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B

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
BracketingControlParams implements the control parameters for bracketing solutions.
BracketingControlParams() - Constructor for class org.drip.quant.solver1D.BracketingControlParams
Default BracketingControlParams constructor
BracketingControlParams(int, double, double, double) - Constructor for class org.drip.quant.solver1D.BracketingControlParams
BracketingControlParams constructor
BracketingOutput - Class in org.drip.quant.solver1D
BracketingOutput carries the results of the bracketing initialization.
BracketingOutput() - Constructor for class org.drip.quant.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
 
BSplineBasisSet(BSplineSequenceParams) - Static method in class org.drip.spline.basis.FunctionSetBuilder
Construct the BSpline Basis Function Set
bSplineOrder() - Method in class org.drip.spline.basis.BSplineSequenceParams
Retrieve the B Spline Order
bSplineOrder() - Method in class org.drip.spline.bspline.SegmentBasisFunction
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
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
 
BuildBondFromResultSet(ResultSet, MarketParams) - Static method in class org.drip.service.env.BondManager
Build a bond from the input result set
BuildCREOD(MarketParams, Statement, JulianDate, String, String) - Static method in class org.drip.service.env.EODCurves
Build the EOD credit curve, and loads it to the MPC
BuildEDSFCurve(MarketParams, JulianDate, String) - Static method in class org.drip.service.env.StaticBACurves
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
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
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
Build a Discount Curve from an array of discount factors
BuildIREODCurve(MarketParams, Statement, JulianDate, String) - Static method in class org.drip.service.env.EODCurves
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
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
Bump the node value at the node specified the index by the value
bumpNodeValue(int, double) - Method in class org.drip.state.curve.FlatForwardDiscountCurve
 
bumpNodeValue(int, double) - Method in class org.drip.state.curve.ForwardHazardCreditCurve
 
bumpNodeValue(int, double) - Method in class org.drip.state.curve.NonlinearDiscountFactorDiscountCurve
 
BumpQuotes(double[], double, boolean) - Static method in class org.drip.analytics.support.AnalyticsHelper
Bump the input array quotes
BusDays(double, double, String) - Static method in class org.drip.analytics.daycount.Convention
Calculate the number of business days between the start and the end dates
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