A B C D E F G H I J K L M N O P Q R S T U V W X Y Z _

A

a - Variable in class org.jquantlib.model.volatility.GarmanKlassOpenClose

a0_ - Static variable in class org.jquantlib.math.distributions.MoroInverseCumulativeNormal

a1_ - Static variable in class org.jquantlib.math.distributions.InverseCumulativeNormal

a1_ - Static variable in class org.jquantlib.math.distributions.MoroInverseCumulativeNormal

a2_ - Static variable in class org.jquantlib.math.distributions.InverseCumulativeNormal

a2_ - Static variable in class org.jquantlib.math.distributions.MoroInverseCumulativeNormal

a3_ - Static variable in class org.jquantlib.math.distributions.InverseCumulativeNormal

a3_ - Static variable in class org.jquantlib.math.distributions.MoroInverseCumulativeNormal

a4_ - Static variable in class org.jquantlib.math.distributions.InverseCumulativeNormal

a5_ - Static variable in class org.jquantlib.math.distributions.InverseCumulativeNormal

a6_ - Static variable in class org.jquantlib.math.distributions.InverseCumulativeNormal

a_ - Variable in class org.jquantlib.math.distributions.BivariateNormalDistribution.eqn6

a_ - Variable in class org.jquantlib.math.distributions.GammaDistribution

abs() - Method in class org.jquantlib.math.Array

absCopy() - Method in class org.jquantlib.math.Array

absoluteAccuracy - Variable in class org.jquantlib.math.integrals.Integrator

absoluteError - Variable in class org.jquantlib.math.integrals.Integrator

AbstractCalendar - Class in org.jquantlib.time

AbstractCalendar() - Constructor for class org.jquantlib.time.AbstractCalendar

Constructor

AbstractDayCounter - Class in org.jquantlib.daycounters

Abstract implementation of DayCounter

AbstractDayCounter() - Constructor for class org.jquantlib.daycounters.AbstractDayCounter

AbstractInterpolation - Class in org.jquantlib.math.interpolations

AbstractInterpolation() - Constructor for class org.jquantlib.math.interpolations.AbstractInterpolation

AbstractInterpolation2D - Class in org.jquantlib.math.interpolations

AbstractInterpolation2D() - Constructor for class org.jquantlib.math.interpolations.AbstractInterpolation2D

AbstractSolver1D<F extends UnaryFunctionDouble> - Class in org.jquantlib.math

AbstractSolver1D() - Constructor for class org.jquantlib.math.AbstractSolver1D

AbstractSolver1D(int, boolean, boolean) - Constructor for class org.jquantlib.math.AbstractSolver1D

accept(TypedVisitor<Event>) - Method in class org.jquantlib.cashflow.CashFlow

accept(TypedVisitor<Event>) - Method in class org.jquantlib.cashflow.Event

accept(TypedVisitor<Payoff>) - Method in class org.jquantlib.instruments.AssetOrNothingPayoff

accept(TypedVisitor<Payoff>) - Method in class org.jquantlib.instruments.CashOrNothingPayoff

accept(TypedVisitor<Payoff>) - Method in class org.jquantlib.instruments.GapPayoff

accept(TypedVisitor<Payoff>) - Method in class org.jquantlib.instruments.Payoff

accept(TypedVisitor<TermStructure>) - Method in class org.jquantlib.termstructures.BlackVarianceTermStructure

accept(TypedVisitor<TermStructure>) - Method in class org.jquantlib.termstructures.BlackVolatilityTermStructure

accept(TypedVisitor<TermStructure>) - Method in class org.jquantlib.termstructures.BlackVolTermStructure

accept(TypedVisitor<TermStructure>) - Method in class org.jquantlib.termstructures.LocalVolTermStructure

accept(TypedVisitor<TermStructure>) - Method in class org.jquantlib.termstructures.volatilities.BlackConstantVol

accept(TypedVisitor<TermStructure>) - Method in class org.jquantlib.termstructures.volatilities.BlackVarianceCurve

accept(TypedVisitor<TermStructure>) - Method in class org.jquantlib.termstructures.volatilities.BlackVarianceSurface

accept(TypedVisitor<TermStructure>) - Method in class org.jquantlib.termstructures.volatilities.ImpliedVolTermStructure

accept(TypedVisitor<TermStructure>) - Method in class org.jquantlib.termstructures.volatilities.LocalVolCurve

accept(TypedVisitor<TermStructure>) - Method in class org.jquantlib.termstructures.volatilities.LocalVolSurface

accept(TypedVisitor<T>) - Method in interface org.jquantlib.util.TypedVisitable

This method is intended to extend the semantics of method Visitable.accept(Visitor)

accept(Visitor<T>) - Method in interface org.jquantlib.util.Visitable

This method is responsible for determining if a Visitor passed as argument is eligible for handling the data structures kept by this class.

accuracy - Static variable in class org.jquantlib.math.distributions.CumulativeBinomialDistribution

accuracy - Static variable in class org.jquantlib.math.distributions.CumulativePoissonDistribution

ACCURACY - Static variable in class org.jquantlib.termstructures.yieldcurves.PiecewiseYieldDiscountCurve

accuracy - Variable in class org.jquantlib.termstructures.yieldcurves.PiecewiseYieldDiscountCurve.CurveData

Actual360 - Class in org.jquantlib.daycounters

Actual/360 day count convention, also known as "Act/360", or "A/360".

Actual360() - Constructor for class org.jquantlib.daycounters.Actual360

actual360 - Static variable in class org.jquantlib.daycounters.Actual360

ACTUAL365_DAYCOUNTER - Static variable in class org.jquantlib.daycounters.ActualActual

Actual365Fixed - Class in org.jquantlib.daycounters

"Actual/365 (Fixed)" day count convention, also know as "Act/365 (Fixed)", "A/365 (Fixed)", or "A/365F".

Actual365Fixed() - Constructor for class org.jquantlib.daycounters.Actual365Fixed

actual365Fixed - Static variable in class org.jquantlib.daycounters.Actual365Fixed

ActualActual - Class in org.jquantlib.daycounters

Implementation of ActualActual day counters.

ActualActual(ActualActual.Convention) - Constructor for class org.jquantlib.daycounters.ActualActual

This constructor is intended to be used internally by this class at initialization time, when specialized day counters are constructed.

ActualActual.AFB - Class in org.jquantlib.daycounters

ActualActual.AFB() - Constructor for class org.jquantlib.daycounters.ActualActual.AFB

ActualActual.Convention - Enum in org.jquantlib.daycounters

Actual/Actual Calendar Conventions

ActualActual.Convention() - Constructor for enum org.jquantlib.daycounters.ActualActual.Convention

ActualActual.ISDA - Class in org.jquantlib.daycounters

ActualActual.ISDA() - Constructor for class org.jquantlib.daycounters.ActualActual.ISDA

ActualActual.ISMA - Class in org.jquantlib.daycounters

ActualActual.ISMA() - Constructor for class org.jquantlib.daycounters.ActualActual.ISMA

add(double) - Method in class org.jquantlib.experimental.collection.DefaultPrimativeListStrategy

add(int) - Method in class org.jquantlib.experimental.collection.DefaultPrimativeListStrategy

add(Object) - Method in class org.jquantlib.experimental.collection.List

add(double) - Method in class org.jquantlib.experimental.collection.List

add(int) - Method in class org.jquantlib.experimental.collection.List

add(int, Object) - Method in class org.jquantlib.experimental.collection.List

add(double) - Method in class org.jquantlib.experimental.collection.ListDoubleArrayListStrategy

add(int) - Method in class org.jquantlib.experimental.collection.ListDoubleArrayListStrategy

add(double) - Method in interface org.jquantlib.experimental.collection.PrimativeList

add(int) - Method in interface org.jquantlib.experimental.collection.PrimativeList

add(TridiagonalOperator) - Method in class org.jquantlib.methods.finitedifferences.TridiagonalOperator

add(TridiagonalOperator, TridiagonalOperator) - Method in class org.jquantlib.methods.finitedifferences.TridiagonalOperator

add(int, double, double, double) - Method in class org.jquantlib.methods.lattices.TrinomialTree.Branching

add(Date, T) - Method in class org.jquantlib.util.TimeSeries

add(Date, double) - Method in class org.jquantlib.util.TimeSeriesDouble

addAll(Collection) - Method in class org.jquantlib.experimental.collection.List

addAll(int, Collection) - Method in class org.jquantlib.experimental.collection.List

addedHolidays - Variable in class org.jquantlib.time.AbstractCalendar

To store artifially added holidays

addFixing(Date, double, boolean) - Method in class org.jquantlib.indexes.Index

addFixings(TimeSeriesDouble, boolean) - Method in class org.jquantlib.indexes.Index

addFixings(Date[], double[], boolean) - Method in class org.jquantlib.indexes.Index

addHoliday(Date) - Method in class org.jquantlib.time.AbstractCalendar

addHoliday(Date) - Method in interface org.jquantlib.time.Calendar

Adds a date to the set of holidays for the given calendar.

AdditiveEQPBinomialTree - Class in org.jquantlib.methods.lattices

AdditiveEQPBinomialTree(StochasticProcess1D, double, int, double) - Constructor for class org.jquantlib.methods.lattices.AdditiveEQPBinomialTree

addObserver(Observer) - Method in class org.jquantlib.cashflow.Event

addObserver(Observer) - Method in class org.jquantlib.indexes.Index

addObserver(Observer) - Method in class org.jquantlib.pricingengines.GenericEngine

addObserver(Observer) - Method in class org.jquantlib.processes.StochasticProcess

addObserver(Observer) - Method in class org.jquantlib.quotes.Handle

addObserver(Observer) - Method in class org.jquantlib.quotes.Handle.Link

addObserver(Observer) - Method in class org.jquantlib.quotes.Quote

addObserver(Observer) - Method in class org.jquantlib.termstructures.RateHelper

addObserver(Observer) - Method in class org.jquantlib.termstructures.TermStructure

addObserver(Observer) - Method in class org.jquantlib.util.BaseDate

addObserver(Observer) - Method in class org.jquantlib.util.DefaultObservable

addObserver(Observer) - Method in class org.jquantlib.util.LazyObject

addObserver(Observer) - Method in interface org.jquantlib.util.Observable

Attaches a observer to the Observable.

addObserver(Observer) - Method in class org.jquantlib.util.ObservableValue

addObserver(Observer) - Method in class org.jquantlib.util.WeakReferenceObservable

addSamples(int) - Method in class org.jquantlib.methods.montecarlo.MonteCarloModel

addVector(Array) - Method in class org.jquantlib.math.matrixutilities.BasisIncompleteOrdered

adjacent_difference(List<Double>, int, List<Double>) - Static method in class org.jquantlib.util.stdlibc.Std

adjust(Date, BusinessDayConvention) - Method in class org.jquantlib.time.AbstractCalendar

Advances the given date of the given number of business days and returns the result.

adjust(Date, BusinessDayConvention) - Method in interface org.jquantlib.time.Calendar

Adjusts a non-business day to the appropriate near business day with respect to the given convention.

adjust(Period) - Method in interface org.jquantlib.util.Date

Move the date by a given Period

adjust(Period) - Method in class org.jquantlib.util.DefaultDate

adjustValues() - Method in class org.jquantlib.assets.DiscretizedAsset

advance(Date) - Method in class org.jquantlib.time.AbstractCalendar

advance(Date, int, TimeUnit) - Method in class org.jquantlib.time.AbstractCalendar

advance(Date, int, TimeUnit, BusinessDayConvention) - Method in class org.jquantlib.time.AbstractCalendar

advance(Date, int, TimeUnit, BusinessDayConvention, boolean) - Method in class org.jquantlib.time.AbstractCalendar

advance(Date, Period, BusinessDayConvention) - Method in class org.jquantlib.time.AbstractCalendar

advance(Date, Period, BusinessDayConvention, boolean) - Method in class org.jquantlib.time.AbstractCalendar

advance(Date) - Method in interface org.jquantlib.time.Calendar

Adjusts a non-business day to the appropriate near business day with respect to the given convention.

advance(Date, int, TimeUnit) - Method in interface org.jquantlib.time.Calendar

Adjusts the given date of the given number of business days and returns the result.

advance(Date, Period, BusinessDayConvention) - Method in interface org.jquantlib.time.Calendar

Adjusts the given date as specified by the given period and returns the result.

advance(Date, int, TimeUnit, BusinessDayConvention, boolean) - Method in interface org.jquantlib.time.Calendar

Adjusts the given date as specified by the given period and returns the result.

advance(Date, Period, BusinessDayConvention, boolean) - Method in interface org.jquantlib.time.Calendar

Adjust the given date as specified by the given period and returns the result.

AFB_DAYCOUNTER - Static variable in class org.jquantlib.daycounters.ActualActual

allowsErrorEstimate - Static variable in class org.jquantlib.math.randomnumbers.GenericLowDiscrepancy

allowsErrorEstimate - Static variable in class org.jquantlib.math.randomnumbers.GenericPseudoRandom

allowsExtrapolation() - Method in class org.jquantlib.math.interpolations.AbstractInterpolation

allowsExtrapolation() - Method in class org.jquantlib.math.interpolations.AbstractInterpolation2D

allowsExtrapolation() - Method in class org.jquantlib.math.interpolations.DefaultExtrapolator

tells whether extrapolation is enabled

allowsExtrapolation() - Method in interface org.jquantlib.math.interpolations.Extrapolator

tells whether extrapolation is enabled

allowsExtrapolation() - Method in class org.jquantlib.termstructures.TermStructure

allowUserConfigurations - Static variable in class org.jquantlib.Configuration

Indicates whether user configurations are allowed or not.

alpha - Variable in class org.jquantlib.model.volatility.Garch11

alpha - Variable in class org.jquantlib.pricingengines.BlackCalculator

alpha() - Method in class org.jquantlib.pricingengines.BlackCalculator

americanCallApproximation(double, double, double, double, double) - Method in class org.jquantlib.pricingengines.vanilla.BjerksundStenslandApproximationEngine

AmericanCondition - Class in org.jquantlib.methods.finitedifferences

AmericanCondition(Option.Type, double) - Constructor for class org.jquantlib.methods.finitedifferences.AmericanCondition

AmericanCondition(Array) - Constructor for class org.jquantlib.methods.finitedifferences.AmericanCondition

AmericanExercise - Class in org.jquantlib.exercise

An American option can be exercised at any time between two predefined dates.

AmericanExercise(Date, Date) - Constructor for class org.jquantlib.exercise.AmericanExercise

Constructs an AmericanExercise with two limiting dates define and a default payoff equals false, which means there's no payoff at exercise Date.

AmericanExercise(Date, Date, boolean) - Constructor for class org.jquantlib.exercise.AmericanExercise

Constructs an AmericanExercise with two limiting dates and a defined payoff.

AmericanPayoffAtExpiry - Class in org.jquantlib.instruments.american

AmericanPayoffAtExpiry() - Constructor for class org.jquantlib.instruments.american.AmericanPayoffAtExpiry

AmericanPayoffAtHit - Class in org.jquantlib.instruments.american

AmericanPayoffAtHit() - Constructor for class org.jquantlib.instruments.american.AmericanPayoffAtHit

AnalyticContinuousGeometricAveragePriceasianEngine - Class in org.jquantlib.pricingengines.asian

AnalyticContinuousGeometricAveragePriceasianEngine() - Constructor for class org.jquantlib.pricingengines.asian.AnalyticContinuousGeometricAveragePriceasianEngine

AnalyticDiscreteGeometricAveragePriceAsianEngine - Class in org.jquantlib.pricingengines.asian

AnalyticDiscreteGeometricAveragePriceAsianEngine() - Constructor for class org.jquantlib.pricingengines.asian.AnalyticDiscreteGeometricAveragePriceAsianEngine

AnalyticEuropeanEngine - Class in org.jquantlib.pricingengines

Pricing engine for European vanilla options using analytical formulae

AnalyticEuropeanEngine() - Constructor for class org.jquantlib.pricingengines.AnalyticEuropeanEngine

antithetic() - Method in class org.jquantlib.methods.montecarlo.PathGenerator

apply(double) - Method in interface org.jquantlib.math.functions.DoubleFunction

apply(double...) - Method in interface org.jquantlib.math.functions.DoubleFunction

apply(double) - Method in class org.jquantlib.math.functions.LogFunction

apply(double...) - Method in class org.jquantlib.math.functions.LogFunction

apply(double, double) - Method in class org.jquantlib.processes.GeneralizedBlackScholesProcess

apply(double[], double[]) - Method in class org.jquantlib.processes.StochasticProcess

Applies a change to the asset value.

apply(double, double) - Method in class org.jquantlib.processes.StochasticProcess1D

Applies a change to the asset value.

apply(double[], double[]) - Method in class org.jquantlib.processes.StochasticProcess1D

apply(Array, DoubleFunction) - Static method in class org.jquantlib.util.stdlibc.Std

apply(Array, int, int, DoubleFunction) - Static method in class org.jquantlib.util.stdlibc.Std

applyAfterApplying(Array) - Method in interface org.jquantlib.methods.finitedifferences.BoundaryCondition

applyAfterApplying(Array) - Method in class org.jquantlib.methods.finitedifferences.DirichletBC

applyAfterApplying(Array) - Method in class org.jquantlib.methods.finitedifferences.NeumannBC

applyAfterSolving(Array) - Method in interface org.jquantlib.methods.finitedifferences.BoundaryCondition

applyAfterSolving(Array) - Method in class org.jquantlib.methods.finitedifferences.DirichletBC

applyAfterSolving(Array) - Method in class org.jquantlib.methods.finitedifferences.NeumannBC

applyBeforeApplying(T) - Method in interface org.jquantlib.methods.finitedifferences.BoundaryCondition

applyBeforeApplying(TridiagonalOperator) - Method in class org.jquantlib.methods.finitedifferences.DirichletBC

applyBeforeApplying(TridiagonalOperator) - Method in class org.jquantlib.methods.finitedifferences.NeumannBC

applyBeforeSolving(T, Array) - Method in interface org.jquantlib.methods.finitedifferences.BoundaryCondition

applyBeforeSolving(TridiagonalOperator, Array) - Method in class org.jquantlib.methods.finitedifferences.DirichletBC

applyBeforeSolving(TridiagonalOperator, Array) - Method in class org.jquantlib.methods.finitedifferences.NeumannBC

applyExerciseCondition() - Method in class org.jquantlib.assets.DiscretizedOption

applyTo(Array, double) - Method in class org.jquantlib.methods.finitedifferences.CurveDependentStepCondition

applyTo(Object, double) - Method in class org.jquantlib.methods.finitedifferences.NullCondition

applyTo(Array) - Method in interface org.jquantlib.methods.finitedifferences.Operator

applyTo(Array, double) - Method in class org.jquantlib.methods.finitedifferences.ShoutCondition

applyTo(T, double) - Method in interface org.jquantlib.methods.finitedifferences.StepCondition

applyTo(Vector<T>, double) - Method in class org.jquantlib.methods.finitedifferences.StepConditionSet

applyTo(Array) - Method in class org.jquantlib.methods.finitedifferences.TridiagonalOperator

applyTo(List<Double>, double) - Method in class org.jquantlib.methods.finitedifferences.ZeroCondition

applyToValue(double, double) - Method in class org.jquantlib.methods.finitedifferences.AmericanCondition

applyToValue(double, double) - Method in class org.jquantlib.methods.finitedifferences.CurveDependentStepCondition

applyToValue(double, double) - Method in class org.jquantlib.methods.finitedifferences.ShoutCondition

Argentina - Class in org.jquantlib.time.calendars

Source: BCBA Holidays

Argentina(Argentina.Market) - Constructor for class org.jquantlib.time.calendars.Argentina

Argentina.Market - Enum in org.jquantlib.time.calendars

Argentina.Market() - Constructor for enum org.jquantlib.time.calendars.Argentina.Market

ArgentinaSettlementCalendar - Class in org.jquantlib.time.calendars

ArgentinaSettlementCalendar() - Constructor for class org.jquantlib.time.calendars.ArgentinaSettlementCalendar

Arguments - Class in org.jquantlib.pricingengines.arguments

Arguments are used by new-style Instruments in order to inform inputs to PricingEngines

Arguments() - Constructor for class org.jquantlib.pricingengines.arguments.Arguments

arguments - Variable in class org.jquantlib.pricingengines.GenericEngine

Array - Class in org.jquantlib.math

1-D array used in linear algebra.

Array() - Constructor for class org.jquantlib.math.Array

Array(int) - Constructor for class org.jquantlib.math.Array

Array(int, double) - Constructor for class org.jquantlib.math.Array

Array(int, double, double) - Constructor for class org.jquantlib.math.Array

Creates the array and fills it according to \f$ a_{0} = value, a_{i}=a_{i-1}+increment \f$

Array(double[]) - Constructor for class org.jquantlib.math.Array

ARRAY_1D_REQUIRED - Static variable in class org.jquantlib.processes.StochasticProcess1D

asr_ - Variable in class org.jquantlib.math.distributions.BivariateNormalDistribution.eqn3

AssetOrNothingPayoff - Class in org.jquantlib.instruments

Binary asset-or-nothing payoff which pays off nothing if the underlying asset price finishes below/above the strike price , or pays out the asset price itself if the underlying asset finishes above/below the strike price.

AssetOrNothingPayoff(Option.Type, double) - Constructor for class org.jquantlib.instruments.AssetOrNothingPayoff

Constructs a typed Payoff with a fixed strike price and the policy of an asset-or-nothing payoff

assetOrNothingPayoffVisitor - Variable in class org.jquantlib.pricingengines.BlackCalculator.Calculator

assign(T) - Method in class org.jquantlib.util.ObservableValue

assign(ObservableValue<T>) - Method in class org.jquantlib.util.ObservableValue

at(int) - Method in class org.jquantlib.math.Array

at(int) - Method in class org.jquantlib.time.TimeGrid

atReference(int) - Method in class org.jquantlib.math.Array

Australia - Class in org.jquantlib.time.calendars

Holidays: Saturdays Sundays New Year's Day, January 1st Australia Day, January 26th (possibly moved to MONDAY) Good Friday Easter MONDAY ANZAC Day.

Australia() - Constructor for class org.jquantlib.time.calendars.Australia

AUSTRALIA - Static variable in class org.jquantlib.time.calendars.Australia

average - Variable in class org.jquantlib.math.distributions.InverseCumulativeNormal

average - Variable in class org.jquantlib.math.distributions.NormalDistribution

AverageType - Enum in org.jquantlib.instruments

Average/Asian option type.

AverageType() - Constructor for enum org.jquantlib.instruments.AverageType

averageType - Variable in class org.jquantlib.pricingengines.arguments.ContinuousAveragingAsianOptionArguments

averageType - Variable in class org.jquantlib.pricingengines.arguments.DiscreteAveragingAsianOptionArguments

averageType_ - Variable in class org.jquantlib.instruments.ContinuousAveragingAsianOption

averageType_ - Variable in class org.jquantlib.instruments.DiscreteAveragingAsianOption