- 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
- baseCalculationType() - Method in class org.drip.analytics.daycount.DC28_360
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DC30_360
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DC30_365
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DC30_Act
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DC30E_360
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DCAct_360
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DCAct_364
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DCAct_365
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DCAct_365L
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DCAct_Act
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DCAct_Act_ISDA
-
- baseCalculationType() - Method in interface org.drip.analytics.daycount.DCFCalculator
-
Retrieves the base calculation type corresponding to the DCF Calculator
- baseCalculationType() - Method in class org.drip.analytics.daycount.DCNL_360
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DCNL_365
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DCNL_Act
-
- 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.spline.stretch.MultiSegmentSequenceBuilder
-
Bernstein Polynomial Spline
- BASIS_SPLINE_EXPONENTIAL_MIXTURE - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Exponential Mixture Basis Spline
- BASIS_SPLINE_EXPONENTIAL_RATIONAL - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Exponential Rational Basis Spline
- BASIS_SPLINE_EXPONENTIAL_TENSION - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Exponential Tension Spline
- BASIS_SPLINE_HYPERBOLIC_TENSION - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Hyperbolic Tension Spline
- BASIS_SPLINE_KAKLIS_PANDELIS - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Kaklis Pandelis Spline
- BASIS_SPLINE_KLK_EXPONENTIAL_TENSION - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Koch-Lyche-Kvasov Exponential Tension Spline
- BASIS_SPLINE_KLK_HYPERBOLIC_TENSION - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Koch-Lyche-Kvasov Hyperbolic Tension Spline
- BASIS_SPLINE_KLK_RATIONAL_LINEAR_TENSION - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Koch-Lyche-Kvasov Rational Linear Tension Spline
- BASIS_SPLINE_KLK_RATIONAL_QUADRATIC_TENSION - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Koch-Lyche-Kvasov Rational Quadratic Tension Spline
- BASIS_SPLINE_POLYNOMIAL - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Polynomial Spline
- basisBestFitPenalty(int, int) - Method in class org.drip.spline.segment.BestFitFlexurePenalizer
-
Compute the Best Fit Cross-Product Penalty for the given Basis Pair
- BasisBSplineSet - Class in org.drip.sample.spline
-
BasisSplineSet implements Samples for the Construction and the usage of various basis spline functions.
- BasisBSplineSet() - Constructor for class org.drip.sample.spline.BasisBSplineSet
-
- BasisEvaluator - Interface in org.drip.spline.segment
-
This Interface implements the Segment's Basis Evaluator Functions.
- basisEvaluator() - Method in class org.drip.spline.segment.ConstitutiveState
-
Retrieve the Basis Evaluator
- BasisHatPairGenerator - Class in org.drip.spline.bspline
-
BasisHatPairGenerator implements the generation functionality behind the hat basis function pair.
- BasisHatPairGenerator() - Constructor for class org.drip.spline.bspline.BasisHatPairGenerator
-
- BasisHatShapeControl - Class in org.drip.spline.bspline
-
BasisHatShapeControl implements the shape control function for the hat basis set as laid out in the
framework outlined in Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000) Papers.
- BasisHatShapeControl(double, double, String, double) - Constructor for class org.drip.spline.bspline.BasisHatShapeControl
-
BasisHatShapeControl constructor
- BasisMonicBSpline - Class in org.drip.sample.spline
-
BasisMonicBSpline implements Samples for the Construction and the usage of various monic basis B Splines.
- BasisMonicBSpline() - Constructor for class org.drip.sample.spline.BasisMonicBSpline
-
- BasisMonicHatComparison - Class in org.drip.sample.spline
-
BasisMonicBSpline implements the comparison of the basis hat functions used in the construction of the
monic basis B Splines.
- BasisMonicHatComparison() - Constructor for class org.drip.sample.spline.BasisMonicHatComparison
-
- BasisMulticBSpline - Class in org.drip.sample.spline
-
BasisMulticBSpline implements Samples for the Construction and the usage of various multic basis B Splines.
- BasisMulticBSpline() - Constructor for class org.drip.sample.spline.BasisMulticBSpline
-
- basisPairConstraintCoefficient(int, int) - Method in class org.drip.spline.segment.BestFitFlexurePenalizer
-
Compute the Basis Pair Penalty Coefficient for the Best Fit and the Curvature Penalties
- basisPairCurvaturePenalty(int, int) - Method in class org.drip.spline.segment.BestFitFlexurePenalizer
-
Compute the Cross-Curvature Penalty for the given Basis Pair
- basisPairLengthPenalty(int, int) - Method in class org.drip.spline.segment.BestFitFlexurePenalizer
-
Compute the Cross-Length Penalty for the given Basis Pair
- basisPairPenaltyConstraint(int) - Method in class org.drip.spline.segment.BestFitFlexurePenalizer
-
Compute the Penalty Constraint for the Basis Pair
- basisSetParams() - Method in class org.drip.spline.params.SegmentCustomBuilderControl
-
Retrieve the Basis Set Parameters
- basisSpline() - Method in class org.drip.spline.params.SegmentCustomBuilderControl
-
Retrieve the Basis Spline Name
- BasisSplineForwardRate - Class in org.drip.state.curve
-
BasisSplineForwardRate manages the Forward Latent State, using the Forward Rate as the State Response
Representation.
- BasisSplineForwardRate(FloatingRateIndex, Span) - Constructor for class org.drip.state.curve.BasisSplineForwardRate
-
BasisSplineForwardRate constructor
- 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.sample.spline
-
BasisSplineSet implements Samples for the Construction and the usage of various basis spline functions.
- BasisSplineSet() - Constructor for class org.drip.sample.spline.BasisSplineSet
-
- BasisSplineStretchTest(double[], double[], SegmentCustomBuilderControl, StretchBestFitResponse) - Static method in class org.drip.sample.stretch.PenalizedCurvatureFit
-
- BasisSplineStretchTest(double[], double[], SegmentCustomBuilderControl, StretchBestFitResponse) - Static method in class org.drip.sample.stretch.PenalizedCurvatureLengthFit
-
- BasisTensionSplineSet - Class in org.drip.sample.spline
-
BasisTensionSplineSet implements Samples for the Construction and the usage of various basis spline
functions.
- BasisTensionSplineSet() - Constructor for class org.drip.sample.spline.BasisTensionSplineSet
-
- BasketBondAPISample() - Static method in class org.drip.sample.credit.CDSBasketAPI
-
- 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.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<ForwardCurve>, CaseInsensitiveTreeMap<CreditCurve>, CaseInsensitiveTreeMap<ComponentQuote>, Map<JulianDate, CaseInsensitiveTreeMap<Double>>) - Constructor for class org.drip.param.market.BasketMarketParamSet
-
Construct the BasketMarketParamSet object from the map of discount curve, the map of forward 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 BasketMarketParamSet 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.quant.function1D
-
BernsteinPolynomial provides the evaluation of the BernsteinPolynomial and its derivatives for a specified
variate.
- BernsteinPolynomial(int, int) - Constructor for class org.drip.quant.function1D.BernsteinPolynomial
-
Construct a BernsteinPolynomial instance
- BernsteinPolynomialBasisSet(PolynomialFunctionSetParams) - Static method in class org.drip.spline.basis.FunctionSetBuilder
-
This function 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.
- BesselC1(double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
Generate a Bessel C1 Array from the specified Array of Predictor Ordinates and the Response Values
- bestFitDPE(SegmentBestFitResponse) - Method in class org.drip.spline.segment.ConstitutiveState
-
Retrieve the Segment Best Fit DPE
- bestFitDPE(StretchBestFitResponse) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- bestFitDPE(StretchBestFitResponse) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Retrieve the Stretch Best Fit DPE
- BestFitFlexurePenalizer - Class in org.drip.spline.segment
-
This Class implements the Segment's Best Fit, Curvature, and Length Penalizers.
- BestFitFlexurePenalizer(InelasticConstitutiveState, SegmentFlexurePenaltyControl, SegmentFlexurePenaltyControl, SegmentBestFitResponse, BasisEvaluator) - Constructor for class org.drip.spline.segment.BestFitFlexurePenalizer
-
BestFitFlexurePenalizer constructor
- bestFitResponse() - Method in class org.drip.spline.params.SegmentStateCalibration
-
Retrieve the Segment Best Fit Response
- bestFitWeightedResponse() - Method in class org.drip.state.estimator.SmoothingCurveStretchParams
-
Retrieve the Best Fit Weighted Response
- bestFitWeightedResponseSensitivity() - Method in class org.drip.state.estimator.SmoothingCurveStretchParams
-
Retrieve the Best Fit Weighted Response Sensitivity
- 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.quant.solver1D.VariateIteratorPrimitive
-
Bisection
- Bisection(double, double) - Static method in class org.drip.quant.solver1D.VariateIteratorPrimitive
-
Iterate for the next variate using bisection
- 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.sample.bond
-
BondAnalyticsAPI contains a demo of the bond analytics API Sample.
- BondAnalyticsAPI() - Constructor for class org.drip.sample.bond.BondAnalyticsAPI
-
- 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.sample.bond
-
BondBasketAPI contains a demo of the bond basket API Sample.
- BondBasketAPI() - Constructor for class org.drip.sample.bond.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.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: Construct 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: Construct 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.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
- 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.sample.bond
-
BondLiveAndEODAPI contains the comprehensive sample class demonstrating the usage of the EOD and Live
Curve Bond API functions.
- BondLiveAndEODAPI() - Constructor for class org.drip.sample.bond.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)
- 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.sample.bond
-
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.sample.bond.BondRVMeasuresAPI
-
- BondStaticAPI - Class in org.drip.sample.bond
-
BondStaticAPI contains a demo of the bond static API Sample.
- BondStaticAPI() - Constructor for class org.drip.sample.bond.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.sample.bond.BondLiveAndEODAPI
-
- 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.quant.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.quant.common.StringUtil
-
Create a list of booleans from a delimited string
- BootCurveConstructionInput - Class in org.drip.analytics.definition
-
BootCurveConstructionInput contains the Parameters needed for the Curve Calibration/Estimation.
- BootCurveConstructionInput(ValuationParams, QuotingParams, CalibratableComponent[], CaseInsensitiveTreeMap<Double>, CaseInsensitiveTreeMap<String>, Map<JulianDate, CaseInsensitiveTreeMap<Double>>) - Constructor for class org.drip.analytics.definition.BootCurveConstructionInput
-
BootCurveConstructionInput constructor
- BOOTSTRAP_MODE_CONSTANT_FORWARD - Static variable in class org.drip.state.creator.DiscountCurveBuilder
-
Constant Forward Bootstrap mode
- BOOTSTRAP_MODE_POLYNOMIAL_SPLINE_DF - Static variable in class org.drip.state.creator.DiscountCurveBuilder
-
Polynomial Spline DF Bootstrap mode
- bootstrapBasis(ValuationParams, DiscountCurve, DiscountCurve, boolean) - Method in class org.drip.analytics.definition.FXForwardCurve
-
Bootstrap the basis to the discount curve inputs
- bootstrapBasis(ValuationParams, DiscountCurve, DiscountCurve, boolean) - Method in class org.drip.state.curve.DerivedFXForward
-
- bootstrapBasisDC(ValuationParams, DiscountCurve, DiscountCurve, boolean) - Method in class org.drip.analytics.definition.FXForwardCurve
-
Bootstrap the discount curve from the discount curve inputs
- bootstrapBasisDC(ValuationParams, DiscountCurve, DiscountCurve, boolean) - Method in class org.drip.state.curve.DerivedFXForward
-
- bootstrapHazardRate(ExplicitBootCreditCurve, Component, int, ValuationParams, DiscountCurve, DiscountCurve, DiscountCurve, PricerParams, String, double, Map<JulianDate, CaseInsensitiveTreeMap<Double>>, QuotingParams, boolean) - Method in class org.drip.state.estimator.NonlinearCurveCalibrator
-
Calibrate a single Hazard Rate Node from the corresponding Component
- bootstrapInterestRateSequence(ExplicitBootDiscountCurve, DiscountCurve, DiscountCurve, Component[], ValuationParams, String[], double[], double, Map<JulianDate, CaseInsensitiveTreeMap<Double>>, QuotingParams, boolean) - Method in class org.drip.state.estimator.NonlinearCurveCalibrator
-
Boot-strap an interest rate curve from the set of calibration components
- bootstrapNonlinearInterestRateSequence(NonlinearDiscountFactorDiscountCurve, DiscountCurve, DiscountCurve, Component[], ValuationParams, String[], double[], double, Map<JulianDate, CaseInsensitiveTreeMap<Double>>, QuotingParams, boolean) - Method in class org.drip.state.estimator.NonlinearCurveCalibrator
-
Boot-strap a non-linear interest rate curve from the set of calibration components
- Bound(double, double, double) - Static method in class org.drip.quant.common.NumberUtil
-
Bound the input to within (floor, Ceiling), i.e., compute Min (Max (floor, X), Ceiling)
- BOUNDARY_CONDITION_FINANCIAL - Static variable in class org.drip.spline.stretch.BoundarySettings
-
Calibration Boundary Condition: Financial Boundary Condition
- BOUNDARY_CONDITION_FLOATING - Static variable in class org.drip.spline.stretch.BoundarySettings
-
Calibration Boundary Condition: Floating Boundary Condition
- BOUNDARY_CONDITION_NATURAL - Static variable in class org.drip.spline.stretch.BoundarySettings
-
Calibration Boundary Condition: Natural Boundary Condition
- BOUNDARY_CONDITION_NOT_A_KNOT - Static variable in class org.drip.spline.stretch.BoundarySettings
-
Calibration Boundary Condition: Not-A-Knot Boundary Condition
- boundaryCondition() - Method in class org.drip.spline.stretch.BoundarySettings
-
Retrieve the Type of the Boundary Condition
- BoundarySettings - Class in org.drip.spline.stretch
-
This class implements the Boundary Settings that determine the full extent of description of the regime's
State.
- BoundarySettings(int, int, int) - Constructor for class org.drip.spline.stretch.BoundarySettings
-
BoundarySettings constructor
- BRACKETING_CUSTOM_BCP - Static variable in class org.drip.quant.solver1D.InitializationHeuristics
-
Start search from Custom Bracketing Control Parameters
- BRACKETING_EDGE_HINTS - Static variable in class org.drip.quant.solver1D.InitializationHeuristics
-
Start bracket initialization from Pre-specified left/right edge hints
- BRACKETING_FLOOR_CEILING - Static variable in class org.drip.quant.solver1D.InitializationHeuristics
-
Restrict the bracket initialization to within the specified Floor and Ceiling
- BRACKETING_GENERIC_BCP - Static variable in class org.drip.quant.solver1D.InitializationHeuristics
-
Start bracket initialization from the Generic Bracket Initializer
- BRACKETING_MID_HINT - Static variable in class org.drip.quant.solver1D.InitializationHeuristics
-
Start bracket initialization from Pre-specified Starting Mid Bracketing Variate
- BracketingControlParams - Class in org.drip.quant.solver1D
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BracketingControlParams implements the control parameters for bracketing solutions.
- BracketingControlParams() - Constructor for class org.drip.quant.solver1D.BracketingControlParams
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Default BracketingControlParams constructor
- BracketingControlParams(int, double, double, double) - Constructor for class org.drip.quant.solver1D.BracketingControlParams
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BracketingControlParams constructor
- BracketingOutput - Class in org.drip.quant.solver1D
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BracketingOutput carries the results of the bracketing initialization.
- BracketingOutput() - Constructor for class org.drip.quant.solver1D.BracketingOutput
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Default BracketingOutput constructor: Initializes the output
- BracketingRegressorSet - Class in org.drip.regression.fixedpointfinder
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BracketingRegressorSet implements regression run for the Primitive Bracketing Fixed Point Search Method.
- BracketingRegressorSet() - Constructor for class org.drip.regression.fixedpointfinder.BracketingRegressorSet
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- BRCHoliday - Class in org.drip.analytics.holset
-
- BRCHoliday() - Constructor for class org.drip.analytics.holset.BRCHoliday
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- BRLHoliday - Class in org.drip.analytics.holset
-
- BRLHoliday() - Constructor for class org.drip.analytics.holset.BRLHoliday
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- BSDHoliday - Class in org.drip.analytics.holset
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- BSDHoliday() - Constructor for class org.drip.analytics.holset.BSDHoliday
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- BSplineBasisSet(BSplineSequenceParams) - Static method in class org.drip.spline.basis.FunctionSetBuilder
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Construct the BSpline Basis Function Set
- bSplineOrder() - Method in class org.drip.spline.basis.BSplineSequenceParams
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Retrieve the B Spline Order
- bSplineOrder() - Method in class org.drip.spline.bspline.SegmentBasisFunction
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Retrieve the Order of the B Spline
- BSplineSequence - Class in org.drip.sample.spline
-
BSplineSequence implements Samples for the Construction and the usage of various monic basis B Spline
Sequences.
- BSplineSequence() - Constructor for class org.drip.sample.spline.BSplineSequence
-
- BSplineSequenceParams - Class in org.drip.spline.basis
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This class implements the parameter set for constructing the B Spline Sequence.
- BSplineSequenceParams(String, String, int, int, double, int) - Constructor for class org.drip.spline.basis.BSplineSequenceParams
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- BuildBondFromResultSet(ResultSet, MarketParams) - Static method in class org.drip.service.env.BondManager
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Build a bond from the input result set
- BuildCREOD(MarketParams, Statement, JulianDate, String, String) - Static method in class org.drip.service.env.EODCurves
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Build the EOD credit curve, and loads it to the MPC
- BuildEDSFCurve(MarketParams, JulianDate, String) - Static method in class org.drip.service.env.StaticBACurves
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Build 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
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Build 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
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Build 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
-
Build 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.state.creator.DiscountCurveBuilder
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Build a Discount Curve from an array of discount factors
- BuildIREODCurve(MarketParams, Statement, JulianDate, String) - Static method in class org.drip.service.env.EODCurves
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Build 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
-
Build 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
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Build the complete set of treasury EOD curves for the given currency, and loads them to the MPC
- bumpNodeValue(int, double) - Method in interface org.drip.analytics.definition.ExplicitBootCurve
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Bump the node value at the node specified the index by the value
- bumpNodeValue(int, double) - Method in class org.drip.state.curve.FlatForwardDiscountCurve
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- bumpNodeValue(int, double) - Method in class org.drip.state.curve.ForwardHazardCreditCurve
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- bumpNodeValue(int, double) - Method in class org.drip.state.curve.NonlinearDiscountFactorDiscountCurve
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- BumpQuotes(double[], double, boolean) - Static method in class org.drip.analytics.support.AnalyticsHelper
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Bump the input array quotes
- BusDays(double, double, String) - Static method in class org.drip.analytics.daycount.Convention
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Calculate the number of business days between the start and the end dates