- 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
-