Uses of Class
org.drip.numerical.differentiation.WengertJacobian

Packages that use WengertJacobian

Package	Description
org.drip.numerical.differentiation	R1 Rd Numerical Differentiation Schemes
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.option	Options on Fixed Income Components
org.drip.product.rates	Fixed Income Multi-Stream Components
org.drip.service.common	Assorted Data Structures Support Utilities
org.drip.spline.grid	Aggregated/Overlapping Stretch/Span Grids
org.drip.spline.segment	Flexure Penalizing Best Fit Segment
org.drip.spline.stretch	Multi-Segment Sequence Spline Stretch
org.drip.state.basis	Basis State Curve Construction/Estimation
org.drip.state.curve	Basis Spline Based Latent States
org.drip.state.discount	Discount Curve Spline Latent State
org.drip.state.forward	Forward Latent State Curve Estimator
org.drip.state.fx	FX Latent State Curve Estimator
org.drip.state.govvie	Govvie Latent State Curve Estimator
org.drip.state.nonlinear	Nonlinear (i.e., Boot) Latent State Construction

Uses of WengertJacobian in org.drip.numerical.differentiation

Methods in org.drip.numerical.differentiation with parameters of type WengertJacobian

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

Uses of WengertJacobian in org.drip.product.credit

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

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

Uses of WengertJacobian in org.drip.product.definition

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

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

Uses of WengertJacobian in org.drip.product.fra

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

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

Uses of WengertJacobian in org.drip.product.fx

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

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

Uses of WengertJacobian in org.drip.product.option

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

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

Uses of WengertJacobian in org.drip.product.rates

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

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

Uses of WengertJacobian in org.drip.service.common

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

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

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

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

Uses of WengertJacobian in org.drip.spline.grid

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

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

Uses of WengertJacobian in org.drip.spline.segment

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

Modifier and Type	Method	Description
WengertJacobian	LatentStateResponseModel.jackDCoeffDEdgeInputs()	Calculate the Jacobian of the Segment's Response Basis Function Coefficients to the Edge Inputs
WengertJacobian	LatentStateResponseModel.jackDCoeffDEdgeParams(double[] predictorOrdinateArray, double[] responseValueArray, double[] leftEdgeDerivativeArray, double[] rightEdgeDerivativeArray, SegmentBasisFlexureConstraint[] segmentBasisFlexureConstraintArray, SegmentBestFitResponse segmentBestFitResponse)	Calibrate the segment and calculate the Jacobian of the Segment's Response Basis Function Coefficients to the Edge Parameters
WengertJacobian	LatentStateResponseModel.jackDCoeffDEdgeParams(double leftValue, double leftSlope, double rightValue, SegmentBestFitResponse stateSegmentBestFitResponse)	Calibrate the Coefficients from the Edge Response Values and the Left Edge Response Value Slope and calculate the Jacobian of the Segment's Response Basis Function Coefficients to the Edge Parameters
WengertJacobian	LatentStateResponseModel.jackDCoeffDEdgeParams(LatentStateResponseModel precedingLatentStateResponseModel, java.lang.String manifestMeasure, double rightStateValue, SegmentBestFitResponse stateSegmentBestFitResponse, double rightStateManifestSensitivity, SegmentBestFitResponse manifestSensitivitySegmentBestFitResponse)	Calibrate the coefficients from the prior Segment and the Response Value at the Right Predictor Ordinate and calculate the Jacobian of the Segment's Response Basis Function Coefficients to the Edge Parameters
WengertJacobian	LatentStateResponseModel.jackDResponseDBasisCoeff(double predictorOrdinate, int order)	Calculate the Jacobian of the Response to the Basis Coefficients at the given Predictor Ordinate
WengertJacobian	LatentStateResponseModel.jackDResponseDEdgeInput(double predictorOrdinate, int order)	Calculate the Jacobian of the Response to the Edge Inputs at the given Predictor Ordinate

Uses of WengertJacobian in org.drip.spline.stretch

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

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

Uses of WengertJacobian in org.drip.state.basis

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

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

Uses of WengertJacobian in org.drip.state.curve

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

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

Uses of WengertJacobian in org.drip.state.discount

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

Modifier and Type	Method	Description
WengertJacobian	MergedDiscountForwardCurve.compJackDPVDManifestMeasure(int date)	Calculate the Jacobian of PV at the given date to the Manifest Measure of each component in the calibration set to the DF
WengertJacobian	MergedDiscountForwardCurve.compJackDPVDManifestMeasure(JulianDate date)	Calculate the Jacobian of PV at the given date to the Manifest Measure of each component in the calibration set to the DF
abstract WengertJacobian	MergedDiscountForwardCurve.jackDDFDManifestMeasure(int date, java.lang.String manifestMeasure)	Retrieve the Manifest Measure Jacobian of the Discount Factor to the given date
WengertJacobian	MergedDiscountForwardCurve.jackDDFDManifestMeasure(java.lang.String tenor, java.lang.String manifestMeasure)	Retrieve the Manifest Measure Jacobian of the Discount Factor to the date implied by the given Tenor
WengertJacobian	MergedDiscountForwardCurve.jackDDFDManifestMeasure(JulianDate date, java.lang.String manifestMeasure)	Retrieve the Manifest Measure Jacobian of the Discount Factor to the given date
WengertJacobian	MergedDiscountForwardCurve.jackDForwardDManifestMeasure(int date1, int date2, java.lang.String manifestMeasure, double elapsedYearFraction)	Retrieve the Jacobian of the Forward Rate to the Manifest Measure between the given dates
WengertJacobian	MergedDiscountForwardCurve.jackDForwardDManifestMeasure(JulianDate date, java.lang.String tenor, java.lang.String manifestMeasure, double elapsedYearFraction)	Retrieve the Jacobian of the Forward Rate to the Manifest Measure at the given date
WengertJacobian	MergedDiscountForwardCurve.jackDForwardDManifestMeasure(JulianDate date1, JulianDate date2, java.lang.String manifestMeasure, double elapsedYearFraction)	Retrieve the Jacobian of the Forward Rate to the Manifest Measure between the given dates
WengertJacobian	MergedDiscountForwardCurve.zeroRateJack(int date, java.lang.String manifestMeasure)	Retrieve the Jacobian for the Zero Rate to the given date
WengertJacobian	MergedDiscountForwardCurve.zeroRateJack(JulianDate date, java.lang.String manifestMeasure)	Retrieve the Jacobian for the Zero Rate to the given date

Uses of WengertJacobian in org.drip.state.forward

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

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

Uses of WengertJacobian in org.drip.state.fx

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

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

Uses of WengertJacobian in org.drip.state.govvie

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

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

Uses of WengertJacobian in org.drip.state.nonlinear

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

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