- IBRHoliday - Class in org.drip.analytics.holset
-
- IBRHoliday() - Constructor for class org.drip.analytics.holset.IBRHoliday
-
- IdentifierSet - Class in org.drip.product.params
-
IdentifierSet contains the component's identifier parameters - ISIN, CUSIP, ID, and ticker.
- IdentifierSet(String, String, String, String) - Constructor for class org.drip.product.params.IdentifierSet
-
Construct the IdentifierSet from ISIN, CUSIP, ID, and ticker.
- IdentifierSet(byte[]) - Constructor for class org.drip.product.params.IdentifierSet
-
IdentifierSet de-serialization from input byte array
- IDRHoliday - Class in org.drip.analytics.holset
-
- IDRHoliday() - Constructor for class org.drip.analytics.holset.IDRHoliday
-
- IEPHoliday - Class in org.drip.analytics.holset
-
- IEPHoliday() - Constructor for class org.drip.analytics.holset.IEPHoliday
-
- IGPHoliday - Class in org.drip.analytics.holset
-
- IGPHoliday() - Constructor for class org.drip.analytics.holset.IGPHoliday
-
- ILSHoliday - Class in org.drip.analytics.holset
-
- ILSHoliday() - Constructor for class org.drip.analytics.holset.ILSHoliday
-
- impliedNodeRates(ValuationParams, DiscountCurve, DiscountCurve, boolean) - Method in class org.drip.analytics.definition.FXForwardCurve
-
Calculate the rates implied by the discount curve inputs
- impliedNodeRates(ValuationParams, DiscountCurve, DiscountCurve, boolean) - Method in class org.drip.state.curve.DerivedFXForward
-
- implyFXForward(ValuationParams, DiscountCurve, DiscountCurve, double, boolean) - Method in class org.drip.product.definition.FXForward
-
Imply the FX Forward
- implyFXForward(ValuationParams, DiscountCurve, DiscountCurve, double, boolean) - Method in class org.drip.product.fx.FXForwardContract
-
- in(double) - Method in class org.drip.spline.bspline.TensionBasisHat
-
Identifies if the ordinate is local to the range
- in(double) - Method in class org.drip.spline.segment.InelasticConstitutiveState
-
Find out if the Predictor Ordinate is inside the segment - inclusive of left/right.
- in(double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- in(double) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Check if the Predictor Ordinate is in the Stretch Range
- in(double) - Method in class org.drip.state.representation.LatentStateMergeSubStretch
-
Indicate whether the specified Date is "inside" the Stretch Range.
- inBuiltRange(double) - Method in class org.drip.state.estimator.CurveStretch
-
Indicate if the specified Predictor Ordinate is inside the "Built" Range
- incremental(double, double) - Method in class org.drip.quant.distribution.Univariate
-
Compute the incremental under the distribution between the 2 variates
- incremental(double, double) - Method in class org.drip.quant.distribution.UnivariateNormal
-
- incrIterations() - Method in class org.drip.quant.solver1D.ExecutionInitializationOutput
-
Increment the Number of Iterations
- incrIterations() - Method in class org.drip.quant.solver1D.FixedPointFinderOutput
-
Increment the number of Iterations
- incrOFCalcs() - Method in class org.drip.quant.solver1D.ExecutionInitializationOutput
-
Increment the Number of Objective Function Evaluations
- incrOFCalcs() - Method in class org.drip.quant.solver1D.FixedPointFinderOutput
-
Increment the number of Objective Function evaluations
- incrOFDerivCalcs() - Method in class org.drip.quant.solver1D.ExecutionInitializationOutput
-
Increment the number of Objective Function Derivative evaluations
- incrOFDerivCalcs() - Method in class org.drip.quant.solver1D.FixedPointFinderOutput
-
Increment the number of Objective Function Derivative evaluations
- index() - Method in class org.drip.analytics.rates.DiscountForwardEstimator
-
- index() - Method in class org.drip.analytics.rates.ForwardCurve
-
Retrieve the Forward Rate Index
- index() - Method in interface org.drip.analytics.rates.ForwardRateEstimator
-
Retrieve the Forward Rate Index
- index() - Method in class org.drip.product.params.FloatingRateIndex
-
Retrieve the Index
- indexedBasisFunction(int) - Method in class org.drip.spline.basis.FunctionSet
-
Retrieve the Basis Function identified by the specified Index
- indexMatch(LatentStateMergeSubStretch) - Method in class org.drip.state.representation.LatentStateMergeSubStretch
-
Indicate whether Specified Merge Stretch's Label matches with the current one
- InelasticConstitutiveState - Class in org.drip.spline.segment
-
This class contains the spline segment in-elastic fields - in this case the start/end ranges.
- InelasticConstitutiveState(double, double) - Constructor for class org.drip.spline.segment.InelasticConstitutiveState
-
InelasticConstitutiveState constructor
- inelasticParams() - Method in class org.drip.spline.params.SegmentCustomBuilderControl
-
Retrieve the Segment Inelastic Parameters
- inFirstCouponPeriod(double) - Method in class org.drip.product.credit.BondComponent
-
- inFirstCouponPeriod(double) - Method in class org.drip.product.definition.Bond
-
Indicate whether the given date is in the first coupon period
- InFirstPeriod(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Indicates whether the specified date exists in the first coupon period
- INFLECTION - Static variable in class org.drip.spline.segment.Monotonocity
-
NON MONOTONE - INFLECTION
- INFO - Static variable in class org.drip.analytics.support.Logger
-
Logger level INFO
- Init(String) - Static method in class org.drip.analytics.daycount.Convention
-
Initialize the day count basis object from the calendar set
- Init() - Static method in class org.drip.analytics.support.AnalyticsHelper
-
Initialize IR switcher and Bloomberg day count maps
- Init(String) - Static method in class org.drip.analytics.support.Logger
-
Initialize the logger from a configuration file
- Init(String) - Static method in class org.drip.service.api.CreditAnalytics
-
Initializes the CreditAnalytics DRIP library.
- InitAnalServer(String) - Static method in class org.drip.param.config.ConfigLoader
-
Initialize the analytics server from the connection parameters set in the XML Configuration file
- InitEnv(String) - Static method in class org.drip.service.env.EnvManager
-
Initialize the logger, the database connections, the day count parameters, and day count objects.
- InitFullCDXRefDataSet() - Static method in class org.drip.product.creator.CDXRefDataHolder
-
- InitializationHeuristics - Class in org.drip.quant.solver1D
-
InitializationHeuristics implements several heuristics used to kick off the fixed point bracketing/search
process.
- InitializationHeuristics(int, double, double, double, double, double, double, double, BracketingControlParams) - Constructor for class org.drip.quant.solver1D.InitializationHeuristics
-
Construct an Initialization Heuristics Instance from the set of Heuristics Parameters
- initializeBracket(InitializationHeuristics, double) - Method in class org.drip.quant.solver1D.ExecutionInitializer
-
Set up the bracket to be used for the eventual search kick-off
- initializeCalibrationRun(double) - Method in class org.drip.state.curve.NonlinearDiscountFactorDiscountCurve
-
- initializeVariate(InitializationHeuristics, double) - Method in class org.drip.quant.solver1D.ExecutionInitializer
-
Initialize the starting variate to within the fixed point convergence zone
- initRegressionEnv() - Method in class org.drip.regression.core.RegressionEngine
-
One-time initialization of the regression engine environment
- initRegressionEnv() - Method in class org.drip.regression.curve.CreditAnalyticsRegressionEngine
-
- initRegressionEnv() - Method in class org.drip.regression.curveJacobian.CurveJacobianRegressionEngine
-
- InitStandardCDXSeries() - Static method in class org.drip.service.env.StandardCDXManager
-
- inLastCouponPeriod(double) - Method in class org.drip.product.credit.BondComponent
-
- inLastCouponPeriod(double) - Method in class org.drip.product.definition.Bond
-
Indicate whether the given date is in the final coupon period
- InLastPeriod(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Indicates whether the specified date exists in the last coupon period
- INRHoliday - Class in org.drip.analytics.holset
-
- INRHoliday() - Constructor for class org.drip.analytics.holset.INRHoliday
-
- InsertCardinalKnot(MultiSegmentSequence, double, double) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceModifier
-
Insert a Cardinal Knot into the specified Stretch at the specified Predictor Ordinate Location
- InsertCatmullRomKnot(MultiSegmentSequence, double) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceModifier
-
Insert a Catmull-Rom Knot into the specified Stretch at the specified Predictor Ordinate Location
- InsertKnot(MultiSegmentSequence, double, double, BoundarySettings, int) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceModifier
-
Insert the specified Predictor Ordinate Knot into the specified Stretch, using the specified Response
Value
- InsertKnot(MultiSegmentSequence, double, SegmentPredictorResponseDerivative, SegmentPredictorResponseDerivative) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceModifier
-
Insert the Predictor Ordinate Knot into the specified Stretch
- InstrMetric - Class in org.drip.service.api
-
InstrMetric contains the fields that hold the result of the PnL metric calculations.
- InstrMetric(ForwardRates, ProductDailyPnL) - Constructor for class org.drip.service.api.InstrMetric
-
InstrMetric constructor
- IntegerListFromString(List<Integer>, String, String) - Static method in class org.drip.quant.common.StringUtil
-
Create a list of integers from a delimited string
- IntegrandQuadrature - Class in org.drip.sample.quant
-
IntegrandQuadrature shows samples for the following routines for integrating the objective function:
- Mid-Point Scheme
- Trapezoidal Scheme
- Simpson/Simpson38 schemes
- Boole Scheme
- IntegrandQuadrature() - Constructor for class org.drip.sample.quant.IntegrandQuadrature
-
- integrate(double, double) - Method in class org.drip.quant.function1D.AbstractUnivariate
-
Integrate over the given range
- integrate(double, double) - Method in class org.drip.quant.function1D.ExponentialTension
-
- integrate(double, double) - Method in class org.drip.quant.function1D.HyperbolicTension
-
- integrate(double, double) - Method in class org.drip.quant.function1D.LinearRationalShapeControl
-
- integrate(double, double) - Method in class org.drip.quant.function1D.NaturalLogSeriesElement
-
- integrate(double, double) - Method in class org.drip.quant.function1D.Polynomial
-
- integrate(double, double) - Method in class org.drip.quant.function1D.QuadraticRationalShapeControl
-
- integrate(double, double) - Method in class org.drip.quant.function1D.UnivariateConvolution
-
- integrate(double, double) - Method in class org.drip.quant.function1D.UnivariateReflection
-
- integrate(double, double) - Method in class org.drip.spline.bspline.CubicRationalLeftRaw
-
- integrate(double, double) - Method in class org.drip.spline.bspline.CubicRationalRightRaw
-
- integrate(double, double) - Method in class org.drip.spline.bspline.ExponentialTensionLeftHat
-
- integrate(double, double) - Method in class org.drip.spline.bspline.ExponentialTensionLeftRaw
-
- integrate(double, double) - Method in class org.drip.spline.bspline.ExponentialTensionRightHat
-
- integrate(double, double) - Method in class org.drip.spline.bspline.ExponentialTensionRightRaw
-
- integrate(double, double) - Method in class org.drip.spline.bspline.LeftHatShapeControl
-
- integrate(double, double) - Method in class org.drip.spline.bspline.RightHatShapeControl
-
- integrate(double, double) - Method in class org.drip.spline.bspline.SegmentMonicBasisFunction
-
- integrate(double, double) - Method in class org.drip.spline.bspline.SegmentMulticBasisFunction
-
- integrate(double, double) - Method in class org.drip.spline.bspline.TensionProcessedBasisHat
-
- integrate(double, double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- integrate(double, double) - Method in class org.drip.spline.tension.KLKHyperbolicTensionPhy
-
- integrate(double, double) - Method in class org.drip.spline.tension.KLKHyperbolicTensionPsy
-
- Integrator - Class in org.drip.quant.calculus
-
Integrator implements the following routines for integrating the objective function:
- Linear Quadrature
- Mid-Point Scheme
- Trapezoidal Scheme
- Simpson/Simpson38 schemes
- Boole Scheme
- Integrator() - Constructor for class org.drip.quant.calculus.Integrator
-
- invCumulative(double) - Method in class org.drip.quant.distribution.Univariate
-
Compute the inverse cumulative under the distribution corresponding to the given value
- invCumulative(double) - Method in class org.drip.quant.distribution.UnivariateNormal
-
- INVERSE_QUADRATIC_INTERPOLATION - Static variable in class org.drip.quant.solver1D.VariateIteratorPrimitive
-
Inverse Quadratic Interpolation
- InverseQuadraticInterpolation(double, double, double, double, double, double) - Static method in class org.drip.quant.solver1D.VariateIteratorPrimitive
-
Iterate for the next variate using inverse quadratic interpolation
- Invert(double[][], String) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Invert the input matrix using the specified Method
- Invert2DMatrixUsingCramerRule(double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Invert a 2D Matrix using Cramer's Rule
- InvertUsingGaussianElimination(double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Invert the Source Matrix using Gaussian Elimination
- IPCHoliday - Class in org.drip.analytics.holset
-
- IPCHoliday() - Constructor for class org.drip.analytics.holset.IPCHoliday
-
- IRSComponent - Class in org.drip.product.rates
-
IRSComponent contains the implementation of the Interest Rate Swap product contract/valuation details.
- IRSComponent(RatesComponent, RatesComponent) - Constructor for class org.drip.product.rates.IRSComponent
-
Construct the IRSComponent from the fixed and the floating streams
- IRSComponent(byte[]) - Constructor for class org.drip.product.rates.IRSComponent
-
De-serialize the IRSComponent from the byte array
- IRSFromByteArray(byte[]) - Static method in class org.drip.product.creator.RatesStreamBuilder
-
Create a IRS Instance from the byte array
- IRSJacobianRegressorSet - Class in org.drip.regression.curveJacobian
-
IRSJacobianRegressorSet implements the regression analysis set for the IRS product related Sensitivity
Jacobians.
- IRSJacobianRegressorSet() - Constructor for class org.drip.regression.curveJacobian.IRSJacobianRegressorSet
-
- isBaseNatural() - Method in class org.drip.quant.function1D.ExponentialTension
-
Is the base natural?
- isBasisBootstrapped() - Method in class org.drip.analytics.definition.FXBasisCurve
-
Return if the inputs are for bootstrapped FX basis
- isBasisBootstrapped() - Method in class org.drip.state.curve.DerivedFXBasis
-
- IsBondFloater(String) - Static method in class org.drip.service.api.CreditAnalytics
-
Is this floating rate bond
- isCallable() - Method in class org.drip.product.credit.BondComponent
-
- isCallable() - Method in class org.drip.product.definition.Bond
-
Indicate if the bond is callable
- isCoMonotone(double[]) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- isCoMonotone(double[]) - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
-
- isCoMonotone(double[]) - Method in interface org.drip.spline.stretch.SingleSegmentSequence
-
Verify whether the Stretch mini-max Behavior matches the Measurement
- IsDiagonallyDominant(double[][], boolean) - Static method in class org.drip.quant.linearalgebra.LinearSystemSolver
-
Check to see if the matrix is diagonally dominant.
- isDone() - Method in class org.drip.quant.solver1D.ExecutionInitializationOutput
-
Indicate if the execution initialization is done
- IsEOM(double) - Static method in class org.drip.analytics.date.JulianDate
-
Indicate if the given Julian double corresponds to an end of month day
- isFixToFloatOnExercise() - Method in class org.drip.product.params.EmbeddedOptionSchedule
-
Return whether the component is fix to float on exercise
- isFloater() - Method in class org.drip.product.credit.BondComponent
-
- isFloater() - Method in class org.drip.product.definition.Bond
-
Return whether the bond is a floater
- IsHoliday(double, String, int) - Static method in class org.drip.analytics.daycount.Convention
-
Indicate whether the given date is a holiday in the specified location(s)
- IsHoliday(double, String) - Static method in class org.drip.analytics.daycount.Convention
-
Indicates whether the given date is a holiday in the specified location(s)
- IsHoliday(String, JulianDate) - Static method in class org.drip.service.api.CreditAnalytics
-
Indicates whether the given date is a holiday in the calendar set.
- isKnot(double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- isKnot(double) - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
-
- isKnot(double) - Method in interface org.drip.spline.stretch.SingleSegmentSequence
-
Is the given Predictor Ordinate a Knot Location
- IsLeapYear(double) - Static method in class org.drip.analytics.date.JulianDate
-
Indicate if the year in the given Julian date is a leap year
- isLeftWeekend(double) - Method in class org.drip.analytics.holiday.Weekend
-
Is the given date a left weekend day
- isLocal() - Method in class org.drip.spline.params.ResponseScalingShapeControl
-
Indicate if the Control is applied on a Local or a Global Predicate Ordinate Basis
- isLocallyMonotone() - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- isLocallyMonotone() - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
-
- isLocallyMonotone() - Method in interface org.drip.spline.stretch.SingleSegmentSequence
-
Indicate if all the comprising Segments are Monotone
- isMark() - Method in class org.drip.param.market.ComponentTickQuote
-
Indicate whether the quote may be treated as a mark
- isMergeState(double, LatentStateLabel) - Method in class org.drip.spline.grid.OverlappingStretchSpan
-
- isMergeState(double, LatentStateLabel) - Method in interface org.drip.spline.grid.Span
-
Indicate if the specified Label is part of the Merge State at the specified Predictor Ordinate
- isPerpetual() - Method in class org.drip.product.credit.BondComponent
-
- isPerpetual() - Method in class org.drip.product.definition.Bond
-
Indicate if the bond is perpetual
- isPut() - Method in class org.drip.product.params.EmbeddedOptionSchedule
-
Whether the component is putable or callable
- isPutable() - Method in class org.drip.product.credit.BondComponent
-
- isPutable() - Method in class org.drip.product.definition.Bond
-
Indicate if the bond is putable
- isRightWeekend(double) - Method in class org.drip.analytics.holiday.Weekend
-
Is the given date a right weekend day
- isSinkable() - Method in class org.drip.product.credit.BondComponent
-
- isSinkable() - Method in class org.drip.product.definition.Bond
-
Indicate if the bond is sinkable
- isSpreadQuoted() - Method in class org.drip.param.valuation.QuotingParams
-
Indicate if spread Quoted
- isTradeable(ValuationParams) - Method in class org.drip.product.credit.BondComponent
-
- isTradeable(ValuationParams) - Method in class org.drip.product.definition.Bond
-
Calculate if the bond is tradeable on the given date
- IsValid(double) - Static method in class org.drip.quant.common.NumberUtil
-
Checks if the input double is Infinite or NaN
- IsValid(double[]) - Static method in class org.drip.quant.common.NumberUtil
-
Checks if the input double array contains an Infinite or an NaN
- isVariateConvergenceCheckEnabled() - Method in class org.drip.quant.solver1D.ExecutionControl
-
Indicate if the variate convergence check has been turned on
- isVariateConvergenceCheckEnabled() - Method in class org.drip.quant.solver1D.ExecutionControlParams
-
Indicate if the variate convergence check has been turned on
- isWeekend(double) - Method in class org.drip.analytics.holiday.Weekend
-
Is the given date a weekend day
- IteratedBracket - Class in org.drip.quant.solver1D
-
IteratedBracket holds the left/right bracket variates and the corresponding values for the objective
function during each iteration.
- IteratedBracket(BracketingOutput) - Constructor for class org.drip.quant.solver1D.IteratedBracket
-
BracketingVariateIterator constructor
- IteratedVariate - Class in org.drip.quant.solver1D
-
IteratedVariate holds the variate and the corresponding value for the objective function during each
iteration.
- IteratedVariate(ExecutionInitializationOutput, double) - Constructor for class org.drip.quant.solver1D.IteratedVariate
-
IteratedVariate constructor
- ITLHoliday - Class in org.drip.analytics.holset
-
- ITLHoliday() - Constructor for class org.drip.analytics.holset.ITLHoliday
-