- BAKHoliday - Class in org.drip.analytics.holset
-
- BAKHoliday() - Constructor for class org.drip.analytics.holset.BAKHoliday
-
- Base - Class in org.drip.analytics.holiday
-
Base is an abstraction around holiday and description.
- Base(String) - Constructor for class org.drip.analytics.holiday.Base
-
Constructs the Base instance from the description
- Base(byte[]) - Constructor for class org.drip.analytics.holiday.Base
-
De-serialization of Base from Byte Stream
- BaseTsyBmk(double, double) - Static method in class org.drip.analytics.support.AnalyticsHelper
-
Return the standard on-the-run benchmark treasury string from the valuation and the maturity dates
- BASIS_SPLINE_BERNSTEIN_POLYNOMIAL - Static variable in class org.drip.math.grid.Span
-
Bernstein Polynomial Spline
- BASIS_SPLINE_EXPONENTIAL_TENSION - Static variable in class org.drip.math.grid.Span
-
Exponential Tension Spline
- BASIS_SPLINE_HYPERBOLIC_TENSION - Static variable in class org.drip.math.grid.Span
-
Hyperbolic Tension Spline
- BASIS_SPLINE_KAKLIS_PANDELIS - Static variable in class org.drip.math.grid.Span
-
Kaklis Pandelis Spline
- BASIS_SPLINE_POLYNOMIAL - Static variable in class org.drip.math.grid.Span
-
Polynomial Spline
- BasisSetParams - Interface in org.drip.math.spline
-
BasisSetParams is an empty stub class whose derived implementations hold the per-segment basis set
parameters.
- BasisSplineRegressionEngine - Class in org.drip.regression.spline
-
BasisSplineRegressionEngine implements the RegressionEngine class for the basis spline functionality.
- BasisSplineRegressionEngine(int, int) - Constructor for class org.drip.regression.spline.BasisSplineRegressionEngine
-
- BasisSplineRegressor - Class in org.drip.regression.spline
-
BasisSplineRegressor implements the custom basis spline regressor for the given basis spline.
- BasisSplineRegressorSet - Class in org.drip.regression.spline
-
BasisSplineRegressorSet carries out regression testing for the following series of basis splines:
- #1: Polynomial Basis Spline, n = 2 basis functions, and Ck = 0.
- BasisSplineRegressorSet() - Constructor for class org.drip.regression.spline.BasisSplineRegressorSet
-
BasisSplineRegressorSet constructor - Creates the base spline parameter and initializes the
regression objects
- BasisSplineSet - Class in org.drip.math.sample
-
BasisSplineSet implements Samples for the Construction and the usage of various basis spline functions.
- BasisSplineSet() - Constructor for class org.drip.math.sample.BasisSplineSet
-
- BasisSplineSpanTest(double[], double[], SegmentControlParams) - Static method in class org.drip.math.sample.SpanInterpolator
-
Perform the following sequence of tests for a given segment control for a predictor/response range
- Interpolate
- Compute the segment-by-segment monotonicity
- Span Jacobian
- Span knot insertion
- BasketBondAPISample() - Static method in class org.drip.service.sample.BondBasketAPI
-
Sample demonstrating the creation/usage of the bond basket API
USE WITH CARE: This sample ignores errors and does not handle exceptions.
- BasketBondAPISample() - Static method in class org.drip.service.sample.CDSBasketAPI
-
Sample demonstrating the creation/usage of the bond basket API
USE WITH CARE: This sample ignores errors and does not handle exceptions.
- BasketBondAPISample() - Static method in class org.drip.tester.functional.CreditAnalyticsTestSuite
-
Sample demonstrating the creation/usage of the bond basket API
- BasketCDSAPISample() - Static method in class org.drip.service.sample.StandardCDXAPI
-
Sample demonstrating the creation/usage of the CDX API
USE WITH CARE: This sample ignores errors and does not handle exceptions.
- BasketCDSAPISample() - Static method in class org.drip.tester.functional.CreditAnalyticsTestSuite
-
Sample demonstrating the creation/usage of the CDX API
- BasketMarketParamRef - Interface in org.drip.product.definition
-
BasketMarketParamRef interface provides stubs for component's IR and credit curves that constitute the
basket.
- BasketMarketParams - Class in org.drip.param.definition
-
BasketMarketParams class extends the BaketMarketParamsRef for a specific scenario.
- BasketMarketParams() - Constructor for class org.drip.param.definition.BasketMarketParams
-
- BasketMarketParamsBuilder - Class in org.drip.param.creator
-
BasketMarketParamsBuilder implements the various ways of constructing, de-serializing, and building the
Basket Market Parameters.
- BasketMarketParamsBuilder() - Constructor for class org.drip.param.creator.BasketMarketParamsBuilder
-
- BasketMarketParamSet - Class in org.drip.param.market
-
BasketMarketParamSet provides an implementation of BasketMarketParamsRef for a specific scenario.
- BasketMarketParamSet(CaseInsensitiveTreeMap<DiscountCurve>, CaseInsensitiveTreeMap<CreditCurve>, CaseInsensitiveTreeMap<ComponentQuote>, Map<JulianDate, CaseInsensitiveTreeMap<Double>>) - Constructor for class org.drip.param.market.BasketMarketParamSet
-
Constructs the BasketMarketParamSet object from the map of discount curve, the map of credit curve, a
double map of date/rate index and fixings, and a map of the component quotes.
- BasketMarketParamSet(byte[]) - Constructor for class org.drip.param.market.BasketMarketParamSet
-
BasketMarketParamSet de-serialization from input byte array
- BasketMarketParamSet() - Constructor for class org.drip.param.market.BasketMarketParamSet
-
Empty BasketMarketParams object
- BasketMeasures - Class in org.drip.analytics.output
-
BasketMeasures is the place holder for the analytical basket measures, optionally across scenarios.
- BasketMeasures() - Constructor for class org.drip.analytics.output.BasketMeasures
-
Empty constructor - all members initialized to NaN or null
- BasketMeasures(byte[]) - Constructor for class org.drip.analytics.output.BasketMeasures
-
BasketMeasures de-serialization from input byte array
- BasketProduct - Class in org.drip.product.definition
-
BasketProduct abstract class extends BasketMarketParamRef.
- BasketProduct() - Constructor for class org.drip.product.definition.BasketProduct
-
- BBDHoliday - Class in org.drip.analytics.holset
-
- BBDHoliday() - Constructor for class org.drip.analytics.holset.BBDHoliday
-
- BEFHoliday - Class in org.drip.analytics.holset
-
- BEFHoliday() - Constructor for class org.drip.analytics.holset.BEFHoliday
-
- BernsteinPolynomial - Class in org.drip.math.function
-
BernsteinPolynomial provides the evaluation of the BernsteinPolynomial and its derivatives for a specified
variate.
- BernsteinPolynomial(int, int) - Constructor for class org.drip.math.function.BernsteinPolynomial
-
Construct a BernsteinPolynomial instance
- BernsteinPolynomialBasisSet(PolynomialBasisSetParams) - Static method in class org.drip.math.spline.SegmentBasisSetBuilder
-
This class implements the elastic coefficients for the segment using Bernstein polynomial basis
splines inside - [0,...,1) - Globally [x_0,...,x_1):
y = Sum (A_i*B^i(x)) i = 0,...,n (0 and n inclusive)
where x is the normalized ordinate mapped as
x => (x - x_i-1) / (x_i - x_i-1)
and B^i(x) is the Bernstein basis polynomial of order i.
- BernsteinPolynomialSegmentControlParams(int, SegmentInelasticParams, AbstractUnivariate) - Static method in class org.drip.math.sample.SpanInterpolator
-
Build Bernstein Polynomial Segment Control Parameters
- BGLHoliday - Class in org.drip.analytics.holset
-
- BGLHoliday() - Constructor for class org.drip.analytics.holset.BGLHoliday
-
- BHDHoliday - Class in org.drip.analytics.holset
-
- BHDHoliday() - Constructor for class org.drip.analytics.holset.BHDHoliday
-
- BISECTION - Static variable in class org.drip.math.solver1D.VariateIteratorPrimitive
-
Bisection
- Bisection(double, double) - Static method in class org.drip.math.solver1D.VariateIteratorPrimitive
-
Iterate for the next variate using bisection
- BloombergCDSW - Class in org.drip.service.sample
-
BloombergCDSW contains the sample demonstrating the replication of Bloomberg's CDSW functionality.
- BloombergCDSW() - Constructor for class org.drip.service.sample.BloombergCDSW
-
- BloombergSWPM - Class in org.drip.service.sample
-
BloombergSWPM contains the sample demonstrating the replication of Bloomberg's SWPM functionality.
- BloombergSWPM() - Constructor for class org.drip.service.sample.BloombergSWPM
-
- BloombergYAS - Class in org.drip.service.sample
-
BloombergYAS contains the sample demonstrating the replication of Bloomberg's YAS functionality.
- BloombergYAS() - Constructor for class org.drip.service.sample.BloombergYAS
-
- BMDHoliday - Class in org.drip.analytics.holset
-
- BMDHoliday() - Constructor for class org.drip.analytics.holset.BMDHoliday
-
- Bond - Class in org.drip.product.definition
-
Bond abstract class implements the pricing, the valuation, and the RV analytics functionality for the bond
product.
- Bond() - Constructor for class org.drip.product.definition.Bond
-
- BOND_TYPE_SIMPLE_FIXED - Static variable in class org.drip.product.creator.BondBuilder
-
Custom Bond Type Simple Fixed
- BOND_TYPE_SIMPLE_FLOATER - Static variable in class org.drip.product.creator.BondBuilder
-
Custom Bond Type Simple Floater
- BOND_TYPE_SIMPLE_FROM_CF - Static variable in class org.drip.product.creator.BondBuilder
-
Custom Bond Type Simple From Cash flows
- BondAnalyticsAPI - Class in org.drip.service.sample
-
BondAnalyticsAPI contains a demo of the bond analytics API Sample.
- BondAnalyticsAPI() - Constructor for class org.drip.service.sample.BondAnalyticsAPI
-
- BondAPISample() - Static method in class org.drip.service.sample.BondLiveAndEODAPI
-
Sample demonstrating the usage of the (full set of) bond analytics API.
- BondAPISample() - Static method in class org.drip.tester.functional.CreditAnalyticsTestSuite
-
Sample demonstrating the creation/usage of the bond API
- BondBasket - Class in org.drip.product.credit
-
BondBasket implements the bond basket product contract details.
- BondBasket(byte[]) - Constructor for class org.drip.product.credit.BondBasket
-
BondBasket de-serialization from input byte array
- BondBasket(String, Bond[], double[], JulianDate, double) - Constructor for class org.drip.product.credit.BondBasket
-
BondBasket constructor
- BondBasketAPI - Class in org.drip.service.sample
-
BondBasketAPI contains a demo of the bond basket API Sample.
- BondBasketAPI() - Constructor for class org.drip.service.sample.BondBasketAPI
-
- BondBasketBuilder - Class in org.drip.product.creator
-
BondBasketBuilder contains the suite of helper functions for creating the bond Basket Product from different
kinds of inputs and byte streams.
- BondBasketBuilder() - Constructor for class org.drip.product.creator.BondBasketBuilder
-
- BondBuilder - Class in org.drip.product.creator
-
BondBuilder contains the suite of helper functions for creating simple fixed/floater bonds, user defined
bonds, optionally with custom cash flows and embedded option schedules (European or American).
- BondBuilder() - Constructor for class org.drip.product.creator.BondBuilder
-
- BondCDSCurveCalibration() - Static method in class org.drip.service.sample.BondAnalyticsAPI
-
API demonstrating how to calibrate a CDS curve from CDS and bond quotes
USE WITH CARE: This sample ignores errors and does not handle exceptions.
- BondCDSCurveCalibration() - Static method in class org.drip.tester.functional.CreditAnalyticsTestSuite
-
API demonstrating how to calibrate a CDS curve from CDS and bond quotes
- BondComponent - Class in org.drip.product.credit
-
BondComponent is the base class that extends CreditComponent abstract class and implements the functionality behind
bonds of all kinds.
- BondComponent() - Constructor for class org.drip.product.credit.BondComponent
-
Constructor: Constructs an empty bond object
- BondComponent(byte[]) - Constructor for class org.drip.product.credit.BondComponent
-
Bond de-serialization from input byte array
- BondComponent.BondCalibrator - Class in org.drip.product.credit
-
The BondCalibrator implements a calibrator that calibrates the yield, the credit basis, or the Z
Spread for the bond given the price input.
- BondComponent.BondCalibrator(BondComponent) - Constructor for class org.drip.product.credit.BondComponent.BondCalibrator
-
Constructor: Constructs the calibrator from the parent bond.
- BondCouponMeasures - Class in org.drip.analytics.output
-
This class encapsulates the parsimonius but complete set of the cash-flow oriented coupon measures
generated out of a full bond analytics run to a given work-out.
- BondCouponMeasures(double, double, double, double) - Constructor for class org.drip.analytics.output.BondCouponMeasures
-
BondCouponMeasures constructor
- BondCouponMeasures(byte[]) - Constructor for class org.drip.analytics.output.BondCouponMeasures
-
BondCouponMeasures de-serialization from input byte array
- BondCreditBasisFromPrice(String, ValuationParams, DiscountCurve, CreditCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond credit basis from price
- BondCreditBasisFromPrice(String, JulianDate, DiscountCurve, CreditCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond credit basis from price (simplified version)
- BondCreditBasisFromTSYSpread(String, ValuationParams, DiscountCurve, DiscountCurve, CreditCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond credit basis from spread to a treasury benchmark
- BondCreditBasisFromTSYSpread(String, JulianDate, DiscountCurve, DiscountCurve, CreditCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond credit basis from spread to a treasury benchmark (simplified version)
- BondCreditBasisFromYield(String, ValuationParams, DiscountCurve, CreditCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond Credit Basis from yield
- BondCreditBasisFromYield(String, JulianDate, DiscountCurve, CreditCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond Credit Basis from yield (simplified version)
- BondCreditBasisTMFromPrice(String, ValuationParams, DiscountCurve, CreditCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond credit basis to maturity from price
- BondCreditPrice(String, ValuationParams, DiscountCurve, CreditCurve, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Computes the bond's theoretical price from discount curve and the credit curve
- BondCreditPrice(String, JulianDate, DiscountCurve, CreditCurve) - Static method in class org.drip.service.api.CreditAnalytics
-
Computes the bond's theoretical price from discount curve and the credit curve (simplified version)
- BondDiscountMarginFromPrice(String, ValuationParams, DiscountCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond Discount Margin from price
- BondDiscountMarginFromPrice(String, JulianDate, DiscountCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond Discount Margin from price (simplified version)
- BondDiscountMarginFromTSYSpread(String, ValuationParams, DiscountCurve, DiscountCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond Discount Margin from spread to a treasury benchmark
- BondDiscountMarginFromTSYSpread(String, JulianDate, DiscountCurve, DiscountCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond Discount Margin from spread to a treasury benchmark (simplified version)
- BondDiscountMarginFromYield(String, ValuationParams, DiscountCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond Discount Margin from yield
- BondDiscountMarginFromYield(String, JulianDate, DiscountCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond Discount Margin from yield (simplified version)
- BondDiscountMarginTMFromPrice(String, ValuationParams, DiscountCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond Discount Margin to Maturity from price
- BondEODConvexityFromPrice(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond Convexity from price
- BondEODConvexityFromTSYSpread(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond Convexity from TSY Spread
- BondEODConvexityFromYield(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond Convexity from yield
- BondEODCreditBasisFromPrice(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond Credit Basis from price
- BondEODCreditBasisFromTSYSpread(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond Credit Basis from TSY Spread
- BondEODCreditBasisFromYield(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond Credit Basis from yield
- BondEODDiscountMarginFromPrice(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond Discount Margin from price
- BondEODDiscountMarginFromTSYSpread(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond Discount Margin from TSY Spread
- BondEODDiscountMarginFromYield(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond Discount Margin from Yield
- BondEODDurationFromPrice(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond Duration from price
- BondEODDurationFromTSYSpread(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond Duration from TSY Spread
- BondEODDurationFromYield(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond Duration from Yield
- BondEODGSpreadFromPrice(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond G Spread from price
- BondEODGSpreadFromPrice(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond G Spread from price (simplified version)
- BondEODGSpreadFromTSYSpread(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond G Spread from TSY Spread
- BondEODGSpreadFromYield(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond G Spread from Yield
- BondEODISpreadFromPrice(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond I Spread from price
- BondEODISpreadFromTSYSpread(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond I Spread from TSY Spread
- BondEODISpreadFromYield(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond I Spread from Yield
- BondEODMeasuresAPISample() - Static method in class org.drip.service.sample.BondLiveAndEODAPI
-
Sample demonstrating the calculation of the bond's EOD yield measures from price
USE WITH CARE: This sample ignores errors and does not handle exceptions.
- BondEODMeasuresAPISample() - Static method in class org.drip.tester.functional.CreditAnalyticsTestSuite
-
Sample demonstrating the calculation of the bond's EOD measures from price
- BondEODMeasuresFromPrice(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Get the full set of the Bond's EOD Measures From Clean Price
- BondEODMeasuresFromTSYSpread(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Get the full set of the Bond's EOD Measures From the TSY Spread
- BondEODMeasuresFromYield(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Get the full set of the Bond's EOD Measures From the Yield
- BondEODOASFromPrice(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond OAS from price
- BondEODOASFromTSYSpread(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond OAS from TSY Spread
- BondEODOASFromYield(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond OAS from Yield
- BondEODPECSFromPrice(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD Bond PECS from Price
- BondEODPECSFromTSYSpread(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD Bond PECS from TSY Spread
- BondEODPECSFromYield(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD Bond PECS from Yield
- BondEODPriceFromTSYSpread(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond Price from TSY Spread
- BondEODPriceFromYield(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond Price from Yield
- BondEODSample() - Static method in class org.drip.service.sample.BondLiveAndEODAPI
-
Sample demonstrating the calculation of the bond's full EOD measures from price, TSY spread, or yield
USE WITH CARE: This sample ignores errors and does not handle exceptions.
- BondEODTSYSpreadFromPrice(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond TSY Spread from price
- BondEODTSYSpreadFromYield(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond TSY Spread from Yield
- BondEODYieldFromPrice(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond yield from price
- BondEODYieldFromTSYSpread(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond Yield from TSY Spread
- BondEODZSpreadFromPrice(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond Z Spread from price
- BondEODZSpreadFromTSYSpread(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond Z Spread from TSY Spread
- BondEODZSpreadFromYield(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond Z Spread from Yield
- BondGSpreadFromPrice(String, ValuationParams, DiscountCurve, DiscountCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond G spread from price
- BondGSpreadFromPrice(String, JulianDate, DiscountCurve, DiscountCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond G Spread from price (simplified version)
- BondGSpreadFromTSYSpread(String, ValuationParams, DiscountCurve, DiscountCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond G spread from spread to a treasury benchmark
- BondGSpreadFromTSYSpread(String, JulianDate, DiscountCurve, DiscountCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond G spread from spread to a treasury benchmark (simplified version)
- BondGSpreadFromYield(String, ValuationParams, DiscountCurve, DiscountCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond G spread from yield
- BondGSpreadFromYield(String, JulianDate, DiscountCurve, DiscountCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond G spread from yield (simplified version)
- BondGTMFromPrice(String, ValuationParams, DiscountCurve, DiscountCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond G spread to maturity from price
- BondISpreadFromPrice(String, ValuationParams, DiscountCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond I Spread from price
- BondISpreadFromPrice(String, JulianDate, DiscountCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond I Spread from price (simplified version)
- BondISpreadFromTSYSpread(String, ValuationParams, DiscountCurve, DiscountCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond I spread from spread to a treasury benchmark
- BondISpreadFromTSYSpread(String, JulianDate, DiscountCurve, DiscountCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond I spread from spread to a treasury benchmark (simplified version)
- BondISpreadFromYield(String, ValuationParams, DiscountCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond I spread from yield
- BondISpreadFromYield(String, JulianDate, DiscountCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond I spread from yield (simplified version)
- BondITMFromPrice(String, ValuationParams, DiscountCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond I Spread to Maturity from price
- BondLiveAndEODAPI - Class in org.drip.service.sample
-
BondLiveAndEODAPI contains the comprehensive sample class demonstrating the usage of the EOD and Live
Curve Bond API functions.
- BondLiveAndEODAPI() - Constructor for class org.drip.service.sample.BondLiveAndEODAPI
-
- BondLiveConvexityFromPrice(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond Convexity from price
- BondLiveConvexityFromTSYSpread(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond Convexity from TSY Spread
- BondLiveConvexityFromYield(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond Convexity from yield
- BondLiveCreditBasisFromPrice(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond Credit Basis from price
- BondLiveCreditBasisFromTSYSpread(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond Credit Basis from TSY Spread
- BondLiveCreditBasisFromYield(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond Credit Basis from yield
- BondLiveDurationFromPrice(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond Duration from price
- BondLiveDurationFromTSYSpread(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond Duration from TSY Spread
- BondLiveDurationFromYield(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond Duration from Yield
- BondLiveGSpreadFromTSYSpread(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond G Spread from TSY Spread
- BondLiveGSpreadFromYield(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond G Spread from Yield
- BondLiveISpreadFromPrice(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond I Spread from price
- BondLiveISpreadFromTSYSpread(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond I Spread from TSY Spread
- BondLiveISpreadFromYield(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond I Spread from Yield
- BondLiveMeasuresFromPrice(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Get the full set of the Bond's Live Measures From Clean Price
- BondLiveMeasuresFromTSYSpread(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Get the full set of the Bond's Live Measures From TSY Spread
- BondLiveMeasuresFromYield(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Get the full set of the Bond's Live Measures From Yield
- BondLiveOASFromPrice(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond OAS from price
- BondLiveOASFromTSYSpread(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond OAS from TSY Spread
- BondLiveOASFromYield(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond OAS from Yield
- BondLiveParASWFromYield(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond par ASW from Yield
- BondLivePECSFromPrice(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live Bond PECS from price
- BondLivePECSFromTSYSpread(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live Bond PECS from TSY Spread
- BondLivePECSFromYield(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live Bond PECS from Yield
- BondLivePriceFromTSYSpread(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond Price from TSY Spread
- BondLivePriceFromYield(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond Price from Yield
- BondLiveTSYSpreadFromPrice(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond TSY Spread from price
- BondLiveTSYSpreadFromYield(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond TSY Spread from Yield
- BondLiveYieldFromPrice(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond yield from price
- BondLiveYieldFromTSYSpread(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond Yield from TSY Spread
- BondLiveZSpreadFromPrice(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond Z Spread from price
- BondLiveZSpreadFromTSYSpread(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond Z Spread from TSY Spread
- BondLiveZSpreadFromYield(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond Z Spread from Yield
- BondManager - Class in org.drip.service.env
-
BondManager implements a container that holds the EOD and bond static information on a per issuer basis.
- BondManager() - Constructor for class org.drip.service.env.BondManager
-
- BondOASFromPrice(String, ValuationParams, DiscountCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond OAS from price
- BondOASFromPrice(String, JulianDate, DiscountCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond OAS from price (simplified version)
- BondOASFromTSYSpread(String, ValuationParams, DiscountCurve, DiscountCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond OAS from spread to a treasury benchmark
- BondOASFromTSYSpread(String, JulianDate, DiscountCurve, DiscountCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond OAS from spread to a treasury benchmark (simplified version)
- BondOASTMFromPrice(String, ValuationParams, DiscountCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond OAS to maturity from price
- BondPECSFromPrice(String, ValuationParams, DiscountCurve, CreditCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Bond PECS from price
- BondPECSFromPrice(String, JulianDate, DiscountCurve, CreditCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Bond PECS from price (simplified version)
- BondPECSFromTSYSpread(String, ValuationParams, DiscountCurve, DiscountCurve, CreditCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Bond PECS from spread to a treasury benchmark
- BondPECSFromTSYSpread(String, JulianDate, DiscountCurve, DiscountCurve, CreditCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Bond PECS from spread to a treasury benchmark (simplified version)
- BondPECSFromYield(String, ValuationParams, DiscountCurve, CreditCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Bond PECS from yield
- BondPECSFromYield(String, JulianDate, DiscountCurve, CreditCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Bond PECS from yield (simplified version)
- BondPECSTMFromPrice(String, ValuationParams, DiscountCurve, CreditCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Bond PECS to maturity from price
- BondPriceFromTSYSpread(String, ValuationParams, DiscountCurve, DiscountCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond price from spread to a treasury benchmark
- BondPriceFromTSYSpread(String, JulianDate, DiscountCurve, DiscountCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond price from spread to a treasury benchmark (simplified version)
- BondPriceFromYield(String, ValuationParams, DiscountCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond price from yield
- BondPriceFromYield(String, JulianDate, DiscountCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond price from yield (simplified version)
- BondPricerSample() - Static method in class org.drip.service.sample.BloombergYAS
-
- BondProduct - Interface in org.drip.product.definition
-
BondProduct interface implements the product static data behind bonds of all kinds.
- BondProductBuilder - Class in org.drip.product.creator
-
BondProductBuilder holds the static parameters of the bond product needed for the full bond valuation.
- BondProductBuilder() - Constructor for class org.drip.product.creator.BondProductBuilder
-
Empty BondProductBuilder ctr - uninitialized members
- BondProductBuilder(byte[]) - Constructor for class org.drip.product.creator.BondProductBuilder
-
BondProductBuilder de-serialization from input byte array
- BondRefDataBuilder - Class in org.drip.product.creator
-
BondRefDataBuilder holds the entire set of static parameters for the bond product.
- BondRefDataBuilder() - Constructor for class org.drip.product.creator.BondRefDataBuilder
-
Empty BondRefDataBuilder ctr - uninitialized members
- BondRefDataBuilder(CaseInsensitiveTreeMap<String>) - Constructor for class org.drip.product.creator.BondRefDataBuilder
-
BondRefDataBuilder de-serialization from input JSON Map
- BondRefDataBuilder(byte[]) - Constructor for class org.drip.product.creator.BondRefDataBuilder
-
BondRefDataBuilder de-serialization from input JSON Map
- BondRVMeasures - Class in org.drip.analytics.output
-
BondRVMeasures encapsulates the comprehensive set of RV measures calculated for the bond to the
appropriate exercise:
- Workout Information
- Price, Yield, and Yield01
- Spread Measures: Asset Swap/Credit/G/I/OAS/PECS/TSY/Z
- Basis Measures: Bond Basis, Credit Basis, Yield Basis
- Duration Measures: Macaulay/Modified Duration, Convexity
- BondRVMeasures(byte[]) - Constructor for class org.drip.analytics.output.BondRVMeasures
-
BondRVMeasures de-serialization from input byte array
- BondRVMeasures(double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, WorkoutInfo) - Constructor for class org.drip.analytics.output.BondRVMeasures
-
BondRVMeasures ctr
- BondRVMeasuresAPI - Class in org.drip.service.sample
-
BondRVMeasuresAPI is a Simple Bond RV Measures API Sample demonstrating the invocation and usage of Bond
RV Measures functionality.
- BondRVMeasuresAPI() - Constructor for class org.drip.service.sample.BondRVMeasuresAPI
-
- BondStaticAPI - Class in org.drip.service.sample
-
BondStaticAPI contains a demo of the bond static API Sample.
- BondStaticAPI() - Constructor for class org.drip.service.sample.BondStaticAPI
-
- BondStaticAPISample() - Static method in class org.drip.tester.functional.CreditAnalyticsTestSuite
-
Sample demonstrating the retrieval of the bond's static fields
- BondTestSuite - Class in org.drip.tester.functional
-
BondTestSuite tests more-or-less the full suite of bond functionality exposed in CreditAnalytics API.
- BondTestSuite() - Constructor for class org.drip.tester.functional.BondTestSuite
-
- BondTickerAPISample() - Static method in class org.drip.service.sample.BondLiveAndEODAPI
-
Sample demonstrating the calculation of analytics for the set of bonds associated with the ticker
USE WITH CARE: This sample ignores errors and does not handle exceptions.
- BondTickerAPISample() - Static method in class org.drip.tester.functional.CreditAnalyticsTestSuite
-
Sample demonstrating the calculation of analytics for the set of bonds associated with the ticker
- BondTSYSpreadFromPrice(String, ValuationParams, DiscountCurve, DiscountCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond spread to treasury from price
- BondTSYSpreadFromPrice(String, JulianDate, DiscountCurve, DiscountCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond spread to treasury from price (simplified version)
- BondTSYTMFromPrice(String, ValuationParams, DiscountCurve, DiscountCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond spread over treasury to maturity from price
- BondWorkoutInfoFromPrice(String, ValuationParams, DiscountCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond work-out details from price
- BondWorkoutInfoFromPrice(String, JulianDate, DiscountCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond work-out details from price (Simplified version)
- BondWorkoutMeasures - Class in org.drip.analytics.output
-
BondWorkoutMeasures encapsulates the parsimonius yet complete set of measures generated out of a full bond
analytics run to a given work-out.
- BondWorkoutMeasures(BondCouponMeasures, BondCouponMeasures, double, double, double, double, double, double, double, double, double, double, double, double, double) - Constructor for class org.drip.analytics.output.BondWorkoutMeasures
-
BondWorkoutMeasures constructor
- BondWorkoutMeasures(byte[]) - Constructor for class org.drip.analytics.output.BondWorkoutMeasures
-
BondWorkoutMeasures de-serialization from input byte array
- BondYieldFromPrice(String, ValuationParams, DiscountCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond yield from price
- BondYieldFromPrice(String, JulianDate, DiscountCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond yield from price (simplified version)
- BondYieldFromTSYSpread(String, ValuationParams, DiscountCurve, DiscountCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond yield from spread to a treasury benchmark
- BondYieldFromTSYSpread(String, JulianDate, DiscountCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond yield from spread to a treasury benchmark (simplified version)
- BondYTMFromPrice(String, ValuationParams, DiscountCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond YTM from price
- BondZSpreadFromPrice(String, ValuationParams, DiscountCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond Z Spread from price
- BondZSpreadFromPrice(String, JulianDate, DiscountCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond Z Spread from price (simplified version)
- BondZSpreadFromTSYSpread(String, ValuationParams, DiscountCurve, DiscountCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond Z spread from spread to a treasury benchmark
- BondZSpreadFromTSYSpread(String, JulianDate, DiscountCurve, DiscountCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond Z spread from spread to a treasury benchmark (simplified version)
- BondZSpreadFromYield(String, ValuationParams, DiscountCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond Z spread from yield
- BondZSpreadFromYield(String, JulianDate, DiscountCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond Z spread from yield (simplified version)
- BondZTMFromPrice(String, ValuationParams, DiscountCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond Z Spread to maturity from price
- Boole(AbstractUnivariate, double, double) - Static method in class org.drip.math.calculus.Integrator
-
Compute the function's integral within the specified limits using the Boole rule.
- BooleanListFromString(List<Boolean>, String, String) - Static method in class org.drip.math.common.StringUtil
-
Create a list of booleans from a delimited string
- BOOTSTRAP_MODE_CONSTANT_FORWARD - Static variable in class org.drip.analytics.creator.DiscountCurveBuilder
-
Constant Forward Bootstrap mode
- BOOTSTRAP_MODE_HYPERBOLIC_TENSION_FORWARD - Static variable in class org.drip.analytics.creator.DiscountCurveBuilder
-
Hyperbolic Tension Spline Forward Bootstrap mode
- BOOTSTRAP_MODE_POLYNOMIAL_FORWARD - Static variable in class org.drip.analytics.creator.DiscountCurveBuilder
-
Cubic Forward Bootstrap mode
- BOOTSTRAP_MODE_POLYNOMIAL_SPLINE_DF - Static variable in class org.drip.analytics.creator.DiscountCurveBuilder
-
Polynomial Spline DF Bootstrap mode
- bootstrapBasis(ValuationParams, DiscountCurve, DiscountCurve, boolean) - Method in class org.drip.analytics.curve.DerivedFXForward
-
- bootstrapBasis(ValuationParams, DiscountCurve, DiscountCurve, boolean) - Method in class org.drip.analytics.definition.FXForwardCurve
-
Bootstrap the basis to the discount curve inputs
- bootstrapBasisDC(ValuationParams, DiscountCurve, DiscountCurve, boolean) - Method in class org.drip.analytics.curve.DerivedFXForward
-
- bootstrapBasisDC(ValuationParams, DiscountCurve, DiscountCurve, boolean) - Method in class org.drip.analytics.definition.FXForwardCurve
-
Bootstrap the discount curve from the discount curve inputs
- bootstrapHazardRate(CreditCurve, Component, int, ValuationParams, DiscountCurve, DiscountCurve, DiscountCurve, PricerParams, String, double, Map<JulianDate, CaseInsensitiveTreeMap<Double>>, QuotingParams, boolean) - Method in class org.drip.analytics.calibration.CurveCalibrator
-
Calibrate a single Hazard Rate Node from the corresponding Component
- bootstrapInterestRateSequence(DiscountCurve, DiscountCurve, DiscountCurve, Component[], ValuationParams, String[], double[], double, Map<JulianDate, CaseInsensitiveTreeMap<Double>>, QuotingParams, boolean) - Method in class org.drip.analytics.calibration.CurveCalibrator
-
Boot-strap an interest rate curve from the set of calibration components
- BRACKETING_CUSTOM_BCP - Static variable in class org.drip.math.solver1D.InitializationHeuristics
-
Start search from Custom Bracketing Control Parameters
- BRACKETING_EDGE_HINTS - Static variable in class org.drip.math.solver1D.InitializationHeuristics
-
Start bracket initialization from Pre-specified left/right edge hints
- BRACKETING_FLOOR_CEILING - Static variable in class org.drip.math.solver1D.InitializationHeuristics
-
Restrict the bracket initialization to within the specified Floor and Ceiling
- BRACKETING_GENERIC_BCP - Static variable in class org.drip.math.solver1D.InitializationHeuristics
-
Start bracket initialization from the Generic Bracket Initializer
- BRACKETING_MID_HINT - Static variable in class org.drip.math.solver1D.InitializationHeuristics
-
Start bracket initialization from Pre-specified Starting Mid Bracketing Variate
- BracketingControlParams - Class in org.drip.math.solver1D
-
BracketingControlParams implements the control parameters for bracketing solutions.
- BracketingControlParams() - Constructor for class org.drip.math.solver1D.BracketingControlParams
-
Default BracketingControlParams constructor
- BracketingControlParams(int, double, double, double) - Constructor for class org.drip.math.solver1D.BracketingControlParams
-
BracketingControlParams constructor
- BracketingOutput - Class in org.drip.math.solver1D
-
BracketingOutput carries the results of the bracketing initialization.
- BracketingOutput() - Constructor for class org.drip.math.solver1D.BracketingOutput
-
Default BracketingOutput constructor: Initializes the output
- BracketingRegressorSet - Class in org.drip.regression.fixedpointfinder
-
BracketingRegressorSet implements regression run for the Primitive Bracketing Fixed Point Search Method.
- BracketingRegressorSet() - Constructor for class org.drip.regression.fixedpointfinder.BracketingRegressorSet
-
- BRCHoliday - Class in org.drip.analytics.holset
-
- BRCHoliday() - Constructor for class org.drip.analytics.holset.BRCHoliday
-
- BRLHoliday - Class in org.drip.analytics.holset
-
- BRLHoliday() - Constructor for class org.drip.analytics.holset.BRLHoliday
-
- BSDHoliday - Class in org.drip.analytics.holset
-
- BSDHoliday() - Constructor for class org.drip.analytics.holset.BSDHoliday
-
- BuildBondFromResultSet(ResultSet, MarketParams) - Static method in class org.drip.service.env.BondManager
-
Builds a bond from the input result set
- BuildCREOD(MarketParams, Statement, JulianDate, String, String) - Static method in class org.drip.service.env.EODCurves
-
Builds the EOD credit curve, and loads it to the MPC
- BuildEDSFCurve(MarketParams, JulianDate, String) - Static method in class org.drip.service.env.StaticBACurves
-
Builds the EDSF curve from custom/user defined marks and adds it to the MarketParams for the
given EOD and currency
- BuildEODCreditCurve(Statement, JulianDate, DiscountCurve, String, String) - Static method in class org.drip.service.env.EODCurves
-
Builds the credit curve's CreditScenarioCurve for the given EOD and currency from the
corresponding marks
- BuildEODIRCurve(Map<JulianDate, CaseInsensitiveTreeMap<Double>>, Statement, JulianDate, String, String, String) - Static method in class org.drip.service.env.EODCurves
-
Builds the closing IRCurveScenarioContainer for the specific discount curve instrument set type
(treasury or rates instruments), given the EOD and the currency
- BuildEODIRCurveOfCode(Map<JulianDate, CaseInsensitiveTreeMap<Double>>, Statement, JulianDate, String, String, String, String) - Static method in class org.drip.service.env.EODCurves
-
Builds the closing IRCurveScenarioContainer for the specific discount curve instruments given the EOD
and the currency
- BuildFromDF(JulianDate, String, double[], double[], String) - Static method in class org.drip.analytics.creator.DiscountCurveBuilder
-
Builds a Discount Curve from an array of discount factors
- buildInterpolator() - Method in class org.drip.analytics.curve.ConstantForwardHazard
-
- buildInterpolator() - Method in class org.drip.analytics.curve.ConstantForwardRate
-
- buildInterpolator() - Method in class org.drip.analytics.curve.DerivedFXBasis
-
- buildInterpolator() - Method in class org.drip.analytics.curve.DerivedFXForward
-
- buildInterpolator() - Method in class org.drip.analytics.curve.DerivedZeroRate
-
- buildInterpolator() - Method in class org.drip.analytics.curve.HyperbolicTensionForwardRate
-
- buildInterpolator() - Method in class org.drip.analytics.curve.PolynomialForwardRate
-
- buildInterpolator() - Method in class org.drip.analytics.curve.PolynomialSplineDF
-
- buildInterpolator() - Method in interface org.drip.analytics.definition.Curve
-
Build the interpolator post the curve sweeping build
- BuildIREODCurve(MarketParams, Statement, JulianDate, String) - Static method in class org.drip.service.env.EODCurves
-
Builds the complete set of rates EOD curves for the given currency, and loads them to the MPC
- BuildTSYCurve(MarketParams, JulianDate, String) - Static method in class org.drip.service.env.StaticBACurves
-
Builds the treasury curve from custom/user defined marks and adds it to the MarketParams for
the given EOD and currency
- BuildTSYEODCurve(MarketParams, Statement, JulianDate, String) - Static method in class org.drip.service.env.EODCurves
-
Builds the complete set of treasury EOD curves for the given currency, and loads them to the MPC
- bumpNodeValue(int, double) - Method in class org.drip.analytics.curve.ConstantForwardHazard
-
- bumpNodeValue(int, double) - Method in class org.drip.analytics.curve.ConstantForwardRate
-
- bumpNodeValue(int, double) - Method in class org.drip.analytics.curve.DerivedFXBasis
-
- bumpNodeValue(int, double) - Method in class org.drip.analytics.curve.DerivedFXForward
-
- bumpNodeValue(int, double) - Method in class org.drip.analytics.curve.DerivedZeroRate
-
- bumpNodeValue(int, double) - Method in class org.drip.analytics.curve.HyperbolicTensionForwardRate
-
- bumpNodeValue(int, double) - Method in class org.drip.analytics.curve.PolynomialForwardRate
-
- bumpNodeValue(int, double) - Method in class org.drip.analytics.curve.PolynomialSplineDF
-
- bumpNodeValue(int, double) - Method in interface org.drip.analytics.definition.Curve
-
Bump the node value at the node specified the index by the value
- BumpNTPNode(double[], NodeTweakParams) - Static method in class org.drip.analytics.support.AnalyticsHelper
-
Bump the node (or the given set of nodes) in accordance with the specified tweak parameters
- BumpQuotes(double[], double, boolean) - Static method in class org.drip.analytics.support.AnalyticsHelper
-
Bumps the input array quotes
- BusDays(double, double, String) - Static method in class org.drip.analytics.daycount.Convention
-
Calculates the number of business days between the start and the end dates