- PABHoliday - Class in org.drip.analytics.holset
-
- PABHoliday() - Constructor for class org.drip.analytics.holset.PABHoliday
-
- parallelShiftManifestMeasure(double) - Method in class org.drip.analytics.rates.ForwardCurve
-
- parallelShiftManifestMeasure(double) - Method in class org.drip.state.curve.DerivedFXBasis
-
- parallelShiftManifestMeasure(double) - Method in class org.drip.state.curve.DerivedFXForward
-
- parallelShiftManifestMeasure(double) - Method in class org.drip.state.curve.DerivedZeroRate
-
- parallelShiftManifestMeasure(double) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
-
- parallelShiftManifestMeasure(double) - Method in class org.drip.state.curve.FlatForwardDiscountCurve
-
- parallelShiftManifestMeasure(double) - Method in class org.drip.state.curve.ForwardHazardCreditCurve
-
- parallelShiftManifestMeasure(double) - Method in class org.drip.state.curve.NonlinearDiscountFactorDiscountCurve
-
- parallelShiftManifestMeasure(double) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
-
- parallelShiftManifestMeasure(double) - Method in interface org.drip.state.representation.LatentState
-
Create a LatentState Instance from the Manifest Measure Parallel Shift
- parallelShiftQuantificationMetric(double) - Method in class org.drip.analytics.rates.ForwardCurve
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.curve.DerivedFXBasis
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.curve.DerivedFXForward
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.curve.DerivedZeroRate
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.curve.FlatForwardDiscountCurve
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.curve.ForwardHazardCreditCurve
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.curve.NonlinearDiscountFactorDiscountCurve
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
-
- parallelShiftQuantificationMetric(double) - Method in interface org.drip.state.representation.LatentState
-
Create a LatentState Instance from the Quantification Metric Parallel Shift
- ParseFromBBGDCCode(String) - Static method in class org.drip.analytics.support.AnalyticsHelper
-
Convert the Bloomberg day count code to DRIP day count code.
- ParseFromUnitaryString(String) - Static method in class org.drip.quant.common.StringUtil
-
Check if the string represents an unitary boolean
- partOfMergeState(double, LatentStateLabel) - Method in class org.drip.state.representation.MergeSubStretchManager
-
Indicates whether the specified Latent State Label is Part of the Merge Stretch
- PEFHoliday - Class in org.drip.analytics.holset
-
- PEFHoliday() - Constructor for class org.drip.analytics.holset.PEFHoliday
-
- PenalizedCurvatureFit - Class in org.drip.sample.stretch
-
PenalizedCurvatureFit demonstrates the setting up and the usage of the curvature and closeness of fit
penalizing spline.
- PenalizedCurvatureFit() - Constructor for class org.drip.sample.stretch.PenalizedCurvatureFit
-
- PenalizedCurvatureFitTest() - Static method in class org.drip.sample.stretch.PenalizedCurvatureFit
-
- PenalizedCurvatureLengthFit - Class in org.drip.sample.stretch
-
PenalizedCurvatureLengthFit demonstrates the setting up and the usage of the curvature, the length, and
the closeness of fit penalizing spline.
- PenalizedCurvatureLengthFit() - Constructor for class org.drip.sample.stretch.PenalizedCurvatureLengthFit
-
- PenalizedCurvatureLengthFitTest() - Static method in class org.drip.sample.stretch.PenalizedCurvatureLengthFit
-
- PENHoliday - Class in org.drip.analytics.holset
-
- PENHoliday() - Constructor for class org.drip.analytics.holset.PENHoliday
-
- Period - Class in org.drip.analytics.period
-
Period serves as a holder for the period dates.
- Period(double, double, double, double, double, double) - Constructor for class org.drip.analytics.period.Period
-
Construct a period object instance from the corresponding date parameters
- Period(byte[]) - Constructor for class org.drip.analytics.period.Period
-
De-serialization of Period from byte stream
- PERIOD_AMORT_AT_END - Static variable in class org.drip.product.params.NotionalSetting
-
Period amortization proxies to the period end factor
- PERIOD_AMORT_AT_START - Static variable in class org.drip.product.params.NotionalSetting
-
Period amortization proxies to the period start factor
- PERIOD_AMORT_EFFECTIVE - Static variable in class org.drip.product.params.NotionalSetting
-
Period amortization proxies to the period effective factor
- PERIOD_DAY_STEPS_MINIMUM - Static variable in class org.drip.param.pricer.PricerParams
-
Minimum number of days per unit
- PERIOD_DISCRETIZATION_DAY_STEP - Static variable in class org.drip.param.pricer.PricerParams
-
Discretization as a sequence of day steps
- PERIOD_DISCRETIZATION_FULL_COUPON - Static variable in class org.drip.param.pricer.PricerParams
-
No discretization at all - just the full coupon period
- PERIOD_DISCRETIZATION_PERIOD_STEP - Static variable in class org.drip.param.pricer.PricerParams
-
Discretization as a sequence of time space divided periods
- PeriodGenerator - Class in org.drip.product.params
-
PeriodGenerator generates the component coupon periods from flexible inputs.
- PeriodGenerator(double, double, double, double, double, int, String, String, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, String, boolean, String) - Constructor for class org.drip.product.params.PeriodGenerator
-
Generate the coupon periods from the date rules and the date adjustment rules for the different
period dates
- PeriodGenerator(byte[]) - Constructor for class org.drip.product.params.PeriodGenerator
-
PeriodGenerator de-serialization from input byte array
- PeriodSet - Class in org.drip.product.params
-
PeriodSet is the place-holder for the component’s period generation parameters.
- PeriodSet(double, String, int, List<CashflowPeriod>) - Constructor for class org.drip.product.params.PeriodSet
-
Construct PeriodSet from the effective date, day count, frequency, and the list of coupon periods
- PeriodSet(byte[]) - Constructor for class org.drip.product.params.PeriodSet
-
PeriodSet de-serialization from input byte array
- PESHoliday - Class in org.drip.analytics.holset
-
- PESHoliday() - Constructor for class org.drip.analytics.holset.PESHoliday
-
- PHPHoliday - Class in org.drip.analytics.holset
-
- PHPHoliday() - Constructor for class org.drip.analytics.holset.PHPHoliday
-
- Pivot(double[][], double[]) - Static method in class org.drip.quant.linearalgebra.LinearSystemSolver
-
Pivots the matrix A (Refer to wikipedia to find out what "pivot a matrix" means ;))
- PivotDiagonal(double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Pivot the Diagonal of the Input Matrix
- PLNHoliday - Class in org.drip.analytics.holset
-
- PLNHoliday() - Constructor for class org.drip.analytics.holset.PLNHoliday
-
- PLZHoliday - Class in org.drip.analytics.holset
-
- PLZHoliday() - Constructor for class org.drip.analytics.holset.PLZHoliday
-
- pnlMetric() - Method in class org.drip.service.api.InstrMetric
-
Retrieve the PnL Metric
- Polynomial - Class in org.drip.quant.function1D
-
Polynomial provides the evaluation of the n-th order Polynomial and its derivatives for a specified
variate.
- Polynomial(int) - Constructor for class org.drip.quant.function1D.Polynomial
-
Polynomial constructor
- PolynomialBasisSet(PolynomialFunctionSetParams) - Static method in class org.drip.spline.basis.FunctionSetBuilder
-
This function implements the elastic coefficients for the segment using polynomial basis splines
inside [0,...,1) - Globally [x_0,...,x_1):
y = Sum (A_i*x^i) 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)
- PolynomialBasisSpline - Class in org.drip.sample.spline
-
PolynomialBasisSpline implements Samples for the Construction and the usage of polynomial (both regular
and Hermite) basis spline functions.
- PolynomialBasisSpline() - Constructor for class org.drip.sample.spline.PolynomialBasisSpline
-
- PolynomialFunctionSetParams - Class in org.drip.spline.basis
-
PolynomialFunctionSetParams implements per-segment basis set parameters for the polynomial basis spline -
currently it holds the number of basis functions.
- PolynomialFunctionSetParams(int) - Constructor for class org.drip.spline.basis.PolynomialFunctionSetParams
-
PolynomialFunctionSetParams constructor
- PolynomialSegmentControlParams(int, SegmentDesignInelasticControl, ResponseScalingShapeControl) - Static method in class org.drip.sample.stretch.PenalizedCurvatureFit
-
- PolynomialSegmentControlParams(int, SegmentDesignInelasticControl, ResponseScalingShapeControl) - Static method in class org.drip.sample.stretch.PenalizedCurvatureLengthFit
-
- polynomialTensionDegree() - Method in class org.drip.spline.basis.KaklisPandelisSetParams
-
Get the Segment Polynomial Tension Degree
- PopulateMPC(Statement, JulianDate) - Static method in class org.drip.service.env.EnvManager
-
Populate the MarketParams with the closing discount curves, closing credit curves, and other market
objects for the given EOD.
- posterior() - Method in class org.drip.analytics.daycount.DateEOMAdjustment
-
Retrieve the Posterior Date Adjustment
- postRegression(RegressionRunDetail) - Method in class org.drip.regression.core.UnitRegressionExecutor
-
Clean-up of the objects set-up for the regression
- postRegression(RegressionRunDetail) - Method in class org.drip.regression.spline.BasisSplineRegressor
-
- postRegression(RegressionRunDetail) - Method in class org.drip.regression.spline.HermiteBasisSplineRegressor
-
- postRegression(RegressionRunDetail) - Method in class org.drip.regression.spline.LagrangePolynomialStretchRegressor
-
- postRegression(RegressionRunDetail) - Method in class org.drip.regression.spline.LocalControlBasisSplineRegressor
-
- predictorOrdinate() - Method in class org.drip.spline.params.SegmentBestFitResponse
-
Retrieve the Array of Predictor Ordinates
- predictorOrdinate(int) - Method in class org.drip.spline.params.SegmentBestFitResponse
-
Retrieve the Indexed Predictor Ordinate Element
- predictorOrdinate() - Method in class org.drip.spline.params.StretchBestFitResponse
-
Retrieve the Array of Predictor Ordinates
- predictorOrdinate(int) - Method in class org.drip.spline.params.StretchBestFitResponse
-
Retrieve the Indexed Predictor Ordinate Element
- predictorOrdinates() - Method in class org.drip.spline.basis.BSplineSequenceParams
-
Retrieve the Array of Predictor Ordinates
- predictorOrdinates() - Method in class org.drip.spline.params.SegmentResponseValueConstraint
-
Retrieve the Array of Predictor Ordinates
- predictorOrdinates() - Method in class org.drip.spline.params.SegmentStateCalibration
-
Retrieve the Array of the Calibration Predictor Ordinates
- predictorOrdinates() - Method in class org.drip.spline.pchip.MonotoneConvexHaganWest
-
Retrieve the Array of Predictor Ordinates
- PredictorResponseWeightConstraint - Class in org.drip.state.estimator
-
PredictorResponseWeightConstraint holds the Linearized Constraints (and, optionally, their quote
sensitivities) necessary needed for the Linear Calibration.
- PredictorResponseWeightConstraint() - Constructor for class org.drip.state.estimator.PredictorResponseWeightConstraint
-
Empty PredictorResponseWeightConstraint constructor
- PrefixKeys(CaseInsensitiveTreeMap<Double>, String) - Static method in class org.drip.quant.common.CollectionUtil
-
Prefix the keys in the input map, and return them in a new map
- PrePad(int) - Static method in class org.drip.quant.common.FormatUtil
-
Pre-pad a single digit integer with zeros
- preRegression() - Method in class org.drip.regression.core.UnitRegressionExecutor
-
One-time initialization to set up the objects needed for the regression
- preRegression() - Method in class org.drip.regression.spline.BasisSplineRegressor
-
- preRegression() - Method in class org.drip.regression.spline.LagrangePolynomialStretchRegressor
-
- preRegression() - Method in class org.drip.regression.spline.LocalControlBasisSplineRegressor
-
- PreviousCouponDate(String, JulianDate) - Static method in class org.drip.service.api.CreditAnalytics
-
Returns the coupon date for the period prior to the specified date for the specified bond
- price() - Method in class org.drip.service.api.CDXCOB
-
The COB Price
- PricerParams - Class in org.drip.param.pricer
-
PricerParams contains the pricer parameters - the discrete unit size, calibration mode on/off, survival to
pay/end date, and the discretization scheme
- PricerParams(int, CalibrationParams, boolean, int) - Constructor for class org.drip.param.pricer.PricerParams
-
Create the pricer parameters from the discrete unit size, calibration mode on/off, survival to
pay/end date, and the discretization scheme
- PricerParams(byte[]) - Constructor for class org.drip.param.pricer.PricerParams
-
PricerParams de-serialization from input byte array
- Print1DArray(String, double[], boolean) - Static method in class org.drip.quant.common.NumberUtil
-
Print the contents of the 1D array
- Print2DArray(String, double[][], boolean) - Static method in class org.drip.quant.common.NumberUtil
-
Print the contents of the 2D array
- Print2DArrayPair(String, String, double[][], double[][], boolean) - Static method in class org.drip.quant.common.NumberUtil
-
Print the Contents of the 2D Array Pair
- Print2DArrayTriplet(String, String, String, double[][], double[][], double[][], boolean) - Static method in class org.drip.quant.common.NumberUtil
-
Print the Contents of the 2D Array Triplet
- procBasisDerivOrder() - Method in class org.drip.spline.basis.BSplineSequenceParams
-
Retrieve the Processed Basis Derivative Order
- ProcessCDXQuote(Map<JulianDate, List<CDXCOB>>) - Static method in class org.drip.feed.loader.RatesClosesLoader
-
- processCouponWindow(double, double) - Method in class org.drip.product.params.CouponSetting
-
Trim the component coupon if it falls outside the (optionally) specified coupon window.
- PROCESSED_CUBIC_RATIONAL - Static variable in class org.drip.spline.bspline.BasisHatPairGenerator
-
Processed Cubic Rational B Spline Basis Hat Phy and Psy
- PROCESSED_TENSION_HYPERBOLIC - Static variable in class org.drip.spline.bspline.BasisHatPairGenerator
-
Processed Tension Hyperbolic B Spline Basis Hat Phy and Psy
- ProcessedCubicRationalHatPair(String, double, double, double, int, double) - Static method in class org.drip.spline.bspline.BasisHatPairGenerator
-
Generate the array of the Cubic Rational Phy and Psy Hat Function Pair From their Raw Counterparts
- ProcessedHyperbolicTensionHatPair(double, double, double, int, double) - Static method in class org.drip.spline.bspline.BasisHatPairGenerator
-
Generate the array of the Hyperbolic Phy and Psy Hat Function Pair From their Raw Counterparts
- ProcessInputForNULL(String, boolean) - Static method in class org.drip.quant.common.StringUtil
-
Check the Input String to Check for NULL - and return it
- ProcessRecord(DateDiscountCurvePair, String[], String[], String, boolean) - Static method in class org.drip.feed.loader.RatesClosesLoader
-
- Product(double[][], double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Compute the Product of an input matrix and a column
- Product(double[], double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Compute the Product of an input column and a matrix
- Product(double[][], double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Compute the Product of the input matrices
- ProductDailyPnL - Class in org.drip.service.api
-
ProductDailyPnL contains the following daily measures computed:
- 1D Carry, Roll Down, Curve Shift, and Full Return PnL
- 3D Carry and Roll Down PnL
- 3M Carry and Roll Down PnL
- Current DV01
- ProductDailyPnL(double, double, double, double, double, double, double, double, double) - Constructor for class org.drip.service.api.ProductDailyPnL
-
ProductDailyPnL constructor
- ProductTestSuite - Class in org.drip.tester.functional
-
ProductTestSuite tests more-or-less the full suite of the product valuation functionality exposed in
CreditAnalytics API.
- ProductTestSuite() - Constructor for class org.drip.tester.functional.ProductTestSuite
-
- PTEHoliday - Class in org.drip.analytics.holset
-
- PTEHoliday() - Constructor for class org.drip.analytics.holset.PTEHoliday
-
- put(String, V) - Method in class org.drip.analytics.support.CaseInsensitiveHashMap
-
- put(String, V) - Method in class org.drip.analytics.support.CaseInsensitiveTreeMap
-
- PutBond(String, Bond) - Static method in class org.drip.service.api.CreditAnalytics
-
Maps the bond to an ID and adds it to the cache