- rate(ValuationParams, DiscountCurve, DiscountCurve, double, boolean) - Method in class org.drip.analytics.definition.FXForwardCurve
-
Calculate the rate implied by the discount curve inputs to a specified date
- rate(ValuationParams, DiscountCurve, DiscountCurve, double, boolean) - Method in class org.drip.state.curve.DerivedFXForward
-
- RateIndexFromCcyAndCouponFreq(String, int) - Static method in class org.drip.analytics.support.AnalyticsHelper
-
Calculate the rate index from currency and coupon frequency
- RatesAnalyticsAPI - Class in org.drip.sample.rates
-
RatesAnalyticsAPI contains a demo of the Rates Analytics API Usage.
- RatesAnalyticsAPI() - Constructor for class org.drip.sample.rates.RatesAnalyticsAPI
-
- RatesBasket - Class in org.drip.product.rates
-
RatesBasket contains the implementation of the Basket of Rates Component legs.
- RatesBasket(String, FixedStream[], FloatingStream[]) - Constructor for class org.drip.product.rates.RatesBasket
-
RatesBasket constructor
- RatesBasket(byte[]) - Constructor for class org.drip.product.rates.RatesBasket
-
RatesBasket de-serialization from input byte array
- RatesClosesLoader - Class in org.drip.feed.loader
-
EMRatesClosesLoader Loads the closing marks for a given EM Rates Curve.
- RatesClosesLoader() - Constructor for class org.drip.feed.loader.RatesClosesLoader
-
- RatesComponent - Class in org.drip.product.definition
-
RatesComponent is the abstract class that extends CalibratableComponent on top of which all rates
components are implemented.
- RatesComponent() - Constructor for class org.drip.product.definition.RatesComponent
-
- RatesCurveAPISample() - Static method in class org.drip.sample.rates.RatesLiveAndEODAPI
-
Sample API demonstrating the creation/usage of rates curve
USE WITH CARE: This sample ignores errors and does not handle exceptions.
- RatesCurveScenarioContainer - Class in org.drip.param.market
-
RatesCurveScenarioContainer implements the RatesScenarioCurve abstract class that exposes the interface
the constructs scenario discount curves.
- RatesCurveScenarioContainer(RatesCurveScenarioGenerator) - Constructor for class org.drip.param.market.RatesCurveScenarioContainer
-
Constructs an IRCurveScenarioContainer instance from the corresponding IRCurveScenarioGenerator
- RatesCurveScenarioGenerator - Class in org.drip.state.estimator
-
RatesCurveScenarioGenerator uses the interest rate calibration instruments along with the component
calibrator to produce scenario interest rate curves.
- RatesCurveScenarioGenerator(String, String, CalibratableComponent[]) - Constructor for class org.drip.state.estimator.RatesCurveScenarioGenerator
-
Construct a RatesCurveScenarioGenerator instance from the calibratable instrument array
- RatesLiveAndEODAPI - Class in org.drip.sample.rates
-
RatesLiveAndEODAPI contains the sample API demonstrating the usage of the Rates Live and EOD functions.
- RatesLiveAndEODAPI() - Constructor for class org.drip.sample.rates.RatesLiveAndEODAPI
-
- RatesLSMM - Class in org.drip.analytics.rates
-
RatesLSMM contains the Rates specific Latent State MM for the Rates Curve.
- RatesLSMM(String, String, String, double, TurnListDiscountFactor) - Constructor for class org.drip.analytics.rates.RatesLSMM
-
RatesLSMM constructor
- RatesManager - Class in org.drip.service.env
-
RatesManager manages the creation/loading of rates curves of different kinds for a given EOD.
- RatesManager() - Constructor for class org.drip.service.env.RatesManager
-
- RatesScenarioCurveBuilder - Class in org.drip.param.creator
-
RatesScenarioCurveBuilder implements the the construction of the scenario discount curve using the input
discount curve instruments, and a wide variety of custom builds.
- RatesScenarioCurveBuilder() - Constructor for class org.drip.param.creator.RatesScenarioCurveBuilder
-
- RatesSegmentSequenceBuilder - Class in org.drip.state.estimator
-
RatesSegmentSequenceBuilder holds the logic behind building the bootstrap segments contained in the given
Stretch.
- RatesSegmentSequenceBuilder(double, StretchRepresentationSpec, ValuationParams, PricerParams, ComponentMarketParams, QuotingParams, MultiSegmentSequence, StretchBestFitResponse, StretchBestFitResponse, BoundarySettings) - Constructor for class org.drip.state.estimator.RatesSegmentSequenceBuilder
-
RatesSegmentSequenceBuilder constructor
- RatesSetting - Class in org.drip.product.params
-
RatesSetting contains the rate related valuation parameters - the discount curves to be used for
discounting the coupon, the redemption, the principal, and the settle cash flows.
- RatesSetting(String, String, String, String) - Constructor for class org.drip.product.params.RatesSetting
-
RatesSetting constructor
- RatesSetting(byte[]) - Constructor for class org.drip.product.params.RatesSetting
-
RatesSetting de-serialization from input byte array
- RatesStreamBuilder - Class in org.drip.product.creator
-
RatesStreamBuilder contains the suite of helper functions for creating the Stream-based Rates Products
from different kinds of inputs.
- RatesStreamBuilder() - Constructor for class org.drip.product.creator.RatesStreamBuilder
-
- rationalTension() - Method in class org.drip.spline.basis.ExponentialRationalSetParams
-
Get the Rational Tension
- RAW_TENSION_HYPERBOLIC - Static variable in class org.drip.spline.bspline.BasisHatPairGenerator
-
Raw Tension Hyperbolic B Spline Basis Hat Phy and Psy
- regress() - Method in class org.drip.regression.core.UnitRegressionExecutor
-
- regress() - Method in interface org.drip.regression.core.UnitRegressor
-
This method performs the feature by feature regression for the given object.
- REGRESSION_DETAIL_MODULE_AGGREGATED - Static variable in class org.drip.regression.core.RegressionEngine
-
Regression outputs rolled up to Modules
- REGRESSION_DETAIL_MODULE_UNIT_AGGREGATED - Static variable in class org.drip.regression.core.RegressionEngine
-
Regression outputs rolled up to Module Units
- REGRESSION_DETAIL_MODULE_UNIT_DECOMPOSED - Static variable in class org.drip.regression.core.RegressionEngine
-
Regression outputs decomposed at individual Module Units
- REGRESSION_DETAIL_STATS - Static variable in class org.drip.regression.core.RegressionEngine
-
Regression Output: Statistics
- RegressionEngine - Class in org.drip.regression.core
-
RegressionEngine provides the control and frame-work functionality for the General Purpose Regression
Suite.
- RegressionRunDetail - Class in org.drip.regression.core
-
RegressionRunDetail contains named field level detailed output of the regression activity.
- RegressionRunDetail() - Constructor for class org.drip.regression.core.RegressionRunDetail
-
Empty constructor: Regression detail fields will be initialized
- RegressionRunOutput - Class in org.drip.regression.core
-
RegressionRunOutput contains the output of a single regression activity.
- RegressionRunOutput(String) - Constructor for class org.drip.regression.core.RegressionRunOutput
-
Empty Regression Run Output Constructor
- RegressionSplineEstimator - Class in org.drip.sample.stretch
-
RegressionSplineEstimator shows the sample construction and usage of RegressionSplines.
- RegressionSplineEstimator() - Constructor for class org.drip.sample.stretch.RegressionSplineEstimator
-
- RegressorSet - Interface in org.drip.regression.core
-
RegressorSet interface provides the Regression set stubs.
- RegulariseRow(double[][], double[], int, int) - Static method in class org.drip.quant.linearalgebra.LinearSystemSolver
-
Regularize (i.e., convert the diagonal entries of the given cell to non-zero using suitable linear
transformations)
- RegularizeUsingRowAddition(MatrixComplementTransform) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Regularize the specified diagonal entry of the input matrix using Row Addition
- RegularizeUsingRowSwap(MatrixComplementTransform) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Regularize the specified diagonal entry of the input matrix using Row Swapping
- remove(Object) - Method in class org.drip.analytics.support.CaseInsensitiveHashMap
-
- remove(Object) - Method in class org.drip.analytics.support.CaseInsensitiveTreeMap
-
- RemoveBond(String) - Static method in class org.drip.service.api.CreditAnalytics
-
Removes the bond ID from the cache
- removeCompQuote(String) - Method in class org.drip.param.definition.MarketParams
-
Remove the component quote
- removeCompQuote(String) - Method in class org.drip.param.market.MarketParamsContainer
-
- removeFixings(JulianDate, String) - Method in class org.drip.param.definition.MarketParams
-
Remove the fixing corresponding to the given date and index
- removeFixings(JulianDate, String) - Method in class org.drip.param.market.MarketParamsContainer
-
- removeMarketQuote() - Method in class org.drip.param.definition.ComponentQuote
-
Remove the market quote
- removeMarketQuote() - Method in class org.drip.param.market.ComponentMultiMeasureQuote
-
- removeQuote(String) - Method in class org.drip.param.definition.ComponentQuote
-
Remove the named Quote
- removeQuote(String) - Method in class org.drip.param.market.ComponentMultiMeasureQuote
-
- removeScenCC(String) - Method in class org.drip.param.definition.MarketParams
-
Removes the named scenario CC
- removeScenCC(String) - Method in class org.drip.param.market.MarketParamsContainer
-
- removeScenDC(String) - Method in class org.drip.param.definition.MarketParams
-
Remove the named scenario DC
- removeScenDC(String) - Method in class org.drip.param.market.MarketParamsContainer
-
- removeScenFC(String) - Method in class org.drip.param.definition.MarketParams
-
Remove the Named Scenario Forward Curve
- removeScenFC(String) - Method in class org.drip.param.market.MarketParamsContainer
-
- removeTSYQuote(String) - Method in class org.drip.param.definition.MarketParams
-
Remove the named Treasury Quote
- removeTSYQuote(String) - Method in class org.drip.param.market.MarketParamsContainer
-
- replicate() - Method in interface org.drip.spline.segment.BasisEvaluator
-
Clone/Replicate the current Basis Evaluator Instance
- replicate() - Method in class org.drip.spline.segment.SegmentBasisEvaluator
-
- resetCoupon(double) - Method in class org.drip.product.credit.CDSComponent
-
Reset the CDS's coupon
- resetCoupon(double) - Method in class org.drip.product.definition.CreditDefaultSwap
-
Reset the CDS's coupon
- resetNode(int, double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- resetNode(int, SegmentResponseValueConstraint) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- resetNode(int, double) - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
-
- resetNode(int, SegmentResponseValueConstraint) - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
-
- resetNode(int, double) - Method in interface org.drip.spline.stretch.SingleSegmentSequence
-
Reset the Predictor Ordinate Node Index with the given Response
- resetNode(int, SegmentResponseValueConstraint) - Method in interface org.drip.spline.stretch.SingleSegmentSequence
-
Reset the Predictor Ordinate Node Index with the given Segment Constraint
- response() - Method in class org.drip.spline.params.SegmentBestFitResponse
-
Retrieve the Array of Responses
- response(int) - Method in class org.drip.spline.params.SegmentBestFitResponse
-
Retrieve the Indexed Response Element
- response() - Method in class org.drip.spline.params.StretchBestFitResponse
-
Retrieve the Array of Responses
- response(int) - Method in class org.drip.spline.params.StretchBestFitResponse
-
Retrieve the Indexed Response Element
- responseBasisCoefficient() - Method in class org.drip.spline.segment.ConstitutiveState
-
Retrieve the Array of Response Basis Coefficients
- responseBasisCoeffWeights() - Method in class org.drip.spline.params.SegmentBasisFlexureConstraint
-
Retrieve the Array of the Response Basis Coefficient Weights
- responseIndexedBasisConstraint(BasisEvaluator, InelasticConstitutiveState) - Method in class org.drip.spline.params.SegmentResponseValueConstraint
-
Convert the Segment Constraint onto Local Predictor Ordinates, the corresponding Response Basis
Function, and the Shape Controller Realizations
- ResponseScalingShapeControl - Class in org.drip.spline.params
-
ResponseScalingShapeControl implements the segment level basis functions proportional adjustment to
achieve the desired shape behavior of the response.
- ResponseScalingShapeControl(boolean, AbstractUnivariate) - Constructor for class org.drip.spline.params.ResponseScalingShapeControl
-
ResponseScalingShapeControl constructor
- responseValue() - Method in class org.drip.spline.params.SegmentPredictorResponseDerivative
-
Retrieve the Response Value
- responseValue(double) - Method in class org.drip.spline.pchip.MinimalQuadraticHaganWest
-
Calculate the Response Value given the Predictor Ordinate
- responseValue(double[], double) - Method in interface org.drip.spline.segment.BasisEvaluator
-
Compute the Response Value at the specified Predictor Ordinate
- responseValue(double) - Method in class org.drip.spline.segment.ConstitutiveState
-
Calculate the Response Value at the given Predictor Ordinate
- responseValue(double[], double) - Method in class org.drip.spline.segment.SegmentBasisEvaluator
-
- responseValue(double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- responseValue(double) - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
-
- responseValue(double) - Method in interface org.drip.spline.stretch.SingleSegmentSequence
-
Calculate the Response Value for the given Predictor Ordinate
- responseValueDerivative(double[], double, int) - Method in interface org.drip.spline.segment.BasisEvaluator
-
Compute the Response Value Derivative at the specified Predictor Ordinate
- responseValueDerivative(double[], double, int) - Method in class org.drip.spline.segment.SegmentBasisEvaluator
-
- responseValues() - Method in class org.drip.spline.params.SegmentStateCalibration
-
Retrieve the Array of the Calibration Response Values
- responseValues() - Method in class org.drip.spline.pchip.MonotoneConvexHaganWest
-
Retrieve the Array of Response Values
- ResponseValueTweakParams - Class in org.drip.param.definition
-
ResponseValueTweakParams contains the place holder for the scenario tweak parameters, for either a specific curve
node, or the entire curve (flat).
- ResponseValueTweakParams(int, boolean, double) - Constructor for class org.drip.param.definition.ResponseValueTweakParams
-
ResponseValueTweakParams constructor
- ResponseValueTweakParams(byte[]) - Constructor for class org.drip.param.definition.ResponseValueTweakParams
-
ResponseValueTweakParams de-serialization from input byte array
- responseWeights() - Method in class org.drip.spline.params.SegmentResponseValueConstraint
-
Retrieve the Array of Response Weights at each Predictor Ordinate
- return1D() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Return
- RIDDER - Static variable in class org.drip.quant.solver1D.VariateIteratorPrimitive
-
Ridder's Method
- Ridder(double, double, double, double, double, double) - Static method in class org.drip.quant.solver1D.VariateIteratorPrimitive
-
Iterate for the next variate using Ridder's method
- right() - Method in class org.drip.spline.bspline.TensionBasisHat
-
Retrieve the Right Predictor Ordinate
- right() - Method in class org.drip.spline.grid.OverlappingStretchSpan
-
- right() - Method in interface org.drip.spline.grid.Span
-
Retrieve the Right Span Edge
- right() - Method in class org.drip.spline.segment.InelasticConstitutiveState
-
Retrieve the Segment Right Predictor Ordinate
- RIGHT_INCLUDE - Static variable in class org.drip.analytics.date.JulianDate
-
RIGHT_INCLUDE includes the end date in the Feb29 check
- RIGHT_NODE_VALUE_PARAMETER_INDEX - Static variable in class org.drip.spline.segment.ConstitutiveState
-
RIGHT NODE VALUE PARAMETER INDEX
- RIGHT_OF_CONSTRAINT - Static variable in class org.drip.spline.params.SegmentResponseValueConstraint
-
Indicator specifying that the knot is to the right of the constraint ordinates
- rightDerivOrder() - Method in class org.drip.spline.stretch.BoundarySettings
-
Retrieve the Order of the Right Derivative
- rightEdgeDeriv() - Method in class org.drip.spline.params.SegmentStateCalibration
-
Retrieve the Array of the Right Edge Derivatives
- RightHatShapeControl - Class in org.drip.spline.bspline
-
RightHatShapeControl implements the BasisHatShapeControl interface for the right hat basis set as laid out
in the basic framework outlined in Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000)
Papers.
- RightHatShapeControl(double, double, String, double) - Constructor for class org.drip.spline.bspline.RightHatShapeControl
-
RightHatShapeControl constructor
- roll(double) - Method in class org.drip.analytics.daycount.DateAdjustParams
-
Roll the given date
- RollDate(double, int, String) - Static method in class org.drip.analytics.daycount.Convention
-
Roll the given date in accordance with the roll mode and the calendar set
- RollDate(JulianDate, String, int) - Static method in class org.drip.service.api.CreditAnalytics
-
Rolls the given date according to the calendar set and the roll mode
- rollDown1D() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Roll Down
- rollDown1M() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1M Roll Down
- rollDown3M() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 3M Roll Down
- rollHoliday(double, boolean, Weekend) - Static method in class org.drip.analytics.holiday.Base
-
Roll the date to a non-holiday according to the rule specified
- rollMode() - Method in class org.drip.analytics.daycount.DateAdjustParams
-
Retrieve the Roll Mode
- RUBHoliday - Class in org.drip.analytics.holset
-
- RUBHoliday() - Constructor for class org.drip.analytics.holset.RUBHoliday
-
- RunFullBondTests(MarketParams, JulianDate, double, double) - Static method in class org.drip.tester.functional.BondTestSuite
-
Run the Full Suite of Bond Tests for the given price set
- RunFullMarketBondTests(MarketParams, JulianDate) - Static method in class org.drip.tester.functional.BondTestSuite
-
Run the Full Suite of Bond Market Tests
- RURHoliday - Class in org.drip.analytics.holset
-
- RURHoliday() - Constructor for class org.drip.analytics.holset.RURHoliday
-