DROP 6.51
| Package | Description |
|---|---|
| org.drip.analytics.cashflow |
Unit/Composite Cash Flow Periods.
|
| org.drip.analytics.date |
Date/Time Creation/Manipulation/Usage
|
| org.drip.analytics.daycount |
Day Count Year Fraction Utilities
|
| org.drip.analytics.definition |
Latent State Curves, Surfaces, Turns
|
| org.drip.analytics.eventday |
Fixed/Variable Custom Holiday Creation
|
| org.drip.analytics.holset |
Built in Locale Holiday Set
|
| org.drip.analytics.input |
Curve Surface Construction Customization Inputs
|
| org.drip.analytics.output |
Period Product Targeted Valuation Measures
|
| org.drip.analytics.support |
Assorted Support and Helper Utilities
|
| org.drip.capital.allocation |
Economic Risk Capital Entity Allocation
|
| org.drip.capital.bcbs |
BCBS and Jurisdictional Capital Ratios
|
| org.drip.capital.definition |
Economic Risk Capital Categorical Definitions
|
| org.drip.capital.entity |
Economic Risk Capital Estimation Nodes
|
| org.drip.capital.env |
Economic Risk Capital Parameter Factories
|
| org.drip.capital.explain |
Economic Risk Capital Attribution Explain
|
| org.drip.capital.feed |
Risk Capital Estimation - Feed Processors
|
| org.drip.capital.label |
Economic Risk Capital Entity Labels
|
| org.drip.capital.setting |
Economic Risk Capital Simulation Settings
|
| org.drip.capital.shell |
Economic Risk Capital Parameter Contexts
|
| org.drip.capital.simulation |
Economic Risk Capital Simulation Ensemble
|
| org.drip.capital.stress |
Economic Risk Capital Stress Event Settings
|
| org.drip.capital.systemicscenario |
Systemic Stress Scenario Design/Construction
|
| org.drip.dynamics.evolution |
Latent State Evolution Edges/Vertexes
|
| org.drip.dynamics.hjm |
HJM Based Latent State Evolution
|
| org.drip.dynamics.hullwhite |
Hull White Latent State Evolution
|
| org.drip.dynamics.ito |
Ito Stochastic Process Dynamics Foundation
|
| org.drip.dynamics.kolmogorov |
Fokker Planck Kolmogorov Forward/Backward
|
| org.drip.dynamics.lmm |
LMM Based Latent State Evolution
|
| org.drip.dynamics.meanreverting |
Mean Reverting Stochastic Process Dynamics
|
| org.drip.dynamics.physical |
Implementation of Physical Process Dynamics
|
| org.drip.dynamics.process |
Ito-Dynamics Based Stochastic Process
|
| org.drip.dynamics.sabr |
SABR Based Latent State Evolution
|
| org.drip.execution.adaptive |
Coordinated Variation Based Adaptive Execution
|
| org.drip.execution.athl |
Almgren-Thum-Hauptmann-Li Calibration
|
| org.drip.execution.bayesian |
Bayesian Price Based Optimal Execution
|
| org.drip.execution.capture |
Execution Trajectory Transaction Cost Capture
|
| org.drip.execution.cost |
Linear Temporary Market Impact Cost
|
| org.drip.execution.discrete |
Trajectory Slice Execution Cost Distribution
|
| org.drip.execution.dynamics |
Arithmetic Price Evolution Execution Parameters
|
| org.drip.execution.evolution |
Execution Cost Market Impact Decomposition
|
| org.drip.execution.hjb |
Optimal Hamilton-Jacobi-Bellman Execution
|
| org.drip.execution.impact |
Market Impact Transaction Function Implementation
|
| org.drip.execution.latent |
Correlated Latent Market State Sequence
|
| org.drip.execution.nonadaptive |
Almgren-Chriss Static Optimal Trajectory
|
| org.drip.execution.optimum |
Almgren-Chriss Efficient Trading Trajectories
|
| org.drip.execution.parameters |
Empirical Market Impact Coefficients Calibration
|
| org.drip.execution.principal |
Information Ratio Based Principal Trades
|
| org.drip.execution.profiletime |
Participation Rate Profile Time Models
|
| org.drip.execution.risk |
Optimal Execution MVO Efficient Frontier
|
| org.drip.execution.sensitivity |
Trajectory Control Nodes Sensitivity Greeks
|
| org.drip.execution.strategy |
Discrete/Continuous Trading Trajectory Schedule
|
| org.drip.execution.tradingtime |
Coordinated Variation Trading Time Models
|
| org.drip.exposure.csadynamics |
CSA Numeraire Basis/Measure Dynamics
|
| org.drip.exposure.csatimeline |
Time-line of IMA/CSA Event Dates
|
| org.drip.exposure.evolver |
Securities and Exposure States Evolvers
|
| org.drip.exposure.generator |
Rates Stream Margin Period Exposure
|
| org.drip.exposure.holdings |
Holdings Exposure - Position and Dependencies
|
| org.drip.exposure.mpor |
Margin Period Collateral Amount Estimation
|
| org.drip.exposure.regression |
Regression Based Path Exposure Generation
|
| org.drip.exposure.regressiontrade |
Exposure Regression under Margin and Trade Payments
|
| org.drip.exposure.universe |
Exposure Generation - Market States Simulation
|
| org.drip.fdm.cranknicolson |
Finite Difference Crank-Nicolson Discretizer
|
| org.drip.fdm.definition |
Finite Difference PDE Evolver Schemes
|
| org.drip.feed.loader |
Reference/Market Data Feed Loader
|
| org.drip.feed.metric |
Feed Horizon - PnL Explain/Attribution
|
| org.drip.feed.transformer |
Market Data Reconstitutive Feed Transformer
|
| org.drip.function.definition |
Function Implementation Ancillary Support Objects
|
| org.drip.function.e2erf |
E2 erf and erf-1 Implementations
|
| org.drip.function.e2erfc |
E2 erfc Estimation Function Implementation
|
| org.drip.function.enerf |
En erf Series and Generators
|
| org.drip.function.matrix |
Support for Functions of Matrices
|
| org.drip.function.r1tor1 |
Built-in R1 To R1 Functions
|
| org.drip.function.r1tor1custom |
Built-in R1 To R1 Custom Functions
|
| org.drip.function.r1tor1operator |
Built-in R1 To R1 Operator Functions
|
| org.drip.function.r1tor1solver |
Built-in R1 To R1 Solvers
|
| org.drip.function.r1tor1trigonometric |
Built-in R1 To R1 Trigonometric Functions
|
| org.drip.function.rdtor1 |
Built-in Rd To R1 Functions
|
| org.drip.function.rdtor1descent |
Rd To R1 Gradient Descent Techniques
|
| org.drip.function.rdtor1solver |
Built-in R^d To R^1 Solvers
|
| org.drip.graph.adjacencymatrix |
Adjacency Matrix Representation of Graph
|
| org.drip.graph.astar |
A* Heuristic Shortest Path Family
|
| org.drip.graph.asymptote |
Big O Algorithm Asymptotic Analysis
|
| org.drip.graph.bellmanford |
Bellman Ford Shortest Path Family
|
| org.drip.graph.concurrency |
Helper Classes For Concurrent Tasks
|
| org.drip.graph.connectivity |
Graph Connectivity and Connected Components
|
| org.drip.graph.core |
Vertexes, Edges, Trees, and Graphs
|
| org.drip.graph.decisiontree |
Property Estimates for Decision Trees
|
| org.drip.graph.heap |
Heap Based Priority Queue Implementations
|
| org.drip.graph.mst |
Agnostic Minimum Spanning Tree Properties
|
| org.drip.graph.mstgreedy |
Greedy Algorithms for MSTs and Forests
|
| org.drip.graph.search |
BFS, DFS, and Ordered Vertexes
|
| org.drip.graph.selection |
kth Order Statistics Selection Scheme
|
| org.drip.graph.shortestpath |
Shortest Path Generation Algorithm Family
|
| org.drip.graph.softheap |
Soft Heap - Approximate Priority Queue
|
| org.drip.graph.subarray |
Sub-set Sum, k-Sum, and Maximum Sub-array Problems
|
| org.drip.graph.treebuilder |
Stubs for Spanning Tree Construction
|
| org.drip.historical.attribution |
Position Market Change Components Attribution
|
| org.drip.historical.engine |
Product Horizon Change Explain Engine
|
| org.drip.historical.sensitivity |
Product Horizon Change Tenor Sensitivity
|
| org.drip.historical.state |
Historical Implied Curve Node Metrics
|
| org.drip.investing.engine |
Quantitative Investment Run Execution Engine
|
| org.drip.investing.factors |
Factor Types, Characteristics, and Constitution
|
| org.drip.investing.factorspec |
Factor Value Categories and Ranges
|
| org.drip.investing.model |
Multi-Factor Model Suite implementation
|
| org.drip.investing.riskindex |
Implementation of Risk Factor Indices
|
| org.drip.learning.bound |
Covering Numbers, Concentration, Lipschitz Bounds
|
| org.drip.learning.kernel |
Statistical Learning Banach Mercer Kernels
|
| org.drip.learning.regularization |
Statistical Learning Empirical Loss Regularizer
|
| org.drip.learning.rxtor1 |
Statistical Learning Empirical Loss Penalizer
|
| org.drip.learning.svm |
Kernel SVM Decision Function Operator
|
| org.drip.loan.borrower |
Asset Backed Loan Borrower Characteristics
|
| org.drip.loan.characteristics |
Asset Backed Loan Level Characteristics
|
| org.drip.market.definition |
IBOR, FX, Overnight Index Container
|
| org.drip.market.exchange |
Deliverable Swap, STIR, Treasury Futures
|
| org.drip.market.issue |
Market Issue Treasury Setting Container
|
| org.drip.market.otc |
OTC Dual Stream Option Container
|
| org.drip.measure.bayesian |
Prior, Conditional, Posterior Theil Bayesian
|
| org.drip.measure.bridge |
Broken Date Brownian Bridge Interpolator
|
| org.drip.measure.chisquare |
Chi-Square Distribution Implementation/Properties
|
| org.drip.measure.continuous |
R1 Rd Continuous Random Measure
|
| org.drip.measure.crng |
Continuous Random Number Stream Generator
|
| org.drip.measure.discrete |
Antithetic, Quadratically Re-sampled, De-biased Distribution
|
| org.drip.measure.dynamics |
Jump Diffusion Evolution Evaluator Variants
|
| org.drip.measure.exponential |
R1 Exponential Distribution Implementation/Properties
|
| org.drip.measure.gamma |
R1 Gamma Distribution Implementation/Properties
|
| org.drip.measure.gaussian |
R1 Rd Covariant Gaussian Quadrature
|
| org.drip.measure.joint |
Rd Vertex Edge Realization Evolution
|
| org.drip.measure.lebesgue |
Uniform Piece-wise Lebesgue Measure
|
| org.drip.measure.process |
Jump Diffusion Evolver Process Variants
|
| org.drip.measure.realization |
Stochastic Jump Diffusion Vertex Edge
|
| org.drip.measure.statistics |
R1 Rd Thin Thick Moments
|
| org.drip.measure.stochastic |
R1 R1 To R1 Process
|
| org.drip.measure.transform |
Expressing one Measure Using Another
|
| org.drip.numerical.common |
Primitives/Array Manipulate Format Display
|
| org.drip.numerical.complex |
Implementation of Complex Number Suite
|
| org.drip.numerical.decomposition |
Jordan Normal, UV, and QR Decompositions
|
| org.drip.numerical.differentiation |
R1 Rd Numerical Differentiation Schemes
|
| org.drip.numerical.eigenization |
Eigen-value and Eigen-component Extraction Schemes
|
| org.drip.numerical.estimation |
Function Numerical Estimates/Corrections/Bounds
|
| org.drip.numerical.fourier |
Fourier - Rotation Counter, Phase Adjuster
|
| org.drip.numerical.integration |
R1 Rd Numerical Integration Schemes
|
| org.drip.numerical.iterativesolver |
Linear System Iterative Solver Schemes
|
| org.drip.numerical.laplacian |
Laplace Transform - Quadrature Based Evaluation
|
| org.drip.numerical.linearalgebra |
Linear Algebra Matrix Transform Library
|
| org.drip.numerical.linearsolver |
Solvers of Linear Systems of Equations
|
| org.drip.numerical.matrix |
Implementation of R1 C1 Matrices
|
| org.drip.numerical.matrixnorm |
Implementation of Matrix Norm Variants
|
| org.drip.numerical.quadrature |
R1 Gaussian Integration Quadrature Schemes
|
| org.drip.oms.benchmark |
Benchmark/Tie/Peg Price Thresholds
|
| org.drip.oms.depth |
L1/L2/L3 Deep Books
|
| org.drip.oms.exchange |
Implementation of Venue Order Handling
|
| org.drip.oms.fill |
Implementation of Order Fulfillment Schemes
|
| org.drip.oms.indifference |
Reservation Price Good-deal Bounds
|
| org.drip.oms.switchable |
Implementation of Switchable Stop Order
|
| org.drip.oms.thresholded |
Implementation of Thresholded Limit Order
|
| org.drip.oms.transaction |
Order Specification and Session Metrics
|
| org.drip.oms.unthresholded |
Implementation of Unthresholded Market Orders
|
| org.drip.optimization.canonical |
Linear Programming Framework Canonical Elements
|
| org.drip.optimization.constrained |
KKT Fritz-John Constrained Optimizer
|
| org.drip.optimization.cuttingplane |
Polyhedral Cutting Plane Generation Schemes
|
| org.drip.optimization.lp |
LP Objectives, Constraints, and Optimizers
|
| org.drip.optimization.necessary |
Constrained Optimizer Necessary Sufficient Conditions
|
| org.drip.optimization.regularity |
Constrained Optimizer Regularity Qualifier Conditions
|
| org.drip.param.config |
Library Level Configuration Parameters Setting
|
| org.drip.param.creator |
Market Curves Surfaces Quotes Builder
|
| org.drip.param.definition |
Latent State Quantification Metrics Tweak
|
| org.drip.param.market |
Curves Surfaces Quotes Fixings Container
|
| org.drip.param.period |
Composite Composable Period Builder Settings
|
| org.drip.param.pricer |
Pricing Parameters Customization Settings Control
|
| org.drip.param.quote |
Multi-sided Multi-Measure Ticks Quotes
|
| org.drip.param.quoting |
Quoting Convention Valuation Customization Parameters
|
| org.drip.param.valuation |
Valuation Settlement and Valuation Customization Parameters
|
| org.drip.portfolioconstruction.allocator |
MVO Based Portfolio Allocation Construction
|
| org.drip.portfolioconstruction.alm |
Sharpe-Tint Asset Liability Manager
|
| org.drip.portfolioconstruction.asset |
Asset Characteristics, Bounds, Portfolio Benchmarks
|
| org.drip.portfolioconstruction.bayesian |
Black Litterman Bayesian Portfolio Construction
|
| org.drip.portfolioconstruction.cardinality |
Portfolio Construction under Cardinality Bounds
|
| org.drip.portfolioconstruction.composite |
Portfolio Construction Component Groups Suite
|
| org.drip.portfolioconstruction.constraint |
Portfolio Construction Constraint Term Suite
|
| org.drip.portfolioconstruction.core |
Core Portfolio Construction Component Suite
|
| org.drip.portfolioconstruction.cost |
Transaction Charge Objective Term Suite
|
| org.drip.portfolioconstruction.mpt |
Security Characteristic Capital Allocation Lines
|
| org.drip.portfolioconstruction.objective |
Portfolio Construction Objective Term Suite
|
| org.drip.portfolioconstruction.optimizer |
Core Portfolio Construction Optimizer Suite
|
| org.drip.portfolioconstruction.params |
Asset Universe Statistical Properties Container
|
| org.drip.portfolioconstruction.postoptimization |
Post-optimization Processing of Target Portfolio
|
| org.drip.portfolioconstruction.risk |
Portfolio Construction Risk/Covariance Component
|
| org.drip.pricer.option |
Deterministic/Stochastic Volatility Settings/Greeks
|
| org.drip.product.calib |
Curve/Surface Calibration Quote Sets
|
| org.drip.product.creator |
Streams and Products Construction Utilities
|
| org.drip.product.credit |
Credit Products - Components and Baskets
|
| org.drip.product.definition |
Fixed Income Components/Baskets Definitions
|
| org.drip.product.fra |
Standard/Market FRAs - Caps/Floors
|
| org.drip.product.fx |
FX Forwards, Cross Currency Swaps
|
| org.drip.product.govvie |
Treasury Bills, Notes, Bonds, Futures
|
| org.drip.product.option |
Options on Fixed Income Components
|
| org.drip.product.params |
Fixed Income Product Customization Parameters
|
| org.drip.product.rates |
Fixed Income Multi-Stream Components
|
| org.drip.regression.core |
Regression Engine Core - Unit Regressors
|
| org.drip.regression.curve |
Curve Construction/Reconciliation Regression Engine
|
| org.drip.regression.curvejacobian |
Curve Jacobian Reconciliation Regression Engine
|
| org.drip.regression.fixedpointfinder |
Fixed Point Finder Regression Engine
|
| org.drip.regression.spline |
Custom Basis Spline Regression Engine
|
| org.drip.sample.agency |
Agency Bond Analytical Measures Generation
|
| org.drip.sample.algo |
Cx Rx In-Place Manipulation
|
| org.drip.sample.allocation |
Managed Segment Capital Allocation Schemes
|
| org.drip.sample.almgren2003 |
Almgren (2003) Power Law Liquidity
|
| org.drip.sample.almgren2009 |
Almgren (2009) Optimal Adaptive HJB
|
| org.drip.sample.almgren2012 |
Almgren (2012) Dynamic Optimal Adaptive
|
| org.drip.sample.almgrenchriss |
Almgren Chriss Efficient Frontier Trajectories
|
| org.drip.sample.andersen2017vm |
Andersen Pykhtin Sokol Regression VM
|
| org.drip.sample.anfuso2017 |
Anfuso, Karyampas, and Nawroth (2017)
|
| org.drip.sample.assetallocation |
MVO Based Constrained Optimal Allocator
|
| org.drip.sample.assetallocationexcel |
Asset-Bound Allocator Excel Reconciliation
|
| org.drip.sample.assetbacked |
ABS Custom Cash Flow Bonds
|
| org.drip.sample.athl |
Almgren-Thum-Hauptmann-Li Estimator
|
| org.drip.sample.bcbs |
BCBS/Jurisdictional Capital/Leverage Compliance Checks
|
| org.drip.sample.bessel |
Estimates of the Bessel Functions
|
| org.drip.sample.beta |
Estimates of the Beta Functions
|
| org.drip.sample.betafixedfloat |
Two Beta Float Float Scheme
|
| org.drip.sample.betafloatfloat |
Two Beta Float Float Scheme
|
| org.drip.sample.blacklitterman |
Canonical Black Litterman and Extensions
|
| org.drip.sample.bloomberg |
Bloomberg CDSO CDSW SWPM YAS
|
| org.drip.sample.bond |
Bullet, EOS Bond Metrics + Curve
|
| org.drip.sample.bondapi |
Fixed Coupon KRD + RV Measures
|
| org.drip.sample.bondeos |
EOS Bond Bullet/Exercise Measures
|
| org.drip.sample.bondfixed |
Fixed Coupon Agency/Corporate Bonds
|
| org.drip.sample.bondfloat |
Floating Coupon Bullet Corporate Bond
|
| org.drip.sample.bondmetrics |
Bond Relative Value Replication Demonstration
|
| org.drip.sample.bondsink |
Sinkable Amortizing Capitalizing Bond Analytics
|
| org.drip.sample.bondswap |
Swap-Index Bond Analytics Metrics
|
| org.drip.sample.burgard2011 |
Burgard Kjaer (2011) PDE Evolver
|
| org.drip.sample.burgard2012 |
Burgard Kjaer (2012) Valuation Adjustments
|
| org.drip.sample.burgard2013 |
Burgard Kjaer (2013) Valuation Adjustments
|
| org.drip.sample.businessspec |
Business Grouping and Hierarchy Specification
|
| org.drip.sample.capfloor |
FRA Standard Cap Floor Valuation
|
| org.drip.sample.cashflow |
Fixed Income Product Cash Flow Display
|
| org.drip.sample.chisquaredistribution |
Chi-Square Distribution Usage/Properties
|
| org.drip.sample.ckls |
Analysis of CKLS Process Variants
|
| org.drip.sample.classifier |
Binary Classifier Supremum Bounds Estimator
|
| org.drip.sample.cma |
LATAM Corporate and Sovereign Bonds
|
| org.drip.sample.cms |
Dual Stream Constant Maturity Swap
|
| org.drip.sample.concurrency |
Concurrent Daemons Helper Utilities Illustration
|
| org.drip.sample.conditionnumber |
Condition Number Analysis of R1 To R1 Functions
|
| org.drip.sample.connectivity |
Graph Connectivity and SCC Algorithms
|
| org.drip.sample.corporate |
Corporate Bond Relative Value Analytics
|
| org.drip.sample.correlatedstress |
Correlated Stress Scenario Construction, Query, Generation
|
| org.drip.sample.coveringnumber |
Agnostic Function Covering Number Bounds
|
| org.drip.sample.cranknicolson |
Crank Nicolson Finite Difference Evolution
|
| org.drip.sample.credit |
Single Name Portfolio CDS Analytics
|
| org.drip.sample.creditfeed |
CDX NA IG Series Reconstitutor
|
| org.drip.sample.credithistorical |
CDX NA IG Historical Metrics
|
| org.drip.sample.creditindexpnl |
CDX NA IG PnL Attribution
|
| org.drip.sample.creditoption |
CDS Single Name Index Option
|
| org.drip.sample.cross |
Single/Dual Stream XCCY Component
|
| org.drip.sample.csaevents |
Time-line of IMA/CSA Event Sequences
|
| org.drip.sample.date |
Calendar Date Roll Day Count
|
| org.drip.sample.descentverifier |
Armijo/Wolfe Strong/Weak Curvature
|
| org.drip.sample.digamma |
Estimates of the Digamma Functions
|
| org.drip.sample.distancetest |
Empirical Univariate Gap Distance Tests
|
| org.drip.sample.dual |
G7 Standard Cross Currency Swap
|
| org.drip.sample.efficientfrontier |
Efficient Frontier Markovitz Bullet Variants
|
| org.drip.sample.efronstein |
Efron Stein Sequence Sum Bounds
|
| org.drip.sample.env |
Environment Module Loader Cache Manager
|
| org.drip.sample.erf |
E2 and En erf Estimation
|
| org.drip.sample.erfx |
E2 erfc and erfi Estimation
|
| org.drip.sample.execution |
Nonlinear Trading Enhanced Market Impact
|
| org.drip.sample.exponential |
R1 Exponential Distribution Run Sweep
|
| org.drip.sample.fedfund |
Overnight/Composite Fed Fund LIBOR
|
| org.drip.sample.feed |
Loaders for Different Input Files
|
| org.drip.sample.fixfloat |
Coupon, Floater, Amortizing IRS Variants
|
| org.drip.sample.fixfloatoption |
Fix Float Payer Receiver Options
|
| org.drip.sample.fixfloatpnl |
Fix Float PnL Attribution Decomposition
|
| org.drip.sample.floatfloat |
Float Float OTC Index Definitions
|
| org.drip.sample.forward |
IBOR Spline Forward Curve Construction
|
| org.drip.sample.forwardratefutures |
Jurisdiction IRS Futures Options Definition
|
| org.drip.sample.forwardratefuturesfeed |
Forward Rate Futures Feed Reconstitutor
|
| org.drip.sample.forwardratefuturespnl |
Forward Rate Futures PnL Attribution
|
| org.drip.sample.forwardvolatility |
Custom Spline Forward Volatility Surface
|
| org.drip.sample.fra |
Multi-Curve FRA Market/Standard
|
| org.drip.sample.funding |
Shape Preserving Local Funding Curve
|
| org.drip.sample.fundingfeed |
Smooth Shape Preserving Funding Feed
|
| org.drip.sample.fundinghistorical |
Smooth Shape Preserving Funding Historical
|
| org.drip.sample.fx |
Smooth Shape Preserving FX Curve
|
| org.drip.sample.gamma |
Estimates of the Gamma Functions
|
| org.drip.sample.gammadistribution |
R1 Gamma Distribution Usage/Properties
|
| org.drip.sample.gammaincomplete |
Estimates of Incomplete Gamma Functions
|
| org.drip.sample.gausskronrod |
R1 Gauss-Kronrod Quadrature Schemes
|
| org.drip.sample.gaussquadrature |
R1 Gauss-Legendre Gauss-Lobatto Quadratures
|
| org.drip.sample.govvie |
Boot/Spline Govvie Curve Construction
|
| org.drip.sample.govviemc |
Monte Carlo Govvie Path Vertexes
|
| org.drip.sample.graph |
Graph Traversal and Navigation Algorithms
|
| org.drip.sample.graphsearch |
Breadth/Depth First Search/Ordering
|
| org.drip.sample.heap |
Priority Queue and Heap Algorithms
|
| org.drip.sample.helitterman |
He Litterman (1999) Projection Loadings
|
| org.drip.sample.hjm |
HJM Multi-Factor Principal Dynamics
|
| org.drip.sample.hullwhite |
Hull White Trinomial Tree Dynamics
|
| org.drip.sample.hypergeometric |
Estimates of Hyper-geometric Function
|
| org.drip.sample.hypothesistest |
Sample/Ensemble Statistical Hypothesis Tests
|
| org.drip.sample.idzorek |
Idzorek (2005) User Confidence Tilt
|
| org.drip.sample.intexfeed |
Custom Curve Forward Projection Metrics
|
| org.drip.sample.json |
RFC4627 Compliant JSON Lexer Serializer
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| org.drip.sample.kolmogorov |
Kolmogorov and Fokker Planck Evolution
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| org.drip.sample.lanczos |
Lanczos Gamma Calculation Scheme Illustration
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| org.drip.sample.lmm |
LMM Multi-Factor Monte Carlo
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| org.drip.sample.loan |
Loan Relative Value Metrics Generation
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| org.drip.sample.lvar |
Liquidity VaR Based Optimal Trajectory
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| org.drip.sample.matrix |
Cholesky Factorization, PCA, and Eigenization
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| org.drip.sample.measure |
Lebesgue Measure Brownian Bridge Interpolation
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| org.drip.sample.mporfixfloat |
CSA Enforced Fix-Float MPoR
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| org.drip.sample.mporfixfloatxva |
OTC Fix-Float MPoR XVA
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| org.drip.sample.mporstream |
CSA Enforced Stream Path MPoR
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| org.drip.sample.mst |
Minimum Spanning Tree and Forest Algorithms
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| org.drip.sample.multicurve |
Multi-Curve Construction and Valuation
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| org.drip.sample.municipal |
Municipal Bond Analytics Sample Demonstration
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| org.drip.sample.netting |
Netting Portfolio Group Simulation Aggregation
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| org.drip.sample.newtoncotes |
R1 Newton-Cotes Quadrature Schemes
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| org.drip.sample.numeraire |
R1 Joint Jump Diffusion Numeraire
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| org.drip.sample.numerical |
Search, Quadratures, Fourier Phase Tracker
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| org.drip.sample.ois |
Index/Fund OIS Curve Reconcilation
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| org.drip.sample.oisapi |
OIS Construction and Valuation API
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| org.drip.sample.optimizer |
Lagrangian/KKT Necessary Sufficient Conditions
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| org.drip.sample.option |
Deterministic (Black) / Stochastic (Heston) Options
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| org.drip.sample.overnight |
Shape Preserving Stretch Overnight Curve
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| org.drip.sample.overnightfeed |
G7 Smooth OIS Feed Reconstitutor
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| org.drip.sample.overnighthistorical |
G7 Smooth OIS 1M Forward
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| org.drip.sample.pareto |
R1 Pareto Distribution Run Sweep
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| org.drip.sample.piterbarg2010 |
Piterbarg (2010) CSA Measure Extraction
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| org.drip.sample.piterbarg2012 |
Piterbarg (2012) Domestic Foreign Collateral
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| org.drip.sample.preferred |
Preferred Stock Analytics Sample Demonstration
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| org.drip.sample.principal |
Information Ratio Based Principal Trading
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| org.drip.sample.pykhtin2009 |
Regression Based Secondary Stochastic Projection
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| org.drip.sample.quantile |
Quantile Generation and Comparison Testing
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| org.drip.sample.randomdiscrete |
Discrete Distribution Random Number Generator
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| org.drip.sample.rdtor1 |
Constrained/Unconstrained Covariance Ellipsoid Function
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| org.drip.sample.rng |
QR Unbiased Antithetic Random Generator
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| org.drip.sample.sabr |
SABR Forward Evolution Black Volatility
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| org.drip.sample.samplestatistics |
Empirical Univariate Sample Statistical Tests
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| org.drip.sample.scaledexponential |
Scaled Exponential Function - Estimates/Moments
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| org.drip.sample.securitysuite |
Custom Security Relative Value Demonstration
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| org.drip.sample.selection |
kth Extremum Element Selection Algorithms
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| org.drip.sample.semidefinite |
Semi-Definite Constrained Ellipsoid Variance
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| org.drip.sample.sensitivity |
Forward Funding OIS Curve Sensitivity
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| org.drip.sample.sequence |
IID Dual Poisson Sequence Bound
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| org.drip.sample.service |
Curve Product Portfolio Valuation Services
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| org.drip.sample.shortestpath |
Source Destination Shortest Path Algorithms
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| org.drip.sample.simm |
ISDA Product SIMM Margin Estimation
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| org.drip.sample.simmcrnq |
ISDA SIMM Credit Non-Qualifying Estimates
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| org.drip.sample.simmcrq |
ISDA SIMM Credit Qualifying Estimates
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| org.drip.sample.simmct |
ISDA SIMM Commodity Estimate Runs
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| org.drip.sample.simmcurvature |
Position Curvature Margin - ISDA Curvature Response vs.
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| org.drip.sample.simmeq |
ISDA SIMM Equity Estimate Runs
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| org.drip.sample.simmfx |
ISDA SIMM FX Estimate Runs
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| org.drip.sample.simmir |
ISDA SIMM Rates Estimate Runs
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| org.drip.sample.simmsettings |
ISDA SIMM Calibration Parameter Settings
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| org.drip.sample.simmvariance |
Position Bucket Co-variance - ISDA SIMM vs.
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| org.drip.sample.simplex |
LP Simplex Formulation and Solution
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| org.drip.sample.softheap |
Soft Heap Based Priority Queues
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| org.drip.sample.sor |
Successive Over-relaxation Customization/Usage
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| org.drip.sample.sovereign |
Sovereign Bond Construction and Analytics
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| org.drip.sample.spline |
Basis Monic Multic Tension Spline
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| org.drip.sample.statistics |
Correlated Rd Random Sequence Statistics
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| org.drip.sample.stirling |
Stirling Approximation Based Gamma Estimates
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| org.drip.sample.stochasticvolatility |
Heston AMST Stochastic Volatility Pricing
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| org.drip.sample.stretch |
Knot Insertion Curvature Roughness Penalty
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| org.drip.sample.subarray |
Sub-set and Sub-array Sums/Matches
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| org.drip.sample.systemicstress |
Built-in GSST Scenario Examination
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| org.drip.sample.tadonkivial |
Tadonki-Vial Cardinality Bound Allocation
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| org.drip.sample.treasury |
G20 Govvie Bond Definitions YAS
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| org.drip.sample.treasuryfeed |
G20 Govvie Bond Feed Reconstitution
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| org.drip.sample.treasuryfutures |
UST Futures Eligibility Definitions Valuation
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| org.drip.sample.treasuryfuturesapi |
G20 Treasury Futures Valuation API
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| org.drip.sample.treasuryfuturesfeed |
G20 Treasury Futures Feed Reconstitutor
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| org.drip.sample.treasuryfuturespnl |
G20 Treasury Futures PnL Attribution
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| org.drip.sample.treasuryfuturesrisk |
Treasury Futures Key Rate Duration
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| org.drip.sample.treasurypnl |
G20 Benchmark Treasury PnL Attribution
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| org.drip.sample.trend |
Fixed/Variable Bayesian Drift Gain
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| org.drip.sample.triangular |
Triangular Matrix Variants and Solutions
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| org.drip.sample.tridiagonal |
Regular/Periodic Tridiagonal Solver Schemes
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| org.drip.sample.xccy |
OTC Cross Currency Swaps Definition
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| org.drip.sample.xva |
XVA Collateralized Uncollateralized Zero Threshold
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| org.drip.sample.xvabasel |
Basel XVA Accounting Metrics Scheme
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| org.drip.sample.xvadigest |
Basel XVA Accounting Metrics Digest
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| org.drip.sample.xvafixfloat |
Cross Product XVA Simulation Digest
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| org.drip.sample.xvastrategy |
Burgard Kjaer (2013) XVA Strategies
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| org.drip.sample.xvatopology |
Aggregation Group Based XVA Topology
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| org.drip.sequence.custom |
Glivenko Cantelli Supremum Deviation Bounds
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| org.drip.sequence.functional |
Efron Stein Functional Supremum Bounds
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| org.drip.sequence.metrics |
Sequence Bounds Agnostic Metrics Estimators
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| org.drip.sequence.random |
Correlated Multi-Factor Sequence Generator
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| org.drip.service.api |
Horizon Roll Attribution Service API
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| org.drip.service.assetallocation |
JSON Based In/Out Service
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| org.drip.service.common |
Assorted Data Structures Support Utilities
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| org.drip.service.engine |
Compute Engine Request-Response Thunker
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| org.drip.service.env |
Library Module Loader Environment Manager
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| org.drip.service.json |
JSON Based Valuation Request Service
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| org.drip.service.jsonparser |
RFC4627 Compliant JSON Message Parser
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| org.drip.service.product |
Product Horizon PnL Attribution Decomposition
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| org.drip.service.representation |
RFC4627 Compliant JSON Message Object
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| org.drip.service.scenario |
Custom Scenario Service Metric Generator
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| org.drip.service.state |
Curve Based State Metric Generator
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| org.drip.service.template |
Curve Construction Product Builder Templates
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| org.drip.simm.commodity |
Commodity Risk Factor Calibration Settings
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| org.drip.simm.common |
Common Cross Risk Factor Utilities
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| org.drip.simm.credit |
Credit Qualifying/Non-Qualifying Risk Factor Settings
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| org.drip.simm.equity |
Equity Risk Factor Calibration Settings
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| org.drip.simm.estimator |
ISDA SIMM Core + Add-On Estimator
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| org.drip.simm.foundation |
Foundation Utilities for ISDA SIMM
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| org.drip.simm.fx |
FX Risk Factor Calibration Settings
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| org.drip.simm.margin |
ISDA SIMM Risk Factor Margin Metrics
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| org.drip.simm.parameters |
ISDA SIMM Risk Factor Parameters
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| org.drip.simm.product |
ISDA SIMM Risk Factor Sensitivities
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| org.drip.simm.rates |
SIMM IR Risk Factor Settings
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| org.drip.spaces.big |
Big-data In-place Manipulator
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| org.drip.spaces.cover |
Vector Spaces Covering Number Estimator
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| org.drip.spaces.functionclass |
Normed Finite Spaces Function Class
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| org.drip.spaces.instance |
Validated Continuous/Combinatorial Metric Spaces
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| org.drip.spaces.iterator |
Iterative/Exhaustive Vector Space Scanners
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| org.drip.spaces.metric |
Hilbert/Banach Normed Metric Spaces
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| org.drip.spaces.rxtor1 |
Rx To R1 Normed Function Spaces
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| org.drip.spaces.rxtord |
Rx To Rd Normed Function Spaces
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| org.drip.spaces.tensor |
Rx Continuous/Combinatorial Tensor Spaces
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| org.drip.specialfunction.bessel |
Ordered Bessel Function Variant Estimators
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| org.drip.specialfunction.beta |
Estimation Techniques for Beta Function
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| org.drip.specialfunction.definition |
Definition of Special Function Estimators
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| org.drip.specialfunction.derived |
Special Functions Derived using Others
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| org.drip.specialfunction.digamma |
Estimation Techniques for Digamma Function
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| org.drip.specialfunction.gamma |
Analytic/Series/Integral Gamma Estimators
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| org.drip.specialfunction.generator |
Special Function Series Term Generators
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| org.drip.specialfunction.group |
Special Function Singularity Solution Group
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| org.drip.specialfunction.hankel |
Ordered Hankel Function Variant Estimators
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| org.drip.specialfunction.hypergeometric |
Hyper-geometric Function Estimation Schemes
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| org.drip.specialfunction.incompletegamma |
Upper/Lower Incomplete Gamma Functions
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| org.drip.specialfunction.lanczos |
Lanczos Scheme for Gamma Estimate
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| org.drip.specialfunction.loggamma |
Analytic/Series/Integral Log Gamma Estimators
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| org.drip.specialfunction.ode |
Special Function Ordinary Differential Equations
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| org.drip.specialfunction.property |
Special Function Property Lemma Verifiers
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| org.drip.specialfunction.scaledexponential |
Scaled Exponential Function Implementation Distribution
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| org.drip.spline.basis |
Basis Spline Construction/Customization Parameters
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| org.drip.spline.bspline |
de Boor Rational/Exponential/Tension B-Splines
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| org.drip.spline.grid |
Aggregated/Overlapping Stretch/Span Grids
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| org.drip.spline.multidimensional |
Multi-dimensional Wire Surface Stretch
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| org.drip.spline.params |
Spline Segment Construction Control Parameters
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| org.drip.spline.pchip |
Monotone Convex Themed PCHIP Splines
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| org.drip.spline.segment |
Flexure Penalizing Best Fit Segment
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| org.drip.spline.stretch |
Multi-Segment Sequence Spline Stretch
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| org.drip.spline.tension |
Koch Lyche Kvasov Tension Splines
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| org.drip.state.basis |
Basis State Curve Construction/Estimation
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| org.drip.state.boot |
Bootable Discount, Credit, Volatility States
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| org.drip.state.creator |
Scenario State Curve/Surface Builders
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| org.drip.state.credit |
Credit Latent State Curve Representation
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| org.drip.state.csa |
Credit Support Annex Latent State
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| org.drip.state.curve |
Basis Spline Based Latent States
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| org.drip.state.discount |
Discount Curve Spline Latent State
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| org.drip.state.estimator |
Multi-Pass Customized Stretch Curve
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| org.drip.state.forward |
Forward Latent State Curve Estimator
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| org.drip.state.fx |
FX Latent State Curve Estimator
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| org.drip.state.govvie |
Govvie Latent State Curve Estimator
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| org.drip.state.identifier |
Latent State Identifier Labels
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| org.drip.state.inference |
Latent State Stretch Sequence Inference
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| org.drip.state.nonlinear |
Nonlinear (i.e., Boot) Latent State Construction
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| org.drip.state.repo |
Latent State Repo Curve Estimator
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| org.drip.state.representation |
Latent State Merge Sub-stretch
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| org.drip.state.sequence |
Monte Carlo Path State Realizations
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| org.drip.state.volatility |
Latent State Volatility Curve/Surface
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| org.drip.template.forwardratefutures |
Forward Rate Futures Construction Template
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| org.drip.template.irs |
Standard IRS Fix-Float Template
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| org.drip.template.state |
Standard Latent State Construction Template
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| org.drip.template.statebump |
Shifted Latent State Construction Template
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| org.drip.template.ust |
Standard UST Suite Construction Template
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| org.drip.validation.distance |
Hypothesis Target Distance Test Builders
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| org.drip.validation.evidence |
Sample and Ensemble Evidence Processing
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| org.drip.validation.hypothesis |
Statistical Hypothesis Validation Test Suite
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| org.drip.validation.quantile |
Quantile Based Graphical Numerical Validators
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| org.drip.validation.riskfactorjoint |
Joint Risk Factor Aggregate Tests
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| org.drip.validation.riskfactorsingle |
Single Risk Factor Aggregate Tests
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| org.drip.xva.basel |
XVA Based Basel Accounting Measures
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| org.drip.xva.definition |
XVA Definition - Close Out, Universe
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| org.drip.xva.derivative |
Burgard Kjaer Dynamic Portfolio Replication
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| org.drip.xva.dynamics |
XVA Dynamics - Settings and Evolution
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| org.drip.xva.gross |
XVA Gross Adiabat Exposure Aggregation
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| org.drip.xva.hypothecation |
XVA Hypothecation Group Amount Estimation
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| org.drip.xva.netting |
Credit/Debt/Funding Netting Groups
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| org.drip.xva.pde |
Burgard Kjaer PDE Evolution Scheme
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| org.drip.xva.proto |
Collateral, Counter Party, Netting Groups
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| org.drip.xva.settings |
XVA Group and Path Settings
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| org.drip.xva.strategy |
Replication Strategy Based Netting Group
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| org.drip.xva.topology |
Collateral, Credit/Debt, Funding Topologies
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| org.drip.xva.vertex |
XVA Hypothecation Group Vertex Generators
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