitions of the floating rate indexes of different jurisdictions.
FloaterIndex(String, String, String, String, String, int) - Constructor for class org.drip.market.definition.FloaterIndex
FloaterIndex Constructor
floaterLabel() - Method in class org.drip.analytics.cashflow.CompositePeriod
Return the Floater Label
floaterLabel() - Method in class org.drip.analytics.cashflow.ReferenceIndexPeriod
Retrieve the Floater Label
floaterLabel() - Method in class org.drip.param.period.ComposableFloatingUnitSetting
Retrieve the Floater Label
floaterLabel() - Method in class org.drip.product.rates.Stream
Retrieve the Floater Label
FloaterLabel - Class in org.drip.state.identifier
FloaterLabel is an Abstract Class that underpins the Latent State Labels that use a Single Floater Index.
floaterSetting() - Method in class org.drip.product.credit.BondComponent
 
floaterSetting() - Method in interface org.drip.product.definition.BondProduct
Retrieve the bond floater setting
FloaterSetting - Class in org.drip.product.params
FloaterSetting contains the component floating rate parameters.
FloaterSetting(FloaterLabel, String, double, double) - Constructor for class org.drip.product.params.FloaterSetting
Construct the FloaterSetting from the Floater Label, the Day Count, the Spread, and the Current Full CSoupon
FloatFloat(JulianDate, String, String, String[], double) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct an Array of OTC Float-Float Swap Instances
FloatFloat(JulianDate, String, String, String, double) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct an OTC Float-Float Swap Instance
FloatFloatComponent - Class in org.drip.product.rates
FloatFloatComponent contains the implementation of the Float-Float Index Basis Swap product contract/valuation details.
FloatFloatComponent(Stream, Stream, CashSettleParams) - Constructor for class org.drip.product.rates.FloatFloatComponent
Construct the FloatFloatComponent from the Reference and the Derived Floating Streams.
FloatFloatFloatFloat - Class in org.drip.sample.cross
FloatFloatFloatFloat demonstrates the construction, the usage, and the eventual valuation of the Cross Currency Basis Swap built out of a pair of float-float swaps.
FloatFloatFloatFloat() - Constructor for class org.drip.sample.cross.FloatFloatFloatFloat
 
FloatFloatFloatFloatAnalysis - Class in org.drip.sample.cross
FloatFloatFloatFloatAnalysis demonstrates the Funding Volatility, Forward Volatility, FX Volatility, Funding/Forward Correlation, Funding/FX Correlation, and Forward/FX Correlation of the Cross Currency Basis Swap built out of a pair of float-float swaps.
FloatFloatFloatFloatAnalysis() - Constructor for class org.drip.sample.cross.FloatFloatFloatFloatAnalysis
 
FloatFloatForwardCurve - Class in org.drip.sample.multicurve
FloatFloatForwardCurve contains the sample demonstrating the full functionality behind creating highly customized spline based forward curves.
FloatFloatForwardCurve() - Constructor for class org.drip.sample.multicurve.FloatFloatForwardCurve
 
FloatFloatMetricComparison - Class in org.drip.sample.cms
FloatFloatMetricComparison demonstrates the Construction and Valuation of an In-Advance and In-Arrears Variants of the CMS Float-Float Swap.
FloatFloatMetricComparison() - Constructor for class org.drip.sample.cms.FloatFloatMetricComparison
 
FloatFloatQuoteSet - Class in org.drip.product.calib
FloatFloatQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the Float-Float Swap Component.
FloatFloatQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.FloatFloatQuoteSet
FloatFloatQuoteSet Constructor
FloatFloatSwapConvention - Class in org.drip.market.otc
FloatFloatSwapConvention contains the Details of the IBOR Float-Float Component of an OTC contact.
FloatFloatSwapConvention(String, String, boolean, boolean, boolean, boolean, int) - Constructor for class org.drip.market.otc.FloatFloatSwapConvention
FloatFloatSwapConvention Constructor
FloatFloatVarianceAnalysis - Class in org.drip.sample.cms
FloatFloatVarianceAnalysis demonstrates the Construction and Valuation Impact of Volatility and Correlation on the CMS Float-Float Swap.
FloatFloatVarianceAnalysis() - Constructor for class org.drip.sample.cms.FloatFloatVarianceAnalysis
 
floating() - Method in class org.drip.capital.allocation.EntityComponentCapitalAssignment
Retrieve the Total Floating Elasticity Capital
floating() - Method in class org.drip.capital.allocation.EntityComponentElasticityAttribution
Retrieve the Floating Attribution
floating() - Method in class org.drip.capital.allocation.EntityElasticityAttribution
Retrieve the Floating Beta Capital Component
floating1DAccrualDays() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 1D Floating Accrual Period
floating1DDCF() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the Period 1D Floating DCF
floating1MDCF() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the Period 1M Floating DCF
floating3MDCF() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the Period 3M Floating DCF
FloatingCompositeUnit(List<Integer>, CompositePeriodSetting, ComposableFloatingUnitSetting) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
Construct the List of Composite Floating Period from the corresponding Composable Floating Period Units
FloatingCouponBondPeriods - Class in org.drip.sample.cashflow
FloatingCouponBondPeriods demonstrates the Cash Flow Period Details for a Floating Coupon Bond.
FloatingCouponBondPeriods() - Constructor for class org.drip.sample.cashflow.FloatingCouponBondPeriods
 
FloatingStandard() - Static method in class org.drip.spline.stretch.BoundarySettings
Return the Instance of the Standard Floating Boundary Condition
FloatingStreamQuoteSet - Class in org.drip.product.calib
FloatingStreamQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the Floating Stream.
FloatingStreamQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.FloatingStreamQuoteSet
FloatingStreamQuoteSet Constructor
FloatingUnits(int, int, ComposableFloatingUnitSetting) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
Construct the List of Composable Floating Units from the inputs
floatSpread() - Method in class org.drip.product.credit.BondComponent
 
floatSpread() - Method in class org.drip.product.definition.Bond
Return the floating spread of the bond
floatStreamConvention() - Method in class org.drip.market.otc.FixedFloatSwapConvention
Retrieve the Float Stream Convention
FloatStreamConvention - Class in org.drip.market.otc
FloatStreamConvention contains the details of the Floating Stream of an OTC IBOR/Overnight Fix- Float Swap Contract.
FloatStreamConvention(ForwardLabel, String) - Constructor for class org.drip.market.otc.FloatStreamConvention
FloatStreamConvention Constructor
floatStreamMPoR() - Method in class org.drip.exposure.generator.FixFloatMPoR
Retrieve the Float Stream MPoR
FloatStreamMPoR - Class in org.drip.exposure.generator
FloatStreamMPoR estimates the MPoR Variation Margin and the Trade Payments for the given Float Stream off of the Realized Market Path.
FloatStreamMPoR(Stream, double) - Constructor for class org.drip.exposure.generator.FloatStreamMPoR
FloatStreamMPoR Constructor
floorPassHoldingsAllocation() - Method in class org.drip.portfolioconstruction.cardinality.TadonkiVialHoldingsAllocation
Retrieve the Floor Pass Holdings Allocation
FloydRivestPartitionControl - Class in org.drip.graph.selection
FloydRivestPartitionControl implements the Control Parameters for the Floyd-Rivest Selection Algorithm.
FloydRivestPartitionControl(int, double) - Constructor for class org.drip.graph.selection.FloydRivestPartitionControl
FloydRivestPartitionControl Constructor
FloydRivestSelect - Class in org.drip.sample.selection
FloydRivestSelect illustrates the Construction and Usage of the Floyd-Rivest Selection Algorithm.
FloydRivestSelect() - Constructor for class org.drip.sample.selection.FloydRivestSelect
 
FloydRivestSelector<K extends java.lang.Comparable<K>> - Class in org.drip.graph.selection
FloydRivestSelector implements the Floyd-Rivest Selection Algorithm.
FloydRivestSelector(K[], FloydRivestPartitionControl) - Constructor for class org.drip.graph.selection.FloydRivestSelector
FloydRivestSelector Constructor
FloydWarshall - Class in org.drip.graph.shortestpath
FloydWarshall generates the Shortest Path for a Directed Graph using the Floyd-Warshall Dynamic Programming Algorithm.
FloydWarshall(Directed<?>, boolean, FHeuristic) - Constructor for class org.drip.graph.shortestpath.FloydWarshall
FloydWarshall Constructor
FloydWarshallDistanceMatrix - Class in org.drip.graph.shortestpath
FloydWarshallDistanceMatrix holds the Cross-Vertex Distance Matrix between a Pair of Vertexes.
FloydWarshallDistanceMatrix(Map<String, Integer>, Map<Integer, String>) - Constructor for class org.drip.graph.shortestpath.FloydWarshallDistanceMatrix
FloydWarshallDistanceMatrix Constructor
fluctuationCorrelation(double) - Method in class org.drip.dynamics.physical.LangevinEvolver
Retrieve the Fluctuation Correlation
fluctuationCovariance(double) - Method in class org.drip.dynamics.physical.LangevinEvolver
Retrieve the Fluctuation Co-variance
fokkerPlanckGenerator() - Method in class org.drip.dynamics.meanreverting.R1BrownianStochasticEvolver
 
fokkerPlanckGenerator() - Method in class org.drip.dynamics.meanreverting.R1CIRStochasticEvolver
 
fokkerPlanckGenerator() - Method in class org.drip.dynamics.meanreverting.R1CKLSStochasticEvolver
 
fokkerPlanckGenerator() - Method in class org.drip.dynamics.meanreverting.R1OrnsteinUhlenbeckStochasticEvolver
 
fokkerPlanckGenerator() - Method in class org.drip.dynamics.process.R1StochasticEvolver
Construct the Fokker Planck PDF Generator corresponding to R1 Stochastic Evolver
fokkerPlanckGenerator() - Method in class org.drip.dynamics.process.RdStochasticEvolver
Construct the Fokker Planck PDF Generator corresponding to Rd Stochastic Evolver
FokkerPlanckGenerator - Class in org.drip.pricer.option
FokkerPlanckGenerator holds the base functionality that the performs the PDF evolution oriented Option Pricing.
FokkerPlanckGenerator() - Constructor for class org.drip.pricer.option.FokkerPlanckGenerator
 
following() - Method in class org.drip.spline.bspline.SegmentBasisFunction
Retrieve the Following Predictor Ordinate
fonc() - Method in class org.drip.optimization.constrained.NecessarySufficientConditions
Retrieve the First Order Necessary Condition
ForeignCollateralDomesticForex - Class in org.drip.sample.piterbarg2012
ForeignCollateralDomesticForex demonstrates the construction and the usage of Foreign Currency Collateralized Domestic Pay-out FX forward product, and generation of its measures.
ForeignCollateralDomesticForex() - Constructor for class org.drip.sample.piterbarg2012.ForeignCollateralDomesticForex
 
ForeignCollateralDomesticForexAnalysis - Class in org.drip.sample.piterbarg2012
ForeignCollateralDomesticForexAnalysis contains an analysis of the correlation and volatility impact on the price of a Foreign Collateralized Domestic Pay-out Forex Contract.
ForeignCollateralDomesticForexAnalysis() - Constructor for class org.drip.sample.piterbarg2012.ForeignCollateralDomesticForexAnalysis
 
ForeignCollateralizedDiscountCurve - Class in org.drip.state.curve
ForeignCollateralizedDiscountCurve computes the discount factor corresponding to one unit of domestic currency collateralized by a foreign collateral.
ForeignCollateralizedDiscountCurve(String, MergedDiscountForwardCurve, FXCurve, VolatilityCurve, VolatilityCurve, R1ToR1) - Constructor for class org.drip.state.curve.ForeignCollateralizedDiscountCurve
ForeignCollateralizedDiscountCurve constructor
ForeignCollateralizedDomesticForward - Class in org.drip.product.fx
ForeignCollateralizedDomesticForward contains the Foreign Currency Collateralized Domestic Payout FX forward product contract details.
ForeignCollateralizedDomesticForward(CurrencyPair, double, JulianDate) - Constructor for class org.drip.product.fx.ForeignCollateralizedDomesticForward
Create an ForeignCollateralizedDomesticForward from the currency pair, the strike, and the maturity dates
ForeignCollateralizedZeroCoupon - Class in org.drip.sample.piterbarg2012
ForeignCollateralizedZeroCoupon contains an analysis of the correlation and volatility impact on the single cash flow discount factor of a Foreign Collateralized Zero Coupon.
ForeignCollateralizedZeroCoupon() - Constructor for class org.drip.sample.piterbarg2012.ForeignCollateralizedZeroCoupon
 
Forest<V> - Class in org.drip.graph.core
Forest holds a Map of Trees indexed by the Starting Vertex Names.
Forest() - Constructor for class org.drip.graph.core.Forest
Forest Constructor
form() - Method in class org.drip.graph.asymptote.BigOAsymptoteSpec
Retrieve the Big-O Asymptote Form
FormatDouble(double, int, int, double) - Static method in class org.drip.service.common.FormatUtil
Format the double input by multiplying, and then adding left and right adjustments
FormatDouble(double, int, int, double, boolean) - Static method in class org.drip.service.common.FormatUtil
Format the double input by multiplying, and then adding left and right adjustments
FormatUtil - Class in org.drip.service.common
FormatUtil implements formatting utility functions.
FormatUtil() - Constructor for class org.drip.service.common.FormatUtil
 
FORMULATION_TERM - Static variable in class org.drip.portfolioconstruction.core.BlockCategory
Block Category - FORMULATION_TERM
FormulationTerm - Class in org.drip.portfolioconstruction.optimizer
FormulationTerm holds the Core Objective/Constraint Formulation Terms.
forward() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve the Forward Latent State Node Container
forward(int) - Method in class org.drip.state.curve.BasisSplineForwardRate
 
forward(int) - Method in interface org.drip.state.forward.ForwardRateEstimator
Calculate the Forward Rate to the given Date
forward(int) - Method in class org.drip.state.nonlinear.FlatForwardForwardCurve
 
forward(int, int) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
 
forward(int, int) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
 
forward(int, int) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
 
forward(int, int) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
 
forward(int, int) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Compute the Forward Rate between two Dates
forward(int, int) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
 
forward(String) - Method in class org.drip.state.forward.ForwardCurve
 
forward(String) - Method in interface org.drip.state.forward.ForwardRateEstimator
Calculate the Forward Rate to the tenor implied by the given date
forward(String, String) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Compute the Forward Rate between two Tenors
forward(JulianDate) - Method in class org.drip.state.forward.ForwardCurve
 
forward(JulianDate) - Method in interface org.drip.state.forward.ForwardRateEstimator
Calculate the Forward Rate to the given date
forward(ForwardLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Forward Latent State
forward(ForwardLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve of Labeled Forward
Forward(String[], double[], double[][], double) - Static method in class org.drip.portfolioconstruction.allocator.ForwardReverseHoldingsAllocation
Construct an Instance of ForwardReverseHoldingsAllocation from a Standard Forward Optimize Operation
FORWARD_PRICE_CREDIT_BASIS - Static variable in class org.drip.product.govvie.TreasuryFutures
Forward Price Credit Basis
FORWARD_PRICE_OAS - Static variable in class org.drip.product.govvie.TreasuryFutures
Forward Price OAS
FORWARD_PRICE_YIELD - Static variable in class org.drip.product.govvie.TreasuryFutures
Forward Price Yield
FORWARD_PRICE_ZSPREAD - Static variable in class org.drip.product.govvie.TreasuryFutures
Forward Price Z-Spread
FORWARD_QM_CONTINUOUSLY_COMPOUNDED_FORWARD_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
Forward Latent State Quantification Metric - Continuously Compounded Forward Rate
FORWARD_QM_FORWARD_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
Forward Latent State Quantification Metric - Forward Rate
FORWARD_QM_INSTANTANEOUS_EFFECTIVE_FORWARD_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
Forward Latent State Quantification Metric - Instantaneous Effective Annual Forward Rate
FORWARD_QM_INSTANTANEOUS_FORWARD_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
Forward Latent State Quantification Metric - Instantaneous Forward Rate
FORWARD_QM_INSTANTANEOUS_NOMINAL_FORWARD_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
Forward Latent State Quantification Metric - Instantaneous Nominal Annual Forward Rate
FORWARD_QM_LIBOR_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
Forward Latent State Quantification Metric - LIBOR Rate
FORWARD_QM_SHIFTED_FORWARD_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
Forward Latent State Quantification Metric - Shifted Forward Rate
ForwardBondCreditPrice(Bond, JulianDate, JulianDate, CurveSurfaceQuoteContainer, double) - Static method in class org.drip.analytics.support.FuturesHelper
Compute the Forward Bond Price Using the Implied Bond Credit Basis
ForwardBondCreditPrice(Bond, ValuationParams, ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Static method in class org.drip.analytics.support.FuturesHelper
Compute the Forward Bond Price Using the Implied Bond Credit Basis
ForwardBondOASPrice(Bond, JulianDate, JulianDate, CurveSurfaceQuoteContainer, double) - Static method in class org.drip.analytics.support.FuturesHelper
Compute the Forward Bond Price Using the Implied Bond OAS
ForwardBondOASPrice(Bond, ValuationParams, ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Static method in class org.drip.analytics.support.FuturesHelper
Compute the Forward Bond Price Using the Implied Bond OAS
ForwardBondYieldPrice(Bond, JulianDate, JulianDate, CurveSurfaceQuoteContainer, double) - Static method in class org.drip.analytics.support.FuturesHelper
Compute the Forward Bond Price Using the Implied Bond Yield
ForwardBondYieldPrice(Bond, ValuationParams, ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Static method in class org.drip.analytics.support.FuturesHelper
Compute the Forward Bond Price Using the Implied Bond Yield
ForwardBondZSpreadPrice(Bond, JulianDate, JulianDate, CurveSurfaceQuoteContainer, double) - Static method in class org.drip.analytics.support.FuturesHelper
Compute the Forward Bond Price Using the Implied Bond Z Spread
ForwardBondZSpreadPrice(Bond, ValuationParams, ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Static method in class org.drip.analytics.support.FuturesHelper
Compute the Forward Bond Price Using the Implied Bond Z Spread
ForwardContract - Class in org.drip.sample.piterbarg2010
ForwardContract examines the Valuation of Forward Contract under CSA and non-CSA Settle Agreements.
ForwardContract() - Constructor for class org.drip.sample.piterbarg2010.ForwardContract
 
forwardCurve() - Method in class org.drip.dynamics.lmm.BGMCurveUpdate
Retrieve the LIBOR Forward Curve
forwardCurve() - Method in class org.drip.dynamics.lmm.LognormalLIBORPointEvolver
Retrieve the Forward Curve Instance
ForwardCurve - Class in org.drip.state.forward
ForwardCurve is the stub for the forward curve functionality.
ForwardCurve(JulianDate, ForwardLabel, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, MergedDiscountForwardCurve, ForwardCurve, int) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Instance of the Smooth/Shape Preserving Forward Curve off of Exchange/OTC Market Instruments
ForwardCurve(JulianDate, ForwardLabel, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, MergedDiscountForwardCurve, ForwardCurve, SegmentCustomBuilderControl) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Instance of the Forward Curve off of Exchange/OTC Market Instruments
forwardCurveIncrement() - Method in class org.drip.dynamics.lmm.BGMCurveUpdate
Retrieve the LIBOR Forward Curve Increment Span
ForwardCurveReferenceComponentBasis(String, String, JulianDate, MergedDiscountForwardCurve, ForwardCurve, ForwardCurve, MergedDiscountForwardCurve, ForwardCurve, double, SegmentCustomBuilderControl, String[], double[], boolean) - Static method in class org.drip.sample.dual.CCBSForwardCurve
Set the Forward Curve Reference Component Basis
ForwardDecompositionUtil - Class in org.drip.analytics.support
ForwardDecompositionUtil contains the utility functions needed to carry out periodic decomposition at MTM sync points for the given stream.
ForwardDecompositionUtil() - Constructor for class org.drip.analytics.support.ForwardDecompositionUtil
 
ForwardDerivedBasisSensitivity - Class in org.drip.sample.sensitivity
ForwardDerivedBasisSensitivity contains the sample demonstrating the full functionality behind creating highly customized spline based forward curves.
ForwardDerivedBasisSensitivity() - Constructor for class org.drip.sample.sensitivity.ForwardDerivedBasisSensitivity
 
forwardDirectedGraph() - Method in class org.drip.graph.bellmanford.EdgePartition
Retrieve the Forward Directed Graph
ForwardEdgeDates(int, int, String, DateAdjustParams, int) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
Generate a list of period edge dates forward from the start.
ForwardEdgeDates(JulianDate, JulianDate, String, DateAdjustParams, int) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
Generate a list of period edge dates forward from the start.
forwardExists(ForwardLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Indicate if the Forward Latent State Exists
forwardForwardCorrelation(ForwardLabel, ForwardLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Pair of Forward Latent States
forwardFunding() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
Retrieve the Forward/Funding Convexity Adjustment
forwardFunding() - Method in class org.drip.analytics.output.ConvexityAdjustment
Retrieve the Forward/Funding Convexity Adjustment
forwardFundingCorrelation(ForwardLabel, FundingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Forward and the Funding Latent States
forwardFundingPRWC(int, CurveSurfaceQuoteContainer, ProductQuoteSet) - Method in class org.drip.analytics.cashflow.CompositePeriod
Generate the Merged Forward/Funding Predictor/Response Constraint
ForwardFundingStretchSpec(String, CalibratableComponent[], String[], double[]) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
Construct a Merged Forward-Funding Latent State Stretch Spec Instance
ForwardFundingStretchSpec(String, CalibratableComponent[], String, double[]) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
Construct a Merged Forward-Funding Latent State Stretch Spec Instance
forwardFundingTenorCSQCDown() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Map of the Tenor Bumped Down Instances of the Forward Funding Curve CSQC
forwardFundingTenorCSQCUp() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Map of the Tenor Bumped Up Instances of the Forward Funding Curve CSQC
forwardFX() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
Retrieve the Forward/FX Convexity Adjustment
forwardFX() - Method in class org.drip.analytics.output.ConvexityAdjustment
Retrieve the Forward/FX Convexity Adjustment
forwardFXCorrelation(ForwardLabel, FXLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Forward and the FX Latent State Labels
forwardGovvieCorrelation(ForwardLabel, GovvieLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Forward and the Govvie Latent States
ForwardGovvieYield - Class in org.drip.sample.intexfeed
ForwardGovvieYield generates the Forward Govvie Yields over Monthly Increments with Maturity up to 60Y for different Govvie Tenors.
ForwardGovvieYield() - Constructor for class org.drip.sample.intexfeed.ForwardGovvieYield
 
ForwardHazardCreditCurve - Class in org.drip.state.nonlinear
ForwardHazardCreditCurve manages the Survival Latent State, using the Hazard Rate as the State Response Representation.
ForwardHazardCreditCurve(int, EntityCDSLabel, String, double[], int[], double[], int[], int) - Constructor for class org.drip.state.nonlinear.ForwardHazardCreditCurve
Create a credit curve from hazard rate and recovery rate term structures
ForwardJack(JulianDate, String, ForwardCurve, String) - Static method in class org.drip.sample.forward.IBORCurve
Display the Forward Jacobian
forwardLabel() - Method in class org.drip.dynamics.hjm.MultiFactorStateEvolver
Retrieve the Forward Label
forwardLabel() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateEvolver
Retrieve the Forward Label
forwardLabel() - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
Retrieve the Forward Label
forwardLabel() - Method in class org.drip.dynamics.lmm.LognormalLIBORPointEvolver
Retrieve the Forward Label
forwardLabel() - Method in class org.drip.dynamics.lmm.LognormalLIBORVolatility
Retrieve the Forward Label
forwardLabel() - Method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
Retrieve the Forward Label
forwardLabel() - Method in class org.drip.product.calib.ProductQuoteSet
Retrieve the Forward Latent State Label, if it exists
forwardLabel() - Method in class org.drip.product.credit.BondComponent
 
forwardLabel() - Method in class org.drip.product.credit.CDSComponent
 
forwardLabel() - Method in interface org.drip.product.definition.BasketMarketParamRef
Get the Array of Forward Labels
forwardLabel() - Method in class org.drip.product.definition.BasketProduct
 
forwardLabel() - Method in interface org.drip.product.definition.ComponentMarketParamRef
Get the Map of Forward Latent State Labels
forwardLabel() - Method in class org.drip.product.fx.FXForwardComponent
 
forwardLabel() - Method in class org.drip.product.govvie.TreasuryFutures
 
forwardLabel() - Method in class org.drip.product.option.OptionComponent
 
forwardLabel() - Method in class org.drip.product.rates.FixFloatComponent
 
forwardLabel() - Method in class org.drip.product.rates.FloatFloatComponent
 
forwardLabel() - Method in class org.drip.product.rates.RatesBasket
 
forwardLabel() - Method in class org.drip.product.rates.SingleStreamComponent
 
forwardLabel() - Method in class org.drip.product.rates.Stream
Retrieve the Forward Label, if Present
ForwardLabel - Class in org.drip.state.identifier
ForwardLabel contains the Index Parameters referencing a payment on a Forward Index.
forwardMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Forward Evolver Map
forwardOvernightCorrelation(ForwardLabel, OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Forward and the Overnight Latent States
forwardPaydownCorrelation(ForwardLabel, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Forward and the Pay-down Latent States
forwardPrice() - Method in class org.drip.analytics.output.BondEOSMetrics
Retrieve the Path/Vertex Forward Price Double Array
forwardPrice() - Method in class org.drip.product.params.CTDEntry
Retrieve the CTD Forward Price
forwardPRWC(int, CurveSurfaceQuoteContainer, ProductQuoteSet) - Method in class org.drip.analytics.cashflow.CompositePeriod
Generate the Forward Predictor/Response Constraint
forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.BondComponent
 
forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.CDSComponent
 
forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.definition.CalibratableComponent
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Forward Factor Latent State from the Component's Cash Flows.
forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.fra.FRAStandardComponent
 
forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.fx.FXForwardComponent
 
forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.option.OptionComponent
 
forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FixFloatComponent
 
forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FloatFloatComponent
 
forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.RatesBasket
 
forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.SingleStreamComponent
 
forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.Stream
Generate the State Loading Constraints for the Forward Latent State
forwardRate() - Method in class org.drip.dynamics.sabr.ForwardRateUpdate
Retrieve the Forward Rate
forwardRate() - Method in class org.drip.product.calib.DepositComponentQuoteSet
Retrieve the Forward Rate
forwardRate() - Method in class org.drip.product.calib.FloatingStreamQuoteSet
Retrieve the Forward Rate
ForwardRateDeposit(JulianDate, String[], ForwardLabel) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct an Array of OTC Forward Deposit Instruments from the corresponding Maturity Tenors
ForwardRateDeposit(JulianDate, String, ForwardLabel) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct an OTC Forward Deposit Instrument from Spot Date and the Maturity Tenor
forwardRateEstimator(int, ForwardLabel) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
 
forwardRateEstimator(int, ForwardLabel) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
 
forwardRateEstimator(int, ForwardLabel) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
 
forwardRateEstimator(int, ForwardLabel) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
 
forwardRateEstimator(int, ForwardLabel) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Retrieve the Forward Curve that might be implied by the Latent State of this Discount Curve Instance corresponding to the specified Floating Rate Index
forwardRateEstimator(int, ForwardLabel) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
 
ForwardRateEstimator - Interface in org.drip.state.forward
ForwardRateEstimator is the interface that exposes the calculation of the Forward Rate for a specific Index.
ForwardRateEvolution - Class in org.drip.sample.sabr
ForwardRateEvolution demonstrates the Construction and Usage of the SABR Model Dynamics for the Evolution of Forward Rate.
ForwardRateEvolution() - Constructor for class org.drip.sample.sabr.ForwardRateEvolution
 
ForwardRateFuturePeriods - Class in org.drip.sample.cashflow
ForwardRateFuturePeriods demonstrates the Cash Flow Period Details for a Forward Rate Futures Instrument.
ForwardRateFuturePeriods() - Constructor for class org.drip.sample.cashflow.ForwardRateFuturePeriods
 
ForwardRateFutures(JulianDate, String) - Static method in class org.drip.service.template.ExchangeInstrumentBuilder
Generate a Forward Rate Futures Contract corresponding to the Spot Date
ForwardRateFutures(JulianDate, ForwardLabel) - Static method in class org.drip.product.creator.SingleStreamComponentBuilder
Create a Forward Rate Futures Product Instance from the Spot Date and the Forward Label
ForwardRateFuturesClient - Class in org.drip.sample.service
ForwardRateFuturesClient demonstrates the Invocation and Examination of the JSON-based Forward Rate Futures Valuation Service Client.
ForwardRateFuturesClient() - Constructor for class org.drip.sample.service.ForwardRateFuturesClient
 
ForwardRateFuturesCode(String, int) - Static method in class org.drip.product.creator.SingleStreamComponentBuilder
Construct the Forward Rate Futures Code given a Effective Date
ForwardRateFuturesPack(JulianDate, int, String) - Static method in class org.drip.product.creator.SingleStreamComponentBuilder
Generate a Forward Rate Futures Pack corresponding to the Specified Number of Contracts
ForwardRateFuturesPack(JulianDate, int, String) - Static method in class org.drip.service.template.ExchangeInstrumentBuilder
Generate a Forward Rate Futures Pack corresponding to the Spot Date and the Specified Number of Contracts
ForwardRateFuturesProcessor - Class in org.drip.service.json
ForwardRateFuturesProcessor Sets Up and Executes a JSON Based In/Out Forward Rate Futures Valuation Processor.
ForwardRateFuturesProcessor() - Constructor for class org.drip.service.json.ForwardRateFuturesProcessor
 
forwardRateIncrement() - Method in class org.drip.dynamics.sabr.ForwardRateUpdate
Retrieve the Forward Rate Increment
ForwardRates - Class in org.drip.service.api
ForwardRates contains the array of the forward rates.
ForwardRates() - Constructor for class org.drip.service.api.ForwardRates
Empty ForwardRates constructor
ForwardRateUpdate - Class in org.drip.dynamics.sabr
ForwardRateUpdate contains the Increment and Snapshot of the Forward Rate Latent State evolved through the SABR Dynamics.
forwardRateVolatility() - Method in class org.drip.dynamics.sabr.ForwardRateUpdate
Retrieve the Forward Rate Volatility
ForwardRateVolatilityCurve(JulianDate, ForwardLabel, boolean, String[], double[], double[], String, MergedDiscountForwardCurve, ForwardCurve) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Forward Rate Volatility Latent State Construction from Cap/Floor Instruments
forwardRateVolatilityIncrement() - Method in class org.drip.dynamics.sabr.ForwardRateUpdate
Retrieve the Forward Rate Volatility Increment
forwardRatingCorrelation(ForwardLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Forward and the Rating Latent States
forwardRecoveryCorrelation(ForwardLabel, EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Forward and the Recovery Latent States
ForwardReferenceBasisSensitivity - Class in org.drip.sample.sensitivity
ForwardReferenceBasisSensitivity contains the sample demonstrating the full functionality behind creating highly customized spline based forward curves.
ForwardReferenceBasisSensitivity() - Constructor for class org.drip.sample.sensitivity.ForwardReferenceBasisSensitivity
 
forwardRepoCorrelation(ForwardLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Forward and the Repo Latent States
ForwardReverseHoldingsAllocation - Class in org.drip.portfolioconstruction.allocator
ForwardReverseHoldingsAllocation holds the Metrics that result from a Forward/Reverse Optimization Run.
ForwardReverseHoldingsAllocation(Portfolio, PortfolioMetrics, double, double[][], double[]) - Constructor for class org.drip.portfolioconstruction.allocator.ForwardReverseHoldingsAllocation
ForwardReverseHoldingsAllocation Constructor
forwardState(ForwardLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Forward State corresponding to the Label
ForwardStretchSpec(String, CalibratableComponent[], String[], double[]) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
Construct a Forward Latent State Stretch Spec Instance
ForwardStretchSpec(String, CalibratableComponent[], String, double[]) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
Construct a Forward Latent State Stretch Spec Instance
forwardSubstitution() - Method in class org.drip.numerical.iterativesolver.SuccessiveOverRelaxation
Solve using Forward Substitution
ForwardSubstitutionSolver - Class in org.drip.sample.sor
ForwardSubstitutionSolver illustrates usage of the Successive Over-relaxation Scheme.
ForwardSubstitutionSolver() - Constructor for class org.drip.sample.sor.ForwardSubstitutionSolver
 
ForwardSwapRate - Class in org.drip.sample.intexfeed
ForwardSwapRate generates the Forward Swap Rates over Monthly Increments with Maturity up to 60 Years for different Swap Tenors.
ForwardSwapRate() - Constructor for class org.drip.sample.intexfeed.ForwardSwapRate
 
forwardSweepBackSubstitution() - Method in class org.drip.numerical.linearsolver.NonPeriodicTridiagonalScheme
Solve the Strictly Tridiagonal System given the RHS
forwardVolatility(ForwardLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Volatility Curve for the specified Forward Latent State Label
ForwardVolatilityState - Class in org.drip.template.state
ForwardVolatilityState sets up the Calibration and the Construction of the Volatility Latent State for the Forward Latent State and examine the Emitted Metrics.
ForwardVolatilityState() - Constructor for class org.drip.template.state.ForwardVolatilityState
 
ForwardVolatilityStateShifted - Class in org.drip.template.statebump
ForwardVolatilityStateShifted demonstrates the Generation and the Usage of Tenor Bumped Forward Volatility Curves.
ForwardVolatilityStateShifted() - Constructor for class org.drip.template.statebump.ForwardVolatilityStateShifted
 
forwardYield(int, int) - Method in class org.drip.state.govvie.GovvieCurve
 
forwardYield(int, int) - Method in interface org.drip.state.govvie.YieldEstimator
Estimate the Forward Yield between the specified Dates
Foshan - Class in org.drip.sample.bondeos
Foshan demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Foshan.
Foshan() - Constructor for class org.drip.sample.bondeos.Foshan
 
foundationFHeuristic() - Method in class org.drip.graph.astar.MalikAllardFHeuristic
Retrieve the Foundation F Heuristic
foundationFLoading() - Method in class org.drip.graph.astar.MalikAllardFHeuristic
Retrieve the Loading for the Foundation F Heuristic
FourDSDMapToFlatString(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>>, String, String, String) - Static method in class org.drip.service.common.CollectionUtil
Flatten a 4D SSSD map structure onto a string array
Fourier() - Static method in class org.drip.specialfunction.loggamma.InfiniteSumSeriesTerm
Construct the Malmsten-Blagouchine Fourier Series Term for Log Gamma
Fourier(int) - Static method in class org.drip.specialfunction.loggamma.InfiniteSumEstimator
Compute the Fourier Infinite Sum Series of Log Gamma Estimator
Fourier(int) - Static method in class org.drip.specialfunction.loggamma.InfiniteSumSeries
Construct the R1 To R1 Malmsten-Blagouchine Fourier Series
FourierBlagouchineSeriesEstimate - Class in org.drip.sample.gamma
FourierBlagouchineSeriesEstimate demonstrates the Estimate of the Log Gamma Function using the Malmsten-Blagouchine as well as the Blagouchine (2015) Variants of the Fourier Series Expansion.
FourierBlagouchineSeriesEstimate() - Constructor for class org.drip.sample.gamma.FourierBlagouchineSeriesEstimate
 
FourPoint(double, double) - Static method in class org.drip.numerical.integration.GaussLegendreQuadratureGenerator
Generate the Four Point Gauss Legendre Quadrature over [a, b] onto [-1, +1]
FourPoint(double, double) - Static method in class org.drip.numerical.integration.GaussLobattoQuadratureGenerator
Generate the Four Point Gauss Legendre Quadrature over [a, b] onto [-1, +1]
FourPoint(AbscissaTransform) - Static method in class org.drip.numerical.integration.GaussLegendreQuadratureGenerator
Generate the Four Point Gauss Legendre Quadrature over [-1, +1]
FourPoint(AbscissaTransform) - Static method in class org.drip.numerical.integration.GaussLobattoQuadratureGenerator
Generate the Four Point Gauss Lobatto Quadrature over [-1, +1]
FourSum(int[], int) - Static method in class org.drip.service.common.ArrayUtil
Given an array of n integers and an integer target, are there elements a, b, c, and d in the array such that a + b + c + d = target? Find all unique quadruplets in the array which gives the sum of target.
FourSumCount(int[], int[], int[], int[]) - Static method in class org.drip.service.common.ArrayUtil
Given four lists A, B, C, D of integer values, compute how many tuples (i, j, k, l) there are such that A[i] + B[j] + C[k] + D[l] is zero.
FQN_DELIMITER - Static variable in interface org.drip.capital.label.Coordinate
The Default Fully Qualified Name
fra() - Method in class org.drip.product.fra.FRAStandardCapFloorlet
Retrieve the Underlying FRA Instance
FRAComponentQuoteSet - Class in org.drip.product.calib
FRAComponentQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the FRA Component.
FRAComponentQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.FRAComponentQuoteSet
FRAComponentQuoteSet Constructor
fractional() - Method in class org.drip.capital.allocation.EntityCapital
Retrieve the Fractional Amount of the Entity Capital
Fractional(double) - Static method in class org.drip.numerical.common.NumberUtil
Retrieve the Fractional Part of z
Fractionals() - Static method in class org.drip.specialfunction.digamma.SpecialValues
Construct the Fractionals Map for Leading Digamma Fractions
FractionToDecimal(int, int) - Static method in class org.drip.service.common.MapUtil
Given two integers representing the numerator and denominator of a fraction, return the fraction in string format.
FRAMarket(JulianDate, ForwardLabel, double) - Static method in class org.drip.product.creator.SingleStreamComponentBuilder
Create a FRA Market Component Instance from the Spot Date, the Forward Label, and the Strike
FRAMarketComponent - Class in org.drip.product.fra
FRAMarketComponent contains the implementation of the Standard Multi-Curve FRA product whose payoff is dictated off of Market FRA Conventions.
FRAMarketComponent(String, Stream, double, CashSettleParams) - Constructor for class org.drip.product.fra.FRAMarketComponent
FRAMarketComponent constructor
FRAMarketPeriods - Class in org.drip.sample.cashflow
FRAMarketPeriods demonstrates the Cash Flow Period Details for a Market FRA.
FRAMarketPeriods() - Constructor for class org.drip.sample.cashflow.FRAMarketPeriods
 
fraRate() - Method in class org.drip.product.calib.FRAComponentQuoteSet
Retrieve the FRA Rate
FRAStandard(JulianDate, ForwardLabel, double) - Static method in class org.drip.product.creator.SingleStreamComponentBuilder
Create a Standard FRA from the Spot Date, the Forward Label, and the Strike
FRAStandard(JulianDate, ForwardLabel, String[], double[]) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Create an Array of Standard FRAs from the Spot Date, the Forward Label, and the Strike
FRAStandard(JulianDate, ForwardLabel, String, double) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Create a Standard FRA from the Spot Date, the Forward Label, and the Strike
FRAStandardCapFloor - Class in org.drip.product.fra
FRAStandardCapFloor implements the Caps and Floors on the Standard FRA.
FRAStandardCapFloor(String, Stream, String, boolean, double, LastTradingDateSetting, CashSettleParams, FokkerPlanckGenerator) - Constructor for class org.drip.product.fra.FRAStandardCapFloor
FRAStandardCapFloor constructor
FRAStandardCapFloorlet - Class in org.drip.product.fra
FRAStandardCapFloorlet implements the Standard FRA Caplet and Floorlet.
FRAStandardCapFloorlet(String, FRAStandardComponent, String, boolean, double, double, LastTradingDateSetting, FokkerPlanckGenerator, CashSettleParams) - Constructor for class org.drip.product.fra.FRAStandardCapFloorlet
FRAStandardCapFloorlet constructor
FRAStandardComponent - Class in org.drip.product.fra
FRAStandardComponent contains the implementation of the Standard Multi-Curve FRA Component.
FRAStandardComponent(String, Stream, double, CashSettleParams) - Constructor for class org.drip.product.fra.FRAStandardComponent
FRAStandardComponent constructor
FRAStandardOption - Class in org.drip.sample.fra
FRAStandardOption contains the demonstration of the Valuation of an Option on a Multi-Curve FRA Standard.
FRAStandardOption() - Constructor for class org.drip.sample.fra.FRAStandardOption
 
FRAStandardOptionAnalysis - Class in org.drip.sample.fra
FRAStandardOptionAnalysis contains the demonstration of the custom volatility-correlation analysis of Option on a Standard Multi-Curve FRA.
FRAStandardOptionAnalysis() - Constructor for class org.drip.sample.fra.FRAStandardOptionAnalysis
 
FRAStandardPeriods - Class in org.drip.sample.cashflow
FRAStandardPeriods demonstrates the Cash Flow Period Details for a Standard FRA.
FRAStandardPeriods() - Constructor for class org.drip.sample.cashflow.FRAStandardPeriods
 
FRAStdCapFloor - Class in org.drip.sample.capfloor
FRAStdCapFloor demonstrates the creation, invocation, usage, and valuation of the FRA Cap/Floor.
FRAStdCapFloor() - Constructor for class org.drip.sample.capfloor.FRAStdCapFloor
 
FRAStdCapFloorAnalysis - Class in org.drip.sample.capfloor
FRAStdCapFloorAnalysis contains an analysis if the correlation and volatility impact on a Cap/Floor of the standard FRA.
FRAStdCapFloorAnalysis() - Constructor for class org.drip.sample.capfloor.FRAStdCapFloorAnalysis
 
FRAStdCapModels - Class in org.drip.sample.capfloor
FRAStdCapModels runs a side-by-side comparison of the FRA Cap sequence using different models.
FRAStdCapModels() - Constructor for class org.drip.sample.capfloor.FRAStdCapModels
 
FRAStdCapMonteCarlo - Class in org.drip.sample.capfloor
FRAStdCapMonteCarlo demonstrates the steps associated with a LMM-Based Monte-Carlo pricing of a FRA Cap.
FRAStdCapMonteCarlo() - Constructor for class org.drip.sample.capfloor.FRAStdCapMonteCarlo
 
FRAStdCapSequence - Class in org.drip.sample.capfloor
FRAStdCapSequence demonstrates the Product Creation, Market Parameters Construction, and Valuation of a Sequence of Standard FRA Caps.
FRAStdCapSequence() - Constructor for class org.drip.sample.capfloor.FRAStdCapSequence
 
freq() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
Retrieve the Coupon Frequency
freq() - Method in class org.drip.analytics.cashflow.CompositePeriod
Retrieve the Coupon Frequency
freq() - Method in class org.drip.analytics.daycount.ActActDCParams
Retrieve the Frequency
freq() - Method in class org.drip.param.period.CompositePeriodSetting
Retrieve the Frequency
freq() - Method in class org.drip.param.period.UnitCouponAccrualSetting
Retrieve the Coupon Frequency
freq() - Method in class org.drip.param.quoting.YieldInterpreter
Retrieve the Frequency
freq() - Method in class org.drip.product.credit.BondComponent
 
freq() - Method in class org.drip.product.credit.CDSComponent
 
freq() - Method in class org.drip.product.definition.Bond
Return the bond's coupon frequency
freq() - Method in class org.drip.product.definition.Component
Retrieve the Coupon Frequency
freq() - Method in class org.drip.product.fx.FXForwardComponent
 
freq() - Method in class org.drip.product.govvie.TreasuryFutures
 
freq() - Method in class org.drip.product.option.OptionComponent
 
freq() - Method in class org.drip.product.rates.FixFloatComponent
 
freq() - Method in class org.drip.product.rates.FloatFloatComponent
 
freq() - Method in class org.drip.product.rates.RatesBasket
 
freq() - Method in class org.drip.product.rates.SingleStreamComponent
 
freq() - Method in class org.drip.product.rates.Stream
Retrieve the Stream Frequency
freq() - Method in class org.drip.state.govvie.GovvieCurve
Retrieve the Yield Frequency
frequency() - Method in class org.drip.loan.characteristics.Coupon
Retrieve the Loan Coupon Frequency
frequency() - Method in class org.drip.market.issue.TreasurySetting
Retrieve the Frequency
frequency() - Method in class org.drip.market.otc.CreditIndexConvention
Retrieve the Coupon Frequency
FrequencyBasedWordDecomposition(Map<String, Integer>, String) - Static method in class org.drip.service.common.StringUtil
Break the given string into words, provided by a given hash-map of frequency of word as word : frequency.
FrequencyTable(int[]) - Static method in class org.drip.graph.selection.HashSelector
Construct a Frequency Table
FreshPromotion - Class in org.drip.sample.algo
FreshPromotion an integer 1 if the customer is a winner else return 0.
FreshPromotion() - Constructor for class org.drip.sample.algo.FreshPromotion
 
FRFHoliday - Class in org.drip.analytics.holset
FRFHoliday holds the FRF Holidays.
FRFHoliday() - Constructor for class org.drip.analytics.holset.FRFHoliday
FRFHoliday Constructor
fri() - Method in class org.drip.product.params.FloaterSetting
Retrieve the Floater Label
FRIDAY - Static variable in class org.drip.analytics.date.DateUtil
Days of the week - Friday
fritzJohnMultipliers() - Method in class org.drip.optimization.constrained.NecessarySufficientConditions
Retrieve the Fritz John Mutipliers
FritzJohnMultipliers - Class in org.drip.optimization.constrained
FritzJohnMultipliers holds the Array of the Fritz John/KKT Multipliers for the Array of the Equality and the Inequality Constraints, one per each Constraint.
FritzJohnMultipliers(double, double[], double[]) - Constructor for class org.drip.optimization.constrained.FritzJohnMultipliers
FritzJohnMultipliers Constructor
frobeniusCovariance() - Method in class org.drip.function.matrix.Square
Generate the Frobenius Covariance
FrobeniusCovariance - Class in org.drip.function.matrix
FrobeniusCovariance implements the Frobenius Co-variance of a Square Matrix, which corresponds to the Projection Shadows of Lagrange Polynomials of the Square Matrix.
FrobeniusCovariance() - Constructor for class org.drip.function.matrix.FrobeniusCovariance
Empty FrobeniusCovariance Constructor
FrobeniusEvaluator - Class in org.drip.numerical.matrixnorm
FrobeniusEvaluator computes the Entry-wise L2, 2 Norm of the Entries of the R1 Square Matrix.
FrobeniusEvaluator() - Constructor for class org.drip.numerical.matrixnorm.FrobeniusEvaluator
FrobeniusEvaluator Constructor
frobeniusNorm() - Method in class org.drip.numerical.eigenization.EigenOutput
Compute the Frobenius Norm of the Eigenvalues
frobeniusSeries() - Method in class org.drip.specialfunction.bessel.FirstFrobeniusSeriesEstimator
Retrieve the Frobenius Series
frobeniusSeries() - Method in class org.drip.specialfunction.bessel.ModifiedFirstFrobeniusSeriesEstimator
Retrieve the Frobenius Series
FromAmerican(int, int[], double[], boolean, int, boolean, double, String, double) - Static method in class org.drip.product.params.EmbeddedOptionSchedule
Create the discretized American EOS schedule from the array of dates and factors
FromAmerican(int, int[], double[], boolean, int, int, boolean, double, String, double) - Static method in class org.drip.product.params.EmbeddedOptionSchedule
Create the discretized American EOS schedule from the array of dates and factors
FromAnnualReturnsSettings(double, double, double, double) - Static method in class org.drip.execution.parameters.ArithmeticPriceDynamicsSettings
Construct the Asset Dynamics Settings from the Annual Returns Parameters
FromArray(double[], double[]) - Static method in class org.drip.numerical.common.Array2D
Create the Array2D Instance from a Matched Array of X and Y
FromArray(int[], double[]) - Static method in class org.drip.numerical.common.Array2D
Create the Array2D Instance from a Matched Array of X and Y
fromBack() - Method in class org.drip.analytics.eventday.DateInMonth
Retrieve the Flag indicating whether the Lag is from the Front/Back
FromBaseCurve(int, String, String, boolean, List<CompositePeriod>, int, int, int, DiscountCurve, double, ValuationCustomizationParams, SegmentCustomBuilderControl) - Static method in class org.drip.state.curve.DerivedZeroRate
Construct an Instance from the Input Curve and the related Parameters
FromBracketingCustomBCP(BracketingControlParams) - Static method in class org.drip.function.r1tor1solver.InitializationHeuristics
Construct an Initialization Heuristics Instance from Custom Bracketing Control Parameters
FromBracketingEdgeHints(double, double) - Static method in class org.drip.function.r1tor1solver.InitializationHeuristics
Construct an Initialization Heuristics Instance from the bracketing edge soft hints
FromBracketingFloorCeiling(double, double) - Static method in class org.drip.function.r1tor1solver.InitializationHeuristics
Construct an Initialization Heuristics Instance from the bracketing hard floor/ceiling
FromBracketingMidHint(double) - Static method in class org.drip.function.r1tor1solver.InitializationHeuristics
Construct an Initialization Heuristics Instance from the bracketing mid hint
FromCIR(R1CIRStochasticEvolver, double) - Static method in class org.drip.dynamics.physical.ExponentialAffineZeroCoefficients
Construct an Instance of ExponentialAffineZeroCoefficients using the CIR Stochastic Evolver
FromCode(String) - Static method in class org.drip.product.params.CurrencyPair
Construct the Currency Pair from the Code
FromCode(String, JulianDate[], JulianDate[], double[]) - Static method in class org.drip.service.template.TreasuryBuilder
Construct an Array of the Treasury Instances from the Code
FromCode(String, JulianDate, JulianDate, double) - Static method in class org.drip.service.template.TreasuryBuilder
Construct an Instance of the Treasury Bond From the Code
FromComponentCapital(double, double, double, double, double, double, double, double, double) - Static method in class org.drip.capital.allocation.EntityComponentCapital
Construct the Entity Component Capital Instance from the Individual Component Capital
FromConfidence(MultivariateMeta, double[], double[][], double[][], double) - Static method in class org.drip.measure.bayesian.ProjectionDistributionLoading
Generate the ProjectionDistributionLoading Instance from the Confidence Level
FromContract(String) - Static method in class org.drip.market.exchange.TreasuryFuturesOptionContainer
Retrieve the Treasury Futures Option Convention from the Contract Name
FromDateAmountVertex(String, int, double) - Static method in class org.drip.numerical.common.Array2D
Generate the Array2D Schedule from the String Representation of the Vertex Dates and Edge Payments Combination.
FromDateFactorVertex(String, int) - Static method in class org.drip.numerical.common.Array2D
Generate an Array2D Instance from the String Array containing semi-colon delimited Date/Factor Vertex Pair
FromDateFactorVertex(String, int, double) - Static method in class org.drip.numerical.common.Array2D
Generate an Array2D Instance from the String Array containing semi-colon delimited Date/Factor Vertex Pair
FromDiscountCurve(int, String, String, boolean, List<CompositePeriod>, int, int, int, DiscountCurve, double, ValuationCustomizationParams, SegmentCustomBuilderControl) - Static method in class org.drip.state.curve.DerivedZeroRate
Construct an Instance from the Discount Curve and the related Parameters
FromErrorRate(boolean, double, int, KaplanZwickBinaryNode<KEY, ITEM>, KaplanZwickBinaryNode<KEY, ITEM>, KaplanZwickBinaryNode<KEY, ITEM>) - Static method in class org.drip.graph.softheap.KaplanZwickBinaryNode
Construct an Instance of KaplanZwickBinaryNode from the Error Rate
FromExponential - Class in org.drip.measure.transform
FromExponential transforms R1 Exponential Distribution to Derived Distributions.
FromExponential() - Constructor for class org.drip.measure.transform.FromExponential
 
FromExponentialPrimitive(ExponentialTensionSetParams) - Static method in class org.drip.spline.tension.KochLycheKvasovFamily
Implement the Basis Function Set from the Cubic Polynomial Numerator and Exponential Denominator
FromFirstPenultimateCouponDate(int, int, int, int, int, int, double, String, String, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, String, boolean, String, String, FloaterLabel, EntityCDSLabel) - Static method in class org.drip.product.params.BondStream
Construct an Instance of BondStream from the First/Penultimate Dates using the specified Parameters
FromFlatForm(double[][]) - Static method in class org.drip.measure.discrete.VertexRd
Construct a VertexRd Instance from the R^d Sequence
FromFrequency(int) - Static method in class org.drip.analytics.daycount.ActActDCParams
Construct an ActActDCParams from the specified Frequency
FromGovvieCurve(int, String, String, boolean, List<CompositePeriod>, int, int, int, GovvieCurve, double, ValuationCustomizationParams, SegmentCustomBuilderControl) - Static method in class org.drip.state.curve.DerivedZeroRate
Construct an Instance from the Govvie Curve and the related Parameters
FromGraph(Directed<?>) - Static method in class org.drip.graph.shortestpath.FloydWarshallDistanceMatrix
Generate a FloydWarshallDistanceMatrix Instance from the specified Graph
FromGraph(Directed<?>, boolean) - Static method in class org.drip.graph.bellmanford.EdgePartition
Generate the EdgePartition from a Graph
FromHardSearchEdges(double, double) - Static method in class org.drip.function.r1tor1solver.InitializationHeuristics
Construct an Initialization Heuristics Instance from the hard search edges
FromHyperbolicPrimitive(ExponentialTensionSetParams) - Static method in class org.drip.spline.tension.KochLycheKvasovFamily
Implement the Basis Function Set from the Hyperbolic Hat Primitive Set
FromIndependentChiSquared(R1Central[]) - Static method in class org.drip.measure.chisquare.R1Central
Generate a Consolidated Chi-squared Distribution from Independent Component Distributions
FromIRCSG(String, CalibratableComponent[]) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
Create an DiscountCurveScenarioContainer Instance from the currency and the array of the calibration instruments
FromJurisdictionTypeMaturity(String, String, String, String) - Static method in class org.drip.market.exchange.TreasuryFuturesConventionContainer
Retrieve the Treasury Futures Convention from the Currency, the Type, the Sub-type, and the Maturity Tenor
FromList(List<Double>) - Static method in class org.drip.measure.statistics.UnivariateDiscreteThin
Generate a UnivariateDiscreteThin Instance from the specified List of Double's
FromMarketVertexArray(MarketVertex[]) - Static method in class org.drip.exposure.universe.MarketPath
Generate the Market Path from Market Vertex Array
FromMDY(String, String) - Static method in class org.drip.analytics.date.DateUtil
Create a JulianDate from the MDY
FromMultivariateMetrics(MultivariateMoments) - Static method in class org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
Construct an Instance of AssetUniverseStatisticalProperties from the corresponding MultivariateMetrics Instance
FromPnLAttribution(CorrelationCategoryBetaManager, EntityCapitalAssignmentSetting, PnLAttribution, Map<String, Double>, double, double) - Static method in class org.drip.capital.allocation.EntityComponentCapital
Generate the Entity Component Capital from the PnL Attribution
FromPolar(double, double) - Static method in class org.drip.numerical.complex.C1Cartesian
Construct the Complex Number from its Polar Representation
FromPredictorResponsePair(double, double) - Static method in class org.drip.spline.params.SegmentResponseValueConstraint
Generate a SegmentResponseValueConstraint instance from the given predictor/response pair.
FromRationalLinearPrimitive(ExponentialTensionSetParams) - Static method in class org.drip.spline.tension.KochLycheKvasovFamily
Implement the Basis Function Set from the Cubic Polynomial Numerator and Linear Rational Denominator
FromRationalQuadraticPrimitive(ExponentialTensionSetParams) - Static method in class org.drip.spline.tension.KochLycheKvasovFamily
Implement the Basis Function Set from the Cubic Polynomial Numerator and Quadratic Rational Denominator
FromRealizationArray(double[]) - Static method in class org.drip.measure.gamma.R1ConsistentEstimator
Construct and Instance of R1ConsistentEstimator from the Array of Realizations
FromRealizationArray(double[]) - Static method in class org.drip.measure.gamma.R1MaximumLikelihoodEstimator
Construct and Instance of R1MaximumLikelihoodEstimator from the Array of Realizations
FromRealizationArray(double[]) - Static method in class org.drip.measure.gamma.R1ScaleInvariantScaleParameterEstimator
Construct and Instance of R1ScaleInvariantScaleParameterEstimator from the Array of Realizations
FromRow(double[], int, R1ClosenessVerifier) - Static method in class org.drip.numerical.linearalgebra.GershgorinDisc
Construct an Instance of GershgorinDisc from the Square Matrix's Row
FromSample(Sample, GapTestSetting) - Static method in class org.drip.validation.riskfactorsingle.DiscriminatoryPowerAnalyzer
Construct a DiscriminatoryPowerAnalyzer Instance from the Sample
FromSentence(String) - Static method in class org.drip.spaces.big.AnagramMapSet
Construct an AnagramMapSet Instance from the specified Sentence
FromSquareMatrix(R1Square, boolean) - Static method in class org.drip.numerical.linearalgebra.GershgorinAnalyzer
Construct a GershgorinAnalyzer Instance from the SquareMatrix
FromStringSet(String, String) - Static method in class org.drip.numerical.common.Array2D
Create the Array2D Instance from a Matched String Array of X and Y
FromTenor(JulianDate, String[]) - Static method in class org.drip.analytics.support.Helper
Convert the Array of Tenors into Dates off of a Spot
FromUnitRandom(List<LatentStateLabel>, double[][]) - Static method in class org.drip.exposure.universe.LatentStateWeiner
Construct an Instance of LatentStateWeiner from the Arrays of Latent State and their Weiner Increments
FromXYDeltaArray(double[], double[], double) - Static method in class org.drip.numerical.common.Array2D
Create the Array2D Instance from a Matched Array of X and Y Deltas
FRTB(String) - Static method in class org.drip.simm.foundation.MarginEstimationSettings
Generate an FRTB Instance of MarginEstimationSettings
FRTR(JulianDate, JulianDate, double) - Static method in class org.drip.service.template.TreasuryBuilder
Construct an Instance of the French Treasury EUR FRTR Bond
fScore() - Method in class org.drip.graph.shortestpath.AugmentedVertex
Retrieve the Vertex Path F Score
fsGrossPnL() - Method in class org.drip.capital.explain.AllocatedPnLAttribution
 
fsGrossPnL() - Method in class org.drip.capital.explain.PnLAttribution
Retrieve the Gross VaR FS PnL
fsMap() - Method in class org.drip.capital.simulation.FSPnLDecomposition
Retrieve the FS PnL Decomposition Map
FSPnLDecomposition - Class in org.drip.capital.simulation
FSPnLDecomposition holds the Per FS PnL Decomposition.
FSPnLDecomposition(Map<String, PnLSeries>) - Constructor for class org.drip.capital.simulation.FSPnLDecomposition
FSPnLDecomposition Constructor
FSPnLDecompositionContainer - Class in org.drip.capital.simulation
FSPnLDecompositionContainer holds the Series of Decomposed FS PnL's.
FSPnLDecompositionContainer(List<FSPnLDecomposition>) - Constructor for class org.drip.capital.simulation.FSPnLDecompositionContainer
FSPnLDecompositionContainer Constructor
fsPnLDecompositionExplainMap() - Method in class org.drip.capital.explain.AllocatedPnLAttribution
 
fsPnLDecompositionExplainMap() - Method in class org.drip.capital.explain.PnLAttribution
Retrieve the FS PnL Decomposition Explain Map
fsPnLDecompositionList() - Method in class org.drip.capital.simulation.FSPnLDecompositionContainer
Retrieve the List of FS PnL Decomposition
fsPnLDecompositionMap() - Method in class org.drip.capital.simulation.PathPnLRealization
Retrieve the Path FS PnL Decomposition
fsTypeAdjustmentMap() - Method in class org.drip.capital.shell.VolatilityScaleContext
Retrieve the FS Type to Volatility Adjustment Map
fsTypeVolatilityAjustmentMap() - Method in class org.drip.capital.setting.HorizonTailFSPnLControl
Retrieve the FS Type Volatility Adjustment Map
FSVolatilityScaleMapping - Class in org.drip.sample.businessspec
FSVolatilityScaleMapping zeds the FS Type to their Volatility Scales.
FSVolatilityScaleMapping() - Constructor for class org.drip.sample.businessspec.FSVolatilityScaleMapping
 
ftdcolva() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Expected Bilateral Collateral VA
ftdcolva() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for Bilateral Collateral VA
ftdcva() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Expected Bilateral/FTD CVA
ftdcva() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for FTD CVA
FTDCVA(double) - Static method in class org.drip.xva.basel.ValueAdjustment
Construct the FTDCVA Value Adjustment Instance
ftddva() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Expected Bilateral DVA
FuchsianEquation - Class in org.drip.specialfunction.group
FuchsianEquation holds the Isomorphic Order, Coexter Singularity Index, and the Klein-4 Transformations of the 2F1 Regular Hyper-geometric Function.
FuchsianEquation(R1ToR1[]) - Constructor for class org.drip.specialfunction.group.FuchsianEquation
FuchsianEquation Constructor
fulfill(OrderFulfillment) - Method in class org.drip.oms.transaction.Order
Fill an Order Partially/Fully
fulfillScheme() - Method in class org.drip.oms.transaction.OrderFillWholeSettings
Retrieve the Fulfillment Scheme
fulfillTryLimit() - Method in class org.drip.oms.transaction.OrderFillWholeSettings
Retrieve the Fulfillment Try Limit
FULL_FRONT_PERIOD - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
Period Set Generation Customization - Merge the front periods to produce a long front
fullConfidenceOutput() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionImpliedConfidenceOutput
Retrieve the Full Projection Confidence Black Litterman Run Output
fullConfidenceRun() - Method in class org.drip.portfolioconstruction.bayesian.BlackLittermanCombinationEngine
Conduct a Black Litterman Run using a Theil-like Mixed Model Estimator For 100% Confidence in the Projection
fullCouponDCF() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
Retrieve the Period Full Coupon DCF
fullCouponRate(CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
Get the Period Full Coupon Rate
fullName() - Method in class org.drip.market.otc.CreditIndexConvention
Retrieve the Full Name of the Credit Index
fullProjectionConfidenceDeviation() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionImpliedConfidenceOutput
Retrieve the Full Projection Induced Equilibrium Asset Deviation Array
fullProjectionConfidenceWeight() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionImpliedConfidenceOutput
Retrieve the Full Projection Induced Equilibrium Asset Weight Array
FullSuite(boolean) - Static method in class org.drip.investing.factors.TopDownSegmentRanker
Build a Full-Suite Top/Bottom Portfolio Ranker
FULLY_INVESTED_CONSTRAINT - Static variable in class org.drip.portfolioconstruction.allocator.EqualityConstraintSettings
FULLY_INVESTED_CONSTRAINT - The Mandatory Completely Invested Constraint
FullyInvested() - Static method in class org.drip.portfolioconstruction.allocator.EqualityConstraintSettings
Construct a Fully Invested Instance of EqualityConstraintSettings
fullyInvestedConstraint() - Method in class org.drip.portfolioconstruction.allocator.HoldingsAllocationControl
Retrieve the Fully Invested Equality Constraint
fullyQualifiedName() - Method in class org.drip.capital.label.BusinessRegionRiskTypeCoordinate
 
fullyQualifiedName() - Method in class org.drip.capital.label.CapitalSegmentCoordinate
 
fullyQualifiedName() - Method in class org.drip.capital.label.CapitalUnitCoordinate
 
fullyQualifiedName() - Method in interface org.drip.capital.label.Coordinate
Retrieve the Fully Qualified Name
fullyQualifiedName() - Method in class org.drip.capital.label.RegionRiskTypeCoordinate
 
fullyQualifiedName() - Method in class org.drip.market.exchange.FuturesOptions
Retrieve the Fully Qualified Name
fullyQualifiedName() - Method in class org.drip.state.identifier.CollateralLabel
 
fullyQualifiedName() - Method in class org.drip.state.identifier.CSALabel
 
fullyQualifiedName() - Method in class org.drip.state.identifier.CustomLabel
 
fullyQualifiedName() - Method in class org.drip.state.identifier.EntityCreditLabel
 
fullyQualifiedName() - Method in class org.drip.state.identifier.EntityDesignateLabel
 
fullyQualifiedName() - Method in class org.drip.state.identifier.FloaterLabel
 
fullyQualifiedName() - Method in class org.drip.state.identifier.FundingLabel
 
fullyQualifiedName() - Method in class org.drip.state.identifier.FXLabel
 
fullyQualifiedName() - Method in class org.drip.state.identifier.GovvieLabel
 
fullyQualifiedName() - Method in interface org.drip.state.identifier.LatentStateLabel
Retrieve the Fully Qualified Name
fullyQualifiedName() - Method in class org.drip.state.identifier.OTCFixFloatLabel
 
fullyQualifiedName() - Method in class org.drip.state.identifier.OvernightLabel
 
fullyQualifiedName() - Method in class org.drip.state.identifier.PaydownLabel
 
fullyQualifiedName() - Method in class org.drip.state.identifier.RatingLabel
 
fullyQualifiedName() - Method in class org.drip.state.identifier.RepoLabel
 
fullyQualifiedName() - Method in class org.drip.state.identifier.VolatilityLabel
 
funcClassA() - Method in class org.drip.spaces.cover.CarlStephaniProductBounds
Retrieve the Function Class A
funcClassB() - Method in class org.drip.spaces.cover.CarlStephaniProductBounds
Retrieve the Function Class B
function() - Method in class org.drip.sequence.functional.EfronSteinMetrics
Retrieve the Multivariate Objective Function
function() - Method in class org.drip.spaces.rxtor1.NormedR1ToNormedR1
Retrieve the Underlying R1ToR1 Function
function() - Method in class org.drip.spaces.rxtor1.NormedRdToNormedR1
Retrieve the Underlying RdToR1 Function
function() - Method in class org.drip.spaces.rxtord.NormedR1ToNormedRd
Retrieve the Underlying R1 to Rd Function
function() - Method in class org.drip.spaces.rxtord.NormedRdToNormedRd
Retrieve the Underlying RdToRd Function
function() - Method in class org.drip.xva.derivative.TerminalPayout
Retrieve the R1 To R1 Pay-out Function
functionClass() - Method in class org.drip.function.r1tor1.FunctionClassSupremum
Retrieve the Class of Functions
functionClass() - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
Retrieve the Underlying Learner Function Class
functionClass() - Method in class org.drip.learning.rxtor1.GeneralizedLearner
 
FunctionClassCoveringBounds - Interface in org.drip.spaces.cover
FunctionClassCoveringBounds implements the estimate Lower/Upper Bounds and/or Absolute Values of the Covering Number for the Function Class.
FunctionClassSupremum - Class in org.drip.function.r1tor1
FunctionClassSupremum implements the Univariate Function that corresponds to the Supremum among the specified Class of Functions.
FunctionClassSupremum(R1ToR1[]) - Constructor for class org.drip.function.r1tor1.FunctionClassSupremum
FunctionClassSupremum Cnstructor
functionR1ToR1Set() - Method in class org.drip.spaces.functionclass.NormedR1ToNormedR1Finite
Retrieve the Finite Class of R1 To R1 Functions
functionRdToR1Set() - Method in class org.drip.spaces.functionclass.NormedRdToNormedR1Finite
Retrieve the Finite Class of Rd To R1 Functions
functionSequenceMetrics(R1ToR1) - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
Generate the Metrics for the Univariate Function Sequence
FunctionSet - Class in org.drip.spline.basis
FunctionSet implements the basis spline function set.
FunctionSet(R1ToR1[]) - Constructor for class org.drip.spline.basis.FunctionSet
FunctionSet Constructor
FunctionSetBuilder - Class in org.drip.spline.basis
FunctionSetBuilder implements the basis set and spline builder for the following types of splines: Construct Exponential Tension Basis Function Set Construct Hyperbolic Tension Basis Function Set Construct Polynomial Basis Function Set Construct Bernstein Polynomial Basis Function Set Construct KaklisPandelis from the polynomial tension basis function set Construct the Exponential Rational Basis Set Construct the Exponential Mixture Basis Set Construct the BSpline Basis Function Set This elastic coefficients for the segment using Ck basis splines inside [0,...,1) - Globally [x_0,...,x_1) are extracted for: y = Estimator (Ck, x) * ShapeControl (x) where x is the normalized ordinate mapped as x becomes (x - x_i-1) / (x_i - x_i-1) The inverse quadratic/rational spline is a typical shape controller spline used.
FunctionSetBuilder() - Constructor for class org.drip.spline.basis.FunctionSetBuilder
 
FunctionSetBuilderParams - Interface in org.drip.spline.basis
FunctionSetBuilderParams is an empty stub class whose derived implementations hold the per segment basis set parameters.
functionSpaces() - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
Retrieve the Array of Function Spaces in the Class
functionSpaces() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
Retrieve the Array of Function Spaces in the Class
FunctionSupremumUnivariateRandom - Class in org.drip.sequence.functional
FunctionSupremumUnivariateRandom contains the Implementation of the FunctionClassSupremum Objective Function dependent on Univariate Random Variable.
FunctionSupremumUnivariateRandom(R1ToR1[], R1Univariate) - Constructor for class org.drip.sequence.functional.FunctionSupremumUnivariateRandom
FunctionSupremumUnivariateRandom Constructor
FundamentalConstants - Class in org.drip.dynamics.physical
FundamentalConstants holds the Fundamental Constants of the Physical Processes.
FundamentalConstants() - Constructor for class org.drip.dynamics.physical.FundamentalConstants
 
fundamentalCycleEdgeSet(Tree<?>) - Method in class org.drip.graph.core.Directed
Retrieve the Set of the Fundamental Cycles using the Spanning Tree
FundamentalGroupPathExponent2F1 - Class in org.drip.specialfunction.group
FundamentalGroupPathExponent2F1 holds the Exponents of the Monodromy Loop Paths around the Singular Points 0, 1, and Infinity.
FundamentalGroupPathExponent2F1(double, double, double) - Constructor for class org.drip.specialfunction.group.FundamentalGroupPathExponent2F1
FundamentalGroupPathExponent2F1 Constructor
FundConventionFromJurisdiction(String) - Static method in class org.drip.market.otc.OvernightFixedFloatContainer
Retrieve the Fix-Float Overnight Fund Convention for the specified Jurisdiction
funding() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve the Funding Latent State Node Container
funding() - Method in interface org.drip.xva.hypothecation.CollateralGroupVertexExposureComponent
Retrieve the Funding Exposure of the Collateral Group
funding() - Method in class org.drip.xva.vertex.AlbaneseAndersen
 
funding() - Method in class org.drip.xva.vertex.BurgardKjaer
 
funding() - Method in class org.drip.xva.vertex.BurgardKjaerExposure
 
funding(FundingLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Funding Latent State
funding(FundingLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve of Labeled Funding
funding01UpCSQC() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the CSQC built out of the Funding Curve Flat Bumped 1 bp
fundingBaseCSQC() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the CSQC built out of the Base Funding Curve
FundingBasisEvolver - Class in org.drip.exposure.csadynamics
FundingBasisEvolver implements a Two Factor Stochastic Funding Model Evolver with a Log Normal Forward Process and a Mean Reverting Diffusion Process for the Funding Spread.
FundingBasisEvolver(DiffusionEvaluatorLogarithmic, DiffusionEvaluatorMeanReversion, double) - Constructor for class org.drip.exposure.csadynamics.FundingBasisEvolver
FundingBasisEvolver Constructor
fundingBenefitAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
fundingBenefitAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
fundingBenefitAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Compute Path Funding Benefit Adjustment
fundingBenefitAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Path Funding Benefit Adjustment
fundingBenefitAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath
 
fundingCostAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
fundingCostAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
fundingCostAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Compute Path Funding Cost Adjustment
fundingCostAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Path Funding Cost Adjustment
fundingCostAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath
 
FundingCurve(JulianDate, String, String[], double[], String, double[], String, String[], double[], String, int) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Funding Curve Based off of the Input Exchange/OTC Market Instruments
FundingCurve(JulianDate, String, String[], double[], String, double[], String, String[], double[], String, SegmentCustomBuilderControl) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Funding Curve Based off of the Input Exchange/OTC Market Instruments Using the specified Spline
FundingCurveAPI - Class in org.drip.service.state
FundingCurveAPI computes the Metrics associated the Funding Curve State.
FundingCurveAPI() - Constructor for class org.drip.service.state.FundingCurveAPI
 
FundingCurveMetrics - Class in org.drip.historical.state
FundingCurveMetrics holds the computed Metrics associated the Funding Curve State.
FundingCurveMetrics(JulianDate) - Constructor for class org.drip.historical.state.FundingCurveMetrics
FundingCurveMetrics Constructor
FundingCurveQuoteSensitivity - Class in org.drip.sample.sensitivity
FundingCurveQuoteSensitivity demonstrates the calculation of the Funding curve sensitivity to the calibration instrument quotes.
FundingCurveQuoteSensitivity() - Constructor for class org.drip.sample.sensitivity.FundingCurveQuoteSensitivity
 
fundingDebtAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
fundingDebtAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
fundingDebtAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Compute Path Funding Debt Adjustment
fundingDebtAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Path Funding Debt Adjustment
fundingDebtAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath
 
FundingDeposit(JulianDate, String, String) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct an OTC Funding Deposit Instrument from the Spot Date and the Maturity Tenor
FundingDeposit(JulianDate, String, String[]) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct an Array of OTC Funding Deposit Instruments from their corresponding Maturity Tenors
FundingDepositFutures(JulianDate, String, String[], int) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct an Array of OTC Funding Deposit and Futures Instruments
fundingEuroDollarCSQC() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the CSQC built out of the Base Euro Dollar Curve
fundingExists(FundingLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Indicate if the Funding Latent State Exists
fundingExposure() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Array of Funding Exposures
fundingExposure() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for the Funding Exposure
fundingExposurePV() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Array of Funding Exposure PV
fundingExposurePV() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for the Funding Exposure PV
FundingFixFloatMarksReconstitutor - Class in org.drip.feed.transformer
FundingFixFloatMarksReconstitutor transforms the Funding Instrument Manifest Measures (e.g., Forward Rate for Deposits, Forward Rate for Futures, and Swap Rates for Fix/Float Swap) Feed Inputs into Formats appropriate for Funding Curve Construction and Measure Generation.
FundingFixFloatMarksReconstitutor() - Constructor for class org.drip.feed.transformer.FundingFixFloatMarksReconstitutor
 
fundingFlatBump(BasketProduct, boolean) - Method in class org.drip.param.definition.ScenarioMarketParams
Get the Map of Funding Parallel Bumped Curves for the given Basket Product
fundingFlatBump(BasketProduct, boolean) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.BondComponent
 
fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.CDSComponent
 
fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.definition.CalibratableComponent
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the merged Funding and Forward Latent States from the Component's Cash Flows.
fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.fx.FXForwardComponent
 
fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.option.OptionComponent
 
fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FixFloatComponent
 
fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FloatFloatComponent
 
fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.RatesBasket
 
fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.SingleStreamComponent
 
fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.Stream
Generate the State Loading Constraints for the Merged Forward/Funding Latent State
fundingFundingCorrelation(FundingLabel, FundingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Pair of Funding Latent States
FundingFuturesAPI - Class in org.drip.service.product
FundingFuturesAPI contains the Functionality associated with the Horizon Analysis of the Funding Futures.
FundingFuturesAPI() - Constructor for class org.drip.service.product.FundingFuturesAPI
 
FundingFuturesClosesReconstitutor - Class in org.drip.feed.transformer
FundingFuturesClosesReconstitutor transforms the Funding Futures Closes- Feed Inputs into Formats suitable for Valuation Metrics and Sensitivities Generation.
FundingFuturesClosesReconstitutor() - Constructor for class org.drip.feed.transformer.FundingFuturesClosesReconstitutor
 
fundingFX() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
Retrieve the Funding/FX Convexity Adjustment
fundingFX() - Method in class org.drip.analytics.output.ConvexityAdjustment
Retrieve the Funding/FX Convexity Adjustment
fundingFXCorrelation(FundingLabel, FXLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Funding and the FX Latent States
fundingGovvieCorrelation(FundingLabel, GovvieLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Funding and the Govvie Latent States
fundingGroup(String) - Method in class org.drip.xva.topology.Adiabat
Retrieve the Funding Group identified by the ID
FundingGroup - Class in org.drip.xva.topology
FundingGroup represents an Aggregation of Credit Debt Groups with a common Funding Group Specification.
FundingGroup(String, String, FundingGroupSpecification) - Constructor for class org.drip.xva.topology.FundingGroup
FundingGroup Constructor
FundingGroupBilateralCSA - Class in org.drip.sample.xvastrategy
FundingGroupBilateralCSA demonstrates the Simulation Run of the Funding Group Exposure using the "Bilateral CSA" Funding Strategy laid out in Burgard and Kjaer (2013).
FundingGroupBilateralCSA() - Constructor for class org.drip.sample.xvastrategy.FundingGroupBilateralCSA
 
FundingGroupHedgeError - Class in org.drip.sample.xvastrategy
FundingGroupHedgeError demonstrates the Simulation Run of the Funding Group Exposure using the "Hedge Error" Funding Strategy laid out in Burgard and Kjaer (2013).
FundingGroupHedgeError() - Constructor for class org.drip.sample.xvastrategy.FundingGroupHedgeError
 
fundingGroupMap() - Method in class org.drip.xva.topology.Adiabat
Retrieve the Funding Group Map
FundingGroupPath - Class in org.drip.xva.netting
FundingGroupPath holds up the Strategy Abstract Realizations of the Sequence in a Single Path Projection Run over Multiple Collateral Groups onto a Single Funding Group - the Purpose being to calculate Funding Valuation Adjustments.
FundingGroupPerfectReplication - Class in org.drip.sample.xvastrategy
FundingGroupPerfectReplication demonstrates the Simulation Run of the Funding Group Exposure using the "Perfect Replication" Funding Strategy laid out in Burgard and Kjaer (2013).
FundingGroupPerfectReplication() - Constructor for class org.drip.sample.xvastrategy.FundingGroupPerfectReplication
 
FundingGroupSemiReplication - Class in org.drip.sample.xvastrategy
FundingGroupSemiReplication demonstrates the Simulation Run of the Funding Group Exposure using the "Semi Replication" Funding Strategy laid out in Burgard and Kjaer (2013).
FundingGroupSemiReplication() - Constructor for class org.drip.sample.xvastrategy.FundingGroupSemiReplication
 
FundingGroupSetOff - Class in org.drip.sample.xvastrategy
FundingGroupSetOff demonstrates the Simulation Run of the Funding Group Exposure using the "Set Off" Funding Strategy laid out in Burgard and Kjaer (2013).
FundingGroupSetOff() - Constructor for class org.drip.sample.xvastrategy.FundingGroupSetOff
 
fundingGroupSpecification() - Method in class org.drip.xva.proto.PositionSchemaSpecification
Retrieve the Funding Group Specification
fundingGroupSpecification() - Method in class org.drip.xva.topology.FundingGroup
Retrieve the Funding Group Specification
FundingGroupSpecification - Class in org.drip.xva.proto
FundingGroupSpecification contains the Specification Base of a Named Funding Group.
FundingGroupSpecification(String, String, EntityFundingLabel, EntityFundingLabel, EntityFundingLabel) - Constructor for class org.drip.xva.proto.FundingGroupSpecification
FundingGroupSpecification Constructor
fundingGroupTrajectoryPathArray() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
Retrieve the Array of the Funding Group Trajectory Paths
FundingGroupUnilateralCSA - Class in org.drip.sample.xvastrategy
FundingGroupUnilateralCSA demonstrates the Simulation Run of the Funding Group Exposure using the "Unilateral CSA" Funding Strategy laid out in Burgard and Kjaer (2013).
FundingGroupUnilateralCSA() - Constructor for class org.drip.sample.xvastrategy.FundingGroupUnilateralCSA
 
fundingLabel() - Method in class org.drip.analytics.cashflow.Bullet
Return the Funding Label
fundingLabel() - Method in class org.drip.analytics.cashflow.CompositePeriod
Return the Funding Label
fundingLabel() - Method in class org.drip.analytics.output.BulletMetrics
Retrieve the Funding Label
fundingLabel() - Method in class org.drip.dynamics.hjm.MultiFactorStateEvolver
Retrieve the Funding Label
fundingLabel() - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
Retrieve the Funding Label
fundingLabel() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateEvolver
Retrieve the Funding Label
fundingLabel() - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
Retrieve the Funding Label
fundingLabel() - Method in class org.drip.dynamics.lmm.LognormalLIBORPointEvolver
Retrieve the Funding Label
fundingLabel() - Method in class org.drip.product.calib.ProductQuoteSet
Retrieve the Funding Latent State Label, if it exists
fundingLabel() - Method in class org.drip.product.credit.BondComponent
 
fundingLabel() - Method in class org.drip.product.credit.CDSComponent
 
fundingLabel() - Method in interface org.drip.product.definition.BasketMarketParamRef
Get the Array of Funding Curve Latent State Labels
fundingLabel() - Method in class org.drip.product.definition.BasketProduct
 
fundingLabel() - Method in interface org.drip.product.definition.ComponentMarketParamRef
Get the Funding Curve Latent State Label
fundingLabel() - Method in class org.drip.product.fx.FXForwardComponent
 
fundingLabel() - Method in class org.drip.product.govvie.TreasuryFutures
 
fundingLabel() - Method in class org.drip.product.option.OptionComponent
 
fundingLabel() - Method in class org.drip.product.rates.FixFloatComponent
 
fundingLabel() - Method in class org.drip.product.rates.FloatFloatComponent
 
fundingLabel() - Method in class org.drip.product.rates.RatesBasket
 
fundingLabel() - Method in class org.drip.product.rates.SingleStreamComponent
 
fundingLabel() - Method in class org.drip.product.rates.Stream
Retrieve the Funding Label
FundingLabel - Class in org.drip.state.identifier
FundingLabel contains the Identifier Parameters referencing the Latent State of the named Funding Discount Curve.
fundingMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Funding Evolver Map
FundingNativeForwardReconciler - Class in org.drip.sample.multicurve
FundingNativeForwardReconciler demonstrates the Construction of the Forward Curve Native to the Discount Curve across different Tenors, and display their Reconciliation.
FundingNativeForwardReconciler() - Constructor for class org.drip.sample.multicurve.FundingNativeForwardReconciler
 
fundingNumeraireProcess(String) - Method in class org.drip.exposure.csadynamics.FundingBasisEvolver
Generate the Funding Numeraire Diffusion Process
fundingOvernightCorrelation(FundingLabel, OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Funding and the Overnight Latent States
fundingPaydownCorrelation(FundingLabel, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Funding and the Pay-down Latent States
fundingPRWC(int, CurveSurfaceQuoteContainer, ProductQuoteSet) - Method in class org.drip.analytics.cashflow.Bullet
Generate the Funding Predictor/Response Constraint
fundingPRWC(int, CurveSurfaceQuoteContainer, ProductQuoteSet) - Method in class org.drip.analytics.cashflow.CompositePeriod
Generate the Funding Predictor/Response Constraint
fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.BondComponent
 
fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.CDSComponent
 
fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.definition.CalibratableComponent
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Funding Curve Discount Factor Latent State from the Component's Cash Flows.
fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.fra.FRAStandardComponent
 
fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.fx.FXForwardComponent
 
fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.option.OptionComponent
 
fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FixFloatComponent
 
fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FloatFloatComponent
 
fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.RatesBasket
 
fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.SingleStreamComponent
 
fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.Stream
Generate the State Loading Constraints for the Funding Latent State
fundingRatingCorrelation(FundingLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Funding and the Rating Latent States
fundingRecoveryCorrelation(FundingLabel, EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Funding and the Recovery Latent States
fundingRepoCorrelation(FundingLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Funding and the Repo Latent States
fundingSegmentPaths() - Method in class org.drip.exposure.holdings.PositionGroupContainer
Retrieve the Array of Position Groups Collected into Funding Group Collateral Vertex Paths
fundingSegments() - Method in class org.drip.exposure.holdings.PositionGroupContainer
Retrieve the Position Groups Sorted into Funding Group Segments
fundingSpreadEvolver() - Method in class org.drip.exposure.csadynamics.FundingBasisEvolver
Retrieve the Funding Spread Diffusion Evolver
fundingSpreadNumeraireProcess(String) - Method in class org.drip.exposure.csadynamics.FundingBasisEvolver
Generate the Funding Spread Numeraire Diffusion Process
fundingState() - Method in class org.drip.service.api.FixFloatFundingInstrument
Retrieve the Funding State
fundingState(FundingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Funding Latent State Corresponding to the Label
FundingState - Class in org.drip.template.state
FundingState sets up the Calibration of the Funding Latent State and examine the Emitted Metrics.
FundingState() - Constructor for class org.drip.template.state.FundingState
 
FundingStateClient - Class in org.drip.sample.service
FundingStateClient demonstrates the Invocation and Examination of the JSON-based Funding Service Client.
FundingStateClient() - Constructor for class org.drip.sample.service.FundingStateClient
 
FundingStateShifted - Class in org.drip.template.statebump
FundingStateShifted generates a Sequence of Tenor Bumped Funding Curves.
FundingStateShifted() - Constructor for class org.drip.template.statebump.FundingStateShifted
 
FundingStretchSpec(String, CalibratableComponent[], String[], double[]) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
Construct a Funding Latent State Stretch Spec Instance
FundingStretchSpec(String, CalibratableComponent[], String, double[]) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
Construct a Funding Latent State Stretch Spec Instance
fundingTenorBump(BasketProduct, boolean) - Method in class org.drip.param.definition.ScenarioMarketParams
Get the Double Map of Funding Tenor Bumped Curves for each Funding Curve for the given Basket Product
fundingTenorBump(BasketProduct, boolean) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
fundingTenorCSQCDown() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Map of the Tenor Bumped Down Instances of the Funding Curve CSQC
fundingTenorCSQCUp() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Map of the Tenor Bumped Up Instances of the Funding Curve CSQC
fundingTenorMarketParams(Component, boolean) - Method in class org.drip.param.definition.ScenarioMarketParams
Get the Map of Funding Tenor Bumped Market Parameters corresponding to the Component
fundingTenorMarketParams(Component, boolean) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
fundingTransferPricing() - Method in class org.drip.xva.basel.OTCAccountingPolicy
Retrieve the Funding Transfer Pricing
fundingValueAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
fundingValueAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
fundingValueAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Compute Path Funding Value Adjustment
fundingValueAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Path Funding Value Adjustment
fundingValueAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath
 
fundingVolatility(FundingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Volatility Curve for the Funding Latent State Label
Fuqing - Class in org.drip.sample.bondeos
Fuqing demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Fuqing.
Fuqing() - Constructor for class org.drip.sample.bondeos.Fuqing
 
Fushun - Class in org.drip.sample.bondeos
Fushun demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Fushun.
Fushun() - Constructor for class org.drip.sample.bondeos.Fushun
 
futureQuote() - Method in class org.drip.service.api.DiscountCurveInputInstrument
Retrieve the Array of Future Quotes
FuturesComponentQuoteSet - Class in org.drip.product.calib
FuturesComponentQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the Short-term Interest Rate Futures Component.
FuturesComponentQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.FuturesComponentQuoteSet
FuturesComponentQuoteSet Constructor
FuturesHelper - Class in org.drip.analytics.support
FuturesHelper contains the Collection of the Futures Valuation related Utility Functions.
FuturesHelper() - Constructor for class org.drip.analytics.support.FuturesHelper
 
FuturesIndex() - Method in class org.drip.market.exchange.TreasuryFuturesOptionConvention
Retrieve the Treasury Futures Index
FuturesOption(JulianDate, ForwardLabel, double, String, boolean, CashSettleParams) - Static method in class org.drip.product.creator.SingleStreamOptionBuilder
Create a Standard Futures Option
FuturesOptions - Class in org.drip.market.exchange
FuturesOptions contains the details of the exchange-traded Short-Term Futures Options Contracts.
FuturesOptions(String, String) - Constructor for class org.drip.market.exchange.FuturesOptions
FuturesOptions Constructor
FuturesOptionsContainer - Class in org.drip.market.exchange
FuturesOptionsContainer holds the short term futures options contracts.
FuturesOptionsContainer() - Constructor for class org.drip.market.exchange.FuturesOptionsContainer
 
futuresQuote() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Array of Futures Instrument Quotes
futureTenor() - Method in class org.drip.service.api.DiscountCurveInputInstrument
Retrieve the Array of Future Tenors
futureValueDistribution(double, double) - Method in class org.drip.dynamics.meanreverting.R1CIRStochasticEvolver
 
futureValueDistribution(double, double) - Method in class org.drip.dynamics.process.R1StochasticEvolver
Generate the Future Value Distribution at Time t
Fuxin - Class in org.drip.sample.bondeos
Fuxin demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Fuxin.
Fuxin() - Constructor for class org.drip.sample.bondeos.Fuxin
 
Fuyang - Class in org.drip.sample.bondeos
Fuyang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Fuyang.
Fuyang() - Constructor for class org.drip.sample.bondeos.Fuyang
 
Fuzhou - Class in org.drip.sample.bondeos
Fuzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Fuzhou.
Fuzhou() - Constructor for class org.drip.sample.bondeos.Fuzhou
 
FV1 - Class in org.drip.sample.treasuryfuturesapi
FV1 demonstrates the Invocation and Examination of the FV1 5Y UST Treasury Futures.
FV1() - Constructor for class org.drip.sample.treasuryfuturesapi.FV1
 
FV1_05Y - Class in org.drip.template.ust
FV1_05Y demonstrates the Details behind the Implementation and the Pricing of the 5Y FV1 UST Futures Contract.
FV1_05Y() - Constructor for class org.drip.template.ust.FV1_05Y
 
FV1Attribution - Class in org.drip.sample.treasuryfuturespnl
FV1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the FV1 Series.
FV1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.FV1Attribution
 
FV1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
FV1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated FV1 Closes Feed.
FV1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.FV1ClosesReconstitutor
 
FV1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
FV1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the FV1 Treasury Futures.
FV1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.FV1KeyRateDuration
 
fva() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Expected FVA
fva() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for FVA
FVA(double) - Static method in class org.drip.xva.basel.ValueAdjustment
Construct the FVA Value Adjustment Instance
fwdMetric() - Method in class org.drip.service.api.InstrMetric
Retrieve the Forward Metric
fx() - Method in class org.drip.analytics.output.BulletMetrics
Retrieve the Terminal FX Rate
fx() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve the FX Latent State Node Container
fx() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the FX Rate
fx(int) - Method in class org.drip.state.curve.BasisSplineFXForward
 
fx(int) - Method in class org.drip.state.fx.FXCurve
Calculate the FX Forward to the given Date
fx(int) - Method in class org.drip.state.nonlinear.FlatForwardFXCurve
 
fx(String) - Method in class org.drip.state.fx.FXCurve
Calculate the FX Forward to the given date
fx(JulianDate) - Method in class org.drip.state.fx.FXCurve
Calculate the FX Forward to the given date
fx(CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.Bullet
Coupon Period FX
fx(CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod
Coupon Period FX
fx(FXLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the FX Latent State
fx(FXLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve of Labeled FX
FX - Static variable in class org.drip.investing.factors.RiskPremiumCategory
FX Risk
FX - Static variable in class org.drip.simm.common.Chargram
The FX Digram FX
FX_LOCAL_MARKETS - Static variable in class org.drip.capital.definition.Product
FX_Local_Markets Product
FX_QM_FORWARD_OUTRIGHT - Static variable in class org.drip.analytics.definition.LatentStateStatic
FX Latent State Quantification Metric - FX Forward Outright
FX20 - Class in org.drip.sample.simmsettings
FX20 demonstrates the Extraction and Display of ISDA SIMM 2.0 FX Bucket Risk Weights, Correlations, and Systemics.
FX20() - Constructor for class org.drip.sample.simmsettings.FX20
 
FX21 - Class in org.drip.sample.simmsettings
FX21 demonstrates the Extraction and Display of ISDA SIMM 2.1 FX Bucket Risk Weights, Correlations, and Systemics.
FX21() - Constructor for class org.drip.sample.simmsettings.FX21
 
FX24 - Class in org.drip.sample.simmsettings
FX24 demonstrates the Extraction and Display of ISDA SIMM 2.4 FX Bucket Risk Weights, Correlations, and Systemics.
FX24() - Constructor for class org.drip.sample.simmsettings.FX24
 
FXBasisCalibrator(FXForwardComponent) - Constructor for class org.drip.product.fx.FXForwardComponent.FXBasisCalibrator
Constructor: Construct the basis calibrator from the FXForward parent
fxChange() - Method in class org.drip.capital.systemicscenario.CreditSpreadEvent
Retrieve the FX Change Criterion
FXClassMargin20 - Class in org.drip.sample.simmfx
FXClassMargin20 illustrates the Computation of the ISDA 2.0 Aggregate Margin for across a Group of FX Bucket Exposure Sensitivities.
FXClassMargin20() - Constructor for class org.drip.sample.simmfx.FXClassMargin20
 
FXClassMargin21 - Class in org.drip.sample.simmfx
FXClassMargin21 illustrates the Computation of the ISDA 2.1 Aggregate Margin for across a Group of FX Bucket Exposure Sensitivities.
FXClassMargin21() - Constructor for class org.drip.sample.simmfx.FXClassMargin21
 
FXClassMargin24 - Class in org.drip.sample.simmfx
FXClassMargin24 illustrates the Computation of the ISDA 2.4 Aggregate Margin for across a Group of FX Bucket Exposure Sensitivities.
FXClassMargin24() - Constructor for class org.drip.sample.simmfx.FXClassMargin24
 
fxCode() - Method in class org.drip.product.fx.ComponentPair
Retrieve the FX Code
FXCrossGroupPrincipal - Class in org.drip.sample.simmvariance
FXCrossGroupPrincipal demonstrates the Computation of the Cross FX Bucket Principal Component Co-variance using the FX Risk Group Principal Component.
FXCrossGroupPrincipal() - Constructor for class org.drip.sample.simmvariance.FXCrossGroupPrincipal
 
FXCurrencyPairConventions - Class in org.drip.sample.fx
FXCurrencyPairConventions demonstrates the accessing of the Standard FX Currency Order and Currency Pair Conventions.
FXCurrencyPairConventions() - Constructor for class org.drip.sample.fx.FXCurrencyPairConventions
 
FXCurvatureMargin20 - Class in org.drip.sample.simmfx
FXCurvatureMargin20 demonstrates the Construction of a Portfolio of FX Curvature Sensitivities and their eventual SIMM 2.0 Margin Computation.
FXCurvatureMargin20() - Constructor for class org.drip.sample.simmfx.FXCurvatureMargin20
 
FXCurvatureMargin21 - Class in org.drip.sample.simmfx
FXCurvatureMargin21 demonstrates the Construction of a Portfolio of FX Curvature Sensitivities and their eventual SIMM 2.1 Margin Computation.
FXCurvatureMargin21() - Constructor for class org.drip.sample.simmfx.FXCurvatureMargin21
 
FXCurvatureMargin24 - Class in org.drip.sample.simmfx
FXCurvatureMargin24 demonstrates the Construction of a Portfolio of FX Curvature Sensitivities and their eventual SIMM 2.4 Margin Computation.
FXCurvatureMargin24() - Constructor for class org.drip.sample.simmfx.FXCurvatureMargin24
 
FXCurve - Class in org.drip.state.fx
FXCurve is the Stub for the FX Curve for the specified Currency Pair.
FXCurve(JulianDate, CurrencyPair, String[], double[], String, double, int) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct an FX Curve from the FX Forward Instruments
FXCurve(JulianDate, CurrencyPair, String[], double[], String, double, SegmentCustomBuilderControl) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct an FX Curve from the FX Forward Instruments
FXDeltaMargin20 - Class in org.drip.sample.simmfx
FXDeltaMargin20 demonstrates the Construction of a Portfolio of FX Delta Sensitivities and their eventual SIMM 2.0 Margin Computation.
FXDeltaMargin20() - Constructor for class org.drip.sample.simmfx.FXDeltaMargin20
 
FXDeltaMargin21 - Class in org.drip.sample.simmfx
FXDeltaMargin21 demonstrates the Construction of a Portfolio of FX Delta Sensitivities and their eventual SIMM 2.1 Margin Computation.
FXDeltaMargin21() - Constructor for class org.drip.sample.simmfx.FXDeltaMargin21
 
FXDeltaMargin24 - Class in org.drip.sample.simmfx
FXDeltaMargin24 demonstrates the Construction of a Portfolio of FX Delta Sensitivities and their eventual SIMM 2.4 Margin Computation.
FXDeltaMargin24() - Constructor for class org.drip.sample.simmfx.FXDeltaMargin24
 
fxExists(FXLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Indicate if the FX Latent State Exists
fxFixingDate() - Method in class org.drip.analytics.cashflow.Bullet
Retrieve the Period FX Fixing Date
fxFixingDate() - Method in class org.drip.analytics.cashflow.CompositePeriod
Return the Period FX Fixing Date
fxFixingSetting() - Method in class org.drip.param.period.CompositePeriodSetting
Retrieve the FX Fixing Setting
fxFixingSetting() - Method in class org.drip.product.fx.ComponentPair
Retrieve the FX Fixing Setting
fxForward(ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, double, boolean) - Method in class org.drip.product.fx.FXForwardComponent
Imply the FX Forward
FXForward(JulianDate, CurrencyPair, String) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Create an OTC FX Forward Component
FXForward(JulianDate, CurrencyPair, String[]) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Create an Array of OTC FX Forward Components
FXForwardComponent - Class in org.drip.product.fx
FXForwardComponent contains the Standard FX forward Component contract details - the effective date, the maturity date, the currency pair and the product code.
FXForwardComponent(String, CurrencyPair, int, int, double, CashSettleParams) - Constructor for class org.drip.product.fx.FXForwardComponent
Create an FXForwardComponent from the currency pair, the effective and the maturity dates
FXForwardComponent.FXBasisCalibrator - Class in org.drip.product.fx
 
FXForwardQuoteSet - Class in org.drip.product.calib
FXForwardQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the FX Forward Component.
FXForwardQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.FXForwardQuoteSet
FXForwardQuoteSet Constructor
FXFoundationMarginComparison - Class in org.drip.sample.simmcurvature
FXFoundationMarginComparison illustrates the Comparison of the FX Margin Estimates using different Schemes for Calculating the Position-Bucket Curvature Margin.
FXFoundationMarginComparison() - Constructor for class org.drip.sample.simmcurvature.FXFoundationMarginComparison
 
fxFXCorrelation(FXLabel, FXLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified FX Latent State Label Set
fxFXLoading(FXLabel) - Method in class org.drip.analytics.output.BulletMetrics
Retrieve the FX Loading Coefficient for the specified FX Latent State
fxGovvieCorrelation(FXLabel, GovvieLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified FX and the Govvie Latent States
fxLabel() - Method in class org.drip.analytics.cashflow.Bullet
Return the FX Label
fxLabel() - Method in class org.drip.analytics.cashflow.CompositePeriod
Return the FX Label
fxLabel() - Method in class org.drip.analytics.output.BulletMetrics
Retrieve the FX Label
fxLabel() - Method in class org.drip.product.calib.ProductQuoteSet
Retrieve the FX Latent State Label, if it exists
fxLabel() - Method in class org.drip.product.credit.BondComponent
 
fxLabel() - Method in class org.drip.product.credit.CDSComponent
 
fxLabel() - Method in interface org.drip.product.definition.BasketMarketParamRef
Get the Array of the FX Latent State Identifier Labels
fxLabel() - Method in class org.drip.product.definition.BasketProduct
 
fxLabel() - Method in interface org.drip.product.definition.ComponentMarketParamRef
Get the Map of FX Latent State Identifier Labels
fxLabel() - Method in class org.drip.product.fx.ComponentPair
 
fxLabel() - Method in class org.drip.product.fx.FXForwardComponent
 
fxLabel() - Method in class org.drip.product.govvie.TreasuryFutures
 
fxLabel() - Method in class org.drip.product.option.OptionComponent
 
fxLabel() - Method in class org.drip.product.rates.FixFloatComponent
 
fxLabel() - Method in class org.drip.product.rates.FloatFloatComponent
 
fxLabel() - Method in class org.drip.product.rates.RatesBasket
 
fxLabel() - Method in class org.drip.product.rates.SingleStreamComponent
 
fxLabel() - Method in class org.drip.product.rates.Stream
Retrieve the FX Label
FXLabel - Class in org.drip.state.identifier
FXLabel contains the Identifier Parameters referencing the Latent State of the named FX Curve.
FXLabel(CurrencyPair) - Constructor for class org.drip.state.identifier.FXLabel
FXLabel Constructor
fxMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the FX Evolver Map
FXMarginComparison - Class in org.drip.sample.simmvariance
FXMarginComparison illustrates the Comparison of the FX Margin Estimates using difference Schemes for Calculating the Position-Bucket Principal Component Co-variance.
FXMarginComparison() - Constructor for class org.drip.sample.simmvariance.FXMarginComparison
 
fxOvernightCorrelation(FXLabel, OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified FX and the Overnight Latent States
fxPaydownCorrelation(FXLabel, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified FX and the Pay-down Latent States
fxPRWC(int, CurveSurfaceQuoteContainer, ProductQuoteSet) - Method in class org.drip.analytics.cashflow.CompositePeriod
Generate the FX Predictor/Response Constraint
fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.BondComponent
 
fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.CDSComponent
 
fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.definition.CalibratableComponent
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged FX Curve FX Forward Latent State from the Component's Cash Flows.
fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.fx.FXForwardComponent
 
fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.option.OptionComponent
 
fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FixFloatComponent
 
fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FloatFloatComponent
 
fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.RatesBasket
 
fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.SingleStreamComponent
 
fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.Stream
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged FX Curve FX Forward Latent State from the Component's Cash Flows.
FXRateChange(double) - Static method in class org.drip.capital.systemicscenario.Criterion
Construct the FX Rate Change Criterion
fxRatingCorrelation(FXLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified FX and the Rating Latent States
fxRecoveryCorrelation(FXLabel, EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified FX and the Recovery Latent States
fxRepoCorrelation(FXLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified FX and the Repo Latent States
fxRiskClassAggregate() - Method in class org.drip.simm.estimator.ProductClassMargin
Retrieve the FX Risk Class Aggregate
fxRiskClassSensitivity() - Method in class org.drip.simm.estimator.ProductClassSensitivity
Retrieve the FX Risk Class Sensitivity
fxRiskClassSensitivitySettings() - Method in class org.drip.simm.estimator.ProductClassSettings
Retrieve the FX Risk Class Sensitivity Settings
FXRiskGroup - Class in org.drip.simm.fx
FXRiskGroup holds the ISDA SIMM FX Risk Group Concentration Categories and their Delta Limits.
FXRiskGroup(int, String, String[]) - Constructor for class org.drip.simm.fx.FXRiskGroup
FXRiskGroup Constructor
FXRiskGroup(int) - Static method in class org.drip.simm.fx.FXRiskThresholdContainer20
Retrieve the Risk Group identified by the Category Number
FXRiskGroup(int) - Static method in class org.drip.simm.fx.FXRiskThresholdContainer21
Retrieve the Risk Group identified by the Category Number
FXRiskGroup(int) - Static method in class org.drip.simm.fx.FXRiskThresholdContainer24
Retrieve the Risk Group identified by the Category Number
FXRiskGroupMap() - Static method in class org.drip.simm.fx.FXRiskThresholdContainer20
Retrieve the FX Risk Group Map
FXRiskGroupMap() - Static method in class org.drip.simm.fx.FXRiskThresholdContainer21
Retrieve the FX Risk Group Map
FXRiskGroupMap() - Static method in class org.drip.simm.fx.FXRiskThresholdContainer24
Retrieve the FX Risk Group Map
FXRiskThresholdContainer20 - Class in org.drip.simm.fx
FXRiskThresholdContainer20 holds the ISDA SIMM 2.0 FX Risk Thresholds - the FX Categories and the Delta/Vega Limits defined for the Concentration Thresholds.
FXRiskThresholdContainer20() - Constructor for class org.drip.simm.fx.FXRiskThresholdContainer20
 
FXRiskThresholdContainer21 - Class in org.drip.simm.fx
FXRiskThresholdContainer21 holds the ISDA SIMM 2.1 FX Risk Thresholds - the FX Categories and the Delta/Vega Limits defined for the Concentration Thresholds.
FXRiskThresholdContainer21() - Constructor for class org.drip.simm.fx.FXRiskThresholdContainer21
 
FXRiskThresholdContainer24 - Class in org.drip.simm.fx
FXRiskThresholdContainer24 holds the ISDA SIMM 2.4 FX Risk Thresholds - the FX Categories and the Delta/Vega Limits defined for the Concentration Thresholds.
FXRiskThresholdContainer24() - Constructor for class org.drip.simm.fx.FXRiskThresholdContainer24
 
FXSettingContainer - Class in org.drip.market.definition
FXSettingContainer contains the Parameters related to the FX Settings.
FXSettingContainer() - Constructor for class org.drip.market.definition.FXSettingContainer
 
fxSpot() - Method in class org.drip.state.curve.BasisSplineFXForward
Retrieve the FX Spot
fxSpot() - Method in class org.drip.state.nonlinear.FlatForwardFXCurve
Retrieve the FX Spot
fxState(FXLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the FX State for the specified FX Latent State Label
FXState - Class in org.drip.template.state
FXState sets up the Calibration and the Construction of the FX Latent State and examine the Emitted Metrics.
FXState() - Constructor for class org.drip.template.state.FXState
 
FXStateShifted - Class in org.drip.template.statebump
FXStateShifted demonstrates the Generation and the Usage of Tenor Bumped FX Curves.
FXStateShifted() - Constructor for class org.drip.template.statebump.FXStateShifted
 
FXStretchSpec(String, CalibratableComponent[], String[], double[]) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
Construct a FX Latent State Stretch Spec Instance
FXStretchSpec(String, CalibratableComponent[], String, double[]) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
Construct a FX Latent State Stretch Spec Instance
FXSwap - Class in org.drip.sample.securitysuite
FXSwap demonstrates the Analytics Calculation/Reconciliation for an FX Swap.
FXSwap() - Constructor for class org.drip.sample.securitysuite.FXSwap
 
FXSystemics20 - Class in org.drip.simm.fx
FXSystemics20 contains the SIMM 2.0 Systemic Settings Common to FX Risk Factors.
FXSystemics20() - Constructor for class org.drip.simm.fx.FXSystemics20
 
FXSystemics21 - Class in org.drip.simm.fx
FXSystemics21 contains the SIMM 2.1 Systemic Settings Common to FX Risk Factors.
FXSystemics21() - Constructor for class org.drip.simm.fx.FXSystemics21
 
FXSystemics24 - Class in org.drip.simm.fx
FXSystemics24 contains the SIMM 2.4 Systemic Settings Common to FX Risk Factors.
FXSystemics24() - Constructor for class org.drip.simm.fx.FXSystemics24
 
FXVegaMargin20 - Class in org.drip.sample.simmfx
FXVegaMargin20 demonstrates the Construction of a Portfolio of FX Vega Sensitivities and their eventual SIMM 2.0 Margin Computation.
FXVegaMargin20() - Constructor for class org.drip.sample.simmfx.FXVegaMargin20
 
FXVegaMargin21 - Class in org.drip.sample.simmfx
FXVegaMargin21 demonstrates the Construction of a Portfolio of FX Vega Sensitivities and their eventual SIMM 2.1 Margin Computation.
FXVegaMargin21() - Constructor for class org.drip.sample.simmfx.FXVegaMargin21
 
FXVegaMargin24 - Class in org.drip.sample.simmfx
FXVegaMargin24 demonstrates the Construction of a Portfolio of FX Vega Sensitivities and their eventual SIMM 2.4 Margin Computation.
FXVegaMargin24() - Constructor for class org.drip.sample.simmfx.FXVegaMargin24
 
fxVolatility(FXLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Volatility Curve for the specified FX Latent State Label
FXVolatilityGroup - Class in org.drip.simm.fx
FXVolatilityGroup contains the SIMM 2.4 FX Volatility Group.
FXVolatilityGroup(String, String[]) - Constructor for class org.drip.simm.fx.FXVolatilityGroup
FXVolatilityGroup Constructor
FXVolatilityGroupContainer24 - Class in org.drip.simm.fx
FXVolatilityGroupContainer24 contains the SIMM 2.4 FX Volatility Group Settings.
FXVolatilityGroupContainer24() - Constructor for class org.drip.simm.fx.FXVolatilityGroupContainer24
 
fy1974() - Method in class org.drip.capital.systemicscenario.CapitalBaselineDefinition
Retrieve the FY 1974 Historical Realization
fy1974() - Method in class org.drip.capital.systemicscenario.HistoricalScenarioDefinition
Retrieve the FY 1974 Historical Realization
fy2008() - Method in class org.drip.capital.systemicscenario.CapitalBaselineDefinition
Retrieve the FY 2008 Historical Realization
fy2008() - Method in class org.drip.capital.systemicscenario.HistoricalScenarioDefinition
Retrieve the FY 2008 Historical Realization
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