- BAKHoliday - Class in org.drip.analytics.holset
-
- BAKHoliday() - Constructor for class org.drip.analytics.holset.BAKHoliday
-
- Base - Class in org.drip.analytics.holiday
-
This class is an abstraction around holiday and description.
- Base(String) - Constructor for class org.drip.analytics.holiday.Base
-
Constructs the holiday instance from the description
- Base(byte[]) - Constructor for class org.drip.analytics.holiday.Base
-
De-serialization of Holiday from byte stream
- 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
- BasketBondAPISample() - Static method in class org.drip.service.sample.BondBasketAPI
-
Sample demonstrating the creation/usage of the bond basket API
USE WITH CARE: This sample ignores errors and does not handle exceptions.
- 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.service.sample.CDSBasketAPI
-
Sample demonstrating the creation/usage of the CDX API
USE WITH CARE: This sample ignores errors and does not handle exceptions.
- 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
-
This interface provides stubs for component IR and credit curves that constitute the basket.
- BasketMarketParams - Class in org.drip.param.definition
-
This abstract class extends the BaketMarketParamsRef for a specific scenario.
- BasketMarketParams() - Constructor for class org.drip.param.definition.BasketMarketParams
-
- BasketMarketParamsBuilder - Class in org.drip.param.creator
-
This class 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
-
This class provides an implementation of BasketMarketParamsRef for a specific scenario.
- BasketMarketParamSet(Map<String, DiscountCurve>, Map<String, CreditCurve>, Map<String, ComponentQuote>, Map<JulianDate, Map<String, Double>>) - Constructor for class org.drip.param.market.BasketMarketParamSet
-
Constructs the BasketMarketParams object from the map of discount curve, the map of credit curve, and
a double map of date/rate index and fixings.
- BasketMarketParamSet(byte[]) - Constructor for class org.drip.param.market.BasketMarketParamSet
-
BasketMarketParams de-serialization from input byte array
- BasketMarketParamSet() - Constructor for class org.drip.param.market.BasketMarketParamSet
-
Empty BasketMarketParams object
- BasketMeasures - Class in org.drip.analytics.output
-
This class has 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
-
BasketOutput de-serialization from input byte array
- BasketProduct - Class in org.drip.product.definition
-
This 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
-
- 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
-
- BloombergCDSW - Class in org.drip.service.sample
-
Demo of reproduction of the calculations in Bloomberg's CDSW screen
- BloombergCDSW() - Constructor for class org.drip.service.sample.BloombergCDSW
-
- BMDHoliday - Class in org.drip.analytics.holset
-
- BMDHoliday() - Constructor for class org.drip.analytics.holset.BMDHoliday
-
- Bond - Class in org.drip.product.definition
-
This base 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.service.sample
-
Demo of the bond analytics API Sample
- BondAnalyticsAPI() - Constructor for class org.drip.service.sample.BondAnalyticsAPI
-
- BondAPISample() - Static method in class org.drip.service.sample.BondLiveAndEODAPI
-
Sample demonstrating the usage of the (full set of) bond analytics API.
- 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
-
Class 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.service.sample
-
Demo of the bond basket API Sample
- BondBasketAPI() - Constructor for class org.drip.service.sample.BondBasketAPI
-
- BondBasketBuilder - Class in org.drip.product.creator
-
This class contains the suite of helper functions for creating the Bond Basket Product from different
kinds of inputs.
- BondBasketBuilder() - Constructor for class org.drip.product.creator.BondBasketBuilder
-
- BondBuilder - Class in org.drip.product.creator
-
This class contains the suite of helper functions for creating 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.service.sample.BondAnalyticsAPI
-
API demonstrating how to calibrate a CDS curve from CDS and bond quotes
USE WITH CARE: This sample ignores errors and does not handle exceptions.
- 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
-
This 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: Constructs 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, boolean) - Constructor for class org.drip.product.credit.BondComponent.BondCalibrator
-
Constructor: Contructs the calibrator from the parent bond, as well as a flag indicator if the
bracketing converger is randomly chosen.
- 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.service.sample.BondLiveAndEODAPI
-
Sample demonstrating the calculation of the bond's EOD yield measures from price
USE WITH CARE: This sample ignores errors and does not handle exceptions.
- 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
- BondEODParASWFromPrice(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond par ASW from price
- BondEODParASWFromTSYSpread(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond par ASW from TSY Spread
- BondEODParASWFromYield(String, JulianDate, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the EOD bond par ASW 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
- BondEODSample() - Static method in class org.drip.service.sample.BondLiveAndEODAPI
-
Sample demonstrating the calculation of the bond's full EOD measures from price, TSY spread, or yield
USE WITH CARE: This sample ignores errors and does not handle exceptions.
- 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.service.sample
-
Comprehensive sample class demo'ing the usage of the EOD and Live Curve FI API functions
- BondLiveAndEODAPI() - Constructor for class org.drip.service.sample.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
- BondLiveParASWFromPrice(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond par ASW from price
- BondLiveParASWFromTSYSpread(String, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the Live bond par ASW from TSY Spread
- 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
-
This class 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
- BondParASWFromPrice(String, ValuationParams, DiscountCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond par asset swap Spread from price
- BondParASWFromPrice(String, JulianDate, DiscountCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond Par ASW Spread from price (simplified version)
- BondParASWFromTSYSpread(String, ValuationParams, DiscountCurve, DiscountCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond par asset swap spread from spread to a treasury benchmark
- BondParASWFromTSYSpread(String, JulianDate, DiscountCurve, DiscountCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond par asset swap spread from spread to a treasury benchmark (simplified version)
- BondParASWFromYield(String, ValuationParams, DiscountCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond par ASW from yield
- BondParASWFromYield(String, JulianDate, DiscountCurve, double) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond Par ASW from yield (simplified version)
- BondParASWTMFromPrice(String, ValuationParams, DiscountCurve, double, QuotingParams) - Static method in class org.drip.service.api.CreditAnalytics
-
Calculates the bond par asset swap Spread 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
-
This interface implements the product static data behind bonds of all kinds.
- BondProductBuilder - Class in org.drip.product.creator
-
This class contains 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
-
This class contains 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(byte[]) - Constructor for class org.drip.product.creator.BondRefDataBuilder
-
BondRefDataBuilder de-serialization from input byte array
- BondRVMeasures - Class in org.drip.analytics.output
-
This class encapsulates the comprehensive set of RV measures calculated for the bond.
- 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, WorkoutInfo) - Constructor for class org.drip.analytics.output.BondRVMeasures
-
BondRVMeasures constructor
- BondStaticAPI - Class in org.drip.service.sample
-
Demo of the bond static API Sample
- BondStaticAPI() - Constructor for class org.drip.service.sample.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() - Constructor for class org.drip.tester.functional.BondTestSuite
-
- BondTickerAPISample() - Static method in class org.drip.service.sample.BondLiveAndEODAPI
-
Sample demonstrating the calculation of analytics for the set of bonds associated with the ticker
USE WITH CARE: This sample ignores errors and does not handle exceptions.
- 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
-
This class encapsulates the parsimonius but 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
- BooleanListFromString(List<Boolean>, String, String) - Static method in class org.drip.analytics.support.GenericUtil
-
Create a list of booleans from a delimited string
- bootstrapBasis(ValuationParams, DiscountCurve, DiscountCurve, boolean) - Method in class org.drip.analytics.curve.DerivedFXForwardCurve
-
- bootstrapBasis(ValuationParams, DiscountCurve, DiscountCurve, boolean) - Method in class org.drip.analytics.definition.FXForwardCurve
-
Bootstrap the basis to the discount curve inputs
- bootstrapBasisDC(ValuationParams, DiscountCurve, DiscountCurve, boolean) - Method in class org.drip.analytics.curve.DerivedFXForwardCurve
-
- bootstrapBasisDC(ValuationParams, DiscountCurve, DiscountCurve, boolean) - Method in class org.drip.analytics.definition.FXForwardCurve
-
Bootstrap the discount curve from the discount curve inputs
- bootstrapHazardRate(CreditCurve, Component, int, ValuationParams, DiscountCurve, DiscountCurve, DiscountCurve, PricerParams, String, double, Map<JulianDate, Map<String, Double>>, QuotingParams, boolean) - Method in class org.drip.analytics.calibration.BracketingCalibrator
-
- bootstrapHazardRate(CreditCurve, Component, int, ValuationParams, DiscountCurve, DiscountCurve, DiscountCurve, PricerParams, String, double, Map<JulianDate, Map<String, Double>>, QuotingParams, boolean) - Method in interface org.drip.analytics.calibration.ComponentCalibrator
-
Bootstraps the hazard rate curve from the component quote
- bootstrapHazardRate(CreditCurve, Component, int, ValuationParams, DiscountCurve, DiscountCurve, DiscountCurve, PricerParams, String, double, Map<JulianDate, Map<String, Double>>, QuotingParams, boolean) - Method in class org.drip.analytics.calibration.NewtonRaphsonCalibrator
-
- bootstrapInterestRate(DiscountCurve, DiscountCurve, DiscountCurve, Component, int, ValuationParams, String, double, Map<JulianDate, Map<String, Double>>, QuotingParams, boolean) - Method in class org.drip.analytics.calibration.BracketingCalibrator
-
- bootstrapInterestRate(DiscountCurve, DiscountCurve, DiscountCurve, Component, int, ValuationParams, String, double, Map<JulianDate, Map<String, Double>>, QuotingParams, boolean) - Method in interface org.drip.analytics.calibration.ComponentCalibrator
-
Bootstraps the interest rate curve from the component quote
- bootstrapInterestRate(DiscountCurve, DiscountCurve, DiscountCurve, Component, int, ValuationParams, String, double, Map<JulianDate, Map<String, Double>>, QuotingParams, boolean) - Method in class org.drip.analytics.calibration.NewtonRaphsonCalibrator
-
- BRACKET_BISECTION - Static variable in class org.drip.analytics.calibration.BracketingCalibrator
-
Bracketing using Bisection Method
- BRACKET_COMPOSITE - Static variable in class org.drip.analytics.calibration.BracketingCalibrator
-
Bracketing using Composite (Secant/Bisection) Method
- BRACKET_SECANT - Static variable in class org.drip.analytics.calibration.BracketingCalibrator
-
Bracketing using Secant Method
- BracketingCalibrator - Class in org.drip.analytics.calibration
-
Calibrates the component using the bracketing method
- BracketingCalibrator() - Constructor for class org.drip.analytics.calibration.BracketingCalibrator
-
Constructs an empty BracketingCalibrator
- BracketingCalibrator(int, int, double, double, double) - Constructor for class org.drip.analytics.calibration.BracketingCalibrator
-
Constructs a BracketingCalibrator instance from the bracketing parameters
- 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
-
- BuildBondFromResultSet(ResultSet, MarketParams) - Static method in class org.drip.service.env.BondManager
-
Builds a bond from the input result set
- BuildCREOD(MarketParams, Statement, JulianDate, String, String) - Static method in class org.drip.service.env.EODCurves
-
Builds the EOD credit curve, and loads it to the MPC
- BuildEDSFCurve(MarketParams, JulianDate, String) - Static method in class org.drip.service.env.StaticBACurves
-
Builds 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
-
Builds the credit curve's CreditScenarioCurve for the given EOD and currency from the
corresponding marks
- BuildEODIRCurve(Map<JulianDate, Map<String, Double>>, Statement, JulianDate, String, String, String) - Static method in class org.drip.service.env.EODCurves
-
Builds the closing IRCurveScenarioContainer for the specific discount curve instrument set type
(treasury or rates instruments), given the EOD and the currency
- BuildEODIRCurveOfCode(Map<JulianDate, Map<String, Double>>, Statement, JulianDate, String, String, String, String) - Static method in class org.drip.service.env.EODCurves
-
Builds the closing IRCurveScenarioContainer for the specific discount curve instruments given the EOD
and the currency
- BuildFromDF(JulianDate, String, double[], double[]) - Static method in class org.drip.analytics.creator.DiscountCurveBuilder
-
Builds a Discount Curve from an array of discount factors
- BuildIREODCurve(MarketParams, Statement, JulianDate, String) - Static method in class org.drip.service.env.EODCurves
-
Builds 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
-
Builds 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
-
Builds the complete set of treasury EOD curves for the given currency, and loads them to the MPC
- bumpNodeValue(int, double) - Method in class org.drip.analytics.curve.CalibratedCreditCurve
-
- bumpNodeValue(int, double) - Method in class org.drip.analytics.curve.CalibratedDiscountCurve
-
- bumpNodeValue(int, double) - Method in class org.drip.analytics.curve.DerivedFXBasisCurve
-
- bumpNodeValue(int, double) - Method in class org.drip.analytics.curve.DerivedFXForwardCurve
-
- bumpNodeValue(int, double) - Method in class org.drip.analytics.curve.DerivedZeroCurve
-
- bumpNodeValue(int, double) - Method in interface org.drip.analytics.definition.Curve
-
Bumped the node value at the node specified the index by the value
- BumpNTPNode(double[], NodeTweakParams) - Static method in class org.drip.analytics.support.AnalyticsHelper
-
Bump the node (or the given set of nodes) in accordance with the specified tweak parameters
- BumpQuotes(double[], double, boolean) - Static method in class org.drip.analytics.support.AnalyticsHelper
-
Bumps the input array quotes
- BusDays(double, double, String) - Static method in class org.drip.analytics.daycount.Convention
-
Calculates the number of business days between the start and the end dates