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L

label() - Method in class org.drip.state.representation.LatentStateMergeSubStretch
Retrieve the Latent State Label
lag() - Method in class org.drip.param.valuation.CashSettleParams
Retrieve the Settle Lag
LagrangePolynomialStretchRegressor - Class in org.drip.regression.spline
LagrangePolynomialStretchRegressor implements the local control basis spline regressor for the given basis spline.
LagrangePolynomialStretchRegressor(String, String) - Constructor for class org.drip.regression.spline.LagrangePolynomialStretchRegressor
 
LATENT_STATE_DISCOUNT - Static variable in class org.drip.analytics.rates.DiscountCurve
Discount Latent State
LATENT_STATE_SURVIVAL - Static variable in class org.drip.state.representation.LatentStateMetricMeasure
Survival Latent State
LatentState - Interface in org.drip.state.representation
LatentState exposes the functionality to manipulate the hidden Variable's Latent State.
LatentStateLabel - Interface in org.drip.state.representation
LatentStateLabel is the interface that contains the labels inside the sub-stretch of the alternate state.
LatentStateMergeSubStretch - Class in org.drip.state.representation
LatentStateMergeSubStretch implements merged stretch that is common to multiple latent states.
LatentStateMergeSubStretch(double, double, LatentStateLabel) - Constructor for class org.drip.state.representation.LatentStateMergeSubStretch
LatentStateMergeSubStretch constructor
LatentStateMetricMeasure - Class in org.drip.state.representation
LatentStateMetricMeasure holds the latent state that is estimated, its quantification metric, and the corresponding product manifest measure, and its value that it is estimated off of during the calibration run.
LatentStateMetricMeasure(String, String, String, double) - Constructor for class org.drip.state.representation.LatentStateMetricMeasure
LatentStateMetricMeasure constructor
latentStateQuantificationMetric() - Method in class org.drip.analytics.rates.DiscountCurve
Retrieve the Latent State Quantification Metric
latentStateQuantificationMetric() - Method in class org.drip.state.curve.DerivedZeroRate
 
latentStateQuantificationMetric() - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
 
latentStateQuantificationMetric() - Method in class org.drip.state.curve.FlatForwardDiscountCurve
 
latentStateQuantificationMetric() - Method in class org.drip.state.curve.NonlinearDiscountFactorDiscountCurve
 
latentStateQuantificationMetric() - Method in class org.drip.state.curve.ZeroRateDiscountCurve
 
lcc() - Method in class org.drip.analytics.definition.CurveSpanConstructionInput
Retrieve the Linear Curve Calibrator
lcc() - Method in class org.drip.analytics.definition.ShapePreservingCCIS
 
leading() - Method in class org.drip.spline.bspline.SegmentBasisFunction
Retrieve the Leading Predictor Ordinate
left() - Method in class org.drip.spline.bspline.TensionBasisHat
Retrieve the Left Predictor Ordinate
left() - Method in class org.drip.spline.grid.OverlappingStretchSpan
 
left() - Method in interface org.drip.spline.grid.Span
Retrieve the Left Span Edge
left() - Method in class org.drip.spline.segment.InelasticConstitutiveState
Retrieve the Segment Left Predictor Ordinate
LEFT_INCLUDE - Static variable in class org.drip.analytics.date.JulianDate
LEFT_INCLUDE includes the start date in the Feb29 check
LEFT_NODE_VALUE_PARAMETER_INDEX - Static variable in class org.drip.spline.segment.ConstitutiveState
LEFT NODE VALUE PARAMETER INDEX
LEFT_OF_CONSTRAINT - Static variable in class org.drip.spline.params.SegmentResponseValueConstraint
Indicator specifying that the knot is to the left of the constraint ordinates
leftDerivOrder() - Method in class org.drip.spline.stretch.BoundarySettings
Retrieve the Order of the Left Derivative
leftEdgeDeriv() - Method in class org.drip.spline.params.SegmentStateCalibration
Retrieve the Array of the Left Edge Derivatives
LeftHatShapeControl - Class in org.drip.spline.bspline
LeftHatShapeControl implements the BasisHatShapeControl interface for the left hat basis set as laid out in the basic framework outlined in Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000) Papers.
LeftHatShapeControl(double, double, String, double) - Constructor for class org.drip.spline.bspline.LeftHatShapeControl
LeftHatShapeControl constructor
lengthDPE() - Method in class org.drip.spline.segment.ConstitutiveState
Retrieve the Segment Length DPE
lengthDPE() - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
lengthDPE() - Method in interface org.drip.spline.stretch.MultiSegmentSequence
Retrieve the Span Length DPE
lengthPenaltyControl() - Method in class org.drip.spline.params.SegmentDesignInelasticControl
Retrieve the Length Penalty Parameters
libor(double, double) - Method in class org.drip.analytics.rates.DiscountCurve
 
libor(double) - Method in class org.drip.analytics.rates.DiscountCurve
 
libor(String) - Method in class org.drip.analytics.rates.DiscountCurve
 
libor(String, String) - Method in class org.drip.analytics.rates.DiscountCurve
 
libor(double, double) - Method in interface org.drip.analytics.rates.DiscountFactorEstimator
Compute the LIBOR between 2 dates
libor(double) - Method in interface org.drip.analytics.rates.DiscountFactorEstimator
Calculate the LIBOR to the given date
libor(String) - Method in interface org.drip.analytics.rates.DiscountFactorEstimator
Calculate the LIBOR to the given tenor
libor(String, String) - Method in interface org.drip.analytics.rates.DiscountFactorEstimator
Calculate LIBOR between 2 tenors
liborDV01(double) - Method in class org.drip.analytics.rates.DiscountCurve
 
liborDV01(double) - Method in interface org.drip.analytics.rates.DiscountFactorEstimator
Calculate the LIBOR DV01 to the given date
LinearAlgebra - Class in org.drip.sample.quant
LinearAlgebra implements Samples for Linear Algebra and Matrix Manipulations.
LinearAlgebra() - Constructor for class org.drip.sample.quant.LinearAlgebra
 
LinearC1(double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
Generate a Vanilla C1 Array from the specified Array of Predictor Ordinates and the Response Values
LinearCurveCalibrator - Class in org.drip.state.estimator
LinearCurveCalibrator creates the discount curve span from the instrument cash flows.
LinearCurveCalibrator(SegmentCustomBuilderControl, BoundarySettings, int, StretchBestFitResponse, StretchBestFitResponse) - Constructor for class org.drip.state.estimator.LinearCurveCalibrator
LinearCurveCalibrator constructor
LinearizationOutput - Class in org.drip.quant.linearalgebra
LinearizationOutput holds the output of a sequence of linearization operations.
LinearizationOutput(double[], double[][], String) - Constructor for class org.drip.quant.linearalgebra.LinearizationOutput
LinearizationOutput constructor
LinearQuadrature(AbstractUnivariate, double, double) - Static method in class org.drip.quant.calculus.Integrator
Compute the function's integral within the specified limits using the LinearQuadrature technique.
LinearRationalShapeControl - Class in org.drip.quant.function1D
LinearRationalShapeControl implements the deterministic rational shape control functionality on top of the estimator basis splines inside - [0,...,1) - Globally [x_0,...,x_1): y = 1 / [1 + lambda * x] where is the normalized ordinate mapped as x => (x - x_i-1) / (x_i - x_i-1)
LinearRationalShapeControl(double) - Constructor for class org.drip.quant.function1D.LinearRationalShapeControl
LinearRationalShapeControl constructor
LinearRationalTensionExponential - Class in org.drip.quant.function1D
LinearRationalTensionExponential provides the evaluation of the Convolution of the Linear Rational and the Tension Exponential Functons and its derivatives for a specified variate.
LinearRationalTensionExponential(double, double) - Constructor for class org.drip.quant.function1D.LinearRationalTensionExponential
Construct a LinearRationalTensionExponential instance
LinearSystemSolver - Class in org.drip.quant.linearalgebra
LinearSystemSolver implements the solver for a system of linear equations given by A * x = B, where A is the matrix, x the set of variables, and B is the result to be solved for.
LinearSystemSolver() - Constructor for class org.drip.quant.linearalgebra.LinearSystemSolver
 
LinearSystemSolver() - Static method in class org.drip.sample.quant.LinearAlgebra
 
LKRHoliday - Class in org.drip.analytics.holset
 
LKRHoliday() - Constructor for class org.drip.analytics.holset.LKRHoliday
 
LoadBondRefData(Statement, String) - Static method in class org.drip.service.env.BondManager
Load the reference data corresponding to the input bond ID
LoadCDXCloses(String) - Static method in class org.drip.feed.loader.RatesClosesLoader
 
LoadEODBondCreditCurve(String, JulianDate) - Static method in class org.drip.service.api.CreditAnalytics
Loads the closing bond credit curve
LoadEODBondCreditCurve(String, JulianDate, JulianDate) - Static method in class org.drip.service.api.CreditAnalytics
Loads the set of bond credit curves between two dates
LoadEODCDSCreditCurve(String, String, JulianDate) - Static method in class org.drip.service.api.CreditAnalytics
Loads the closing CDS curve
LoadEODCDSCreditCurves(String, String, JulianDate, JulianDate) - Static method in class org.drip.service.api.CreditAnalytics
Loads the set of CDS credit curves between two dates
LoadEODEDFCurve(String, JulianDate) - Static method in class org.drip.service.api.CreditAnalytics
Loads the closing IR EDF curve
LoadEODEDFCurves(String, JulianDate, JulianDate) - Static method in class org.drip.service.api.CreditAnalytics
Loads the set of EDF discount curves between two dates
LoadEODFullCreditCurve(String, JulianDate) - Static method in class org.drip.service.api.CreditAnalytics
Loads the closing credit curve
LoadEODFullCreditCurve(String, JulianDate, JulianDate) - Static method in class org.drip.service.api.CreditAnalytics
Loads the set of credit curves between two dates
LoadEODFullIRCurve(String, JulianDate) - Static method in class org.drip.service.api.CreditAnalytics
Loads the closing IR curve
LoadEODFullIRCurves(String, JulianDate, JulianDate) - Static method in class org.drip.service.api.CreditAnalytics
Loads the set of discount curves between two dates
LoadEODIR(Statement, JulianDate, String, String, String) - Static method in class org.drip.service.env.EODCurves
Create the named base IR curve based on the set of instruments and their types for a given EOD
LoadEODIRCashCurve(String, JulianDate) - Static method in class org.drip.service.api.CreditAnalytics
Loads the closing IR cash curve
LoadEODIRCashCurves(String, JulianDate, JulianDate) - Static method in class org.drip.service.api.CreditAnalytics
Loads the set of cash discount curves between two dates
LoadEODIROfCodeToMPC(MarketParams, Statement, JulianDate, String, String, String, String) - Static method in class org.drip.service.env.EODCurves
Build the closing IRCurveScenarioContainer for the specific discount curve instrument set (cash or EDF or swaps), the EOD, and the currency, and loads it to the input MPC
LoadEODIRSwapCurve(String, JulianDate) - Static method in class org.drip.service.api.CreditAnalytics
Loads the closing IR swap curve
LoadEODIRSwapCurves(String, JulianDate, JulianDate) - Static method in class org.drip.service.api.CreditAnalytics
Loads the set of swap discount curves between two dates
LoadEODIRToMPC(MarketParams, Statement, JulianDate, String, String, String) - Static method in class org.drip.service.env.EODCurves
Build the closing IRCurveScenarioContainer for the specific discount curve instrument set type (treasury or rates instruments), the given EOD, and the currency, and loads it to the input MPC
LoadEODTSYCurve(String, JulianDate) - Static method in class org.drip.service.api.CreditAnalytics
Loads the closing TSY curve
LoadEODTSYCurves(String, JulianDate, JulianDate) - Static method in class org.drip.service.api.CreditAnalytics
Loads the set of TSY discount curves between two dates
LoadFromBondId(MarketParams, Statement, String, double) - Static method in class org.drip.service.env.BondManager
Load the bond object using its ID
LoadFullCreditCurves(MarketParams, Statement, JulianDate) - Static method in class org.drip.service.env.CDSManager
Load the complete set of credit curves for a given EOD
LoadFullIRCurves(MarketParams, Statement, JulianDate) - Static method in class org.drip.service.env.RatesManager
Load the entire set of IR curves of every type for a given EOD onto the MPC
LoadHolidayCalendars(String) - Static method in class org.drip.param.config.ConfigLoader
Load the map of the holiday calendars from the entries set in the XML Configuration file
LoadHolidayCalendarsFromDB(String) - Static method in class org.drip.param.config.ConfigLoader
Load the map of the holiday calendars from the database settings set in the XML Configuration file
LoadLiveBondCreditCurve(String) - Static method in class org.drip.service.api.CreditAnalytics
Loads the live bond credit curve
LoadLiveCDSCreditCurve(String) - Static method in class org.drip.service.api.CreditAnalytics
Loads the live CDS credit curve
LoadLiveEDFCurve(String) - Static method in class org.drip.service.api.CreditAnalytics
Loads the live IR EDF curve
LoadLiveFullCreditCurve(String) - Static method in class org.drip.service.api.CreditAnalytics
Loads the live credit curve
LoadLiveFullIRCurve(String) - Static method in class org.drip.service.api.CreditAnalytics
Loads the live IR curve
LoadLiveIRCashCurve(String) - Static method in class org.drip.service.api.CreditAnalytics
Loads the live IR cash curve
LoadLiveIRSwapCurve(String) - Static method in class org.drip.service.api.CreditAnalytics
Loads the live IR swap curve
LoadLiveTSYCurve(String) - Static method in class org.drip.service.api.CreditAnalytics
Loads the live TSY curve
LoadMidBondMarks(JulianDate, Statement) - Static method in class org.drip.service.env.BondManager
Load all the mid bond marks for the given EOD
LocalControlBasisSplineRegressor - Class in org.drip.regression.spline
LocalControlBasisSplineRegressor implements the local control basis spline regressor for the given basis spline.
LocalControlBasisSplineRegressor(String, String, String, FunctionSetBuilderParams, int) - Constructor for class org.drip.regression.spline.LocalControlBasisSplineRegressor
LocalControlBasisSplineRegressor constructor
LocalControlCurveParams - Class in org.drip.state.estimator
LocalControlCurveParams enhances the SmoothingCurveStretchParams to produce locally customized curve smoothing.
LocalControlCurveParams(String, String, SegmentCustomBuilderControl, int, StretchBestFitResponse, StretchBestFitResponse, boolean, boolean) - Constructor for class org.drip.state.estimator.LocalControlCurveParams
LocalControlCurveParams constructor
LocalControlStretchBuilder - Class in org.drip.spline.pchip
LocalControlStretchBuilder exports Stretch creation/calibration methods to generate customized basis splines, with customized segment behavior using the segment control.
LocalControlStretchBuilder() - Constructor for class org.drip.spline.pchip.LocalControlStretchBuilder
 
Locale - Class in org.drip.analytics.holiday
Locale contains the set of regular holidays and the weekend holidays for a location.
Locale() - Constructor for class org.drip.analytics.holiday.Locale
Construct an empty LocHolidays instance
localize(double) - Method in class org.drip.spline.segment.InelasticConstitutiveState
Transform the Predictor Ordinate to the Local Segment Predictor Ordinate
LocalMonotoneCkGenerator - Class in org.drip.spline.pchip
LocalMonotoneCkGenerator generates customized Local Stretch by trading off Ck for local control.
LocationHoliday - Interface in org.drip.analytics.holset
LocationHoliday is an interface which is implemented by all the Location Holiday classes.
Log(int, boolean, String) - Static method in class org.drip.analytics.support.Logger
Log a specific message to the level
Logger - Class in org.drip.analytics.support
The Logger class implements level-set logging, backed by either the screen or a file.
Logger() - Constructor for class org.drip.analytics.support.Logger
 
LossPeriodCurveFactors - Class in org.drip.analytics.period
LossPeriodCurveFactors is an implementation of the period class enhanced by the loss period measures.
LossPeriodCurveFactors(double, double, double, double, double, double, double, double, double, double, double) - Constructor for class org.drip.analytics.period.LossPeriodCurveFactors
Elaborate LossPeriodCurveFactors constructor
LossPeriodCurveFactors(byte[]) - Constructor for class org.drip.analytics.period.LossPeriodCurveFactors
De-serialization of LossPeriodCurveFactors from byte stream
lsmm() - Method in class org.drip.analytics.definition.CreditCurve
 
lsmm() - Method in class org.drip.analytics.rates.ExplicitBootDiscountCurve
 
lsmm() - Method in class org.drip.analytics.rates.ForwardCurve
 
lsmm() - Method in class org.drip.state.curve.DerivedFXBasis
 
lsmm() - Method in class org.drip.state.curve.DerivedFXForward
 
lsmm() - Method in class org.drip.state.curve.DerivedZeroRate
 
lsmm() - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
 
lsmm() - Method in class org.drip.state.curve.ZeroRateDiscountCurve
 
lsmm() - Method in interface org.drip.state.representation.LatentState
Retrieve the Array of the LSMM
LTLHoliday - Class in org.drip.analytics.holset
 
LTLHoliday() - Constructor for class org.drip.analytics.holset.LTLHoliday
 
LUFHoliday - Class in org.drip.analytics.holset
 
LUFHoliday() - Constructor for class org.drip.analytics.holset.LUFHoliday
 
LUXHoliday - Class in org.drip.analytics.holset
 
LUXHoliday() - Constructor for class org.drip.analytics.holset.LUXHoliday
 
LVLHoliday - Class in org.drip.analytics.holset
 
LVLHoliday() - Constructor for class org.drip.analytics.holset.LVLHoliday
 
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