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R

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
 
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