Index (Quant-Finance-Library 1.17.0 API)

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
All Classes and Interfaces|All Packages|Constant Field Values

A

above(double[], double[]) - Static method in class com.quantfinlib.dsl.Rules
aboveIchimokuCloud() - Static method in class com.quantfinlib.screener.TechnicalFilters: Close above both Ichimoku cloud spans on the last bar.
aboveValue(double[], double) - Static method in class com.quantfinlib.dsl.Rules
accept(boolean, double, double) - Method in class com.quantfinlib.trading.LastLookGate: The decision at the end of the hold: accept iff the fair price is still within tolerance of the quote.
accept(ServerSocket, FixSession.Config, FixSession.Listener) - Static method in class com.quantfinlib.fix.FixSession: Accepts one connection, awaits the peer's Logon, replies, and returns established.
accept(ServerSocket, FixSession.Config, FixSession.Listener, FixSessionStore) - Static method in class com.quantfinlib.fix.FixSession: As FixSession.accept(ServerSocket, Config, Listener) with a durable session store.
accepted(NewOrderSingle, String, String) - Static method in record class com.quantfinlib.fix.ExecutionReport: Venue-side convenience: acknowledge a new order.
accepts() - Method in class com.quantfinlib.trading.LastLookGate
AccountSnapshot(double, double, double, int, Map<String, Double>) - Constructor for record class com.quantfinlib.trading.PaperTradingGateway.AccountSnapshot: Creates an instance of a AccountSnapshot record class.
accruedInterest(double, double, int, LocalDate, LocalDate, DayCount) - Static method in class com.quantfinlib.rates.BondPricer: Accrued interest at settlement (accrual on unadjusted period dates).
acquiredCount() - Method in class com.quantfinlib.trading.OrderThrottle: Permits granted so far.
acquirer() - Method in record class com.quantfinlib.data.PointInTimeUniverse.TerminalEvent: Returns the value of the acquirer record component.
acquirerSharesPerShare() - Method in record class com.quantfinlib.data.PointInTimeUniverse.TerminalEvent: Returns the value of the acquirerSharesPerShare record component.
ACT_360 - Enum constant in enum class com.quantfinlib.rates.DayCount: Actual days / 360 — money markets (USD LIBOR/SOFR style).
ACT_365 - Enum constant in enum class com.quantfinlib.rates.DayCount: Actual days / 365 (fixed) — GBP money markets, many swaps.
ACT_ACT_ISDA - Enum constant in enum class com.quantfinlib.rates.DayCount: ACT/ACT ISDA — government bonds and ISDA swap legs; leap-year exact.
action(int) - Method in class com.quantfinlib.fix.FixMarketDataView: FixMarketDataView.ACTION_NEW / FixMarketDataView.ACTION_CHANGE / FixMarketDataView.ACTION_DELETE.
Action(boolean, double) - Constructor for record class com.quantfinlib.hedging.WhalleyWilmott.Action: Creates an instance of a Action record class.
ACTION_CHANGE - Static variable in class com.quantfinlib.fix.FixMarketDataView
ACTION_DELETE - Static variable in class com.quantfinlib.fix.FixMarketDataView
ACTION_NEW - Static variable in class com.quantfinlib.fix.FixMarketDataView: MDUpdateAction values (279); W entries report FixMarketDataView.ACTION_NEW.
active() - Method in class com.quantfinlib.microstructure.QueuePositionEstimator
activeReturn() - Method in record class com.quantfinlib.backtest.BenchmarkComparison.Result: Returns the value of the activeReturn record component.
actualDrawdownPct() - Method in record class com.quantfinlib.backtest.validation.MonteCarloTradeShuffle.Result: Returns the value of the actualDrawdownPct record component.
actualMaxDrawdown() - Method in record class com.quantfinlib.backtest.validation.MonteCarloTradeShuffle.Result: Returns the value of the actualMaxDrawdown record component.
actualPnl() - Method in record class com.quantfinlib.hedging.OptionsBook.PnlExplain: Returns the value of the actualPnl record component.
AdaptiveSor - Class in com.quantfinlib.execution: The full-checklist smart order router: where SmartOrderRouter ranks venues purely on fee-adjusted displayed price and HftSor does the same at tick-path speed, this router prices in everything a production SOR actually weighs: Displayed liquidity and fees/rebates — the all-in price, as before; Probability of fill / venue reliability — a venue's VenueScorecard fill rate discounts its quote: expected cost adds (1 − fillRate) × missPenalty (the spread-ish cost of re-routing a faded child), and venues below a reliability floor are vetoed outright; Latency — slower venues pay latency × urgency: in a moving market, microseconds of delay are adverse selection.
AdaptiveSor(VenueScorecard) - Constructor for class com.quantfinlib.execution.AdaptiveSor
AdaptiveSor(VenueScorecard, AdaptiveSor.Config) - Constructor for class com.quantfinlib.execution.AdaptiveSor
AdaptiveSor.Config - Record Class in com.quantfinlib.execution: Tunable penalties; AdaptiveSor.Config.defaults() is a sane starting point.
AdaptiveSor.RoutingDecision - Record Class in com.quantfinlib.execution: The routed plan: lit legs cover up to the requested quantity (best-expected-cost first); probes are additive contingent dark legs sent alongside; unrouted is the shortfall no eligible lit venue could absorb (0 on a fully routed order).
add(double, double, double) - Method in class com.quantfinlib.pricing.VolSurface.Builder: Adds one pillar quote.
add(double, double, double, double, double) - Method in class com.quantfinlib.fx.FxVolSurface.Builder: 25Δ-only smile quote (rr/bf in absolute vol, e.g. 0.01 = 1 vol point).
add(double, double, double, double, double, double, double) - Method in class com.quantfinlib.fx.FxVolSurface.Builder: Full five-pillar quote with 10Δ wings.
add(long, double, double, double, double, double) - Method in class com.quantfinlib.core.BarSeries.Builder
add(Bar) - Method in class com.quantfinlib.core.BarSeries.Builder
add(BenchmarkExecutor) - Method in class com.quantfinlib.execution.PortfolioExecutor: Registers a child parent order; returns its handle for decide/onFill.
add(VenueBenchmark.Sample) - Method in class com.quantfinlib.execution.VenueBenchmark
add(BestExecutionAnalyzer.OrderOutcome) - Method in class com.quantfinlib.regulatory.BestExecutionAnalyzer
add(String, double) - Method in class com.quantfinlib.fx.SwapPointsCurve.Builder: Adds a pillar quoted in pips (market form: "1M EURUSD +12.6"), scaled by the pair's pip size internally.
add(String, double...) - Method in class com.quantfinlib.backtest.validation.ParameterGrid
add(String, double, String[], double[]) - Method in class com.quantfinlib.crb.CrbHedgeUniverse: A general instrument: per-unit loadings onto named factors.
ADD - Static variable in class com.quantfinlib.marketdata.ItchCodec
ADD_MPID - Static variable in class com.quantfinlib.marketdata.ItchCodec
addAllocation(Map<String, Double>) - Method in class com.quantfinlib.report.ReportGenerator
addBand(double, double) - Method in class com.quantfinlib.microstructure.TickSizeSchedule.Builder: The tick that applies from floorPrice up to the next band's floor.
addBar(String, Bar) - Method in class com.quantfinlib.marketdata.HistoricalDataStore
addBusinessDays(LocalDate, int) - Method in class com.quantfinlib.rates.BusinessCalendar: Adds n >= 0 business days — e.g.
addBuy(double, long) - Method in class com.quantfinlib.microstructure.Auction: Adds a buy limit order to the call book.
addCount() - Method in class com.quantfinlib.marketdata.L3BookBuilder
addCriterion(String, double, ToDoubleFunction<StockSnapshot>) - Method in class com.quantfinlib.screener.RankingEngine
addCross(String, String, String, CrossRateEngine.Op, TickListener) - Method in class com.quantfinlib.fx.CrossRateEngine: Registers a synthetic cross.
addDay(double[]) - Method in class com.quantfinlib.ml.IntradayLiquidityForecaster: Adds one day's observed volume per bucket.
addDrawdownChart(String, double[]) - Method in class com.quantfinlib.report.ReportGenerator: Inline SVG drawdown chart (rendered in HTML export only).
addEquityCurveChart(String, double[]) - Method in class com.quantfinlib.report.ReportGenerator: Inline SVG equity-curve chart (rendered in HTML export only).
addExecutionListener(OrderGateway.ExecutionListener) - Method in interface com.quantfinlib.trading.OrderGateway
addExecutionListener(OrderGateway.ExecutionListener) - Method in class com.quantfinlib.trading.PaperTradingGateway
addFromPrice(BlackScholes.OptionType, double, double, double, double, double, double) - Method in class com.quantfinlib.pricing.VolSurface.Builder: Adds a pillar from a market option price via implied-vol inversion.
addFxForward(String, String, double, double) - Method in class com.quantfinlib.crb.CrbHedgeUniverse: An FX forward/spot hedge on pair: one unit of base notional loads the two currency legs exactly as a booked trade would.
addHtmlSection(String, String) - Method in class com.quantfinlib.report.Report.Builder: Raw HTML section (e.g. an inline SVG chart); HTML export only.
addJointBusinessDays(LocalDate, int) - Method in class com.quantfinlib.fx.CurrencyPair: Adds n joint business days (n >= 0).
addKeyValueSection(String, Map<String, String>) - Method in class com.quantfinlib.report.Report.Builder: Two-column "Metric / Value" section.
addMarketBuy(long) - Method in class com.quantfinlib.microstructure.Auction: Adds a market-on-auction buy (eligible at any clearing price).
addMarketSell(long) - Method in class com.quantfinlib.microstructure.Auction: Adds a market-on-auction sell.
addMembership(String, long) - Method in class com.quantfinlib.data.PointInTimeUniverse: Membership from a date with no known end (a current constituent).
addMembership(String, long, long) - Method in class com.quantfinlib.data.PointInTimeUniverse: Adds a membership interval (inclusive of both endpoints).
addMonteCarlo(SimulationResult) - Method in class com.quantfinlib.report.ReportGenerator
addOnFactor(double) - Static method in class com.quantfinlib.risk.CounterpartyExposureTracker: BIS CEM-style FX add-on factor by residual tenor.
addOption(OptionsBook.OptionPosition) - Method in class com.quantfinlib.hedging.OptionsBook
addOption(String, BlackScholes.OptionType, double, double, double, double) - Method in class com.quantfinlib.hedging.OptionsBook
addOrderListener(OrderListener) - Method in class com.quantfinlib.trading.HftOrderGateway
addPerformance(String, PerformanceMetrics) - Method in class com.quantfinlib.report.ReportGenerator
addPoint(double, double) - Method in class com.quantfinlib.pricing.ForwardCurve
addPortfolioSummary(Portfolio) - Method in class com.quantfinlib.report.ReportGenerator
addPosition(String, double, double) - Method in class com.quantfinlib.risk.Portfolio
addRiskAnalysis(PortfolioRiskAnalyzer.RiskReport) - Method in class com.quantfinlib.report.ReportGenerator
addSection(String, Map<String, String>) - Method in class com.quantfinlib.report.ReportGenerator
addSell(double, long) - Method in class com.quantfinlib.microstructure.Auction: Adds a sell limit order to the call book.
addSingleFactor(String, String, double) - Method in class com.quantfinlib.crb.CrbHedgeUniverse: An instrument that is one unit of exactly one factor.
addStrategyPerformance(BacktestResult) - Method in class com.quantfinlib.report.ReportGenerator
addTableSection(String, List<String>, List<List<String>>) - Method in class com.quantfinlib.report.Report.Builder
addTechnicalSummary(BarSeries) - Method in class com.quantfinlib.report.ReportGenerator: Snapshot of key technical indicators on the last bar of the series.
addTrade(CounterpartyExposureTracker.CounterpartyTrade) - Method in class com.quantfinlib.risk.CounterpartyExposureTracker
addTradeHistory(List<Trade>) - Method in class com.quantfinlib.report.ReportGenerator
addTradeListener(OrderBook.TradeListener) - Method in class com.quantfinlib.orderbook.OrderBook
addUnderlying(double) - Method in class com.quantfinlib.hedging.OptionsBook: Adds (or hedges with) the underlying; negative = short.
adfTStatistic() - Method in record class com.quantfinlib.hedging.CointegrationTest.EngleGrangerResult: Returns the value of the adfTStatistic record component.
adfTStatistic(double[]) - Static method in class com.quantfinlib.hedging.CointegrationTest: Dickey-Fuller t-statistic (no constant, no lags — appropriate for mean-zero regression residuals): regress Δe_t = γ e_{t-1} + u_t and return t = γ̂ / se(γ̂).
adjust(BarSeries, List<CorporateActions.CorporateAction>) - Static method in class com.quantfinlib.data.CorporateActions: Returns a new back-adjusted series; the input is untouched.
adjustDivisor(double, double, double) - Static method in class com.quantfinlib.markets.IndexConstruction: The rescaled divisor that keeps the level CONTINUOUS through a membership/share/float change: pass the aggregate cap before and after the change (both at the same instant).
adjustedSpot(double, double, double) - Method in class com.quantfinlib.pricing.DividendSchedule: Escrowed spot: what actually diffuses once dividend PV is stripped.
adverseSelectionBps() - Method in record class com.quantfinlib.crb.CrbRouter.DarkVenue: Returns the value of the adverseSelectionBps record component.
adx() - Method in record class com.quantfinlib.indicators.Indicators.Adx: Returns the value of the adx record component.
adx(BarSeries, int) - Static method in class com.quantfinlib.indicators.Indicators: Average Directional Index with +DI / -DI (Wilder).
Adx(double[], double[], double[]) - Constructor for record class com.quantfinlib.indicators.Indicators.Adx: Creates an instance of a Adx record class.
adxAbove(int, double) - Static method in class com.quantfinlib.screener.TechnicalFilters
AggregatedBook - Class in com.quantfinlib.fx: Multi-venue aggregated top-of-book — the core e-FX data structure: each liquidity provider / ECN streams its own two-sided quote, and the aggregator maintains the composite best bid/offer with venue attribution.
AggregatedBook(int) - Constructor for class com.quantfinlib.fx.AggregatedBook
aic(double, int) - Static method in class com.quantfinlib.volatility.InformationCriteria: Akaike information criterion 2k - 2 ln L.
allExposures() - Method in class com.quantfinlib.risk.CounterpartyExposureTracker: Total exposure per counterparty (insertion order preserved).
allFills() - Method in class com.quantfinlib.backtest.ExecutionAwareResult: Every child fill of the run, in execution order.
allocate(double[], double[][], double) - Static method in class com.quantfinlib.risk.ComponentVar: Euler allocation of delta-normal VaR.
allocateProportionally(long, double[]) - Static method in class com.quantfinlib.execution.VwapScheduler: Largest-remainder proportional allocation: integer quantities that sum exactly to total, proportional to weights.
Allocation(double[], double, double, double) - Constructor for record class com.quantfinlib.optimization.PortfolioOptimizer.Allocation: Creates an instance of a Allocation record class.
Allocation(double, double[], double[]) - Constructor for record class com.quantfinlib.risk.ComponentVar.Allocation: Creates an instance of a Allocation record class.
Allocation(double, double[], double, double) - Constructor for record class com.quantfinlib.crb.CrbRouter.Allocation: Creates an instance of a Allocation record class.
allSymbols() - Method in class com.quantfinlib.data.PointInTimeUniverse: Every symbol that ever appears in this universe (living and dead).
AlmgrenChriss - Class in com.quantfinlib.microstructure: Almgren-Chriss (2000) optimal execution: the trading trajectory that minimizes E[cost] + λ·Var[cost] when liquidating X shares over a horizon, trading off temporary impact (fast execution is expensive) against price risk (slow execution is risky).
AlmgrenChriss.Params - Record Class in com.quantfinlib.microstructure
AlmgrenChriss.Trajectory - Record Class in com.quantfinlib.microstructure: The optimal schedule: holdings[j] is the position after interval j (holdings[0] = X, holdings[N] = 0); trades[j] is sold in interval j+1.
alpha() - Method in record class com.quantfinlib.backtest.BenchmarkComparison.Result: Returns the value of the alpha record component.
alpha() - Method in record class com.quantfinlib.execution.BenchmarkExecutor.MarketState: Returns the value of the alpha record component.
alpha() - Method in class com.quantfinlib.microstructure.KalmanBeta: The current intercept estimate.
alpha() - Method in record class com.quantfinlib.pricing.SabrModel.Params: Returns the value of the alpha record component.
alpha() - Method in record class com.quantfinlib.volatility.Egarch11.Params: Returns the value of the alpha record component.
alpha() - Method in record class com.quantfinlib.volatility.Garch11.Params: Returns the value of the alpha record component.
alpha() - Method in record class com.quantfinlib.volatility.GjrGarch11.Params: Returns the value of the alpha record component.
alpha(int) - Method in class com.quantfinlib.microstructure.SignalEngine: The weighted intraday composite in roughly [-1, 1]: each ingredient is dimensionless (imbalances natively; OFI as a clamped fraction of decayed displayed depth; momentum as a clamped ratio to volatility over the fast horizon), blended by the Config weights and divided by their sum. 0 when unseeded or all weights are 0.
AlphaBacktester - Class in com.quantfinlib.alpha: Execution-aware factor backtest: runs a factor through a construction pipeline into weights, holds them between rebalances, and charges the four costs that separate paper alpha from real alpha: Commission — flat bps on traded notional; Bid-ask spread — half-spread bps paid on every trade (crossing the spread once per side); Slippage — additional fixed bps of implementation noise (latency, partial fills, venue fees); Market impact — the size-dependent cost, via the square-root law in microstructure.MarketImpactModel, with per-symbol ADV and daily vol estimated from the trailing window.
AlphaBacktester.Config - Record Class in com.quantfinlib.alpha
AlphaBacktester.Result - Record Class in com.quantfinlib.alpha: Net/gross curves plus the cumulative fraction of equity each cost component consumed — the cost autopsy.
AlphaBacktester.WeightBuilder - Interface in com.quantfinlib.alpha: Builds target weights from raw scores at a rebalance (the construction hook).
AlphaContext - Class in com.quantfinlib.alpha: The research dataset an alpha factor operates on: an index-aligned panel of price series over a fixed symbol order, with optional fundamentals.
AlphaEnsemble - Class in com.quantfinlib.microstructure: IC-weighted alpha ensemble — the layer above the individual signals.
AlphaEnsemble(int) - Constructor for class com.quantfinlib.microstructure.AlphaEnsemble: 1% IC weight (≈ a few-hundred-observation memory).
AlphaEnsemble(int, double) - Constructor for class com.quantfinlib.microstructure.AlphaEnsemble
AlphaFactor - Interface in com.quantfinlib.alpha: A cross-sectional alpha factor: at a bar index, one raw score per symbol, where higher = more attractive to own (buy high scores, sell low).
alphaPerBar() - Method in record class com.quantfinlib.alpha.AlphaReport.Attribution: Returns the value of the alphaPerBar record component.
AlphaReport - Class in com.quantfinlib.alpha: Alpha reporting — the diagnostics that explain a factor's P&L rather than just totalling it: Alpha decay — mean IC as a function of the forward horizon.
AlphaReport.Attribution - Record Class in com.quantfinlib.alpha: OLS attribution: per-bar residual alpha, factor betas, and fit quality.
AlphaReport.Decay - Record Class in com.quantfinlib.alpha: IC per horizon plus the interpolated half-life of the shortest-horizon IC.
AlphaValidation - Class in com.quantfinlib.alpha: Validation for alpha factors — the overfitting defense, run before any capital-weighted conclusion is drawn: Walk-forward — pick the best factor variant on a training window by in-sample IC, measure it on the following unseen window, roll forward.
AlphaValidation.CrossValidationResult - Record Class in com.quantfinlib.alpha: Per-block ICs with their dispersion — consistency across regimes.
AlphaValidation.Fold - Record Class in com.quantfinlib.alpha: One walk-forward fold: what was chosen, and how it did out of sample.
AlphaValidation.RobustnessResult - Record Class in com.quantfinlib.alpha: Observed mean IC against its permutation null distribution.
AlphaValidation.SensitivityResult - Record Class in com.quantfinlib.alpha: IC across the sweep plus the worst adjacent-parameter drop.
AlphaValidation.WalkForwardResult - Record Class in com.quantfinlib.alpha: All folds plus the aggregate in-sample vs out-of-sample comparison.
AMBER - Enum constant in enum class com.quantfinlib.risk.FrtbEs.TrafficLight
AMBER - Enum constant in enum class com.quantfinlib.risk.PnlAttribution.Zone
AMERICAN - Enum constant in enum class com.quantfinlib.pricing.BinomialTree.ExerciseStyle
amihudIlliquidity(double[], double[]) - Static method in class com.quantfinlib.microstructure.LiquidityMeasures: Amihud illiquidity: mean(|return| / dollarVolume) — return per currency unit traded.
amountBase() - Method in record class com.quantfinlib.hedging.FxHedger.FxExposure: Returns the value of the amountBase record component.
analyze(double[]) - Static method in class com.quantfinlib.backtest.DrawdownAnalytics
analyze(double[], double[]) - Static method in class com.quantfinlib.hedging.PairsHedger
analyze(double[], double, double, long, long, long, double) - Static method in class com.quantfinlib.regulatory.FixAnalyzer: Screens one participant's fixing-window activity.
analyze(double, int) - Method in class com.quantfinlib.risk.PortfolioRiskAnalyzer
analyze(BarSeries, ParameterGrid, StrategyFactory, BacktestConfig, int, int, ToDoubleFunction<PerformanceMetrics>) - Static method in class com.quantfinlib.backtest.validation.WalkForwardAnalyzer
analyze(List<Trade>) - Static method in class com.quantfinlib.backtest.TradeAnalytics
analyze(List<Trade>, int, long) - Static method in class com.quantfinlib.backtest.validation.MonteCarloTradeShuffle
analyze(List<Execution>, double, double, double[]) - Static method in class com.quantfinlib.microstructure.TransactionCostAnalyzer
anchorSpot() - Method in class com.quantfinlib.pricing.IncrementalGreeks: The spot the expansion is anchored at (NaN before the first reprice).
and(Rule) - Method in interface com.quantfinlib.dsl.Rule
and(ScreenFilter) - Method in interface com.quantfinlib.screener.ScreenFilter
annualizedReturn() - Method in record class com.quantfinlib.backtest.PerformanceMetrics: Returns the value of the annualizedReturn record component.
annualizedRollYield(double, double) - Method in class com.quantfinlib.commodities.CommodityCurve: Annualized roll yield earned by a LONG rolling from nearYears to farYears: positive in backwardation.
annualizedVol(double[], int) - Method in class com.quantfinlib.volatility.EwmaVolatility
annualizedVolatility() - Method in record class com.quantfinlib.backtest.PerformanceMetrics: Returns the value of the annualizedVolatility record component.
annualizedVolatility() - Method in record class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport: Returns the value of the annualizedVolatility record component.
annualizedVolatility(double[], int) - Static method in class com.quantfinlib.risk.RiskMetrics
annuity(YieldCurve, int) - Static method in class com.quantfinlib.rates.SwapPricer: PV of the annual fixed-leg annuity, per unit notional.
annuity(YieldCurve, int, int) - Static method in class com.quantfinlib.rates.RatesOptions: PV of 1 per year paid annually over (startYears, startYears+tenorYears].
Anomaly(int, String, double) - Constructor for record class com.quantfinlib.ml.AnomalyDetector.Anomaly: Creates an instance of a Anomaly record class.
AnomalyDetector - Class in com.quantfinlib.ml: Surveillance anomaly detection over interval-aggregated market activity: Quote stuffing — message-rate spikes (robust z-score) combined with an abnormal order-to-trade ratio: lots of quoting, little trading. Price spikes — interval returns far outside their recent distribution.
AnomalyDetector.Anomaly - Record Class in com.quantfinlib.ml
AntiGamingJitter - Class in com.quantfinlib.execution: Anti-gaming randomization for schedule-driven algos — a TWAP that fires identical children on a metronome is a gift to anyone watching the tape: predators detect the clock in a handful of intervals and lean on every child.
AntiGamingJitter(long, double, double) - Constructor for class com.quantfinlib.execution.AntiGamingJitter
approved() - Method in record class com.quantfinlib.risk.PreTradeLimitChecker.CheckResult: Returns the value of the approved record component.
arbitrageBps(TriangularArbitrage.Quote, TriangularArbitrage.Quote, TriangularArbitrage.Quote) - Static method in class com.quantfinlib.pricing.TriangularArbitrage: Best executable round-trip edge in basis points (positive = arbitrage): Path 1 — buy A synthetically via B (ab.ask * bc.ask) and sell it directly at ac.bid. Path 2 — buy A directly at ac.ask and sell it via B at ab.bid * bc.bid.
arithmeticPrice(BlackScholes.OptionType, double, double, double, double, double, double, int) - Static method in class com.quantfinlib.pricing.AsianOption: Arithmetic-average Asian price via Turnbull-Wakeman two-moment lognormal matching (see class doc; O(n^2) in the fixing count).
ARRIVAL_PRICE - Enum constant in enum class com.quantfinlib.execution.BenchmarkExecutor.Benchmark: Minimize slippage vs the price when the order arrived (front-loaded).
arrivalMid() - Method in record class com.quantfinlib.microstructure.TransactionCostAnalyzer.TcaReport: Returns the value of the arrivalMid record component.
arrivalMid() - Method in record class com.quantfinlib.regulatory.BestExecutionAnalyzer.OrderOutcome: Returns the value of the arrivalMid record component.
arrivalPrice() - Method in record class com.quantfinlib.backtest.ExecutionAlgoBacktester.Result: Returns the value of the arrivalPrice record component.
arrivalPrice() - Method in record class com.quantfinlib.backtest.ParentOrder: Returns the value of the arrivalPrice record component.
AsianOption - Class in com.quantfinlib.pricing: ASIAN (average-price) options — the corporate hedger's option: paying off on the AVERAGE of n fixings instead of one closing print kills both the expiry-day manipulation incentive and most of the vol (an average is smoother than its endpoints), which is why commodity and FX hedging programs default to them.
ask() - Method in record class com.quantfinlib.crb.SkewedQuoter.Quote: Returns the value of the ask record component.
ask() - Method in record class com.quantfinlib.execution.VenueQuote: Returns the value of the ask record component.
ask() - Method in record class com.quantfinlib.pricing.TriangularArbitrage.Quote: Returns the value of the ask record component.
askPrice() - Method in class com.quantfinlib.sbe.QuoteFlyweight
askQuote(double, double, double, double) - Method in class com.quantfinlib.trading.AvellanedaStoikov: The ask to quote: reservation price plus the optimal half-spread.
askSize() - Method in record class com.quantfinlib.execution.VenueQuote: Returns the value of the askSize record component.
askSize() - Method in class com.quantfinlib.marketdata.Nbbo: Total displayed size at the national best offer, across venues.
askSize() - Method in class com.quantfinlib.sbe.QuoteFlyweight
askTick() - Method in class com.quantfinlib.marketdata.Nbbo: National best offer in ticks; Nbbo.NO_ASK when no venue offers.
askVenues() - Method in class com.quantfinlib.marketdata.Nbbo: Bitmask of venues quoting at the national best offer.
assetOrNothing(BlackScholes.OptionType, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.DigitalOption: Pays one unit of the underlying if the option finishes in the money.
assetVaR() - Method in record class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport: Returns the value of the assetVaR record component.
assetVolatilities() - Method in record class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport: Returns the value of the assetVolatilities record component.
AsyncTickCapture - Class in com.quantfinlib.data: Tick capture with the file I/O taken OFF the bus consumer thread — the hot-lane variant of TickCapture.
atMarket(SwapPointsCurve, String, String, double) - Static method in class com.quantfinlib.fx.FxSwap: At-market swap struck off a points curve: both legs at the curve's outrights, so inception value is zero by construction.
atmVol(double) - Method in class com.quantfinlib.fx.FxVolSurface: ATM (delta-neutral straddle) vol at an expiry: the smile at zero skew.
atmVol(double, double) - Method in class com.quantfinlib.pricing.VolSurface: ATM vol, taking the forward (or spot) as the at-the-money strike.
atOrBetterThanArrivalPct() - Method in record class com.quantfinlib.regulatory.BestExecutionAnalyzer.BestExecutionReport: Returns the value of the atOrBetterThanArrivalPct record component.
atr(BarSeries, int) - Static method in class com.quantfinlib.indicators.Indicators: Average True Range (Wilder smoothing).
atRiskCap() - Method in record class com.quantfinlib.execution.SpreadExecutionAlgo.Children: Returns the value of the atRiskCap record component.
atrPercentBelow(int, double) - Static method in class com.quantfinlib.screener.TechnicalFilters: ATR as a fraction of price below the threshold (low-volatility screen).
attach(HftMarketDataBus, Path) - Static method in class com.quantfinlib.data.TickCapture: Creates a capture and subscribes it to every symbol on the bus.
attach(HftMarketDataBus, Path, int) - Static method in class com.quantfinlib.data.AsyncTickCapture: Creates the capture, subscribes it to every symbol, starts the writer.
attachLatency(String, LatencyRecorder) - Method in class com.quantfinlib.trading.TradingDashboard: Attaches a latency histogram to the status payload (call before or after start).
attempts() - Method in record class com.quantfinlib.execution.VenueBenchmark.VenueStats: Returns the value of the attempts record component.
attempts(int) - Method in class com.quantfinlib.fx.LpScorecard: Invariant: attempts == fills + rejects (kept explicit for future outcomes).
attribute(double[], double[][], List<String>) - Static method in class com.quantfinlib.alpha.AlphaReport: Regresses portfolio returns on factor return streams (with an intercept) via the normal equations: r_p = α + Σ βᵢ·fᵢ + ε.
Attribution(double, double[], List<String>, double) - Constructor for record class com.quantfinlib.alpha.AlphaReport.Attribution: Creates an instance of a Attribution record class.
Auction - Class in com.quantfinlib.microstructure: A call auction (open/close/volatility uncross): orders accumulate without trading, then a single clearing price executes the maximum matchable volume — the mechanism behind exchange opens, the close every benchmark-tracking strategy trades, and LULD/volatility-halt reopenings.
Auction() - Constructor for class com.quantfinlib.microstructure.Auction
Auction.Result - Record Class in com.quantfinlib.microstructure: Auction outcome: clearing price, matched volume, and leftover imbalance.
auctionShare() - Method in class com.quantfinlib.microstructure.ClosingAuctionModel: The learned typical auction share of daily volume (0 until learned).
Autocallable - Class in com.quantfinlib.pricing: Autocallable note pricer — the flagship equity structured product: a note that pays a fat coupon and redeems early ("autocalls") the first observation date the underlier closes at or above the autocall barrier.
Autocallable(double, double[], double, double, double, double, boolean) - Constructor for class com.quantfinlib.pricing.Autocallable
AutoHedger - Class in com.quantfinlib.trading: Live position-band auto-hedger on the fast lane — the streaming counterpart to the batch hedging.DeltaHedger: while the batch hedger rebalances on a schedule against a model delta, this one watches the risk gate's live position on every tick and fires a flattening order through the HftOrderGateway the moment the band is breached.
AutoHedger(HftOrderGateway, int, long, long) - Constructor for class com.quantfinlib.trading.AutoHedger
AvellanedaStoikov - Class in com.quantfinlib.trading: Avellaneda-Stoikov (2008) optimal market-making quotes — the principled version of the inventory skew HftQuoter applies heuristically.
AvellanedaStoikov(double, double) - Constructor for class com.quantfinlib.trading.AvellanedaStoikov
AVG_PX - Static variable in class com.quantfinlib.fix.FixMessage
avgBarsHeldLosers() - Method in record class com.quantfinlib.backtest.TradeAnalytics.Result: Returns the value of the avgBarsHeldLosers record component.
avgBarsHeldWinners() - Method in record class com.quantfinlib.backtest.TradeAnalytics.Result: Returns the value of the avgBarsHeldWinners record component.
avgEffectiveSpreadBps() - Method in record class com.quantfinlib.execution.VenueBenchmark.VenueStats: Returns the value of the avgEffectiveSpreadBps record component.
avgEffectiveSpreadBps() - Method in record class com.quantfinlib.microstructure.TransactionCostAnalyzer.TcaReport: Returns the value of the avgEffectiveSpreadBps record component.
avgExecutionPrice() - Method in record class com.quantfinlib.microstructure.TransactionCostAnalyzer.TcaReport: Returns the value of the avgExecutionPrice record component.
avgFillPrice() - Method in record class com.quantfinlib.backtest.ExecutionAlgoBacktester.Result: Returns the value of the avgFillPrice record component.
avgFillPrice() - Method in record class com.quantfinlib.backtest.ParentOrder
avgHoldNanos(int) - Method in class com.quantfinlib.fx.LpScorecard: EWMA hold time across fills and rejects, in nanos.
avgLatencyToFillMillis() - Method in record class com.quantfinlib.execution.VenueBenchmark.VenueStats: Returns the value of the avgLatencyToFillMillis record component.
avgLoss() - Method in record class com.quantfinlib.backtest.TradeAnalytics.Result: Returns the value of the avgLoss record component.
avgMarkoutBps() - Method in record class com.quantfinlib.execution.VenueBenchmark.VenueStats: Returns the value of the avgMarkoutBps record component.
avgPrice() - Method in record class com.quantfinlib.fix.ExecutionReport: Returns the value of the avgPrice record component.
avgPrice() - Method in record class com.quantfinlib.orderbook.BookAnalytics.SweepResult: Returns the value of the avgPrice record component.
avgResponseNanos(int) - Method in class com.quantfinlib.rfq.RfqDealerScorecard: EWMA response time in nanos (0 before any quote).
avgSlippageBps() - Method in record class com.quantfinlib.regulatory.BestExecutionAnalyzer.BestExecutionReport: Returns the value of the avgSlippageBps record component.
avgSlippageBpsByVenue() - Method in record class com.quantfinlib.regulatory.BestExecutionAnalyzer.BestExecutionReport: Returns the value of the avgSlippageBpsByVenue record component.
avgSpreadToFairBps(int) - Method in class com.quantfinlib.rfq.RfqDealerScorecard: EWMA quoted spread to model fair in bps — the competitiveness number: how far off theory this dealer's ink lands, win or lose. 0 before any anchored quote.
avgWin() - Method in record class com.quantfinlib.backtest.TradeAnalytics.Result: Returns the value of the avgWin record component.

B

b0() - Method in record class com.quantfinlib.rates.NelsonSiegel.Fit: Returns the value of the b0 record component.
b0() - Method in record class com.quantfinlib.rates.Svensson.Fit: Returns the value of the b0 record component.
b1() - Method in record class com.quantfinlib.rates.NelsonSiegel.Fit: Returns the value of the b1 record component.
b1() - Method in record class com.quantfinlib.rates.Svensson.Fit: Returns the value of the b1 record component.
b2() - Method in record class com.quantfinlib.rates.NelsonSiegel.Fit: Returns the value of the b2 record component.
b2() - Method in record class com.quantfinlib.rates.Svensson.Fit: Returns the value of the b2 record component.
b3() - Method in record class com.quantfinlib.rates.Svensson.Fit: Returns the value of the b3 record component.
backtest() - Method in class com.quantfinlib.backtest.ExecutionAwareResult
backtest(BarSeries, double) - Method in class com.quantfinlib.dsl.StrategyBuilder.DslStrategy: Convenience: run a backtest with default costs and this strategy's risk settings.
backtest(BarSeries, BacktestConfig) - Method in class com.quantfinlib.dsl.StrategyBuilder.DslStrategy
BacktestConfig - Record Class in com.quantfinlib.backtest: Backtest execution parameters.
BacktestConfig(double, double, double, double, double, int) - Constructor for record class com.quantfinlib.backtest.BacktestConfig: Creates an instance of a BacktestConfig record class.
Backtester - Class in com.quantfinlib.backtest: Event-driven, single-instrument, long-only backtesting engine.
BacktestResult - Class in com.quantfinlib.backtest: Result of a backtest run: full equity curve (one point per bar), completed trade history, and derived performance metrics.
BacktestResult(String, String, double[], List<Trade>, int) - Constructor for class com.quantfinlib.backtest.BacktestResult
bandCount() - Method in class com.quantfinlib.microstructure.TickSizeSchedule
bandHalfWidth(double, double, double, double) - Static method in class com.quantfinlib.hedging.WhalleyWilmott: The optimal no-trade half-width around delta.
bar(int) - Method in class com.quantfinlib.core.BarSeries
Bar - Record Class in com.quantfinlib.core: Immutable OHLCV bar.
Bar(long, double, double, double, double, double) - Constructor for record class com.quantfinlib.core.Bar: Creates an instance of a Bar record class.
barCount(String) - Method in class com.quantfinlib.marketdata.HistoricalDataStore
BarrierOption - Class in com.quantfinlib.pricing: Single-barrier vanilla options — continuously monitored knock-in / knock-out — for the regular barrier configurations, priced in closed form by the reflection principle (Reiner–Rubinstein, as in Hull): Down barriers on calls with H ≤ K (barrier in the OTM region): down-and-in from the reflection formula, down-and-out from in–out parity KO = vanilla − KI; Up barriers on puts with H ≥ K, the mirror case.
bars() - Method in class com.quantfinlib.alpha.AlphaContext: Panel length in bars (every series has exactly this many).
BarSeries - Class in com.quantfinlib.core: Immutable, cache-friendly OHLCV time series backed by primitive arrays (structure-of-arrays layout, no boxing) for ultra-low-latency computation.
BarSeries.Builder - Class in com.quantfinlib.core
barsHeld() - Method in record class com.quantfinlib.backtest.Trade
base() - Method in class com.quantfinlib.fx.CurrencyPair
baseCalendar() - Method in class com.quantfinlib.fx.CurrencyPair: The base currency's own holiday calendar (single-center conventions).
baseline(int) - Method in class com.quantfinlib.microstructure.SpreadForecaster: The learned time-of-day baseline spread for a bucket (0 until learned).
baseline(int) - Method in class com.quantfinlib.microstructure.VolatilityCurve: The learned time-of-day baseline vol for a bucket (0 until learned).
baseNotional() - Method in class com.quantfinlib.fx.FxSwap
baseNotional() - Method in class com.quantfinlib.fx.Ndf
BEGIN_SEQ_NO - Static variable in class com.quantfinlib.fix.FixMessage
BEGIN_STRING - Static variable in class com.quantfinlib.fix.FixMessage
BEGIN_STRING_TAG - Static variable in class com.quantfinlib.fix.FixMessage
below(double[], double[]) - Static method in class com.quantfinlib.dsl.Rules
belowValue(double[], double) - Static method in class com.quantfinlib.dsl.Rules
benchmark() - Method in class com.quantfinlib.execution.BenchmarkExecutor
BenchmarkComparison - Class in com.quantfinlib.backtest: BENCHMARK-RELATIVE performance — the numbers an allocator actually asks for.
BenchmarkComparison.Result - Record Class in com.quantfinlib.backtest
BenchmarkExecutor - Class in com.quantfinlib.execution: The dynamic benchmark execution algorithm: one stateful executor that works a parent order toward any of the standard benchmarks — VWAP, TWAP, Arrival Price, Implementation Shortfall, Closing Price, Opening Price, and Participation (POV) — and, unlike a precomputed slice list (TwapScheduler, VwapScheduler, ImplementationShortfallScheduler), re-decides every interval from live market state.
BenchmarkExecutor(Side, long, BenchmarkExecutor.Benchmark, double, double, double) - Constructor for class com.quantfinlib.execution.BenchmarkExecutor
BenchmarkExecutor.Benchmark - Enum Class in com.quantfinlib.execution: The benchmark this parent is measured against.
BenchmarkExecutor.MarketState - Record Class in com.quantfinlib.execution: A snapshot of the real-time inputs a benchmark algo evaluates.
best() - Method in record class com.quantfinlib.alpha.AlphaValidation.SensitivityResult: The candidate with the best mean IC.
best() - Method in class com.quantfinlib.hedging.HedgingErrorDistribution
best(ParameterGrid, StrategyFactory, BarSeries, BacktestConfig, ToDoubleFunction<PerformanceMetrics>) - Static method in class com.quantfinlib.backtest.validation.GridSearchOptimizer: The winning parameter set only.
bestAsk() - Method in class com.quantfinlib.fx.AggregatedBook
bestAsk() - Method in class com.quantfinlib.fx.FxTierBook: Best (lowest) ask across LPs at each LP's frontier tier; NaN when nobody offers.
bestAsk() - Method in class com.quantfinlib.orderbook.OrderBook
bestAskSize() - Method in class com.quantfinlib.fx.AggregatedBook
bestAskSize() - Method in class com.quantfinlib.marketdata.L3BookBuilder
bestAskSize() - Method in class com.quantfinlib.orderbook.HftOrderBook
bestAskSize() - Method in class com.quantfinlib.orderbook.OrderBook
bestAskTick() - Method in class com.quantfinlib.marketdata.L3BookBuilder: Best ask in absolute 0.0001 ticks; Integer.MAX_VALUE when none.
bestAskTick() - Method in class com.quantfinlib.orderbook.HftOrderBook: Best ask in absolute ticks; Integer.MAX_VALUE when no asks.
bestAskVenue() - Method in class com.quantfinlib.fx.AggregatedBook
bestBid() - Method in class com.quantfinlib.fx.AggregatedBook
bestBid() - Method in class com.quantfinlib.fx.FxTierBook: Best (highest) bid across LPs, taken at each LP's FRONTIER tier — the first well-formed one — so a malformed tier 0 (NaN/zero) masks nothing, consistent with how sweeps and full-amount queries read the same ladder.
bestBid() - Method in class com.quantfinlib.orderbook.OrderBook
bestBidSize() - Method in class com.quantfinlib.fx.AggregatedBook: Size shown by the single venue owning the best bid.
bestBidSize() - Method in class com.quantfinlib.marketdata.L3BookBuilder
bestBidSize() - Method in class com.quantfinlib.orderbook.HftOrderBook
bestBidSize() - Method in class com.quantfinlib.orderbook.OrderBook
bestBidTick() - Method in class com.quantfinlib.marketdata.L3BookBuilder: Best bid in absolute 0.0001 ticks; Integer.MIN_VALUE when none.
bestBidTick() - Method in class com.quantfinlib.orderbook.HftOrderBook: Best bid in absolute ticks; Integer.MIN_VALUE when no bids.
bestBidVenue() - Method in class com.quantfinlib.fx.AggregatedBook: Venue index owning the best bid, −1 when no venue bids.
bestCase() - Method in class com.quantfinlib.simulation.SimulationResult
bestCorrelation() - Method in class com.quantfinlib.microstructure.LeadLagEstimator: The signed correlation at LeadLagEstimator.bestLag(); 0 when bestLag() is 0.
BestExecutionAnalyzer - Class in com.quantfinlib.regulatory: MiFID II-style best execution analytics (RTS 27/28 spirit): slippage versus arrival mid, latency-to-fill distribution, fraction executed at or better than arrival, and per-venue slippage breakdown.
BestExecutionAnalyzer() - Constructor for class com.quantfinlib.regulatory.BestExecutionAnalyzer
BestExecutionAnalyzer.BestExecutionReport - Record Class in com.quantfinlib.regulatory
BestExecutionAnalyzer.OrderOutcome - Record Class in com.quantfinlib.regulatory: One parent order outcome.
BestExecutionReport(int, double, double, double, double, Map<String, Double>) - Constructor for record class com.quantfinlib.regulatory.BestExecutionAnalyzer.BestExecutionReport: Creates an instance of a BestExecutionReport record class.
bestFullAmountAsk(double) - Method in class com.quantfinlib.fx.FxTierBook: Best single-LP full-amount ASK for size: the lowest tier price whose clip capacity covers the whole size at one LP — one ticket, one price, no signaling.
bestFullAmountAskLp(double) - Method in class com.quantfinlib.fx.FxTierBook: LP index behind FxTierBook.bestFullAmountAsk(double); -1 when no LP covers the size.
bestFullAmountBid(double) - Method in class com.quantfinlib.fx.FxTierBook: Mirror on the bid side.
bestFullAmountBidLp(double) - Method in class com.quantfinlib.fx.FxTierBook: LP index behind FxTierBook.bestFullAmountBid(double); -1 when none.
bestLag() - Method in class com.quantfinlib.microstructure.LeadLagEstimator: The lag k >= 1 with the largest |correlation| — the estimated lead time in sampling intervals. 0 when no lagged correlation has been measured yet (fewer than 2 samples).
bestParams() - Method in record class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.Fold: Returns the value of the bestParams record component.
bestPrice() - Method in class com.quantfinlib.rfq.RfqAuction: The best (dealable) price, NaN while nobody has quoted.
beta() - Method in record class com.quantfinlib.backtest.BenchmarkComparison.Result: Returns the value of the beta record component.
beta() - Method in class com.quantfinlib.microstructure.KalmanBeta: The current hedge ratio estimate.
beta() - Method in record class com.quantfinlib.pricing.SabrModel.Params: Returns the value of the beta record component.
beta() - Method in record class com.quantfinlib.volatility.Egarch11.Params: Returns the value of the beta record component.
beta() - Method in record class com.quantfinlib.volatility.Garch11.Params: Returns the value of the beta record component.
beta() - Method in record class com.quantfinlib.volatility.GjrGarch11.Params: Returns the value of the beta record component.
beta() - Method in record class com.quantfinlib.volatility.VolatilityDecomposition.Decomposition: Returns the value of the beta record component.
beta(double[], double[]) - Static method in class com.quantfinlib.risk.RiskMetrics: Beta of an asset versus a benchmark (equal-length return series).
betaAdjustmentContracts(double, double, double, double, double) - Static method in class com.quantfinlib.hedging.MinimumVarianceHedge: Futures contracts (negative = sell) to shift a portfolio from currentBeta to targetBeta: N = (targetBeta - currentBeta) * V / (F * multiplier).
betaDaily() - Method in record class com.quantfinlib.volatility.HarRv.Params: Returns the value of the betaDaily record component.
betaMonthly() - Method in record class com.quantfinlib.volatility.HarRv.Params: Returns the value of the betaMonthly record component.
betaNeutralize(double[], double[]) - Static method in class com.quantfinlib.alpha.PortfolioConstruction: Beta neutrality: removes the market-beta component by projecting the weight vector orthogonal to the beta vector — w − β · (w·β)/(β·β) — so Σ wᵢβᵢ = 0 exactly and the book's P&L stops being a leveraged market bet.
betas() - Method in record class com.quantfinlib.alpha.AlphaReport.Attribution: Returns the value of the betas record component.
betaVariance() - Method in class com.quantfinlib.microstructure.KalmanBeta: The filter's own uncertainty about β — size hedges accordingly.
betaWeekly() - Method in record class com.quantfinlib.volatility.HarRv.Params: Returns the value of the betaWeekly record component.
bic(double, int, int) - Static method in class com.quantfinlib.volatility.InformationCriteria: Bayesian (Schwarz) information criterion k ln n - 2 ln L.
bid() - Method in record class com.quantfinlib.crb.SkewedQuoter.Quote: Returns the value of the bid record component.
bid() - Method in record class com.quantfinlib.execution.VenueQuote: Returns the value of the bid record component.
bid() - Method in record class com.quantfinlib.pricing.TriangularArbitrage.Quote: Returns the value of the bid record component.
bidPrice() - Method in class com.quantfinlib.sbe.QuoteFlyweight
bidQuote(double, double, double, double) - Method in class com.quantfinlib.trading.AvellanedaStoikov: The bid to quote: reservation price minus the optimal half-spread.
bidSize() - Method in record class com.quantfinlib.execution.VenueQuote: Returns the value of the bidSize record component.
bidSize() - Method in class com.quantfinlib.marketdata.Nbbo: Total displayed size at the national best bid, across venues.
bidSize() - Method in class com.quantfinlib.sbe.QuoteFlyweight
bidTick() - Method in class com.quantfinlib.marketdata.Nbbo: National best bid in ticks; Nbbo.NO_BID when no venue bids.
bidVenues() - Method in class com.quantfinlib.marketdata.Nbbo: Bitmask of venues quoting at the national best bid (bit v = venue v).
BinanceTradeParser - Class in com.quantfinlib.feed: Parser for Binance trade-stream JSON — both the raw single-stream form ({"e":"trade","s":"BTCUSDT","p":"50000.1","q":"0.05","T":169...}) and the combined-stream wrapper ({"stream":"btcusdt@trade","data":{...}}).
BinanceTradeParser() - Constructor for class com.quantfinlib.feed.BinanceTradeParser
BinaryMarketDataClient - Class in com.quantfinlib.sbe: Binary market-data adapter: decodes TradeFlyweight frames from a channel straight into the HftMarketDataBus — the professional-grade counterpart of the text feed.WebSocketFeed.
BinaryMarketDataClient(ReadableByteChannel, HftMarketDataBus) - Constructor for class com.quantfinlib.sbe.BinaryMarketDataClient
BinaryMarketDataClient(ReadableByteChannel, HftMarketDataBus, int) - Constructor for class com.quantfinlib.sbe.BinaryMarketDataClient
BinaryOrderPublisher - Class in com.quantfinlib.sbe: Binary order-entry adapter: attach to HftOrderGateway as its OrderListener and every accepted order is encoded as an OrderFlyweight and written to the venue channel — the binary counterpart of fix.FixSession#sendNewOrderSingle, with zero allocation and zero string formatting per order.
BinaryOrderPublisher(WritableByteChannel) - Constructor for class com.quantfinlib.sbe.BinaryOrderPublisher
BinaryOrderReceiver - Class in com.quantfinlib.sbe: Venue side of the binary order-entry pair: decodes OrderFlyweight frames from a channel and dispatches them to an OrderListener — same zero-allocation read loop as BinaryMarketDataClient, with partial-frame handling.
BinaryOrderReceiver(ReadableByteChannel, OrderListener) - Constructor for class com.quantfinlib.sbe.BinaryOrderReceiver
BinomialTree - Class in com.quantfinlib.pricing: Cox-Ross-Rubinstein binomial tree for European and American options with a continuous carry yield (dividends / foreign rate).
BinomialTree.ExerciseStyle - Enum Class in com.quantfinlib.pricing
Black76 - Class in com.quantfinlib.pricing: Black-76 — the Black-Scholes sibling for options on FORWARDS and futures: rates caps/floors and swaptions, commodity futures options, bond futures options.
BlackLitterman - Class in com.quantfinlib.optimization: Black-Litterman expected returns: start from the market-implied equilibrium (reverse optimization of the market portfolio) and blend in investor views with explicit confidences — the standard cure for mean-variance optimizers' hypersensitivity to raw return estimates.
blackMonday1987() - Static method in class com.quantfinlib.risk.StressTester: 1987-10-19 stylized: equities −20%, flight-to-quality rates, vol explosion.
BlackScholes - Class in com.quantfinlib.pricing: Black-Scholes-Merton option pricing and Greeks with a continuous carry yield q: set q to the dividend yield for equities or the foreign interest rate for FX (Garman-Kohlhagen).
BlackScholes.Greeks - Record Class in com.quantfinlib.pricing: Full Greek set for one option.
BlackScholes.OptionType - Enum Class in com.quantfinlib.pricing
BLOCK_LENGTH - Static variable in class com.quantfinlib.sbe.OrderFlyweight: Total encoded size in bytes.
BLOCK_LENGTH - Static variable in class com.quantfinlib.sbe.QuoteFlyweight: Total encoded size in bytes.
BLOCK_LENGTH - Static variable in class com.quantfinlib.sbe.TradeFlyweight: Total encoded size in bytes.
BlockBootstrap - Class in com.quantfinlib.backtest.validation: Stationary block bootstrap (Politis-Romano) — the confidence interval your backtest's Sharpe ratio deserves and almost never gets.
blockIcs() - Method in record class com.quantfinlib.alpha.AlphaValidation.CrossValidationResult: Returns the value of the blockIcs record component.
body() - Method in record class com.quantfinlib.fix.FixSessionStore.StoredMessage: Returns the value of the body record component.
BODY_LENGTH - Static variable in class com.quantfinlib.fix.FixMessage
bollinger(double[], int, double) - Static method in class com.quantfinlib.indicators.Indicators: Bollinger Bands: SMA middle band with k population standard deviations.
bollinger(int, double) - Static method in class com.quantfinlib.alpha.Factors: Bollinger mean reversion: −(close − SMA) / (k·σ) — the negative band position, +1 at the lower band, −1 at the upper.
Bollinger(double[], double[], double[]) - Constructor for record class com.quantfinlib.indicators.Indicators.Bollinger: Creates an instance of a Bollinger record class.
BollingerBandsStrategy - Class in com.quantfinlib.backtest.strategies: Bollinger Band mean reversion: buy when the close dips below the lower band, sell when it recovers to the middle band or stretches above the upper band.
BollingerBandsStrategy() - Constructor for class com.quantfinlib.backtest.strategies.BollingerBandsStrategy
BollingerBandsStrategy(int, double) - Constructor for class com.quantfinlib.backtest.strategies.BollingerBandsStrategy
bollingerBreakout(int, double) - Static method in class com.quantfinlib.screener.TechnicalFilters: Close above the upper Bollinger band (volatility breakout).
BondPricer - Class in com.quantfinlib.rates: Fixed-coupon bond analytics: price/yield conversion, Macaulay and modified duration, convexity, and DV01.
BookAnalytics - Class in com.quantfinlib.orderbook: Spread, depth and liquidity analytics over an OrderBook: quoted spread, size-weighted microprice, depth imbalance, depth-within-bps, and non-destructive book sweep simulation (VWAP-to-fill and impact of a large marketable order).
BookAnalytics.SweepResult - Record Class in com.quantfinlib.orderbook: Result of simulating a sweep: what a marketable order of that size would pay.
bookCashEquity(String, String, double, double) - Method in class com.quantfinlib.crb.CentralRiskBook: Cash equity: qty shares (signed) at price.
bookEquityOption(String, String, BlackScholes.OptionType, double, double, double, double, double, double, double, double) - Method in class com.quantfinlib.crb.CentralRiskBook: Listed equity option: contracts signed, multiplier shares per contract (100 for US listed).
bookFxOption(String, String, BlackScholes.OptionType, double, double, double, double, double, double, double) - Method in class com.quantfinlib.crb.CentralRiskBook: FX option via Garman-Kohlhagen (BlackScholes with carry = foreign rate): baseNotional signed (long calls on base).
bookFxSpot(String, String, double, double) - Method in class com.quantfinlib.crb.CentralRiskBook: FX spot on pair ("EURUSD"): buy baseNotional of the base currency (signed) at rate.
bookFxSwap(String, String, double, double, double) - Method in class com.quantfinlib.crb.CentralRiskBook: FX swap (buy-sell base for positive notional): near leg at nearRate, far leg back at farRate.
BookGreeks(double, double, double, double, double, double) - Constructor for record class com.quantfinlib.hedging.OptionsBook.BookGreeks: Creates an instance of a BookGreeks record class.
bookNdf(String, String, double, double) - Method in class com.quantfinlib.crb.CentralRiskBook: NDF: buy baseNotional of base forward at fwdRate.
BookPrimitives - Class in com.quantfinlib.orderbook: The zero-allocation building blocks shared by the hot-lane books (HftOrderBook venue-side, marketdata.L3BookBuilder participant-side): occupancy-bitmap scans and a primitive open-addressing long→int map with backward-shift deletion.
bootstrap(int[], double[], double, YieldCurve) - Static method in class com.quantfinlib.credit.CreditCurve: Bootstraps from CDS par spreads.
bootstrapAnnualParSwaps(int[], double[]) - Static method in class com.quantfinlib.rates.YieldCurve: Classic bootstrap from par swap rates with an annual fixed leg at integer-year pillars (missing years are filled by linear interpolation of the par rates): DF_n = (1 - parRate_n * A_{n-1}) / (1 + parRate_n).
breached(double[]) - Method in class com.quantfinlib.crb.CrbAutoHedger: True when any factor sits outside its band.
breakout(int) - Static method in class com.quantfinlib.screener.TechnicalFilters: Close breaks above the highest high of the previous lookback bars.
buckets() - Method in class com.quantfinlib.microstructure.SpreadForecaster
buckets() - Method in class com.quantfinlib.microstructure.VolatilityCurve
buckets() - Method in class com.quantfinlib.microstructure.VolumeCurve
bucketsCompleted() - Method in class com.quantfinlib.microstructure.Vpin
buffer() - Method in class com.quantfinlib.fix.FixOrderEncoder: The reusable buffer holding the last encoded message.
build() - Method in class com.quantfinlib.core.BarSeries.Builder
build() - Method in class com.quantfinlib.dsl.StrategyBuilder
build() - Method in class com.quantfinlib.fx.FxVolSurface.Builder
build() - Method in class com.quantfinlib.fx.SwapPointsCurve.Builder
build() - Method in class com.quantfinlib.microstructure.TickSizeSchedule.Builder
build() - Method in class com.quantfinlib.pricing.VolSurface.Builder
build() - Method in class com.quantfinlib.report.Report.Builder
build() - Method in class com.quantfinlib.report.ReportGenerator
builder() - Static method in class com.quantfinlib.fx.FxVolSurface
builder() - Static method in class com.quantfinlib.microstructure.TickSizeSchedule
builder() - Static method in class com.quantfinlib.pricing.VolSurface
builder(CurrencyPair, LocalDate, double) - Static method in class com.quantfinlib.fx.SwapPointsCurve
builder(String) - Static method in class com.quantfinlib.core.BarSeries
builder(String) - Static method in class com.quantfinlib.fix.FixMessage
builder(String) - Static method in class com.quantfinlib.report.Report
Builder() - Constructor for class com.quantfinlib.fx.FxVolSurface.Builder
Builder() - Constructor for class com.quantfinlib.microstructure.TickSizeSchedule.Builder
Builder() - Constructor for class com.quantfinlib.pricing.VolSurface.Builder
burstScore(long) - Method in class com.quantfinlib.microstructure.HawkesIntensity: The dimensionless burst regime: self-excited intensity over the baseline, clamped to [0, 1] at "activity running 2× baseline". 0 in steady flow; decays back with the configured half-life.
bus(int) - Method in class com.quantfinlib.trading.ShardedTradingEngine: Shard components, for wiring listeners/quoters and observability.
BusinessCalendar - Class in com.quantfinlib.rates: Business-day calendar: weekends plus a holiday set, with the standard roll conventions, settlement-lag arithmetic, and coupon schedule generation.
BusinessCalendar.Roll - Enum Class in com.quantfinlib.rates: Date roll conventions for payment dates landing on non-business days.
BUY - Enum constant in enum class com.quantfinlib.backtest.Signal
BUY - Enum constant in enum class com.quantfinlib.orderbook.Side
BUY - Static variable in class com.quantfinlib.marketdata.ItchCodec
BUY - Static variable in class com.quantfinlib.microstructure.TradeClassifier: Classification results.
buyOrderId() - Method in record class com.quantfinlib.execution.DarkPoolSimulator.Fill: Returns the value of the buyOrderId record component.
buySavings(double, CrossRateEngine.Op, double, double, double, double) - Static method in class com.quantfinlib.fx.SyntheticCross: Savings per unit of buying synthetically instead of directly (positive = the legs are cheaper).
buySyntheticWins(double, CrossRateEngine.Op, double, double, double, double) - Static method in class com.quantfinlib.fx.SyntheticCross: True when buying through the legs beats the direct ask (NaN-safe: false).

C

cagr() - Method in record class com.quantfinlib.backtest.PerformanceMetrics: Returns the value of the cagr record component.
calculate(double[]) - Method in interface com.quantfinlib.risk.RiskMetric
calculateAll(double[]) - Method in class com.quantfinlib.risk.RiskMetricRegistry: Evaluates every registered metric against the given returns.
calculateFix(double[]) - Static method in class com.quantfinlib.regulatory.FixAnalyzer: Fix rate = median of the mid samples captured inside the fixing window.
CalendarAnomalies - Class in com.quantfinlib.alpha: Calendar anomaly profiles — day-of-week and turn-of-month seasonality with the t-statistics that keep them honest.
CalendarAnomalies.DayOfWeekProfile - Record Class in com.quantfinlib.alpha: Per-day-of-week profile, indexed Monday = 0 … Sunday = 6.
CalendarAnomalies.TurnOfMonth - Record Class in com.quantfinlib.alpha: The turn-of-month split, with a Welch t-stat on the difference.
calibrate(double, double, double, double[], double[]) - Static method in class com.quantfinlib.pricing.SabrModel: Calibrates (α, ρ, ν) with β fixed, by seeded random search plus shrinking coordinate refinement (derivative-free, deterministic).
calibrated(double) - Method in record class com.quantfinlib.risk.VarBacktest.VarBacktestResult: Exception frequency consistent with the confidence level?
call(double, double, double, double, double, Heston.Params) - Static method in class com.quantfinlib.pricing.Heston: European call under Heston (semi-analytic).
CALL - Enum constant in enum class com.quantfinlib.pricing.BlackScholes.OptionType
callMonteCarlo(double, double, double, double, double, Heston.Params, int, int, long) - Static method in class com.quantfinlib.pricing.Heston: Full-truncation Euler Monte Carlo — the pricing cross-check (used by the tests to validate the semi-analytic integral, and usable for payoffs the closed form cannot reach).
calmarRatio() - Method in record class com.quantfinlib.backtest.PerformanceMetrics: Returns the value of the calmarRatio record component.
cancel(long) - Method in class com.quantfinlib.backtest.tick.TickBacktester
cancel(long) - Method in interface com.quantfinlib.backtest.tick.TickTradingContext: Cancels a working limit order.
cancel(long) - Method in class com.quantfinlib.orderbook.HftOrderBook: Cancels a resting order.
cancel(long) - Method in class com.quantfinlib.orderbook.OrderBook: Cancels a resting order.
cancel(long) - Method in interface com.quantfinlib.trading.OrderGateway: Cancels a working order.
cancel(long) - Method in class com.quantfinlib.trading.PaperTradingGateway
CANCEL - Static variable in class com.quantfinlib.marketdata.ItchCodec
cancelCount() - Method in class com.quantfinlib.marketdata.L3BookBuilder
cancelCount() - Method in class com.quantfinlib.orderbook.HftOrderBook
cancelCount() - Method in class com.quantfinlib.orderbook.OrderBook
canceled(OrderCancelRequest, String, String, double) - Static method in record class com.quantfinlib.fix.ExecutionReport: Venue-side convenience: confirm a cancel (cumQty already executed).
CANCELED - Enum constant in enum class com.quantfinlib.trading.OrderStatus
Candidate(Map<String, Double>, PerformanceMetrics, double) - Constructor for record class com.quantfinlib.backtest.validation.GridSearchOptimizer.Candidate: Creates an instance of a Candidate record class.
cap(YieldCurve, int, double, double) - Static method in class com.quantfinlib.rates.RatesOptions: Cap: strip of annual Black-76 caplets to maturityYears.
capacity() - Method in class com.quantfinlib.marketdata.RingBuffer
capacity() - Method in class com.quantfinlib.marketdata.TickRingBuffer
capacity() - Method in class com.quantfinlib.trading.OrderRingBuffer
capital() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Config: Returns the value of the capital record component.
capitalProtectedNote(double, double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.StructuredNotes: Fair value of a capital-protected note: protection of par floored, plus participation of the underlying's upside from spot.
capWeights(double[], double[], double[]) - Static method in class com.quantfinlib.markets.IndexConstruction: Float-adjusted cap weights: w_i ∝ price_i * shares_i * float_i.
capWeights(double[], double, double) - Static method in class com.quantfinlib.alpha.PortfolioConstruction: Caps each |weight| at maxWeight, then re-normalizes the rest toward grossTarget without breaching the cap (single pass of redistribution; residual gross shortfall stays in cash — honest, rather than looping until the cap itself binds everywhere).
cash() - Method in class com.quantfinlib.backtest.tick.TickBacktester
cash() - Method in interface com.quantfinlib.backtest.tick.TickTradingContext
cash() - Method in record class com.quantfinlib.trading.PaperTradingGateway.AccountSnapshot: Returns the value of the cash record component.
cash() - Method in class com.quantfinlib.trading.PaperTradingGateway
CASH_DIVIDEND - Enum constant in enum class com.quantfinlib.data.CorporateActions.Type
cashOrNothing(BlackScholes.OptionType, double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.DigitalOption: Fixed payout if spot finishes beyond the strike (call: above, put: below).
cashPerShare() - Method in record class com.quantfinlib.data.PointInTimeUniverse.TerminalEvent: Returns the value of the cashPerShare record component.
cci(BarSeries, int) - Static method in class com.quantfinlib.indicators.Indicators: Commodity Channel Index over typical price.
CdsPricer - Class in com.quantfinlib.credit: CDS pricing off a CreditCurve: the two legs, the par spread, and the upfront that post-2009 standardized contracts actually exchange.
CentralRiskBook - Class in com.quantfinlib.crb: The central risk book — one netted view of the firm's market risk across desks and products.
CentralRiskBook() - Constructor for class com.quantfinlib.crb.CentralRiskBook
CentralRiskBook.CrbReport - Record Class in com.quantfinlib.crb
changeCount() - Method in class com.quantfinlib.marketdata.Nbbo: Updates that moved the inside (price or size) — the conflation ratio.
check(double[], double[][], double[][], double[], double, long) - Method in class com.quantfinlib.crb.CrbAutoHedger: The hedging decision for this interval.
check(int, Side, long, double) - Method in class com.quantfinlib.trading.HftRiskGate: Validates one order.
check(PreTradeLimitChecker.OrderRequest, double, long, double) - Method in class com.quantfinlib.risk.PreTradeLimitChecker
CHECK_SUM - Static variable in class com.quantfinlib.fix.FixMessage
Checkpoint - Class in com.quantfinlib.persist: Multi-day persistence of learned state: everything the models learn across sessions — volume/vol/spread baselines, alpha weights and their out-of-sample IC evidence, venue and LP scorecards — is exactly what a desk does NOT want to relearn from zero every morning.
Checkpoint.Reader - Class in com.quantfinlib.persist: Random access to a loaded checkpoint's sections by name.
Checkpoint.StateReader - Interface in com.quantfinlib.persist: A model's state deserializer — typically a readState reference.
Checkpoint.StateWriter - Interface in com.quantfinlib.persist: A model's state serializer — typically a writeState reference.
Checkpoint.Writer - Class in com.quantfinlib.persist: Collects named sections and commits them atomically on close.
CheckResult(boolean, List<String>) - Constructor for record class com.quantfinlib.risk.PreTradeLimitChecker.CheckResult: Creates an instance of a CheckResult record class.
chikou() - Method in record class com.quantfinlib.indicators.Indicators.Ichimoku: Returns the value of the chikou record component.
child(int) - Method in class com.quantfinlib.execution.PortfolioExecutor: The child executor behind a handle — for progress/drift reads and for feeding onMarketVolume to VWAP/POV children.
Children(long, long, boolean) - Constructor for record class com.quantfinlib.execution.SpreadExecutionAlgo.Children: Creates an instance of a Children record class.
cholesky(double[][]) - Static method in class com.quantfinlib.util.MathUtils: Cholesky decomposition: returns lower-triangular L with A = L * L'.
chosenFactor() - Method in record class com.quantfinlib.alpha.AlphaValidation.Fold: Returns the value of the chosenFactor record component.
cirBond(double, double, double, double, double) - Static method in class com.quantfinlib.rates.ShortRateModels: CIR zero-coupon bond price P(t, t+T).
CircuitBreakers - Class in com.quantfinlib.microstructure: US-equities trading safeguards, styled after the SEC's Limit Up-Limit Down plan and the market-wide circuit-breaker rule (not certified implementations — the regulatory texts govern): LULD price bands (CircuitBreakers.luldBandPct(double, boolean, boolean), CircuitBreakers.Luld) — per-symbol bands around a reference price; quoting at a band edge enters a limit state, and a limit state that persists 15 seconds becomes a 5-minute trading pause; Market-wide circuit breakers (CircuitBreakers.MarketWide) — S&P 500 declines of 7% / 13% halt the market for 15 minutes (each at most once per day, and not after 15:25), and 20% halts for the day.
CircuitBreakers.Halt - Enum Class in com.quantfinlib.microstructure: MWCB halt decision.
CircuitBreakers.Luld - Class in com.quantfinlib.microstructure: The LULD limit-state machine for one symbol: enters a limit state when the inside quote pins a band edge, converts to a 5-minute pause when the limit state persists 15 seconds, and exits the pause after it elapses.
CircuitBreakers.LuldState - Enum Class in com.quantfinlib.microstructure: LULD per-symbol state.
CircuitBreakers.MarketWide - Class in com.quantfinlib.microstructure: Market-wide circuit-breaker day state: feed it the S&P 500 decline from the prior close and the time of day; it applies the once-per-day and not-after-15:25 rules for Levels 1 and 2.
cirFeller(double, double, double) - Static method in class com.quantfinlib.rates.ShortRateModels: The Feller ratio 2ab/σ²; ≥ 1 keeps the CIR rate strictly positive.
cirStep(double, double, double, double, double, double) - Static method in class com.quantfinlib.rates.ShortRateModels: One full-truncation Euler CIR step (never sources vol from a negative rate).
CL_ORD_ID - Static variable in class com.quantfinlib.fix.FixMessage
clamp(double, double, double) - Static method in class com.quantfinlib.util.MathUtils
classify(double) - Method in class com.quantfinlib.microstructure.TradeClassifier: Classifies a trade print and remembers it for the tick test.
cleanPrice(double, double, int, LocalDate, LocalDate, double, DayCount, BusinessCalendar, BusinessCalendar.Roll) - Static method in class com.quantfinlib.rates.BondPricer: Clean price = dirty price minus accrued interest.
clear(int) - Method in class com.quantfinlib.fx.AggregatedBook: Pulls a venue entirely (disconnect, last-look withdrawal).
clear(int) - Method in class com.quantfinlib.fx.FxTierBook: Pulls an LP entirely (disconnect / last-look withdrawal).
clientBuys() - Method in class com.quantfinlib.rfq.RfqAuction
clOrdId() - Method in record class com.quantfinlib.fix.ExecutionReport: Returns the value of the clOrdId record component.
clOrdId() - Method in class com.quantfinlib.fix.FixExecReportView: Numeric ClOrdID as issued by FixOrderEncoder; −1 when absent.
clOrdId() - Method in record class com.quantfinlib.fix.NewOrderSingle: Returns the value of the clOrdId record component.
clOrdId() - Method in record class com.quantfinlib.fix.OrderCancelReplaceRequest: Returns the value of the clOrdId record component.
clOrdId() - Method in record class com.quantfinlib.fix.OrderCancelRequest: Returns the value of the clOrdId record component.
close() - Method in record class com.quantfinlib.core.Bar: Returns the value of the close record component.
close() - Method in class com.quantfinlib.data.AsyncTickCapture: Stops the writer (draining what remains) and closes the file.
close() - Method in class com.quantfinlib.data.TickCapture
close() - Method in class com.quantfinlib.data.TickFileWriter
close() - Method in class com.quantfinlib.feed.WebSocketFeed
close() - Method in class com.quantfinlib.fix.FileSessionStore
close() - Method in class com.quantfinlib.fix.FixSession
close() - Method in class com.quantfinlib.marketdata.HftMarketDataBus
close() - Method in class com.quantfinlib.marketdata.MarketDataProcessor
close() - Method in class com.quantfinlib.microstructure.QueuePositionEstimator: Order left the book (filled/cancelled).
close() - Method in class com.quantfinlib.persist.Checkpoint.Writer: Commits: temp file beside the target, then atomic rename over it (plain replace on filesystems without atomic rename — see the class javadoc's durability caveat).
close() - Method in class com.quantfinlib.sbe.BinaryMarketDataClient
close() - Method in class com.quantfinlib.sbe.BinaryOrderPublisher
close() - Method in class com.quantfinlib.sbe.BinaryOrderReceiver
close() - Method in class com.quantfinlib.trading.GlobalRiskAggregator: Stops the monitor; gates keep whatever kill state they last had.
close() - Method in class com.quantfinlib.trading.HftOrderGateway
close() - Method in class com.quantfinlib.trading.ShardedTradingEngine
close() - Method in class com.quantfinlib.trading.TradingDashboard
close() - Method in class com.quantfinlib.util.HiccupMonitor
close(int) - Method in class com.quantfinlib.core.BarSeries
closes() - Method in class com.quantfinlib.core.BarSeries
CLOSING_PRICE - Enum constant in enum class com.quantfinlib.execution.BenchmarkExecutor.Benchmark: Track the closing price: back-loaded toward the close.
ClosingAuctionModel - Class in com.quantfinlib.microstructure: Closing-auction participation model.
ClosingAuctionModel() - Constructor for class com.quantfinlib.microstructure.ClosingAuctionModel: 10% day weight, ±50% imbalance tilt, reserve capped at 30%.
ClosingAuctionModel(double, double, double) - Constructor for class com.quantfinlib.microstructure.ClosingAuctionModel
cmf(BarSeries, int) - Static method in class com.quantfinlib.indicators.Indicators: Chaikin Money Flow.
cointegrated10pct() - Method in record class com.quantfinlib.hedging.CointegrationTest.EngleGrangerResult: Returns the value of the cointegrated10pct record component.
cointegrated1pct() - Method in record class com.quantfinlib.hedging.CointegrationTest.EngleGrangerResult: Returns the value of the cointegrated1pct record component.
cointegrated5pct() - Method in record class com.quantfinlib.hedging.CointegrationTest.EngleGrangerResult: Returns the value of the cointegrated5pct record component.
CointegrationTest - Class in com.quantfinlib.hedging: Engle-Granger two-step cointegration test: regress one price series on the other, then run an augmented Dickey-Fuller test (no constant) on the residual spread.
CointegrationTest.EngleGrangerResult - Record Class in com.quantfinlib.hedging
com.quantfinlib.alpha - package com.quantfinlib.alpha: The alpha research pipeline — signal to evaluated, validated, cost-aware, constructed, reported strategy, with each stage a separate, composable step: Signal generation — Factors: nine standard factors (MA crossover, contrarian RSI, MACD, Bollinger reversion, mean reversion, 12-1 momentum, value, quality, low volatility) producing raw cross-sectional scores over an AlphaContext panel; Evaluation — SignalEvaluator: rank IC, IR, t-stat, hit rate, turnover, cross-factor exposure — the cheap filter before any backtest; Validation — AlphaValidation: walk-forward selection with OOS efficiency, blocked k-fold consistency, Monte Carlo permutation p-values, parameter sensitivity — the overfitting defense; Execution-aware backtest — AlphaBacktester: commission, bid-ask spread, slippage and square-root market impact (microstructure.MarketImpactModel), with gross-vs-net cost decomposition; Portfolio construction — PortfolioConstruction: z-score sizing with caps, inverse-vol risk budgeting, sector and beta neutralization, mean-variance tilt; Reporting — AlphaReport: alpha decay with half-life, OLS factor attribution, drawdown curves, rolling Sharpe, and the shared ratio set from backtest.PerformanceAnalytics.
com.quantfinlib.backtest - package com.quantfinlib.backtest: Bar-based backtesting.
com.quantfinlib.backtest.portfolio - package com.quantfinlib.backtest.portfolio: Multi-asset backtesting: PortfolioBacktester rebalances long/short weight targets from a PortfolioStrategy with commission and turnover tracking (input series must be index-aligned — see data.SeriesAligner), and in its survivorship-aware overload consumes a data.PointInTimeUniverse (delistings terminate at the delisting return, mergers convert at deal terms, index drops force sales) plus explicit ex-date cash dividends; CrossSectionalMomentum is the built-in point-in-time factor strategy (12-1 momentum ranked over the members alive at each rebalance); PositionSizing supplies Kelly, fixed-fractional risk, inverse-volatility weights and vol-target leverage.
com.quantfinlib.backtest.strategies - package com.quantfinlib.backtest.strategies: Built-in TradingStrategy implementations: SMA/EMA crossovers, RSI mean reversion, MACD signal-line cross, and Bollinger band reversion.
com.quantfinlib.backtest.tick - package com.quantfinlib.backtest.tick: Event-driven tick-level backtesting — the level below bars, where queue position decides whether a passive order actually trades: TickBacktester replays QFLT tick files through a TickStrategy with microstructure-aware fills (market orders pay half the spread; limit orders fill on trade-through or earn fills print-by-print against a simulated queue; optional tick-size grid for real-world prices; no fills against the triggering print).
com.quantfinlib.backtest.validation - package com.quantfinlib.backtest.validation: The defense against overfit backtests: ParameterGrid + GridSearchOptimizer enumerate and rank parameter combinations; WalkForwardAnalyzer optimizes on rolling train windows and evaluates on unseen test windows, stitching out-of-sample equity (capital carries across folds) and reporting the walk-forward efficiency ratio; SharpeValidation applies the Bailey/López de Prado probabilistic and deflated Sharpe — the multiple-testing haircut for grid-picked winners — plus the minimum track record length (how many periods before the record MEANS something, in closed form); BlockBootstrap hands the backtest Sharpe its sampling DISTRIBUTION (stationary Politis-Romano blocks — an iid resample destroys the autocorrelation and understates the uncertainty, the classic route to false confidence): the honest question is whether the 5th percentile is still positive, not whether 1.2 is a good number.
com.quantfinlib.cli - package com.quantfinlib.cli: Command-line entry point: Main exposes backtest, walkforward and report subcommands over CSV bar files, so the library is usable without writing Java.
com.quantfinlib.commodities - package com.quantfinlib.commodities: Commodities: the asset class where the CURVE is the trade.
com.quantfinlib.core - package com.quantfinlib.core: Core market data types: Bar (immutable OHLCV bar) and BarSeries (cache-friendly structure-of-arrays time series with zero-copy array accessors, returns, and train/test slicing).
com.quantfinlib.crb - package com.quantfinlib.crb: The central risk book — one netted view of the firm's risk across desks and products, and the machinery that monetizes it.
com.quantfinlib.credit - package com.quantfinlib.credit: Credit: the price of default.
com.quantfinlib.data - package com.quantfinlib.data: Data in, out, and preparation — the bridge between real-world files/feeds and the analytics stack: CsvBarLoader (RFC-4180-tolerant CSV bars), HttpBarFetcher (CSV over HTTP), TickFileWriter/TickFileReader (QFLT binary tick format with as-fast-as-possible or paced replay), TickCapture (record the live bus for deterministic replay), SeriesAligner (timestamp intersection / union+forward-fill for ragged multi-asset data) CorporateActions (split/dividend back-adjustment) and PointInTimeUniverse (as-of membership + delisting/merger terminal events — the engine half of survivorship-bias-free backtesting, consumed by the universe-aware PortfolioBacktester overload and StockScreener.membersAsOf) with UniverseCsvLoader as its documented CSV interchange format for user-supplied membership/lifecycle data.
com.quantfinlib.dsl - package com.quantfinlib.dsl: Strategy Builder DSL: compose Rules (built via Rules factories over indicator arrays, with and/or/not combinators) into a backtestable strategy through StrategyBuilder — entry/exit rules, stop loss and take profit in a fluent chain.
com.quantfinlib.examples - package com.quantfinlib.examples: Runnable demonstrations and benchmarks (excluded from coverage — they are run manually or by the Benchmarks (Linux) workflow): QuickStartDemo tours every capability on synthetic data; HftLatencyBenchmark measures the market data hot path and HftOrderBenchmark the order path (both print a HiccupMonitor summary to attribute tail outliers to platform stalls).
com.quantfinlib.execution - package com.quantfinlib.execution: Execution strategy support: SmartOrderRouter (fee-adjusted multi-venue splitting, dark-first option), its zero-allocation hot-lane sibling HftSor, and the full-checklist AdaptiveSor (expected-cost routing over displayed + hidden liquidity, fees/rebates, latency, fill probability and a reliability veto, with contingent dark probes) learning from VenueScorecard (streaming per-venue fill rate, measured latency, realized dark fills), TwapScheduler / VwapScheduler (schedule design with anti-gaming jitter and exact largest-remainder allocation), PovTracker (streaming percentage-of-volume participation), ImplementationShortfallScheduler (Almgren-Chriss-optimal slicing), WmrFixingScheduler (benchmark-window TWAP replication), BenchmarkExecutor (the DYNAMIC benchmark algo: one stateful executor tracking VWAP / TWAP / Arrival / Implementation Shortfall / Closing / Opening / Participation, re-deciding each interval from live spread, depth, volatility, volume curve, alpha and liquidity — cross-asset), LiquiditySeekingAlgo (the opportunistic archetype: burst when the spread is under its time-of-day forecast in a calm regime, guaranteed by a completion floor over the final stretch), PortfolioExecutor (multi-symbol portfolio-level scheduling over per-symbol BenchmarkExecutor children: leg-balance band for two-sided transitions, per-interval notional budget allocated risk-weighted — overlays only ever damp a child's own due, so per-symbol benchmark integrity holds), IcebergOrder (display/reload state machine), DarkPoolSimulator (midpoint cross with minimum-execution-quantity), MidPegTracker (peg repricing with thresholds) and VenueBenchmark (fill rate, effective spread, markout per venue).
com.quantfinlib.feed - package com.quantfinlib.feed: Live market data over WebSocket (pure JDK java.net.http): WebSocketFeed publishes parsed trades into the HftMarketDataBus with automatic reconnection, and BinanceTradeParser is the reference FeedParser (one small class per additional exchange).
com.quantfinlib.fix - package com.quantfinlib.fix: Zero-dependency FIX 4.4 engine.
com.quantfinlib.fx - package com.quantfinlib.fx: FX-specific market machinery — spot conventions through NDFs: CurrencyPair (pip/precision tables, T+1/T+2 spot lags, dual-calendar tenor dates with modified-following and end-end), SwapPointsCurve (quoted forward points → outrights, broken dates linear in days, covered-interest-parity carry), FxSwap (near/far legs, points MTM, roll cost), Ndf (fixing vs settlement lags per restricted currency, USD-settled difference amounts), FxVolSurface (delta-quoted smiles — ATM DNS, RR/BF wings, premium-adjusted delta↔strike solving), FixingRisk (WM/R-window TWAP/VWAP tracking error and participation), and the hot-path pieces: AggregatedBook (zero-alloc multi-venue BBO with venue attribution), CrossRateEngine (streaming synthetic crosses chained on the bus consumer thread), FxTierBook (per-LP size-tier ladders: sweep cost and full-amount quotes), LpScorecard (streaming last-look analytics: reject rate, hold, post-reject markout), LpRouter (expected-all-in routing that prices rejects into the decision) and SyntheticCross (direct-vs-legs execution arithmetic with spread composition).
com.quantfinlib.hedging - package com.quantfinlib.hedging: Hedging algorithms across asset classes: DeltaHedger (dynamic delta hedging with bands and costs) and HedgingSimulator (Monte Carlo hedging-error distributions), GreekHedger (delta-gamma-vega neutralization), OptionsBook (book-level Greeks, scenario grids, P&L explain), MinimumVarianceHedge (optimal ratios, futures sizing), FxHedger (exposure netting, forward carry), PairsHedger (spread construction, half-life), CointegrationTest (Engle-Granger — the statistical gate before a pairs trade) and WhalleyWilmott (the OPTIMAL no-trade band around delta — the width the band hedgers take as configuration SHOULD come from here, with the hedge-to-nearest-edge policy).
com.quantfinlib.indicators - package com.quantfinlib.indicators: Technical analysis engine: Indicators (21 batch indicators over primitive arrays, NaN warm-ups) and StreamingIndicators (O(1)-per-tick incremental versions for live/HFT strategies).
com.quantfinlib.marketdata - package com.quantfinlib.marketdata: Market data transport, two lanes:
com.quantfinlib.markets - package com.quantfinlib.markets: Market analytics across the public/private divide.
com.quantfinlib.microstructure - package com.quantfinlib.microstructure: Market microstructure analytics: MarketImpactModel (square-root law + Almgren-Chriss temporary/permanent decomposition), AlmgrenChriss (closed-form optimal execution trajectories on the cost/risk frontier), QueueModel (fill probability from queue position and latency advantage), TransactionCostAnalyzer (implementation shortfall, slippage vs VWAP, effective spread per fill), TickSizeSchedule (banded price grids) and Auction (call uncross).
com.quantfinlib.ml - package com.quantfinlib.ml: Statistical learning for markets, all pure Java: GradientBoostedRegressor (stump boosting), VolatilityForecaster (forward realized vol + 0-100 risk score), RegimeDetector (2-state Gaussian Markov-switching model via Baum-Welch EM), MarketImpactPredictor (learned impact + sweep probability), IntradayLiquidityForecaster (session volume profiles) and AnomalyDetector (quote stuffing, price spikes).
com.quantfinlib.optimization - package com.quantfinlib.optimization: Portfolio construction: PortfolioOptimizer (max Sharpe, min volatility, efficient frontier — derivative-free and deterministic), RiskParityOptimizer (equal risk contribution), BlackLitterman (equilibrium returns blended with confidence-weighted views) and ConstrainedPortfolioOptimizer (position caps/floors and turnover penalties against current holdings).
com.quantfinlib.orderbook - package com.quantfinlib.orderbook: Limit order book modeling, in two deliberate lanes: OrderBook is the research-grade model (price-time-priority matching with cancels, partial fills, queue-position queries and order-to-trade counters — readable TreeMap/object internals); HftOrderBook is the venue-grade core (dense integer-tick price ladder with occupancy bitmaps, pooled intrusive order nodes, primitive open-addressing id map, zero allocation — ~204 ns/op, 10M+ fills/sec measured by HftBookBenchmark).
com.quantfinlib.persist - package com.quantfinlib.persist: Multi-day persistence of learned state: Checkpoint — one binary file of named sections, written at end of day (atomic temp-then-rename, so a crash mid-save never corrupts yesterday's file) and restored at session start.
com.quantfinlib.pricing - package com.quantfinlib.pricing: Fair value and derivatives pricing: BlackScholes (Greeks with continuous carry — equities and Garman-Kohlhagen FX — plus implied vol), BinomialTree (CRR American/European), VolSurface (pillar smiles, total-variance term interpolation), SabrModel (Hagan 2002 + calibration), FairValueEngine (microprice and latency-adjusted true mid), TriangularArbitrage (executable FX round-trip edge), ForwardCurve (FX forwards with covered-interest-parity checks), the exotics (DigitalOption, TouchOption, BarrierOption, VannaVolga) and Autocallable (the flagship equity structured product: memory coupons, autocall observations, European knock-in — Monte Carlo with antithetic variates under documented GBM simplifications; RFQ market structure for trading it lives in rfq).
com.quantfinlib.rates - package com.quantfinlib.rates: Fixed income with real market conventions: YieldCurve (zero curve, discount factors, implied forwards, bootstrap from annual par swaps), BondPricer (price/yield, duration, convexity, DV01 — both whole-period and date-based with accrued interest), DayCount (ACT/360, ACT/365, 30/360, ACT/ACT ISDA), BusinessCalendar (holidays, roll conventions, T+n settlement, coupon schedules), ShortRateModels (Vasicek, CIR and curve-fitted Hull-White: closed-form zero-coupon bonds plus the simulation steps a rates-factor Monte Carlo needs) and KeyRateDurations (WHERE on the curve a bond's DV01 lives — per-node bumps whose slices sum back to the parallel move, tested).
com.quantfinlib.regulatory - package com.quantfinlib.regulatory: Benchmark and regulatory metrics: FixAnalyzer (WM/Reuters-style fix calculation and "banging the close" screening), BestExecutionAnalyzer (MiFID II-style slippage, latency-to-fill and per-venue reporting) and MarketQualityMetrics (quoted/effective/realized spread, price impact, order-to-trade ratio).
com.quantfinlib.report - package com.quantfinlib.report: Professional report generation, all writers hand-rolled on the JDK: ReportGenerator assembles portfolio, performance, risk, allocation, trade, Monte Carlo and technical sections into a Report, exported as HTML (with inline SvgCharts equity/drawdown charts), CSV, PDF, or XLSX.
com.quantfinlib.rfq - package com.quantfinlib.rfq: RFQ market structure for equity derivatives — structured products have no order book; they trade by request-for-quote against a dealer panel: RfqAuction (one auction: best price by the client's direction, the industry-standard cover price, spread to a model fair-value anchor such as pricing.Autocallable.price) and RfqDealerScorecard (streaming per-dealer quality across auctions — quote rate, response time, spread to fair, win rate — the panel-selection input, persistable via persist.Checkpoint).
com.quantfinlib.risk - package com.quantfinlib.risk: Risk: measurement, decomposition, credit/limits, and model validation.
com.quantfinlib.sbe - package com.quantfinlib.sbe: SBE-style binary wire codecs and channel adapters — the professional-grade alternative to the text edges (JSON WebSocket in, FIX tag-value out): TradeFlyweight, OrderFlyweight and QuoteFlyweight encode/decode at fixed buffer offsets with zero allocation, zero parsing and zero copying; BinaryMarketDataClient feeds the HftMarketDataBus from a binary stream and BinaryOrderPublisher/BinaryOrderReceiver carry gateway orders over a binary channel.
com.quantfinlib.screener - package com.quantfinlib.screener: Stock screening: StockScreener applies composable ScreenFilters — TechnicalFilters (RSI, moving averages, MACD, ADX, VWAP, SuperTrend, Bollinger, Ichimoku, breakouts, volume spikes, gaps, 52-week levels) and FundamentalFilters (market cap, P/E, P/B, EPS, ROE, dividend yield, leverage) — then ranks survivors with the weighted min-max RankingEngine and exports to CSV.
com.quantfinlib.simulation - package com.quantfinlib.simulation: Monte Carlo simulation: MonteCarloSimulator runs GBM scenarios (single portfolio or correlated multi-asset via Cholesky) in parallel across cores, deterministic per seed; SimulationResult provides the outcome analytics — probability of profit/loss, VaR/CVaR, confidence intervals, best/worst/expected/median terminal values.
com.quantfinlib.trading - package com.quantfinlib.trading: Order entry, two lanes (mirroring marketdata):
com.quantfinlib.util - package com.quantfinlib.util: Shared numerics and measurement primitives: MathUtils (statistics, percentiles, Cholesky, matrix solve/inverse, normal distribution), LatencyRecorder (zero-allocation log-linear nanosecond histogram) and HiccupMonitor (jHiccup-style platform stall attribution — GC/safepoint/scheduler pauses versus code latency).
com.quantfinlib.volatility - package com.quantfinlib.volatility: Volatility models: EwmaVolatility (RiskMetrics exponentially-weighted variance, λ = 0.94), Garch11 (Gaussian MLE with variance targeting; conditional variances and mean-reverting k-step forecasts) and GjrGarch11 (the leverage-effect asymmetry equity indices demand — a down move raises tomorrow's variance by α + γ, an up move by only α; fitting γ ≈ 0 is itself the finding that the series is symmetric), Egarch11 (Nelson's log-variance dynamics: leverage as a SIGN — γ < 0 — with no positivity constraints by construction; one-step forecasts exact, multi-step deliberately refused since the log recursion forecasts the median, not the mean), and HarRv (Corsi's heterogeneous autoregressive realized-vol model — daily/weekly/monthly horizons by plain OLS, the forecasting benchmark GARCH papers have to beat; pair it with microstructure.JumpRobustVolatility's bipower variance to keep jumps out of the forecast).
combinations() - Method in record class com.quantfinlib.backtest.validation.OverfitProbability.Result: Returns the value of the combinations record component.
combinations() - Method in class com.quantfinlib.backtest.validation.ParameterGrid: All parameter combinations, insertion-ordered and deterministic.
combined(double[]) - Method in class com.quantfinlib.microstructure.AlphaEnsemble: The blended alpha in [-1, 1]: clamp(Σ max(0, ICᶜ) × valueᶜ).
commissionBps() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Config: Returns the value of the commissionBps record component.
commissionBps() - Method in record class com.quantfinlib.backtest.tick.TickBacktester.Config: Returns the value of the commissionBps record component.
commissionDrag() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Result: Returns the value of the commissionDrag record component.
commissionRate() - Method in record class com.quantfinlib.backtest.BacktestConfig: Returns the value of the commissionRate record component.
commissionRate() - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Config: Returns the value of the commissionRate record component.
CommodityCurve - Class in com.quantfinlib.commodities: COMMODITY futures curve — where the P&L of a commodity position mostly does NOT come from being right about the spot price.
compare(double[], double[], int) - Static method in class com.quantfinlib.backtest.BenchmarkComparison
completed() - Method in record class com.quantfinlib.backtest.ExecutionAlgoBacktester.Result: Returns the value of the completed record component.
componentIC(int) - Method in class com.quantfinlib.microstructure.AlphaEnsemble: The prequential (out-of-sample) IC of one component — the trust diagnostic per signal. 0 before enough variance exists.
components() - Method in class com.quantfinlib.microstructure.AlphaEnsemble
components() - Method in record class com.quantfinlib.risk.ComponentVar.Allocation: Returns the value of the components record component.
ComponentVar - Class in com.quantfinlib.risk: COMPONENT VaR — the answer to the risk committee's actual question.
ComponentVar.Allocation - Record Class in com.quantfinlib.risk
compute(double[], List<Trade>, int) - Static method in class com.quantfinlib.backtest.PerformanceAnalytics
ConcentrationRisk - Class in com.quantfinlib.risk: Concentration risk metrics over exposures (by asset, counterparty, sector, currency, ...): Herfindahl-Hirschman index, effective number of positions, top-N share, and single-name limit breaches.
conditionalCoveragePValue() - Method in record class com.quantfinlib.risk.VarBacktest.VarBacktestResult: Returns the value of the conditionalCoveragePValue record component.
conditionalCoverageStatistic() - Method in record class com.quantfinlib.risk.VarBacktest.VarBacktestResult: Returns the value of the conditionalCoverageStatistic record component.
conditionalValueAtRisk() - Method in record class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport: Returns the value of the conditionalValueAtRisk record component.
conditionalValueAtRisk(double) - Method in class com.quantfinlib.hedging.HedgingErrorDistribution: Expected loss beyond the VaR quantile, as a positive number.
conditionalValueAtRisk(double) - Method in class com.quantfinlib.simulation.SimulationResult: CVaR: average loss fraction in the tail beyond the VaR quantile.
conditionalVar(double[], double) - Static method in class com.quantfinlib.risk.RiskMetrics: Conditional VaR / Expected Shortfall: mean loss beyond the VaR threshold.
conditionalVariances(double[], Egarch11.Params) - Static method in class com.quantfinlib.volatility.Egarch11: Conditional variance series under the fitted parameters.
conditionalVariances(double[], Garch11.Params) - Static method in class com.quantfinlib.volatility.Garch11: Conditional variance series under the fitted parameters (seeded at sample variance).
conditionalVariances(double[], GjrGarch11.Params) - Static method in class com.quantfinlib.volatility.GjrGarch11: Conditional variance series under the fitted parameters (seeded at sample variance).
confidenceInterval(double) - Method in class com.quantfinlib.simulation.SimulationResult: Two-sided confidence interval of terminal value, e.g. level = 0.90 → [p5, p95].
Config(double, double) - Constructor for record class com.quantfinlib.execution.PortfolioExecutor.Config: Creates an instance of a Config record class.
Config(double, double) - Constructor for record class com.quantfinlib.hedging.DeltaHedger.Config: Creates an instance of a Config record class.
Config(double, double, double, double, double) - Constructor for record class com.quantfinlib.execution.LiquiditySeekingAlgo.Config: Creates an instance of a Config record class.
Config(double, double, double, long, double) - Constructor for record class com.quantfinlib.execution.AdaptiveSor.Config: Creates an instance of a Config record class.
Config(double, double, double, long, int, double, TickSizeSchedule) - Constructor for record class com.quantfinlib.backtest.tick.TickBacktester.Config: Creates an instance of a Config record class.
Config(double, double, int, int, TradeCostModel) - Constructor for record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Config: Creates an instance of a Config record class.
Config(double, double, TradeCostModel) - Constructor for record class com.quantfinlib.backtest.ExecutionAlgoBacktester.Config: Creates an instance of a Config record class.
Config(int, int, double, double, double, double, int, int) - Constructor for record class com.quantfinlib.alpha.AlphaBacktester.Config: Creates an instance of a Config record class.
Config(int, int, int, double) - Constructor for record class com.quantfinlib.backtest.portfolio.CrossSectionalMomentum.Config: Creates an instance of a Config record class.
Config(long, double, double, long, double, TickSizeSchedule) - Constructor for record class com.quantfinlib.trading.HftQuoter.Config: Creates an instance of a Config record class.
Config(long, long, long, long, long, double, double, double, double) - Constructor for record class com.quantfinlib.microstructure.SignalEngine.Config: Creates an instance of a Config record class.
Config(String, String, int) - Constructor for record class com.quantfinlib.fix.FixSession.Config
Config(String, String, int, String, String) - Constructor for record class com.quantfinlib.fix.FixSession.Config
Config(String, String, int, String, String, boolean) - Constructor for record class com.quantfinlib.fix.FixSession.Config: Creates an instance of a Config record class.
configureSymbol(int, HftQuoter.Config) - Method in class com.quantfinlib.trading.HftQuoter: Per-symbol quoting parameters (cold path — call at setup or on config updates from the same thread that quotes, or before start).
ConstrainedPortfolioOptimizer - Class in com.quantfinlib.optimization: Constrained long-only optimizer: per-asset weight bounds (position caps / floors) and an optional turnover penalty against current holdings — adjusted return = μ·w − penalty · Σ|w − w_current| — so the optimizer trades expected gain against the real cost of getting there.
ConstrainedPortfolioOptimizer(double[], double[][]) - Constructor for class com.quantfinlib.optimization.ConstrainedPortfolioOptimizer
ConstrainedPortfolioOptimizer(double[], double[][], long) - Constructor for class com.quantfinlib.optimization.ConstrainedPortfolioOptimizer
contains(double) - Method in record class com.quantfinlib.execution.OrderPlacementPolicy.PostRegion
contains(String) - Method in class com.quantfinlib.marketdata.HistoricalDataStore
contains(String) - Method in class com.quantfinlib.risk.RiskMetricRegistry
contractRate() - Method in class com.quantfinlib.fx.Ndf
Conventions encoded - Search tag in class com.quantfinlib.fx.CurrencyPair: Section
convexity(double, double, int, double, double) - Static method in class com.quantfinlib.rates.BondPricer: Convexity (numeric second derivative of price w.r.t. yield, normalized by price).
CorporateAction(long, CorporateActions.Type, double) - Constructor for record class com.quantfinlib.data.CorporateActions.CorporateAction: Creates an instance of a CorporateAction record class.
CorporateActions - Class in com.quantfinlib.data: Corporate action adjustment: back-adjusts a raw price series for splits and cash dividends (CRSP-style multiplicative factors), so returns computed across ex-dates reflect economics rather than mechanical price drops — the difference between toy and usable equity backtests.
CorporateActions.CorporateAction - Record Class in com.quantfinlib.data
CorporateActions.Type - Enum Class in com.quantfinlib.data
correlation() - Method in record class com.quantfinlib.hedging.PairsHedger.PairsAnalysis: Returns the value of the correlation record component.
correlation(double[][]) - Static method in class com.quantfinlib.risk.CorrelationMatrix
correlation(double[], double[]) - Static method in class com.quantfinlib.risk.RiskMetrics
correlation(double[], double[]) - Static method in class com.quantfinlib.util.MathUtils
correlation(int, int) - Method in class com.quantfinlib.microstructure.EwmaCovariance: Decayed correlation in [-1, 1]; 0 while either variance is 0.
correlationAtLag(int) - Method in class com.quantfinlib.microstructure.LeadLagEstimator: Time-decayed correlation between the leader's return lag intervals ago and the follower's return now. 0 until enough samples exist at that lag.
correlationMatrix() - Method in record class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport: Returns the value of the correlationMatrix record component.
CorrelationMatrix - Class in com.quantfinlib.risk: Correlation and covariance matrices from a returns matrix laid out as returns[asset][time].
corwinSchultzSpread(double, double, double, double) - Static method in class com.quantfinlib.microstructure.LiquidityMeasures: Corwin-Schultz high-low spread estimate as a FRACTION of price, from two consecutive periods' highs and lows.
costBps(BarSeries, int, double) - Method in interface com.quantfinlib.backtest.TradeCostModel: All-in one-way cost, in bps of traded notional, for trading notional (currency units, always positive) of series at bar index.
costModel() - Method in record class com.quantfinlib.backtest.ExecutionAlgoBacktester.Config: Returns the value of the costModel record component.
costModel() - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Config: Returns the value of the costModel record component.
costs() - Method in class com.quantfinlib.crb.CrbHedgeUniverse: Per-unit costs aligned with CrbHedgeUniverse.loadings() columns.
costVariance() - Method in record class com.quantfinlib.microstructure.AlmgrenChriss.Trajectory: Returns the value of the costVariance record component.
count() - Method in record class com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile: Returns the value of the count record component.
count() - Method in record class com.quantfinlib.backtest.TradeAnalytics.Result: Returns the value of the count record component.
count() - Method in class com.quantfinlib.pricing.DividendSchedule
count() - Method in class com.quantfinlib.util.LatencyRecorder
counterparty() - Method in record class com.quantfinlib.risk.CounterpartyExposureTracker.CounterpartyTrade: Returns the value of the counterparty record component.
counterparty() - Method in record class com.quantfinlib.risk.PreTradeLimitChecker.OrderRequest: Returns the value of the counterparty record component.
counterparty() - Method in record class com.quantfinlib.risk.SettlementRiskAnalyzer.SettlementLeg: Returns the value of the counterparty record component.
CounterpartyExposureTracker - Class in com.quantfinlib.risk: Counterparty credit exposure modeling with netting: Current exposure — max(0, net mark-to-market) per netting set. Potential future exposure — notional add-ons by tenor bucket (BIS current-exposure-method style FX factors: <1y 1%, 1–5y 5%, >5y 7.5%).
CounterpartyExposureTracker() - Constructor for class com.quantfinlib.risk.CounterpartyExposureTracker
CounterpartyExposureTracker.CounterpartyTrade - Record Class in com.quantfinlib.risk
counterpartyLimit(String, double) - Method in class com.quantfinlib.risk.PreTradeLimitChecker
CounterpartyTrade(String, String, double, double, double) - Constructor for record class com.quantfinlib.risk.CounterpartyExposureTracker.CounterpartyTrade: Creates an instance of a CounterpartyTrade record class.
counts() - Method in record class com.quantfinlib.alpha.SignalEvaluator.QuantileReport: Returns the value of the counts record component.
covariance(double[][]) - Static method in class com.quantfinlib.risk.CorrelationMatrix
covariance(double[], double[]) - Static method in class com.quantfinlib.util.MathUtils: Sample covariance of two equally-sized series (n >= 2).
covariance(int, int) - Method in class com.quantfinlib.microstructure.EwmaCovariance: Decayed covariance between two symbols (order-free).
CovarianceShrinkage - Class in com.quantfinlib.risk: LEDOIT-WOLF covariance shrinkage (2004, "A well-conditioned estimator for large-dimensional covariance matrices") — the standard fix for the dirty secret of portfolio optimization: the sample covariance matrix is the MAXIMALLY overfit estimate.
CovarianceShrinkage.Result - Record Class in com.quantfinlib.risk
coverPrice() - Method in class com.quantfinlib.rfq.RfqAuction: The cover: the second-best price — what the trade would have cost without the winner.
covidMarch2020() - Static method in class com.quantfinlib.risk.StressTester: 2020-03-16 stylized: −12% equities, −30bp, USD squeeze, oil collapse, VIX ATH.
CrbAutoHedger - Class in com.quantfinlib.crb: The central risk book's hedging loop: per-factor exposure BANDS, a cost-aware hedge when breached, and a cooldown so the book does not chase its own hedges.
CrbAutoHedger(double[], double, long) - Constructor for class com.quantfinlib.crb.CrbAutoHedger
CrbAutoHedger.HedgeOrder - Record Class in com.quantfinlib.crb: One instrument's hedge instruction.
CrbHedgeUniverse - Class in com.quantfinlib.crb: The hedge-instrument universe, aligned to a book's factor registry — because hand-assembling loadings[factor][instrument] is the most error-prone step in the whole hedging workflow (one transposed index and the optimizer confidently hedges the wrong thing).
CrbHedgeUniverse(FactorRegistry) - Constructor for class com.quantfinlib.crb.CrbHedgeUniverse
CrbPnlLedger - Class in com.quantfinlib.crb: The central risk book's ECONOMICS ledger — the number the desk head actually asks for at the close: did the spread we captured by internalizing pay for the hedging we did?
CrbPnlLedger() - Constructor for class com.quantfinlib.crb.CrbPnlLedger
CrbReport(double, double, double, double, double, double, double) - Constructor for record class com.quantfinlib.crb.CentralRiskBook.CrbReport: Creates an instance of a CrbReport record class.
CrbRouter - Class in com.quantfinlib.crb: The central risk book's order router — internal cross first, dark pools second, lit last, each leg priced honestly: Internal — crossing against the book's own offsetting inventory costs ZERO bps and leaks nothing: the CRB itself is the firm's first and best dark pool.
CrbRouter.Allocation - Record Class in com.quantfinlib.crb: Where the notional went.
CrbRouter.DarkVenue - Record Class in com.quantfinlib.crb: A dark venue as the router sees it.
create(Map<String, Double>) - Method in interface com.quantfinlib.backtest.validation.StrategyFactory
CreditCurve - Class in com.quantfinlib.credit: CREDIT CURVE — piecewise-constant hazard rates bootstrapped from CDS par spreads, the credit market's exact analogue of YieldCurve's bootstrap: walk the quotes from shortest to longest, at each pillar solving for the one hazard rate that reprices that maturity's CDS to zero upfront given everything already solved.
CreditSpreads - Class in com.quantfinlib.credit: BOND credit-spread measures — the translation layer between a bond's PRICE and how much of it is credit.
CRITICAL_10PCT - Static variable in class com.quantfinlib.hedging.CointegrationTest
CRITICAL_1PCT - Static variable in class com.quantfinlib.hedging.CointegrationTest
CRITICAL_5PCT - Static variable in class com.quantfinlib.hedging.CointegrationTest
crossAbove(double[], double[]) - Static method in class com.quantfinlib.dsl.Rules: a crossed above b on this bar.
crossAboveValue(double[], double) - Static method in class com.quantfinlib.dsl.Rules: a crossed above a constant level on this bar.
crossBelow(double[], double[]) - Static method in class com.quantfinlib.dsl.Rules: a crossed below b on this bar.
crossBelowValue(double[], double) - Static method in class com.quantfinlib.dsl.Rules: a crossed below a constant level on this bar.
crossCost() - Method in record class com.quantfinlib.execution.OrderPlacementPolicy.Placement: Returns the value of the crossCost record component.
crossed() - Method in class com.quantfinlib.marketdata.Nbbo: Crossed market flag (NBB above NBO — locked/crossed tape condition).
CrossRateEngine - Class in com.quantfinlib.fx: Streaming cross-rate derivation on the HFT tick path: maintains synthetic crosses (EURJPY from EURUSD × USDJPY, EURGBP from EURUSD ÷ GBPUSD) live from their leg ticks, with zero allocation per tick.
CrossRateEngine(HftMarketDataBus) - Constructor for class com.quantfinlib.fx.CrossRateEngine
CrossRateEngine.Op - Enum Class in com.quantfinlib.fx: How the two leg prices compose into the cross.
CrossSectionalMomentum - Class in com.quantfinlib.backtest.portfolio: Point-in-time cross-sectional momentum — the classic equity factor, built to demonstrate (and test) universe-aware backtesting: at every rebalance the strategy ranks only the stocks that are index members at that bar's timestamp, goes long the best trailing performers and short the worst.
CrossSectionalMomentum(PointInTimeUniverse, CrossSectionalMomentum.Config) - Constructor for class com.quantfinlib.backtest.portfolio.CrossSectionalMomentum
CrossSectionalMomentum.Config - Record Class in com.quantfinlib.backtest.portfolio
crossSymbols() - Method in class com.quantfinlib.fx.CrossRateEngine: Symbols of all registered crosses, in registration order.
crossValidate(AlphaContext, AlphaFactor, int, int, int) - Static method in class com.quantfinlib.alpha.AlphaValidation: Splits the evaluation range into k contiguous blocks and recomputes the mean IC inside each.
CrossValidationResult(double[], double, double) - Constructor for record class com.quantfinlib.alpha.AlphaValidation.CrossValidationResult: Creates an instance of a CrossValidationResult record class.
cscv(double[][], int, ToDoubleFunction<double[]>) - Static method in class com.quantfinlib.backtest.validation.OverfitProbability: CSCV with the caller's objective (applied to a concatenated return sub-series; higher is better).
cscvSharpe(double[][], int) - Static method in class com.quantfinlib.backtest.validation.OverfitProbability: CSCV with the per-period Sharpe objective mean / stdDev (sample standard deviation; a zero-variance sub-series scores 0 — a flat line has no risk-adjusted evidence either way).
CsvBarLoader - Class in com.quantfinlib.data: CSV market data I/O: loads real historical OHLCV bars into a BarSeries and saves series back out — the interchange format for the whole library.
CsvReportExporter - Class in com.quantfinlib.report: CSV export: sections separated by "## title" marker lines.
CsvReportExporter() - Constructor for class com.quantfinlib.report.CsvReportExporter
CUM_QTY - Static variable in class com.quantfinlib.fix.FixMessage
cumQty() - Method in record class com.quantfinlib.fix.ExecutionReport: Returns the value of the cumQty record component.
cumQty() - Method in class com.quantfinlib.fix.FixExecReportView
currency() - Method in record class com.quantfinlib.hedging.FxHedger.FxExposure: Returns the value of the currency record component.
CurrencyPair - Class in com.quantfinlib.fx: Market conventions for an FX currency pair: quotation precision, pip size, spot lag, and settlement-date arithmetic against both currencies' holiday calendars.
currentDeviation(long) - Method in class com.quantfinlib.microstructure.SpreadForecaster: Current deviation from baseline (decayed to now).
currentExposure(String) - Method in class com.quantfinlib.risk.CounterpartyExposureTracker: Net current exposure (MTM netted within the counterparty netting set, floored at 0).
currentPrice() - Method in class com.quantfinlib.execution.MidPegTracker: Current working price (NaN before the first quote).
currentProbabilities() - Method in record class com.quantfinlib.ml.RegimeDetector.RegimeModel: Returns the value of the currentProbabilities record component.
currentRegime() - Method in record class com.quantfinlib.ml.RegimeDetector.RegimeModel: Returns the value of the currentRegime record component.
custom(String, String, double, int, int, BusinessCalendar, BusinessCalendar) - Static method in class com.quantfinlib.fx.CurrencyPair: Fully custom conventions (exotic pairs, onshore fixings, tests).
cva(double[], double[], CreditCurve, YieldCurve, double) - Static method in class com.quantfinlib.credit.CvaApproximator: Discrete unilateral CVA over the given exposure profile.
CvaApproximator - Class in com.quantfinlib.credit: UNILATERAL CVA — the price of the counterparty in every derivative you hold: the expected loss from their default before your trades' cash flows finish arriving.

D

d() - Method in record class com.quantfinlib.indicators.Indicators.StochRsi: Returns the value of the d record component.
dark() - Method in record class com.quantfinlib.backtest.SorExecution.VenueConfig: Returns the value of the dark record component.
dark() - Method in record class com.quantfinlib.crb.CrbRouter.Allocation: Returns the value of the dark record component.
dark() - Method in record class com.quantfinlib.execution.SmartOrderRouter.RouteLeg: Returns the value of the dark record component.
dark() - Method in record class com.quantfinlib.execution.VenueQuote: Returns the value of the dark record component.
DarkPoolSimulator - Class in com.quantfinlib.execution: Midpoint-cross dark pool model: hidden resting orders match at the current lit-market midpoint, honoring minimum-execution-quantity constraints (a standard anti-gaming feature).
DarkPoolSimulator() - Constructor for class com.quantfinlib.execution.DarkPoolSimulator
DarkPoolSimulator.Fill - Record Class in com.quantfinlib.execution
DarkVenue(String, double, double, double) - Constructor for record class com.quantfinlib.crb.CrbRouter.DarkVenue: Creates an instance of a DarkVenue record class.
dates() - Method in record class com.quantfinlib.alpha.SignalEvaluator.QuantileReport: Returns the value of the dates record component.
DayCount - Enum Class in com.quantfinlib.rates: Day-count conventions: the year fraction between two dates as real term sheets define it — because finance never agreed on how long a year is, and the disagreement is worth real money.
dayOfWeek(double[], long[]) - Static method in class com.quantfinlib.alpha.CalendarAnomalies
DayOfWeekProfile(double[], double[], int[]) - Constructor for record class com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile: Creates an instance of a DayOfWeekProfile record class.
daysLearned() - Method in class com.quantfinlib.microstructure.ClosingAuctionModel
daysLearned() - Method in class com.quantfinlib.microstructure.SpreadForecaster
daysLearned() - Method in class com.quantfinlib.microstructure.VolatilityCurve
daysLearned() - Method in class com.quantfinlib.microstructure.VolumeCurve
DayTypeProfiles<T> - Class in com.quantfinlib.microstructure: Day-type-aware seasonality: not every trading day has the same shape.
DayTypeProfiles(int, IntFunction<T>) - Constructor for class com.quantfinlib.microstructure.DayTypeProfiles: Variant whose factory sees the day-type index it is building for.
DayTypeProfiles(int, Supplier<T>) - Constructor for class com.quantfinlib.microstructure.DayTypeProfiles
dayTypes() - Method in class com.quantfinlib.microstructure.DayTypeProfiles
dealerCount() - Method in class com.quantfinlib.rfq.RfqAuction
dealerCount() - Method in class com.quantfinlib.rfq.RfqDealerScorecard
debtToEquity() - Method in record class com.quantfinlib.screener.Fundamentals: Returns the value of the debtToEquity record component.
debtToEquityBelow(double) - Static method in class com.quantfinlib.screener.FundamentalFilters
Decay(int[], double[], double) - Constructor for record class com.quantfinlib.alpha.AlphaReport.Decay: Creates an instance of a Decay record class.
decayFactor(long, long) - Static method in class com.quantfinlib.util.MathUtils: Exponential decay factor for a half-life over an elapsed interval: exp(-dt·ln2/halfLife); 1.0 for non-positive dt.
decayProfile(AlphaContext, AlphaFactor, int, int[]) - Static method in class com.quantfinlib.alpha.AlphaReport: Evaluates the factor's mean IC at each horizon.
decide() - Method in class com.quantfinlib.execution.SpreadExecutionAlgo: The next children.
decide(double, double, double) - Method in class com.quantfinlib.crb.InternalizationEngine: Decides one flow against the book's current net on that factor.
decide(double, double, double, double, double) - Static method in class com.quantfinlib.execution.OrderPlacementPolicy
decide(double, BenchmarkExecutor.MarketState[], long[]) - Method in class com.quantfinlib.execution.PortfolioExecutor: One portfolio interval: asks every child for its own due quantity, then applies the leg-balance band and the capacity allocation.
Decision(double, double, double) - Constructor for record class com.quantfinlib.crb.InternalizationEngine.Decision: Creates an instance of a Decision record class.
declaredEntries() - Method in class com.quantfinlib.fix.FixMarketDataView: NoMDEntries (268) as declared by the sender.
decompose(double[], double[]) - Static method in class com.quantfinlib.volatility.VolatilityDecomposition: Decomposes an asset's variance against a market/benchmark series.
Decomposition(double, double, double, double, double) - Constructor for record class com.quantfinlib.volatility.VolatilityDecomposition.Decomposition: Creates an instance of a Decomposition record class.
DEFAULT_INVOLUNTARY_DELISTING_RETURN - Static variable in class com.quantfinlib.data.PointInTimeUniverse: The standard haircut for involuntary delistings with unknown proceeds: −30% on the last traded price (Shumway, Journal of Finance 1997).
defaultDarkProbeShares() - Method in record class com.quantfinlib.execution.AdaptiveSor.Config: Returns the value of the defaultDarkProbeShares record component.
defaultMigration(int) - Static method in class com.quantfinlib.execution.FuturesRollAlgo: The classic S-curve over days roll days: slow start, concentrated middle, fully complete at the end — smoothstep 3x² − 2x³ sampled at each day's close.
defaultProbability(double) - Method in class com.quantfinlib.credit.CreditCurve: Cumulative default probability 1 - Q(t).
defaultQueueAhead() - Method in record class com.quantfinlib.backtest.tick.TickBacktester.Config: Returns the value of the defaultQueueAhead record component.
defaults() - Static method in record class com.quantfinlib.backtest.BacktestConfig
defaults() - Static method in record class com.quantfinlib.backtest.ExecutionAlgoBacktester.Config: 5 bps spread, 10% participation, flat 1 bp cost.
defaults() - Static method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Config
defaults() - Static method in record class com.quantfinlib.backtest.tick.TickBacktester.Config
defaults() - Static method in record class com.quantfinlib.execution.AdaptiveSor.Config: missPenalty 2 bps (≈ re-cross half a spread), urgency 1 bp/ms of latency, veto below 50% fill rate, 5,000-share default dark probe, dark capped at half the parent.
defaults() - Static method in record class com.quantfinlib.execution.LiquiditySeekingAlgo.Config: 10% spread tolerance, vol regime invalid input: '<' 0.5, impact invalid input: '<' 5 bps, 25% clips, floor from 70%.
defaults() - Static method in record class com.quantfinlib.microstructure.SignalEngine.Config
defaults(int) - Static method in record class com.quantfinlib.alpha.AlphaBacktester.Config: Institutional-ish daily-bar defaults: 1bp commission, 2bp half-spread, 1bp slippage, $100m book.
defineSymbol(int, String) - Method in class com.quantfinlib.data.TickFileWriter: Registers a symbol id (idempotent; must precede its first tick).
deflatedSharpe(double, double[], int, double, double) - Static method in class com.quantfinlib.backtest.validation.SharpeValidation: Deflated Sharpe: PSR of the winner against the expected-max benchmark implied by all the parameter combinations that were tried.
deflatedSharpeOfWinner(List<GridSearchOptimizer.Candidate>, double[], int) - Static method in class com.quantfinlib.backtest.validation.GridSearchOptimizer: The MULTIPLE-TESTING HAIRCUT for the grid's winner: the probability that the top-ranked candidate's Sharpe beats what the best of ranked.size() zero-skill trials would have scored anyway (SharpeValidation.deflatedSharpe(double, double[], int, double, double)).
DELETE - Static variable in class com.quantfinlib.marketdata.ItchCodec
deleteCount() - Method in class com.quantfinlib.marketdata.L3BookBuilder
DELISTING - Enum constant in enum class com.quantfinlib.data.PointInTimeUniverse.EventType
delistingReturn() - Method in record class com.quantfinlib.data.PointInTimeUniverse.TerminalEvent: Returns the value of the delistingReturn record component.
deliveredCount() - Method in class com.quantfinlib.trading.HftOrderGateway: Orders handed to the venue thread so far.
deliveredCount() - Method in class com.quantfinlib.trading.ShardedTradingEngine: Orders delivered to venue listeners across all shards.
delta() - Method in record class com.quantfinlib.hedging.GreekHedger.Instrument: Returns the value of the delta record component.
delta() - Method in record class com.quantfinlib.hedging.OptionsBook.BookGreeks: Returns the value of the delta record component.
delta() - Method in record class com.quantfinlib.pricing.BlackScholes.Greeks: Returns the value of the delta record component.
delta(BlackScholes.OptionType, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.Black76: Sensitivity to the FORWARD (not spot): df·Φ(d₁) for calls.
delta(BlackScholes.OptionType, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.BlackScholes
delta(BlackScholes.OptionType, BinomialTree.ExerciseStyle, double, double, double, double, double, double, int) - Static method in class com.quantfinlib.pricing.BinomialTree: Delta from the first tree step (central difference at t=dt).
deltaBand() - Method in record class com.quantfinlib.hedging.DeltaHedger.Config: Returns the value of the deltaBand record component.
Delta convention - Search tag in class com.quantfinlib.fx.FxVolSurface: Section
deltaGammaEs(double[], double[][], double[][], double) - Static method in class com.quantfinlib.risk.VarEngine: Second-order ES: the tail mean of the Cornish-Fisher loss quantile, integrated in CLOSED FORM.
deltaGammaHedge(double, double, double, double) - Static method in class com.quantfinlib.hedging.GreekHedger: Delta-gamma hedge with the underlying plus one option: returns [underlyingQty, optionQty] that zero both Greeks.
deltaGammaVar(double[], double[][], double[][], double) - Static method in class com.quantfinlib.risk.VarEngine: Second-order VaR via the Cornish-Fisher quantile of the delta-gamma P&L.
deltaGammaVegaHedge(double, double, double, GreekHedger.Instrument, GreekHedger.Instrument) - Static method in class com.quantfinlib.hedging.GreekHedger: Delta-gamma-vega hedge with the underlying plus two options: returns [underlyingQty, option1Qty, option2Qty].
DeltaHedger - Class in com.quantfinlib.hedging: Dynamic delta hedging simulator: sell an option, then replicate it by trading the underlying along a price path, rebalancing whenever the delta drifts outside a band.
DeltaHedger.Config - Record Class in com.quantfinlib.hedging
DeltaHedger.HedgeReport - Record Class in com.quantfinlib.hedging
deltaNormalEs(double[], double[][], double) - Static method in class com.quantfinlib.risk.VarEngine: Delta-normal ES: the Gaussian tail mean, σ·φ(z)/(1−c).
deltaNormalVar(double[], double[][], double) - Static method in class com.quantfinlib.risk.VarEngine: Delta-normal VaR: z-quantile of the Gaussian portfolio P&L.
deltaPnl() - Method in record class com.quantfinlib.hedging.OptionsBook.PnlExplain: Returns the value of the deltaPnl record component.
deltaShares() - Method in class com.quantfinlib.marketdata.ItchCodec.View: E: executed shares.
Dependence - Class in com.quantfinlib.risk: Rank-based dependence measures — what Pearson correlation misses.
depth() - Method in record class com.quantfinlib.backtest.DrawdownAnalytics.Drawdown: Returns the value of the depth record component.
depth(Side, int) - Method in class com.quantfinlib.orderbook.OrderBook: Total resting quantity on a side across its best maxLevels.
depthWithinBps(OrderBook, Side, double) - Static method in class com.quantfinlib.orderbook.BookAnalytics: Resting quantity on a side priced within bps of the mid.
deskExposure(String, String) - Method in class com.quantfinlib.crb.CentralRiskBook: One desk's net contribution to a factor.
desks() - Method in class com.quantfinlib.crb.CentralRiskBook
detectPriceSpikes(double[], double) - Static method in class com.quantfinlib.ml.AnomalyDetector: Flags intervals whose return is a zThreshold-sigma outlier.
detectQuoteStuffing(long[], long[], double, double) - Static method in class com.quantfinlib.ml.AnomalyDetector: Flags intervals where the message count is a zThreshold-sigma outlier AND the order-to-trade ratio exceeds minOrderToTradeRatio.
DEVIATION_ALPHA - Static variable in class com.quantfinlib.microstructure.SpreadForecaster: Per-observation blend weight of the live deviation (distinct from dayAlpha, which is the DAY-over-day baseline weight — the two timescales must not share a knob).
DigitalOption - Class in com.quantfinlib.pricing: European digital (binary) options under Black-Scholes — the building blocks of the first-generation FX exotics book.
dimension() - Method in class com.quantfinlib.risk.GaussianCopula
direction() - Method in record class com.quantfinlib.indicators.Indicators.SuperTrend: Returns the value of the direction record component.
dirtyPrice(double, double, int, LocalDate, LocalDate, double, DayCount, BusinessCalendar, BusinessCalendar.Roll) - Static method in class com.quantfinlib.rates.BondPricer: Dirty price with real-world conventions: coupon dates generated from the maturity, payment dates rolled on the business calendar, accrual and discounting measured with the day-count convention.
discountCertificate(double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.StructuredNotes: Fair value per unit of underlying of a discount certificate capped at cap: the covered call S e^{-qT} - call(cap).
discountCertificateDelta(double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.StructuredNotes: Delta of the discount certificate: long stock, short call.
discountFactor(double) - Method in class com.quantfinlib.rates.YieldCurve
displayedDepth() - Method in record class com.quantfinlib.execution.BenchmarkExecutor.MarketState: Returns the value of the displayedDepth record component.
diversificationBenefit() - Method in record class com.quantfinlib.crb.CentralRiskBook.CrbReport: Returns the value of the diversificationBenefit record component.
DIVIDE - Enum constant in enum class com.quantfinlib.fx.CrossRateEngine.Op: A/C ÷ B/C = A/B (shared quote currency).
dividendCashCredited() - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Result: Returns the value of the dividendCashCredited record component.
DividendSchedule - Class in com.quantfinlib.pricing: Discrete (cash) dividends for equity derivatives — the forward-looking counterpart to data.CorporateActions' historical back-adjustment.
dividendYield() - Method in record class com.quantfinlib.screener.Fundamentals: Returns the value of the dividendYield record component.
dividendYieldAbove(double) - Static method in class com.quantfinlib.screener.FundamentalFilters
dnsStrike(double, double, double, boolean) - Static method in class com.quantfinlib.fx.FxVolSurface: Delta-neutral-straddle (ATM) strike: F·e^{+σ²τ/2} for forward delta, F·e^{−σ²τ/2} premium-adjusted.
donchian(BarSeries, int) - Static method in class com.quantfinlib.indicators.Indicators: Donchian Channel: highest high / lowest low over the period.
Donchian(double[], double[], double[]) - Constructor for record class com.quantfinlib.indicators.Indicators.Donchian: Creates an instance of a Donchian record class.
done() - Method in class com.quantfinlib.execution.BenchmarkExecutor
done() - Method in class com.quantfinlib.execution.FuturesRollAlgo
done() - Method in class com.quantfinlib.execution.LiquiditySeekingAlgo
done() - Method in class com.quantfinlib.execution.PortfolioExecutor
done() - Method in class com.quantfinlib.execution.PovTracker
done() - Method in class com.quantfinlib.execution.SpreadExecutionAlgo: Done when the lead is complete AND the hedge has caught up.
dot(double[], double[]) - Static method in class com.quantfinlib.util.MathUtils
downAndInCall(double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.BarrierOption: Down-and-in call, H ≤ min(S, K): alive only after the barrier trades.
downAndOutCall(double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.BarrierOption: Down-and-out call, H ≤ min(S, K): dies if the barrier trades.
downCapture() - Method in record class com.quantfinlib.backtest.BenchmarkComparison.Result: Returns the value of the downCapture record component.
downsideDeviation(double[], double) - Static method in class com.quantfinlib.risk.RiskMetrics: Per-period downside deviation below the minimum acceptable return.
dpi(double, double, double) - Static method in class com.quantfinlib.markets.PrivateMarketAnalytics: DPI: realized distributions to paid-in — the cash-back multiple.
drainTo(TickListener, int) - Method in class com.quantfinlib.marketdata.TickRingBuffer: Consumer side; single consumer thread only.
drainTo(OrderListener, int) - Method in class com.quantfinlib.trading.OrderRingBuffer: Consumer side (venue thread).
Drawdown(int, int, int, double) - Constructor for record class com.quantfinlib.backtest.DrawdownAnalytics.Drawdown: Creates an instance of a Drawdown record class.
DrawdownAnalytics - Class in com.quantfinlib.backtest: DRAWDOWN structure — because "max drawdown 18%" hides the number that actually fires clients: how LONG the pain lasted.
DrawdownAnalytics.Drawdown - Record Class in com.quantfinlib.backtest: One peak-to-recovery episode.
DrawdownAnalytics.Result - Record Class in com.quantfinlib.backtest
drawdownChart(double[]) - Static method in class com.quantfinlib.report.SvgCharts: Drawdown area chart (720x220): 0 at the top, drawdowns filled below.
drawdownCurve(double[]) - Static method in class com.quantfinlib.alpha.AlphaReport: Drawdown series: fraction below the running peak (0 at new highs).
driftPerSecond() - Method in class com.quantfinlib.pricing.FairValueEngine: Estimated mid drift in price units per second over the lookback window.
droppedCount() - Method in class com.quantfinlib.marketdata.MarketDataProcessor
droppedEntries() - Method in class com.quantfinlib.fix.FixMarketDataView: Entries dropped across the view's lifetime for exceeding maxEntries.
droppedTicks() - Method in class com.quantfinlib.data.AsyncTickCapture: Ticks dropped because the ring was full (writer stalled) — monitor this.
dueOnDay(int) - Method in class com.quantfinlib.execution.FuturesRollAlgo: Contracts due on day (0-based): the migration target minus what has already rolled.
dueQuantity() - Method in class com.quantfinlib.execution.PovTracker: Shares to send now to restore the target participation: the behind- schedule quantity, clamped to the slice bounds and the parent remainder.
dueQuantity(double, BenchmarkExecutor.MarketState) - Method in class com.quantfinlib.execution.BenchmarkExecutor: Shares to send now, given the current market and how far through the schedule we are.
dueQuantity(double, BenchmarkExecutor.MarketState, double) - Method in class com.quantfinlib.execution.LiquiditySeekingAlgo: Shares to send now.
duplicateRefCount() - Method in class com.quantfinlib.marketdata.L3BookBuilder: Adds re-delivering a live ref, rejected to protect the book (replay symptom).
duration(int) - Method in record class com.quantfinlib.backtest.DrawdownAnalytics.Drawdown: Periods from peak to recovery, or to series end if open.
dv01(double, double, int, double, double) - Static method in class com.quantfinlib.rates.BondPricer: Price change for a one-basis-point yield move (positive number).
dv01(YieldCurve, int, double) - Static method in class com.quantfinlib.rates.SwapPricer: DV01 per unit notional: the payer swap's PV change for a +1bp parallel shift of the zero curve (positive — rates up helps the fixed payer).

E

earlyExercisePremium(BlackScholes.OptionType, double, double, double, double, double, double, int) - Static method in class com.quantfinlib.pricing.BinomialTree: Early-exercise premium: American price minus European price.
effectivePositions(double[]) - Static method in class com.quantfinlib.risk.ConcentrationRisk: Effective number of equally-weighted positions: 1 / HHI.
effectiveSpread(int) - Method in class com.quantfinlib.fx.LpScorecard: EWMA effective half-spread paid on fills, in price units.
effectiveSpreadBps(Side, double, double) - Static method in class com.quantfinlib.regulatory.MarketQualityMetrics: Effective spread: 2 * sign * (price - mid) / mid — what the taker actually paid.
efficiency() - Method in record class com.quantfinlib.alpha.AlphaValidation.WalkForwardResult: OOS/IS efficiency: below ~0.5 the selection is mostly fitting noise.
efficiency() - Method in record class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.WalkForwardResult: Returns the value of the efficiency record component.
efficientFrontier(int) - Method in class com.quantfinlib.optimization.PortfolioOptimizer: Efficient frontier: minimum-volatility portfolios across a grid of target returns between the min and max asset expected returns.
efficientFrontier(AlmgrenChriss.Params, double[]) - Static method in class com.quantfinlib.microstructure.AlmgrenChriss: Cost/risk frontier across risk aversions (for choosing the urgency).
Egarch11 - Class in com.quantfinlib.volatility: EGARCH(1,1) — Nelson's exponential GARCH, the LOG-variance dynamics the plain family cannot express:
Egarch11.Params - Record Class in com.quantfinlib.volatility
eigenvalue(int) - Method in class com.quantfinlib.risk.Pca: Variance carried by component c (descending order).
ema(double[], int) - Static method in class com.quantfinlib.indicators.Indicators: Exponential moving average, seeded with the SMA of the first period values.
Ema(int) - Constructor for class com.quantfinlib.indicators.StreamingIndicators.Ema
EmaCrossStrategy - Class in com.quantfinlib.backtest.strategies: EMA crossover: buy when the fast EMA crosses above the slow EMA, sell on the reverse cross.
EmaCrossStrategy(int, int) - Constructor for class com.quantfinlib.backtest.strategies.EmaCrossStrategy
encode(int, double, double, double, double, long) - Method in class com.quantfinlib.sbe.QuoteFlyweight: Encodes a full quote message at the wrap position (writes the type header).
encode(int, double, double, long) - Method in class com.quantfinlib.sbe.TradeFlyweight: Encodes a full trade message at the wrap position (writes the type header).
encode(long, int, Side, long, double, long) - Method in class com.quantfinlib.sbe.OrderFlyweight: Encodes a full order message at the wrap position (writes the type header).
encode(String, String, long, String) - Method in class com.quantfinlib.fix.FixMessage.Builder: Frames the message with header, body length and checksum.
encode(String, String, long, String, boolean, String) - Method in class com.quantfinlib.fix.FixMessage.Builder: Framing with resend header fields: possDup sets PossDupFlag(43)=Y and origSendingTime adds OrigSendingTime(122) — required when replaying stored messages.
encodeAdd(byte[], int, int, long, long, byte, long, long, int) - Static method in class com.quantfinlib.marketdata.ItchCodec: Encodes an Add Order (A); returns bytes written.
encodeCancel(byte[], int, int, long, long, long) - Static method in class com.quantfinlib.marketdata.ItchCodec: Encodes an Order Cancel (X, partial cancel); returns bytes written.
encodeDelete(byte[], int, int, long, long) - Static method in class com.quantfinlib.marketdata.ItchCodec: Encodes an Order Delete (D); returns bytes written.
encodeExecuted(byte[], int, int, long, long, long, long) - Static method in class com.quantfinlib.marketdata.ItchCodec: Encodes an Order Executed (E); returns bytes written.
encodeLimit(long, long, int, Side, long, long, int, long) - Method in class com.quantfinlib.fix.FixOrderEncoder: Encodes a limit NewOrderSingle into the reusable buffer.
encodeMarket(long, long, int, Side, long, long) - Method in class com.quantfinlib.fix.FixOrderEncoder: Market NewOrderSingle (40=1, no price tag).
encodeReplace(byte[], int, int, long, long, long, long, int) - Static method in class com.quantfinlib.marketdata.ItchCodec: Encodes an Order Replace (U); returns bytes written.
encodeTrade(byte[], int, int, long, long, byte, long, long, int, long) - Static method in class com.quantfinlib.marketdata.ItchCodec: Encodes a non-cross Trade (P); returns bytes written.
ENCRYPT_METHOD - Static variable in class com.quantfinlib.fix.FixMessage
END_SEQ_NO - Static variable in class com.quantfinlib.fix.FixMessage
engleGranger(double[], double[]) - Static method in class com.quantfinlib.hedging.CointegrationTest: Full Engle-Granger test of prices A against prices B.
EngleGrangerResult(double, double, double, boolean, boolean, boolean) - Constructor for record class com.quantfinlib.hedging.CointegrationTest.EngleGrangerResult: Creates an instance of a EngleGrangerResult record class.
enterWhen(Rule) - Method in class com.quantfinlib.dsl.StrategyBuilder
ENTRY_BID - Static variable in class com.quantfinlib.fix.FixMarketDataView: MDEntryType values (269).
ENTRY_OFFER - Static variable in class com.quantfinlib.fix.FixMarketDataView
entryCount() - Method in class com.quantfinlib.fix.FixMarketDataView: Entries actually retained (bounded by the constructor's maxEntries).
entryIndex() - Method in record class com.quantfinlib.backtest.Trade: Returns the value of the entryIndex record component.
entryPrice() - Method in record class com.quantfinlib.backtest.Trade: Returns the value of the entryPrice record component.
entryTime() - Method in record class com.quantfinlib.backtest.Trade: Returns the value of the entryTime record component.
episodes() - Method in record class com.quantfinlib.backtest.DrawdownAnalytics.Result: Returns the value of the episodes record component.
eps() - Method in record class com.quantfinlib.screener.Fundamentals: Returns the value of the eps record component.
epsAbove(double) - Static method in class com.quantfinlib.screener.FundamentalFilters
equalRiskContribution(double[], double[][]) - Static method in class com.quantfinlib.optimization.RiskParityOptimizer: Equal-risk-contribution weights (expected returns used only for reporting).
equals(Object) - Method in record class com.quantfinlib.alpha.AlphaBacktester.Config: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.alpha.AlphaBacktester.Result: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.alpha.AlphaReport.Attribution: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.alpha.AlphaReport.Decay: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.alpha.AlphaValidation.CrossValidationResult: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.alpha.AlphaValidation.Fold: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.alpha.AlphaValidation.RobustnessResult: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.alpha.AlphaValidation.SensitivityResult: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.alpha.AlphaValidation.WalkForwardResult: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.alpha.CalendarAnomalies.TurnOfMonth: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.alpha.FamaMacBeth.Result: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.alpha.SignalEvaluator.QuantileReport: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.alpha.SignalEvaluator.Report: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.backtest.BacktestConfig: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.backtest.BenchmarkComparison.Result: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.backtest.DrawdownAnalytics.Drawdown: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.backtest.DrawdownAnalytics.Result: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.backtest.ExecutionAlgoBacktester.Config: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.backtest.ExecutionAlgoBacktester.Result: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.backtest.ParentOrder: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.backtest.PerformanceMetrics: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.backtest.portfolio.CrossSectionalMomentum.Config: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Config: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Result: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.backtest.SorExecution.VenueConfig: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.backtest.tick.TickBacktester.Config: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.backtest.tick.TickBacktester.TickBacktestResult: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.backtest.Trade: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.backtest.TradeAnalytics.Result: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.backtest.validation.GridSearchOptimizer.Candidate: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.backtest.validation.MonteCarloTradeShuffle.Result: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.backtest.validation.OverfitProbability.Result: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.backtest.validation.PurgedKFold.Split: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.Fold: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.WalkForwardResult: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.core.Bar: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.crb.CentralRiskBook.CrbReport: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.crb.CrbAutoHedger.HedgeOrder: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.crb.CrbRouter.Allocation: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.crb.CrbRouter.DarkVenue: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.crb.InternalizationEngine.Decision: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.crb.SkewedQuoter.Quote: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.data.CorporateActions.CorporateAction: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.data.PointInTimeUniverse.TerminalEvent: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.execution.AdaptiveSor.Config: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.execution.AdaptiveSor.RoutingDecision: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.execution.BenchmarkExecutor.MarketState: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.execution.DarkPoolSimulator.Fill: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.execution.LiquiditySeekingAlgo.Config: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.execution.OrderPlacementPolicy.Placement: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.execution.OrderPlacementPolicy.PostRegion: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.execution.PortfolioExecutor.Config: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.execution.Slice: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.execution.SmartOrderRouter.RouteLeg: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.execution.SmartOrderRouter.RoutingPlan: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.execution.SpreadExecutionAlgo.Children: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.execution.VenueBenchmark.Sample: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.execution.VenueBenchmark.VenueStats: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.execution.VenueQuote: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.feed.FeedTrade: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.fix.ExecutionReport: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.fix.FixSession.Config: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.fix.FixSessionStore.StoredMessage: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.fix.NewOrderSingle: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.fix.OrderCancelReplaceRequest: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.fix.OrderCancelRequest: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.fx.FxVolSurface.SmilePillar: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.hedging.CointegrationTest.EngleGrangerResult: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.hedging.DeltaHedger.Config: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.hedging.DeltaHedger.HedgeReport: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.hedging.FxHedger.FxExposure: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.hedging.GreekHedger.Instrument: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.hedging.OptionsBook.BookGreeks: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.hedging.OptionsBook.OptionPosition: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.hedging.OptionsBook.PnlExplain: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.hedging.PairsHedger.PairsAnalysis: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.hedging.WhalleyWilmott.Action: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.indicators.Indicators.Adx: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.indicators.Indicators.Bollinger: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.indicators.Indicators.Donchian: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.indicators.Indicators.Ichimoku: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.indicators.Indicators.Keltner: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.indicators.Indicators.Macd: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.indicators.Indicators.StochRsi: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.indicators.Indicators.SuperTrend: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.marketdata.MarketDataEvent: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.microstructure.AlmgrenChriss.Params: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.microstructure.AlmgrenChriss.Trajectory: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.microstructure.Auction.Result: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.microstructure.Execution: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.microstructure.OrnsteinUhlenbeck.Params: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.microstructure.SignalEngine.Config: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.microstructure.TransactionCostAnalyzer.TcaReport: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.microstructure.VarianceRatio.Result: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.ml.AnomalyDetector.Anomaly: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.ml.RegimeDetector.RegimeModel: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.optimization.PortfolioOptimizer.Allocation: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.orderbook.BookAnalytics.SweepResult: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.pricing.BlackScholes.Greeks: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.pricing.Heston.Params: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.pricing.SabrModel.Params: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.pricing.TriangularArbitrage.Quote: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.rates.NelsonSiegel.Fit: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.rates.Svensson.Fit: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.regulatory.BestExecutionAnalyzer.BestExecutionReport: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.regulatory.BestExecutionAnalyzer.OrderOutcome: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.regulatory.FixAnalyzer.FixImpactReport: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.report.Report.Section: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.risk.ComponentVar.Allocation: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.risk.CounterpartyExposureTracker.CounterpartyTrade: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.risk.CovarianceShrinkage.Result: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.risk.ExtremeValueTheory.GpdFit: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.risk.PnlAttribution.Result: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.risk.Portfolio.Position: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.risk.PreTradeLimitChecker.CheckResult: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.risk.PreTradeLimitChecker.OrderRequest: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.risk.SettlementRiskAnalyzer.SettlementLeg: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.risk.StressTester.ReverseStress: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.risk.VarBacktest.VarBacktestResult: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.risk.VarEngine.VarResult: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.screener.Fundamentals: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.screener.RankingEngine.ScoredStock: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.screener.StockSnapshot: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.trading.HftQuoter.Config: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.trading.PaperTradingGateway.AccountSnapshot: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.volatility.Egarch11.Params: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.volatility.Garch11.Params: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.volatility.GjrGarch11.Params: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.volatility.HarRv.Params: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.volatility.VolatilityDecomposition.Decomposition: Indicates whether some other object is "equal to" this one.
equalWeights(int) - Static method in class com.quantfinlib.markets.IndexConstruction: Equal weights, 1/N.
equity() - Method in record class com.quantfinlib.trading.PaperTradingGateway.AccountSnapshot: Returns the value of the equity record component.
equity() - Method in class com.quantfinlib.trading.PaperTradingGateway: Mark-to-market equity at current mids.
equityChart(double[]) - Static method in class com.quantfinlib.report.SvgCharts: Equity curve line chart (720x300).
equityCurve() - Method in class com.quantfinlib.backtest.BacktestResult
equityCurve() - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Result: Returns the value of the equityCurve record component.
equitySampleEvery() - Method in record class com.quantfinlib.backtest.tick.TickBacktester.Config: Returns the value of the equitySampleEvery record component.
es() - Method in record class com.quantfinlib.crb.CentralRiskBook.CrbReport: Returns the value of the es record component.
es975(double[]) - Static method in class com.quantfinlib.risk.FrtbEs: ES at 97.5% of a loss sample (positive losses), the FRTB tail measure.
esmaStyle(int) - Static method in class com.quantfinlib.microstructure.TickSizeSchedule: ESMA-style generated schedule: within each price decade the bands [1,2), [2,5), [5,10) carry ticks in a 1-2-5 progression, all scaled up by one decade per liquidityBand step (0 = most liquid).
estimate(BarSeries, int, int) - Static method in class com.quantfinlib.microstructure.MarketImpactModel: Estimates a model from a series' trailing window: ADV as the mean volume, daily vol as the stdev of close-to-close returns — the one canonical bar-data → impact-model bridge, shared by the alpha and portfolio backtesters so their impact numbers can never diverge.
estimatedDelta() - Method in class com.quantfinlib.pricing.IncrementalGreeks: Tick-fresh delta estimate.
estimatedPrice() - Method in class com.quantfinlib.pricing.IncrementalGreeks: Tick-fresh price estimate (per unit; scale by position externally).
estimatedTrueDepth(int) - Method in class com.quantfinlib.microstructure.HiddenLiquidityDetector: Estimated total resting size at a level = displayed × hidden multiplier — the depth an execution algo should size against, not the visible tip.
EUROPEAN - Enum constant in enum class com.quantfinlib.pricing.BinomialTree.ExerciseStyle
europeanPrice(BlackScholes.OptionType, double, double, double, double, double, double) - Method in class com.quantfinlib.pricing.DividendSchedule: European price under the escrowed model: Black-Scholes on the adjusted spot, with borrow as the carry.
evaluate(AlphaContext, AlphaFactor, int, int) - Static method in class com.quantfinlib.alpha.SignalEvaluator: Evaluates a factor over [startIndex, ctx.bars() − horizon), stepping by horizon (non-overlapping forward windows).
events() - Method in class com.quantfinlib.microstructure.HawkesIntensity
every(double) - Static method in record class com.quantfinlib.hedging.DeltaHedger.Config
EwmaCovariance - Class in com.quantfinlib.microstructure: Streaming EWMA covariance matrix — the multi-asset risk picture that single-symbol volatility cannot see.
EwmaCovariance(int) - Constructor for class com.quantfinlib.microstructure.EwmaCovariance: RiskMetrics λ = 0.94.
EwmaCovariance(int, double) - Constructor for class com.quantfinlib.microstructure.EwmaCovariance
EwmaVolatility - Class in com.quantfinlib.volatility: Exponentially weighted moving average variance (RiskMetrics-style): h_t = λ h_{t-1} + (1-λ) r_{t-1}², seeded with the sample variance.
EwmaVolatility(double) - Constructor for class com.quantfinlib.volatility.EwmaVolatility
exceedances() - Method in record class com.quantfinlib.risk.ExtremeValueTheory.GpdFit: Returns the value of the exceedances record component.
exceptionRate() - Method in record class com.quantfinlib.risk.VarBacktest.VarBacktestResult: Returns the value of the exceptionRate record component.
exceptions() - Method in record class com.quantfinlib.risk.VarBacktest.VarBacktestResult: Returns the value of the exceptions record component.
exchangeCrossGamma(double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.HigherOrderGreeks: Cross-gamma of a Margrabe exchange option (the right to exchange asset 2 for asset 1) — the canonical two-asset second-order term: ∂²V/∂S₁∂S₂ = −φ(d₁)/(S₂·σ̂·√T) where σ̂² = σ₁² + σ₂² − 2ρσ₁σ₂.
ExchangeOption - Class in com.quantfinlib.pricing: TWO-ASSET closed forms: Margrabe's exchange option and Kirk's spread approximation — the workhorse formulas for relative-value option books (crack spreads, calendar spreads, stock-vs-index switches).
EXEC_ID - Static variable in class com.quantfinlib.fix.FixMessage
EXEC_TYPE - Static variable in class com.quantfinlib.fix.FixMessage
EXEC_TYPE_CANCELED - Static variable in record class com.quantfinlib.fix.ExecutionReport
EXEC_TYPE_NEW - Static variable in record class com.quantfinlib.fix.ExecutionReport
EXEC_TYPE_REJECTED - Static variable in record class com.quantfinlib.fix.ExecutionReport
EXEC_TYPE_REPLACED - Static variable in record class com.quantfinlib.fix.ExecutionReport
EXEC_TYPE_TRADE - Static variable in record class com.quantfinlib.fix.ExecutionReport
execId() - Method in record class com.quantfinlib.fix.ExecutionReport: Returns the value of the execId record component.
execType() - Method in record class com.quantfinlib.fix.ExecutionReport: Returns the value of the execType record component.
execType() - Method in class com.quantfinlib.fix.FixExecReportView: Tag 150 as its ASCII byte ('0' new, 'F' trade, '4' canceled, ...).
execute(Side, long, BarSeries, int) - Method in interface com.quantfinlib.backtest.ExecutionModel: Executes up to requestedQty on this bar.
execute(Side, long, BarSeries, int) - Method in class com.quantfinlib.backtest.IcebergExecution
execute(Side, long, BarSeries, int) - Method in class com.quantfinlib.backtest.InstantExecution
execute(Side, long, BarSeries, int) - Method in class com.quantfinlib.backtest.LastLookExecution
execute(Side, long, BarSeries, int) - Method in class com.quantfinlib.backtest.SorExecution
executeCount() - Method in class com.quantfinlib.marketdata.L3BookBuilder
executed() - Method in record class com.quantfinlib.backtest.ExecutionAlgoBacktester.Result: Returns the value of the executed record component.
executed() - Method in class com.quantfinlib.execution.BenchmarkExecutor
executed() - Method in class com.quantfinlib.execution.LiquiditySeekingAlgo
executed() - Method in class com.quantfinlib.execution.PovTracker
EXECUTED - Static variable in class com.quantfinlib.marketdata.ItchCodec
Execution - Record Class in com.quantfinlib.microstructure: A matched trade (fill) for TCA and venue analytics.
Execution(String, Side, double, long, long, String) - Constructor for record class com.quantfinlib.microstructure.Execution: Creates an instance of a Execution record class.
EXECUTION_REPORT - Static variable in class com.quantfinlib.fix.FixMessage
ExecutionAlgoBacktester - Class in com.quantfinlib.backtest: Backtests the DYNAMIC execution stack over bar data — the bridge between execution.BenchmarkExecutor (built for live intervals) and the backtest lane: replay a session's bars, let the executor re-decide each bar exactly as it would live, fill against the bar with a TradeCostModel, and grade the result the way a TCA desk would (implementation shortfall vs arrival, slippage vs the session VWAP).
ExecutionAlgoBacktester() - Constructor for class com.quantfinlib.backtest.ExecutionAlgoBacktester
ExecutionAlgoBacktester(ExecutionAlgoBacktester.Config) - Constructor for class com.quantfinlib.backtest.ExecutionAlgoBacktester
ExecutionAlgoBacktester.Config - Record Class in com.quantfinlib.backtest
ExecutionAlgoBacktester.Result - Record Class in com.quantfinlib.backtest: The TCA-style verdict for one parent worked over one session.
ExecutionAwareBacktester - Class in com.quantfinlib.backtest: Execution-aware backtesting engine: strategy signals create parent orders that are worked through an ExecutionModel — routed by SorExecution, sliced by IcebergExecution, or filled instantly by InstantExecution.
ExecutionAwareResult - Class in com.quantfinlib.backtest: Result of an execution-aware backtest: the standard BacktestResult (equity curve, trades, performance metrics) plus the full parent-order / child-fill history, with one-call TCA per parent order.
ExecutionModel - Interface in com.quantfinlib.backtest: How parent orders turn into fills in an execution-aware backtest (ExecutionAwareBacktester).
executionPrice() - Method in record class com.quantfinlib.regulatory.BestExecutionAnalyzer.OrderOutcome: Returns the value of the executionPrice record component.
ExecutionReport - Record Class in com.quantfinlib.fix: Typed view of a FIX ExecutionReport (35=8) — the venue's answer to an order: acknowledgement, fill, or rejection.
ExecutionReport(String, String, char, char, String, String, Side, double, double, double, double, double) - Constructor for record class com.quantfinlib.fix.ExecutionReport: Creates an instance of a ExecutionReport record class.
exists(TriangularArbitrage.Quote, TriangularArbitrage.Quote, TriangularArbitrage.Quote, double) - Static method in class com.quantfinlib.pricing.TriangularArbitrage: True when the executable edge exceeds thresholdBps (e.g. costs).
exitIndex() - Method in record class com.quantfinlib.backtest.Trade: Returns the value of the exitIndex record component.
exitPrice() - Method in record class com.quantfinlib.backtest.Trade: Returns the value of the exitPrice record component.
exitReason() - Method in record class com.quantfinlib.backtest.Trade: Returns the value of the exitReason record component.
exitTime() - Method in record class com.quantfinlib.backtest.Trade: Returns the value of the exitTime record component.
exitWhen(Rule) - Method in class com.quantfinlib.dsl.StrategyBuilder
expectancy() - Method in record class com.quantfinlib.backtest.TradeAnalytics.Result: Returns the value of the expectancy record component.
expectedAvgAllInPrice() - Method in record class com.quantfinlib.execution.SmartOrderRouter.RoutingPlan: Returns the value of the expectedAvgAllInPrice record component.
expectedCost() - Method in record class com.quantfinlib.microstructure.AlmgrenChriss.Trajectory: Returns the value of the expectedCost record component.
expectedCostBps() - Method in record class com.quantfinlib.crb.CrbRouter.Allocation: Returns the value of the expectedCostBps record component.
expectedCostBps(double, double) - Method in class com.quantfinlib.microstructure.MarketImpactModel: Expected implementation cost of executing quantity at the given participation rate: half the permanent impact (average price concession over the schedule) plus the full temporary impact.
expectedDuration(int) - Method in record class com.quantfinlib.ml.RegimeDetector.RegimeModel: Expected persistence of a regime in periods: 1 / (1 - p_stay).
expectedExceptions() - Method in record class com.quantfinlib.risk.VarBacktest.VarBacktestResult: Returns the value of the expectedExceptions record component.
expectedFollowerReturn() - Method in class com.quantfinlib.microstructure.LeadLagEstimator: The regression prediction of the follower's next-interval return from the leader's return at the best lag: beta(k) x leaderReturn[t-k+1] with beta = cov/varLead. 0 when no lead has been measured.
expectedFractionElapsed(int, double) - Method in class com.quantfinlib.microstructure.VolumeCurve: Expected fraction of TODAY's total volume already traded, at fracWithinBucket through bucket — the live VWAP curve input.
expectedHiddenShares(int) - Method in class com.quantfinlib.execution.VenueScorecard: EWMA shares found per dark probe (0 before any probe).
expectedIncomingSeq() - Method in class com.quantfinlib.fix.FileSessionStore
expectedIncomingSeq() - Method in interface com.quantfinlib.fix.FixSessionStore: The next incoming MsgSeqNum expected (1 for a fresh session).
expectedIncomingSeq() - Method in class com.quantfinlib.fix.FixSessionStore.InMemory
expectedIncomingSeqNum() - Method in class com.quantfinlib.fix.FixSession: Next incoming sequence number this session expects (for diagnostics/tests).
expectedLiquidity() - Method in record class com.quantfinlib.crb.CrbRouter.DarkVenue: Returns the value of the expectedLiquidity record component.
expectedMaxSharpe(int, double) - Static method in class com.quantfinlib.backtest.validation.SharpeValidation: Expected maximum Sharpe among trials independent zero-skill strategies whose Sharpe estimates have the given cross-trial variance.
expectedPostCost() - Method in record class com.quantfinlib.execution.OrderPlacementPolicy.Placement: Returns the value of the expectedPostCost record component.
expectedReturn() - Method in record class com.quantfinlib.optimization.PortfolioOptimizer.Allocation: Returns the value of the expectedReturn record component.
expectedShortfall() - Method in record class com.quantfinlib.risk.VarEngine.VarResult: Returns the value of the expectedShortfall record component.
expectedShortfall(double) - Method in record class com.quantfinlib.risk.ExtremeValueTheory.GpdFit: Tail expected shortfall at p.
expectedShortfall(double[], double) - Static method in class com.quantfinlib.risk.RiskMetrics: Alias for RiskMetrics.conditionalVar(double[], double).
expectedValue() - Method in class com.quantfinlib.simulation.SimulationResult
expectedVolumeFractionElapsed() - Method in record class com.quantfinlib.execution.BenchmarkExecutor.MarketState: Returns the value of the expectedVolumeFractionElapsed record component.
expectedVolumeRemaining(int, double) - Method in class com.quantfinlib.microstructure.VolumeCurve: Volume still expected between now and the close, under the projection.
expiries() - Method in class com.quantfinlib.pricing.VolSurface
expiryYears() - Method in record class com.quantfinlib.fx.FxVolSurface.SmilePillar: Returns the value of the expiryYears record component.
expiryYears() - Method in record class com.quantfinlib.hedging.OptionsBook.OptionPosition: Returns the value of the expiryYears record component.
explainedVariance(int) - Method in class com.quantfinlib.risk.Pca: Fraction of total variance the first k components explain.
export(Report, Path) - Method in class com.quantfinlib.report.CsvReportExporter
export(Report, Path) - Method in class com.quantfinlib.report.HtmlReportExporter
export(Report, Path) - Method in class com.quantfinlib.report.PdfReportExporter
export(Report, Path) - Method in interface com.quantfinlib.report.ReportExporter
export(Report, Path) - Method in class com.quantfinlib.report.XlsxReportExporter
exportCsv(Path, List<RankingEngine.ScoredStock>) - Static method in class com.quantfinlib.screener.StockScreener: Exports ranked results (symbol, score, last close, fundamentals) to CSV.
exposure(String) - Method in class com.quantfinlib.crb.CentralRiskBook: Net exposure on a factor (0 for a factor never booked).
exposures() - Method in record class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport: Returns the value of the exposures record component.
exTimestamp() - Method in record class com.quantfinlib.data.CorporateActions.CorporateAction: Returns the value of the exTimestamp record component.
ExtremeValueTheory - Class in com.quantfinlib.risk: Extreme value theory via peaks-over-threshold — the statistically honest way to ask about quantiles BEYOND the sample.
ExtremeValueTheory.GpdFit - Record Class in com.quantfinlib.risk: A fitted POT tail model.

F

factorExposure(AlphaContext, AlphaFactor, AlphaFactor, int, int) - Static method in class com.quantfinlib.alpha.SignalEvaluator: Mean cross-sectional rank correlation between two factors' scores — how much of factor B is already inside factor A.
factorName() - Method in record class com.quantfinlib.alpha.SignalEvaluator.QuantileReport: Returns the value of the factorName record component.
factorName() - Method in record class com.quantfinlib.alpha.SignalEvaluator.Report: Returns the value of the factorName record component.
factorNames() - Method in record class com.quantfinlib.alpha.AlphaReport.Attribution: Returns the value of the factorNames record component.
FactorRegistry - Class in com.quantfinlib.crb: Dense integer ids for risk-factor names — the SymbolRegistry pattern applied to the central risk book's factor space, so exposure arithmetic runs over primitive arrays while the factor names stay readable (EQ:AAPL, CCY:EUR, FXVEGA:EURUSD).
FactorRegistry() - Constructor for class com.quantfinlib.crb.FactorRegistry
factors() - Method in class com.quantfinlib.crb.CentralRiskBook
Factors - Class in com.quantfinlib.alpha: The standard alpha factor library — nine signal generators covering the classic technical, factor-investing and defensive families.
failureReason() - Method in class com.quantfinlib.sbe.BinaryMarketDataClient: Non-null once the reader stopped on a protocol or I/O error.
failureReason() - Method in class com.quantfinlib.sbe.BinaryOrderReceiver: Non-null once the reader stopped on a protocol or I/O error.
FairValueEngine - Class in com.quantfinlib.pricing: Latency-adjusted fair value for rapidly updating order books.
FairValueEngine() - Constructor for class com.quantfinlib.pricing.FairValueEngine: 256-sample ring over a 500 ms drift window.
FairValueEngine(int, long) - Constructor for class com.quantfinlib.pricing.FairValueEngine
fairVariance(double[], double[], double[], double, double, double) - Static method in class com.quantfinlib.pricing.VarianceSwap: Model-free fair strike (annualized VARIANCE, e.g. 0.04) replicated from one expiry's option chain — parameters exactly as VolatilityIndex.index(double[], double[], double[], double, double, double).
falling(double[], int) - Static method in class com.quantfinlib.dsl.Rules: a has fallen on each of the last bars bars.
FamaMacBeth - Class in com.quantfinlib.alpha: Fama-MacBeth cross-sectional regression — the standard answer to the question the IC cannot answer: what is a factor exposure WORTH, per period, in return space?
FamaMacBeth.Result - Record Class in com.quantfinlib.alpha
farDate() - Method in class com.quantfinlib.fx.FxSwap
farRate() - Method in class com.quantfinlib.fx.FxSwap
fastHalfLifeNanos() - Method in record class com.quantfinlib.microstructure.SignalEngine.Config: Returns the value of the fastHalfLifeNanos record component.
features(double, double, double, double) - Static method in class com.quantfinlib.ml.MarketImpactPredictor: Standard feature vector.
fee(int, double) - Method in class com.quantfinlib.execution.HftSor: Per-venue taker fee in ticks (negative = rebate).
feeBps() - Method in record class com.quantfinlib.backtest.SorExecution.VenueConfig: Returns the value of the feeBps record component.
feeBps() - Method in record class com.quantfinlib.execution.VenueQuote: Returns the value of the feeBps record component.
FeedParser - Interface in com.quantfinlib.feed: Parses one exchange feed message into a trade.
FeedTrade - Record Class in com.quantfinlib.feed: One trade parsed from an exchange feed message.
FeedTrade(String, double, double, long) - Constructor for record class com.quantfinlib.feed.FeedTrade: Creates an instance of a FeedTrade record class.
feller() - Method in record class com.quantfinlib.pricing.Heston.Params: The Feller ratio 2κθ/σᵥ²; ≥ 1 keeps variance strictly positive.
fetchCsv(URI, String) - Method in class com.quantfinlib.data.HttpBarFetcher: Downloads a CSV document and parses it into a series.
field(int, char) - Method in class com.quantfinlib.fix.FixMessage.Builder
field(int, double) - Method in class com.quantfinlib.fix.FixMessage.Builder: Plain-decimal rendering (FIX forbids scientific notation).
field(int, long) - Method in class com.quantfinlib.fix.FixMessage.Builder
field(int, String) - Method in class com.quantfinlib.fix.FixMessage.Builder
File format - Search tag in class com.quantfinlib.data.UniverseCsvLoader: Section
FileSessionStore - Class in com.quantfinlib.fix: Durable FixSessionStore backed by two files in a directory: seqnums.dat (16 bytes, synchronous writes) and an append-only messages.dat replayed into memory on open.
FileSessionStore(Path) - Constructor for class com.quantfinlib.fix.FileSessionStore
Fill(long, long, double, long) - Constructor for record class com.quantfinlib.execution.DarkPoolSimulator.Fill: Creates an instance of a Fill record class.
fillBarIndices() - Method in record class com.quantfinlib.backtest.ParentOrder: Returns the value of the fillBarIndices record component.
fillCount() - Method in class com.quantfinlib.backtest.LastLookExecution: Accepted fills (parent-bar attempts, not shares).
fillDurationBars() - Method in record class com.quantfinlib.backtest.ParentOrder: Bars from first to last fill (0 for unfilled or single-bar parents).
filled() - Method in record class com.quantfinlib.execution.VenueBenchmark.Sample: Returns the value of the filled record component.
filled() - Method in record class com.quantfinlib.regulatory.BestExecutionAnalyzer.OrderOutcome: Returns the value of the filled record component.
filled(int) - Method in class com.quantfinlib.execution.VenueScorecard
filled(NewOrderSingle, String, String, double) - Static method in record class com.quantfinlib.fix.ExecutionReport: Venue-side convenience: full fill at one price.
FILLED - Enum constant in enum class com.quantfinlib.trading.OrderStatus
filledQty() - Method in record class com.quantfinlib.backtest.ParentOrder
filledQty() - Method in record class com.quantfinlib.orderbook.BookAnalytics.SweepResult: Returns the value of the filledQty record component.
fillProbability() - Method in record class com.quantfinlib.crb.CrbRouter.DarkVenue: Returns the value of the fillProbability record component.
fillProbability(double) - Method in class com.quantfinlib.microstructure.QueuePositionEstimator: Fill probability over a horizon in which expectedTradedQty shares are expected to execute at this level — QueueModel applied to the estimated position.
fillProbability(long, long, double) - Static method in class com.quantfinlib.microstructure.QueueModel: Probability the order fully fills within the horizon.
FillProbabilityModel - Class in com.quantfinlib.microstructure: Passive-fill probability for a limit order resting AWAY from the touch — the placement question QueueModel alone can't answer.
fillRate() - Method in record class com.quantfinlib.execution.VenueBenchmark.VenueStats: Returns the value of the fillRate record component.
fillRate() - Method in record class com.quantfinlib.regulatory.BestExecutionAnalyzer.BestExecutionReport: Returns the value of the fillRate record component.
fillRate(int) - Method in class com.quantfinlib.execution.VenueScorecard: EWMA fill probability; the optimistic prior before any data.
fillRatePrior() - Method in class com.quantfinlib.execution.VenueScorecard: The before-any-data prior (also what unregistered venues score as).
fills() - Method in record class com.quantfinlib.backtest.ParentOrder: Returns the value of the fills record component.
fills() - Method in record class com.quantfinlib.backtest.tick.TickBacktester.TickBacktestResult: Returns the value of the fills record component.
fills(int) - Method in class com.quantfinlib.fx.LpScorecard
finalEquity() - Method in record class com.quantfinlib.backtest.PerformanceMetrics: Returns the value of the finalEquity record component.
finalEquity() - Method in record class com.quantfinlib.backtest.tick.TickBacktester.TickBacktestResult: Returns the value of the finalEquity record component.
finalPnl() - Method in record class com.quantfinlib.hedging.DeltaHedger.HedgeReport: Returns the value of the finalPnl record component.
finalPositions() - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Result: Returns the value of the finalPositions record component.
fit(double[]) - Method in class com.quantfinlib.ml.VolatilityForecaster: Trains on a historical return series (needs at least ~3 months of data).
fit(double[]) - Static method in class com.quantfinlib.volatility.Egarch11: Fits EGARCH(1,1) to (demeaned) returns by grid MLE.
fit(double[]) - Static method in class com.quantfinlib.volatility.Garch11: Fits GARCH(1,1) to (demeaned) returns by MLE with variance targeting.
fit(double[]) - Static method in class com.quantfinlib.volatility.GjrGarch11: Fits GJR-GARCH(1,1) to (demeaned) returns by MLE with variance targeting.
fit(double[]) - Static method in class com.quantfinlib.volatility.HarRv: Fits by OLS.
fit(double[][][], double[][]) - Static method in class com.quantfinlib.alpha.FamaMacBeth
fit(double[][], double[]) - Method in class com.quantfinlib.ml.GradientBoostedRegressor: Fits the model on x[sample][feature] / y[sample].
fit(double[][], double[]) - Method in class com.quantfinlib.ml.MarketImpactPredictor: Trains on historical (features, realized impact bps) observations.
fit(double[], double) - Static method in class com.quantfinlib.microstructure.OrnsteinUhlenbeck: Fits OU to a series sampled every dt time units (e.g.
fit(double[], double[]) - Static method in class com.quantfinlib.rates.NelsonSiegel: Fits by log-spaced λ grid (0.1y–10y, 80 nodes) + exact OLS per node.
fit(double[], double[]) - Static method in class com.quantfinlib.rates.Svensson: Fits by 2-D log-spaced lambda grid (0.1y-10y, 50 nodes per axis, lambda2 > lambda1 only) + exact 4-regressor OLS per node.
fit(double[], int) - Static method in class com.quantfinlib.ml.RegimeDetector
Fit(double, double, double, double, double) - Constructor for record class com.quantfinlib.rates.NelsonSiegel.Fit: Creates an instance of a Fit record class.
Fit(double, double, double, double, double, double, double) - Constructor for record class com.quantfinlib.rates.Svensson.Fit: Creates an instance of a Fit record class.
fitPot(double[], double) - Static method in class com.quantfinlib.risk.ExtremeValueTheory: Fits a GPD to the losses exceeding the thresholdQuantile of the sample (e.g. 0.90), via probability-weighted moments.
FixAnalyzer - Class in com.quantfinlib.regulatory: WM/Reuters-style 4pm fix analysis: computes the fix rate from mid samples inside the fixing window (median, per WM/R methodology) and screens a participant's flow for the classic "banging the close" signature — a large share of window volume, a price run-up aligned with the participant's net flow into the fix, and reversion afterwards.
FixAnalyzer.FixImpactReport - Record Class in com.quantfinlib.regulatory
fixedFractionalQuantity(double, double, double, double) - Static method in class com.quantfinlib.backtest.portfolio.PositionSizing: Fixed-fractional sizing: shares such that hitting the stop loses exactly riskFraction of equity.
FixExecReportView - Class in com.quantfinlib.fix: Garbage-free FIX 4.4 ExecutionReport reader — the inbound half of the FIX hot path, completing the round trip FixOrderEncoder started: order out garbage-free, fill in garbage-free.
FixExecReportView() - Constructor for class com.quantfinlib.fix.FixExecReportView
FixImpactReport(double, double, double, double, long, boolean) - Constructor for record class com.quantfinlib.regulatory.FixAnalyzer.FixImpactReport: Creates an instance of a FixImpactReport record class.
fixingDate() - Method in class com.quantfinlib.fx.Ndf
fixingLagDays(String) - Static method in class com.quantfinlib.fx.Ndf: The fixing lag this library books for a restricted currency code.
FixingRisk - Class in com.quantfinlib.fx: Analytics for benchmark-fixing exposure — the risk concentrated in the short calculation window of an official fix (WM/R 4pm London, the RBI reference rate an NDF settles on, an equity closing auction).
FixMarketDataView - Class in com.quantfinlib.fix: Garbage-free FIX 4.4 market-data reader — the feed half of the FIX hot path.
FixMarketDataView() - Constructor for class com.quantfinlib.fix.FixMarketDataView: 32 entries — deeper than any real LP tier stack.
FixMarketDataView(int) - Constructor for class com.quantfinlib.fix.FixMarketDataView
FixMessage - Class in com.quantfinlib.fix: FIX 4.4 wire-format message: tag=value fields delimited by SOH, framed by BeginString(8) / BodyLength(9) / CheckSum(10).
FixMessage.Builder - Class in com.quantfinlib.fix: Body-field builder; the session supplies header fields at encode time.
FixOrderEncoder - Class in com.quantfinlib.fix: Garbage-free FIX 4.4 NewOrderSingle encoder — the hot-lane counterpart of the String-based NewOrderSingle/FixMessage codec, for venues that only speak FIX (where the sbe binary adapters aren't an option, order entry IS the FIX edge, and per-order String building would put allocation back on the measured path).
FixOrderEncoder(String, String, int, int) - Constructor for class com.quantfinlib.fix.FixOrderEncoder
fixRate() - Method in record class com.quantfinlib.regulatory.FixAnalyzer.FixImpactReport: Returns the value of the fixRate record component.
FixSession - Class in com.quantfinlib.fix: FIX 4.4 session over TCP — initiator or acceptor — implementing the session protocol needed to trade: Logon handshake, Heartbeats with TestRequest probing and staleness disconnect, sequence-number tracking with gap detection, Logout handshake, and the application flow NewOrderSingle out / ExecutionReport in (or the reverse, on the venue side).
FixSession.Config - Record Class in com.quantfinlib.fix
FixSession.Listener - Interface in com.quantfinlib.fix: Session callbacks; invoked on the session's reader thread.
FixSessionStore - Interface in com.quantfinlib.fix: Persistence seam for a FixSession: sequence numbers and the outbound application-message store.
FixSessionStore.InMemory - Class in com.quantfinlib.fix
FixSessionStore.StoredMessage - Record Class in com.quantfinlib.fix: One stored outbound application message, replayable on ResendRequest.
flagged() - Method in record class com.quantfinlib.regulatory.FixAnalyzer.FixImpactReport: Returns the value of the flagged record component.
flat(double) - Static method in interface com.quantfinlib.backtest.TradeCostModel: Fixed all-in bps per trade — commission-only, size-independent.
flat(double) - Static method in class com.quantfinlib.microstructure.TickSizeSchedule: Single flat tick for every price (US-equity style).
floor(YieldCurve, int, double, double) - Static method in class com.quantfinlib.rates.RatesOptions: Floor: the matching strip of floorlets.
flowHalfLifeNanos() - Method in record class com.quantfinlib.microstructure.SignalEngine.Config: Returns the value of the flowHalfLifeNanos record component.
flowsBooked() - Method in class com.quantfinlib.crb.CentralRiskBook
FlowSignals - Class in com.quantfinlib.microstructure: Streaming order-flow signals for short-horizon execution decisions: the three imbalances an execution engine reads before crossing a spread — cross-asset (equity ticks or raw FX rates; see the two onQuote entry points) — Order-flow imbalance (OFI) — Cont/Kukanov/Stoikov best-level formulation: a bid price/size increase or ask decrease is buying pressure; the mirror is selling pressure.
FlowSignals() - Constructor for class com.quantfinlib.microstructure.FlowSignals: 500 ms half-life.
FlowSignals(long) - Constructor for class com.quantfinlib.microstructure.FlowSignals
fold() - Method in record class com.quantfinlib.backtest.validation.PurgedKFold.Split: Returns the value of the fold record component.
Fold(int, int, int, int, Map<String, Double>, double, double) - Constructor for record class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.Fold: Creates an instance of a Fold record class.
Fold(int, int, int, String, double, double) - Constructor for record class com.quantfinlib.alpha.AlphaValidation.Fold: Creates an instance of a Fold record class.
folds() - Method in record class com.quantfinlib.alpha.AlphaValidation.WalkForwardResult: Returns the value of the folds record component.
folds() - Method in record class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.WalkForwardResult: Returns the value of the folds record component.
FOLLOWING - Enum constant in enum class com.quantfinlib.rates.BusinessCalendar.Roll: Move forward to the next business day.
forceCompleteFrom() - Method in record class com.quantfinlib.execution.LiquiditySeekingAlgo.Config: Returns the value of the forceCompleteFrom record component.
forecast(double[]) - Method in class com.quantfinlib.ml.VolatilityForecaster: Forecast of next-horizon-period volatility (per-period units).
forecast(double[], HarRv.Params) - Static method in class com.quantfinlib.volatility.HarRv: One-step-ahead RV forecast from the series' most recent day/week/ month, floored at zero.
forecast(int, long) - Method in class com.quantfinlib.microstructure.SpreadForecaster: Forecast spread at bucket as of nowNanos: the learned time-of-day baseline plus the mean-reverting live deviation.
forecastVariance(double[], Garch11.Params, int) - Static method in class com.quantfinlib.volatility.Garch11: k-step-ahead variance forecast: h_{T+k} = σ̄² + (α+β)^{k-1} (h_{T+1} - σ̄²) — mean-reverts to the unconditional variance at the persistence rate.
forecastVariance(double[], GjrGarch11.Params, int) - Static method in class com.quantfinlib.volatility.GjrGarch11: k-step-ahead variance forecast — mean-reverts to the unconditional variance at the persistence rate, exactly as Garch11 but with the asymmetric first step.
forecastVolume(int) - Method in class com.quantfinlib.ml.IntradayLiquidityForecaster: Expected volume in a bucket (historical mean).
format() - Method in record class com.quantfinlib.alpha.AlphaReport.Attribution
format() - Method in record class com.quantfinlib.alpha.AlphaReport.Decay
format() - Method in record class com.quantfinlib.alpha.SignalEvaluator.Report: One-line human summary in fixed order for report diffs.
forward() - Method in record class com.quantfinlib.fx.FxVolSurface.SmilePillar: Returns the value of the forward record component.
forward(double) - Method in class com.quantfinlib.pricing.ForwardCurve: Interpolated outright forward at the tenor (linear in forward points between pillars; flat-slope extrapolation beyond the last pillar).
forward(double, double, double, double) - Method in class com.quantfinlib.pricing.DividendSchedule: Equity forward with discrete dividends and a continuous borrow fee.
forwardAt(double) - Method in class com.quantfinlib.fx.FxVolSurface: Log-linear interpolated forward at an expiry, flat outside pillars.
forwardCarryBps(double, double, double) - Static method in class com.quantfinlib.hedging.FxHedger: Annualized carry of the forward hedge in bps: positive = hedging costs carry (forward above spot for the currency you sell), negative = carry pickup.
ForwardCurve - Class in com.quantfinlib.pricing: Implied FX forward curve construction from market outright forwards, with interpolation, implied rate differentials, and covered-interest-parity arbitrage checks against deposit rates.
ForwardCurve(double) - Constructor for class com.quantfinlib.pricing.ForwardCurve
forwardPoints(double) - Method in class com.quantfinlib.pricing.ForwardCurve: Forward points at the tenor (outright minus spot).
forwardPoints(LocalDate) - Method in class com.quantfinlib.fx.SwapPointsCurve: Interpolated forward points (price terms) for a settlement date: linear in actual days, anchored at zero on the spot date.
forwardRate(double, double) - Method in class com.quantfinlib.rates.YieldCurve: Implied continuously-compounded forward rate between two tenors.
forwardSwapRate(YieldCurve, int, int) - Static method in class com.quantfinlib.rates.RatesOptions: Forward par swap rate for a swap starting at startYears.
from() - Method in record class com.quantfinlib.execution.OrderPlacementPolicy.PostRegion: Returns the value of the from record component.
from(BacktestConfig) - Static method in class com.quantfinlib.backtest.InstantExecution
fromBars(String, List<Bar>) - Static method in class com.quantfinlib.core.BarSeries
FrtbEs - Class in com.quantfinlib.risk: FRTB Internal Models Approach expected shortfall — the market-risk capital measure that replaced 10-day VaR: ES at 97.5%, computed on a base 10-day horizon and scaled up across LIQUIDITY HORIZONS (how long each risk factor class realistically takes to exit under stress: 10 days for major FX and rates, up to 120 for exotic credit), then anchored to a STRESSED period:
FrtbEs.TrafficLight - Enum Class in com.quantfinlib.risk: The Basel backtesting traffic light over 250 days of 99% VaR exceptions: GREEN ≤ 4 (model fine), AMBER 5-9 (capital multiplier rises), RED ≥ 10 (model presumed wrong).
fullAmountPrice(int, boolean, double) - Method in class com.quantfinlib.fx.FxTierBook: One LP's full-amount price for a clip: the tightest tier whose clip capacity covers size, NaN when the LP doesn't quote it (or only at a malformed NaN price).
fullHedgeContracts(double, double, double, double) - Static method in class com.quantfinlib.hedging.MinimumVarianceHedge: Contracts to fully hedge (target beta 0) — negative = sell futures.
fullRevaluationVar(double[][], VarEngine.ScenarioReval, double) - Static method in class com.quantfinlib.risk.VarEngine: Full-revaluation VaR: every scenario repriced through the CALLER'S pricer — the method that sees what every sensitivity shortcut misses (a knocked-out barrier, a pinned short gamma, an autocall triggered by the scenario itself).
FundamentalFilters - Class in com.quantfinlib.screener: Fundamental screening filters.
fundamentals() - Method in record class com.quantfinlib.screener.StockSnapshot: Returns the value of the fundamentals record component.
fundamentals(int) - Method in class com.quantfinlib.alpha.AlphaContext: Fundamentals for symbol index i, or null when unknown.
Fundamentals - Record Class in com.quantfinlib.screener: Fundamental data for one instrument.
Fundamentals(double, double, double, double, double, double, double) - Constructor for record class com.quantfinlib.screener.Fundamentals: Creates an instance of a Fundamentals record class.
FuturesRollAlgo - Class in com.quantfinlib.execution: The futures roll — the trade every futures position must do and most do badly: move from the expiring front contract to the back over the roll window, following the LIQUIDITY MIGRATION rather than fighting it.
FuturesRollAlgo(long, double[]) - Constructor for class com.quantfinlib.execution.FuturesRollAlgo
FxExposure(String, double) - Constructor for record class com.quantfinlib.hedging.FxHedger.FxExposure: Creates an instance of a FxExposure record class.
FxHedger - Class in com.quantfinlib.hedging: FX exposure hedging with forwards: nets currency exposures across a book, computes the variance-minimizing hedge ratio for a foreign-asset position, and prices the carry cost of the forward hedge from forward points.
FxHedger.FxExposure - Record Class in com.quantfinlib.hedging: One currency exposure, signed, in base-currency terms.
fxSession(int) - Static method in class com.quantfinlib.ml.IntradayLiquidityForecaster: FX session label for an hour of day in UTC.
FxSwap - Class in com.quantfinlib.fx: An FX swap: two offsetting FX exchanges — buy (sell) base currency on the near date, sell (buy) it back on the far date — the instrument behind funding, position rolls, and most of the daily FX forward volume.
FxTierBook - Class in com.quantfinlib.fx: Tiered multi-LP FX book: the depth structure e-FX actually has.
FxTierBook(int, int) - Constructor for class com.quantfinlib.fx.FxTierBook
FxVolSurface - Class in com.quantfinlib.fx: FX-style volatility surface built from the market's delta-quoted smile: ATM (delta-neutral straddle), 25-delta risk reversal and butterfly, optionally 10-delta wings.
FxVolSurface.Builder - Class in com.quantfinlib.fx: Accumulates per-expiry delta quotes, then solves strikes once in FxVolSurface.Builder.build().
FxVolSurface.SmilePillar - Record Class in com.quantfinlib.fx: One expiry's solved smile: absolute strikes and vols, low to high strike.

G

gamma() - Method in record class com.quantfinlib.hedging.GreekHedger.Instrument: Returns the value of the gamma record component.
gamma() - Method in record class com.quantfinlib.hedging.OptionsBook.BookGreeks: Returns the value of the gamma record component.
gamma() - Method in record class com.quantfinlib.pricing.BlackScholes.Greeks: Returns the value of the gamma record component.
gamma() - Method in class com.quantfinlib.pricing.IncrementalGreeks: Anchor gamma (constant between reprices — second order is the anchor's).
gamma() - Method in class com.quantfinlib.trading.AvellanedaStoikov
gamma() - Method in record class com.quantfinlib.volatility.Egarch11.Params: Returns the value of the gamma record component.
gamma() - Method in record class com.quantfinlib.volatility.GjrGarch11.Params: Returns the value of the gamma record component.
gamma(double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.BlackScholes
gammaPnl() - Method in record class com.quantfinlib.hedging.OptionsBook.PnlExplain: Returns the value of the gammaPnl record component.
GAP_FILL_FLAG - Static variable in class com.quantfinlib.fix.FixMessage
gapUp(double) - Static method in class com.quantfinlib.screener.TechnicalFilters: Gap up at the last open of at least minFraction versus the prior close.
Garch11 - Class in com.quantfinlib.volatility: GARCH(1,1) volatility model with Gaussian maximum-likelihood fitting: h_t = ω + α r_{t-1}² + β h_{t-1}.
Garch11.Params - Record Class in com.quantfinlib.volatility
garmanKlass(double[], double[], double[], double[], double) - Static method in class com.quantfinlib.volatility.RangeVolatility: Garman-Klass estimator, annualized.
garmanKlass(BarSeries, double) - Static method in class com.quantfinlib.volatility.RangeVolatility: Garman-Klass over a whole BarSeries.
gate(int) - Method in class com.quantfinlib.trading.ShardedTradingEngine
gates() - Method in class com.quantfinlib.trading.ShardedTradingEngine: All gates — the input to a GlobalRiskAggregator.
gateway(int) - Method in class com.quantfinlib.trading.ShardedTradingEngine
GaussianCopula - Class in com.quantfinlib.risk: Gaussian and Student-t copula samplers — dependence separated from marginals, which is the entire point of copula modeling: "these five factors co-move like THIS" (the copula) is a different statement from "each factor's own distribution looks like THAT" (the marginals), and gluing arbitrary marginals to a chosen dependence structure is how joint risk scenarios get built.
GaussianCopula(double[][]) - Constructor for class com.quantfinlib.risk.GaussianCopula
geltnerDesmooth(double[], double) - Static method in class com.quantfinlib.markets.PrivateMarketAnalytics: Geltner desmoothing: inverts AR(1) appraisal smoothing with parameter phi in [0, 1).
generatedAt() - Method in class com.quantfinlib.report.Report
geometricPrice(BlackScholes.OptionType, double, double, double, double, double, double, int) - Static method in class com.quantfinlib.pricing.AsianOption: Exact discrete geometric-average Asian price (Kemna-Vorst).
get(String) - Method in class com.quantfinlib.risk.RiskMetricRegistry
getChar(int) - Method in class com.quantfinlib.fix.FixMessage
getDouble(int) - Method in class com.quantfinlib.fix.FixMessage
getDouble(int, double) - Method in class com.quantfinlib.fix.FixMessage
getLong(int) - Method in class com.quantfinlib.fix.FixMessage
getString(int) - Method in class com.quantfinlib.fix.FixMessage
getString(int, String) - Method in class com.quantfinlib.fix.FixMessage
GjrGarch11 - Class in com.quantfinlib.volatility: GJR-GARCH(1,1,1) — GARCH with the LEVERAGE term equity markets demand:
GjrGarch11.Params - Record Class in com.quantfinlib.volatility
GlobalRiskAggregator - Class in com.quantfinlib.trading: Firm-wide risk across shards — the piece sharding deliberately doesn't solve: each shard's HftRiskGate sees only its own symbols, so a "total gross notional across the firm" cap needs someone who can see all of them.
GlobalRiskAggregator(List<HftRiskGate>, double, double, long) - Constructor for class com.quantfinlib.trading.GlobalRiskAggregator
GpdFit(double, double, double, int, int) - Constructor for record class com.quantfinlib.risk.ExtremeValueTheory.GpdFit: Creates an instance of a GpdFit record class.
GradientBoostedRegressor - Class in com.quantfinlib.ml: Gradient-boosted regression over decision stumps (XGBoost-style additive boosting with squared-error loss), implemented in pure Java with no dependencies.
GradientBoostedRegressor(int, double) - Constructor for class com.quantfinlib.ml.GradientBoostedRegressor
GreekHedger - Class in com.quantfinlib.hedging: Greek-neutralization: solves the hedge quantities that flatten a portfolio's option Greeks using available hedge instruments — the standard delta-gamma and delta-gamma-vega hedging recipes, plus a general linear solver for arbitrary greek/instrument combinations.
GreekHedger.Instrument - Record Class in com.quantfinlib.hedging: Per-unit Greeks of a hedge instrument (the underlying is delta=1, gamma=0, vega=0).
greeks() - Method in class com.quantfinlib.hedging.OptionsBook: Aggregated Greeks: options plus the underlying (delta 1 per unit).
greeks(BlackScholes.OptionType, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.BlackScholes
Greeks(double, double, double, double, double, double) - Constructor for record class com.quantfinlib.pricing.BlackScholes.Greeks: Creates an instance of a Greeks record class.
GREEN - Enum constant in enum class com.quantfinlib.risk.FrtbEs.TrafficLight
GREEN - Enum constant in enum class com.quantfinlib.risk.PnlAttribution.Zone
GridSearchOptimizer - Class in com.quantfinlib.backtest.validation: Exhaustive strategy parameter search: backtests every grid combination and ranks by an objective (e.g.
GridSearchOptimizer.Candidate - Record Class in com.quantfinlib.backtest.validation
grossEquity() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Result: Returns the value of the grossEquity record component.
grossExposure() - Method in record class com.quantfinlib.crb.CentralRiskBook.CrbReport: Returns the value of the grossExposure record component.
grossExposure(String) - Method in class com.quantfinlib.crb.CentralRiskBook: Gross (sum of |flow|) on a factor — what the desks did severally.
grossMetrics() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Result: Returns the value of the grossMetrics record component.
grossNotional() - Method in class com.quantfinlib.trading.GlobalRiskAggregator: One sweep over every gate's positions — acquire reads only.
grossPerSide() - Method in record class com.quantfinlib.backtest.portfolio.CrossSectionalMomentum.Config: Returns the value of the grossPerSide record component.

H

halfKelly(double, double) - Static method in class com.quantfinlib.backtest.portfolio.PositionSizing: Half-Kelly — the practitioner's standard, trading growth for drawdown.
halfLife() - Method in record class com.quantfinlib.microstructure.OrnsteinUhlenbeck.Params: Returns the value of the halfLife record component.
halfLife(double[]) - Static method in class com.quantfinlib.hedging.PairsHedger: Mean-reversion half-life in bars from the AR(1)-style regression Δs(t) = c + λ·s(t-1): half-life = -ln(2)/λ.
halfLifeBars() - Method in record class com.quantfinlib.alpha.AlphaReport.Decay: Returns the value of the halfLifeBars record component.
halfLifeBars() - Method in record class com.quantfinlib.hedging.PairsHedger.PairsAnalysis: Returns the value of the halfLifeBars record component.
halfSpread() - Method in record class com.quantfinlib.trading.HftQuoter.Config: Returns the value of the halfSpread record component.
halfSpreadBps() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Config: Returns the value of the halfSpreadBps record component.
halt(int, boolean) - Method in class com.quantfinlib.trading.HftRiskGate: Halts/unhalts a symbol — callable from any thread (ops, dashboards).
HALT_15_MIN - Enum constant in enum class com.quantfinlib.microstructure.CircuitBreakers.Halt: Level 1 (7%) or Level 2 (13%): 15-minute market-wide halt.
HALT_REST_OF_DAY - Enum constant in enum class com.quantfinlib.microstructure.CircuitBreakers.Halt: Level 3 (20%): trading halts for the remainder of the day.
HarRv - Class in com.quantfinlib.volatility: HAR-RV (Corsi's Heterogeneous AutoRegressive realized-volatility model) — the forecasting benchmark GARCH papers have to beat, and it is three regressors and an intercept:
HarRv.Params - Record Class in com.quantfinlib.volatility: Fitted coefficients: rv⁺ = c + βd·d + βw·w + βm·m.
has(int) - Method in class com.quantfinlib.fix.FixMessage
hasBuySurplus() - Method in record class com.quantfinlib.microstructure.Auction.Result: Positive imbalance = buy surplus, negative = sell surplus.
hashCode() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Config: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Result: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.alpha.AlphaReport.Attribution: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.alpha.AlphaReport.Decay: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.alpha.AlphaValidation.CrossValidationResult: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.alpha.AlphaValidation.Fold: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.alpha.AlphaValidation.RobustnessResult: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.alpha.AlphaValidation.SensitivityResult: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.alpha.AlphaValidation.WalkForwardResult: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.alpha.CalendarAnomalies.TurnOfMonth: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.alpha.FamaMacBeth.Result: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.alpha.SignalEvaluator.QuantileReport: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.alpha.SignalEvaluator.Report: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.backtest.BacktestConfig: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.backtest.BenchmarkComparison.Result: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.backtest.DrawdownAnalytics.Drawdown: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.backtest.DrawdownAnalytics.Result: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.backtest.ExecutionAlgoBacktester.Config: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.backtest.ExecutionAlgoBacktester.Result: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.backtest.ParentOrder: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.backtest.PerformanceMetrics: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.backtest.portfolio.CrossSectionalMomentum.Config: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Config: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Result: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.backtest.SorExecution.VenueConfig: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.backtest.tick.TickBacktester.Config: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.backtest.tick.TickBacktester.TickBacktestResult: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.backtest.Trade: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.backtest.TradeAnalytics.Result: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.backtest.validation.GridSearchOptimizer.Candidate: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.backtest.validation.MonteCarloTradeShuffle.Result: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.backtest.validation.OverfitProbability.Result: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.backtest.validation.PurgedKFold.Split: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.Fold: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.WalkForwardResult: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.core.Bar: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.crb.CentralRiskBook.CrbReport: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.crb.CrbAutoHedger.HedgeOrder: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.crb.CrbRouter.Allocation: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.crb.CrbRouter.DarkVenue: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.crb.InternalizationEngine.Decision: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.crb.SkewedQuoter.Quote: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.data.CorporateActions.CorporateAction: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.data.PointInTimeUniverse.TerminalEvent: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.execution.AdaptiveSor.Config: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.execution.AdaptiveSor.RoutingDecision: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.execution.BenchmarkExecutor.MarketState: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.execution.DarkPoolSimulator.Fill: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.execution.LiquiditySeekingAlgo.Config: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.execution.OrderPlacementPolicy.Placement: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.execution.OrderPlacementPolicy.PostRegion: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.execution.PortfolioExecutor.Config: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.execution.Slice: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.execution.SmartOrderRouter.RouteLeg: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.execution.SmartOrderRouter.RoutingPlan: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.execution.SpreadExecutionAlgo.Children: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.execution.VenueBenchmark.Sample: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.execution.VenueBenchmark.VenueStats: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.execution.VenueQuote: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.feed.FeedTrade: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.fix.ExecutionReport: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.fix.FixSession.Config: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.fix.FixSessionStore.StoredMessage: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.fix.NewOrderSingle: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.fix.OrderCancelReplaceRequest: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.fix.OrderCancelRequest: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.fx.FxVolSurface.SmilePillar: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.hedging.CointegrationTest.EngleGrangerResult: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.hedging.DeltaHedger.Config: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.hedging.DeltaHedger.HedgeReport: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.hedging.FxHedger.FxExposure: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.hedging.GreekHedger.Instrument: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.hedging.OptionsBook.BookGreeks: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.hedging.OptionsBook.OptionPosition: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.hedging.OptionsBook.PnlExplain: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.hedging.PairsHedger.PairsAnalysis: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.hedging.WhalleyWilmott.Action: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.indicators.Indicators.Adx: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.indicators.Indicators.Bollinger: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.indicators.Indicators.Donchian: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.indicators.Indicators.Ichimoku: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.indicators.Indicators.Keltner: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.indicators.Indicators.Macd: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.indicators.Indicators.StochRsi: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.indicators.Indicators.SuperTrend: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.marketdata.MarketDataEvent: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.microstructure.AlmgrenChriss.Params: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.microstructure.AlmgrenChriss.Trajectory: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.microstructure.Auction.Result: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.microstructure.Execution: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.microstructure.OrnsteinUhlenbeck.Params: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.microstructure.SignalEngine.Config: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.microstructure.TransactionCostAnalyzer.TcaReport: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.microstructure.VarianceRatio.Result: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.ml.AnomalyDetector.Anomaly: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.ml.RegimeDetector.RegimeModel: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.optimization.PortfolioOptimizer.Allocation: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.orderbook.BookAnalytics.SweepResult: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.pricing.BlackScholes.Greeks: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.pricing.Heston.Params: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.pricing.SabrModel.Params: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.pricing.TriangularArbitrage.Quote: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.rates.NelsonSiegel.Fit: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.rates.Svensson.Fit: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.regulatory.BestExecutionAnalyzer.BestExecutionReport: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.regulatory.BestExecutionAnalyzer.OrderOutcome: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.regulatory.FixAnalyzer.FixImpactReport: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.report.Report.Section: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.risk.ComponentVar.Allocation: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.risk.CounterpartyExposureTracker.CounterpartyTrade: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.risk.CovarianceShrinkage.Result: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.risk.ExtremeValueTheory.GpdFit: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.risk.PnlAttribution.Result: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.risk.Portfolio.Position: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.risk.PreTradeLimitChecker.CheckResult: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.risk.PreTradeLimitChecker.OrderRequest: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.risk.SettlementRiskAnalyzer.SettlementLeg: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.risk.StressTester.ReverseStress: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.risk.VarBacktest.VarBacktestResult: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.risk.VarEngine.VarResult: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.screener.Fundamentals: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.screener.RankingEngine.ScoredStock: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.screener.StockSnapshot: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.trading.HftQuoter.Config: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.trading.PaperTradingGateway.AccountSnapshot: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.volatility.Egarch11.Params: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.volatility.Garch11.Params: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.volatility.GjrGarch11.Params: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.volatility.HarRv.Params: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.volatility.VolatilityDecomposition.Decomposition: Returns a hash code value for this object.
hasHerstattWindow() - Method in record class com.quantfinlib.risk.SettlementRiskAnalyzer.SettlementLeg: True when we pay before we receive — the Herstatt window.
HawkesIntensity - Class in com.quantfinlib.microstructure: Self-exciting (Hawkes) event intensity — the model behind the trader's observation that "activity breeds activity": one trade raises the probability of the next, so order flow arrives in bursts, not as a steady Poisson drizzle.
HawkesIntensity() - Constructor for class com.quantfinlib.microstructure.HawkesIntensity: Baseline 2 events/s, excitation 0.1/s per event, 2s half-life (branching ~0.29).
HawkesIntensity(double, double, long) - Constructor for class com.quantfinlib.microstructure.HawkesIntensity
hazard(double) - Method in class com.quantfinlib.credit.CreditCurve: The hazard rate in force at time t (flat beyond the last pillar).
headers() - Method in record class com.quantfinlib.report.Report.Section: Returns the value of the headers record component.
HEART_BT_INT - Static variable in class com.quantfinlib.fix.FixMessage
HEARTBEAT - Static variable in class com.quantfinlib.fix.FixMessage
heartbeatSeconds() - Method in record class com.quantfinlib.fix.FixSession.Config: Returns the value of the heartbeatSeconds record component.
hedge(double[], double[][], double[][], double[], double) - Static method in class com.quantfinlib.crb.HedgeOptimizer
hedgeCost() - Method in class com.quantfinlib.crb.CrbPnlLedger
hedgedReturns(double[], double[], double) - Static method in class com.quantfinlib.hedging.FxHedger: Return series with a fraction hedgeRatio of the FX exposure hedged away.
hedgedReturns(double[], double[], double) - Static method in class com.quantfinlib.hedging.MinimumVarianceHedge: Return series of the hedged position: asset - ratio × hedge.
hedgeEffectiveness(double[], double[]) - Static method in class com.quantfinlib.hedging.MinimumVarianceHedge: Fraction of asset variance eliminated at the optimal hedge ratio (equals the squared correlation).
hedgeExecuted() - Method in class com.quantfinlib.execution.SpreadExecutionAlgo
hedgeNotional(double, double) - Static method in class com.quantfinlib.hedging.FxHedger: Notional of forwards to sell (negative = buy) for a target hedge ratio.
HedgeOptimizer - Class in com.quantfinlib.crb: Cost-aware minimum-variance hedging of the central risk book's residual — the question is never "how do we flatten this" (sell everything) but "what is the CHEAPEST basket of liquid instruments that takes the risk below the limit".
HedgeOrder(int, double) - Constructor for record class com.quantfinlib.crb.CrbAutoHedger.HedgeOrder: Creates an instance of a HedgeOrder record class.
hedgeQty() - Method in record class com.quantfinlib.execution.SpreadExecutionAlgo.Children: Returns the value of the hedgeQty record component.
hedgeRatio() - Method in record class com.quantfinlib.hedging.CointegrationTest.EngleGrangerResult: Returns the value of the hedgeRatio record component.
hedgeRatio() - Method in record class com.quantfinlib.hedging.PairsHedger.PairsAnalysis: Returns the value of the hedgeRatio record component.
hedgeRatio(double[], double[]) - Static method in class com.quantfinlib.hedging.MinimumVarianceHedge: Optimal (variance-minimizing) hedge ratio: units of hedge per unit of asset.
HedgeReport(double, double, double, int, double, double) - Constructor for record class com.quantfinlib.hedging.DeltaHedger.HedgeReport: Creates an instance of a HedgeReport record class.
hedges() - Method in class com.quantfinlib.crb.CrbPnlLedger
hedgesEmitted() - Method in class com.quantfinlib.crb.CrbAutoHedger
hedgesRejected() - Method in class com.quantfinlib.trading.AutoHedger: Hedge attempts refused (risk gate or full ring) — monitor this.
hedgesSubmitted() - Method in class com.quantfinlib.trading.AutoHedger: Hedge orders accepted onto the wire.
HedgingErrorDistribution - Class in com.quantfinlib.hedging: Distribution of delta-hedging P&L across Monte Carlo paths: how well the hedge replicates the option, where the tail risk sits, and what the hedging itself costs.
HedgingSimulator - Class in com.quantfinlib.hedging: Monte Carlo delta-hedging engine: runs DeltaHedger across thousands of GBM paths in parallel to produce the full hedging-error distribution — replication error, tail risk (hedging VaR/CVaR), and cost/rebalance statistics.
HedgingSimulator() - Constructor for class com.quantfinlib.hedging.HedgingSimulator
HedgingSimulator(long) - Constructor for class com.quantfinlib.hedging.HedgingSimulator
herfindahlIndex(double[]) - Static method in class com.quantfinlib.risk.ConcentrationRisk: Herfindahl-Hirschman index of |exposure| shares; 1/N (diversified) .. 1 (single name).
herstattExposure(List<SettlementRiskAnalyzer.SettlementLeg>) - Static method in class com.quantfinlib.risk.SettlementRiskAnalyzer: Total at-risk receive amounts per counterparty: sum of legs where payment goes out before the countervalue arrives.
Heston - Class in com.quantfinlib.pricing: Heston (1993) stochastic-volatility pricing — the canonical answer to Black-Scholes' one visible lie, the flat smile.
Heston.Params - Record Class in com.quantfinlib.pricing: Model parameters.
HftBookBenchmark - Class in com.quantfinlib.examples: Benchmarks the venue-grade matching engine (HftOrderBook), completing the fast-lane benchmark family with the venue side: Passive churn: add/cancel throughput with a deep resting book — the id-map + pool + bitmap machinery under load; Matching: aggressive flow sweeping resting liquidity — fills/sec through the FIFO levels; Per-op latency: submit-to-return percentiles for a realistic 70/20/10 add/cancel/aggress mix.
HftBookBenchmark() - Constructor for class com.quantfinlib.examples.HftBookBenchmark
HftLatencyBenchmark - Class in com.quantfinlib.examples: Self-contained benchmark of the HFT hot path with a realistic tick-to-signal workload on the consumer (streaming EMA crossover + RSI per tick).
HftLatencyBenchmark() - Constructor for class com.quantfinlib.examples.HftLatencyBenchmark
HftMarketDataBus - Class in com.quantfinlib.marketdata: Ultra-low-latency market data bus.
HftMarketDataBus() - Constructor for class com.quantfinlib.marketdata.HftMarketDataBus: Parked (non-spinning) consumer with a 64K ring and up to 1024 symbols.
HftMarketDataBus(int, int, boolean) - Constructor for class com.quantfinlib.marketdata.HftMarketDataBus
HftOrderBenchmark - Class in com.quantfinlib.examples: Benchmarks the fast-lane order path, mirroring HftLatencyBenchmark: Risk gate: ns per pre-trade check (tight loop). Submit-to-venue: paced one-in-flight latency from HftOrderGateway.submit() to the venue thread receiving the order. Tick-to-order end-to-end: market tick published on the HftMarketDataBus → strategy (2×EMA) on the bus consumer thread → risk check → order ring → venue thread.
HftOrderBenchmark() - Constructor for class com.quantfinlib.examples.HftOrderBenchmark
HftOrderBook - Class in com.quantfinlib.orderbook: Venue-grade price-time-priority matching engine: the zero-allocation sibling of OrderBook, built the way exchange cores are actually built.
HftOrderBook(int, int, int) - Constructor for class com.quantfinlib.orderbook.HftOrderBook
HftOrderBook.TradeSink - Interface in com.quantfinlib.orderbook: Primitive fill callback: maker is the resting order, taker the incoming one.
HftOrderGateway - Class in com.quantfinlib.trading: Ultra-low-latency order gateway — the fast lane from signal to venue.
HftOrderGateway(int, HftRiskGate, boolean) - Constructor for class com.quantfinlib.trading.HftOrderGateway
HftOrderGateway(HftRiskGate) - Constructor for class com.quantfinlib.trading.HftOrderGateway: Parked venue thread, 8K ring.
HftQuoter - Class in com.quantfinlib.trading: Streaming two-sided quoter on the fast lane — the market-making loop: tick in → mid → inventory skew → tick-grid snap → two orders out through the HftRiskGate and HftOrderGateway, with zero allocation per tick.
HftQuoter(HftOrderGateway, int, HftQuoter.Config) - Constructor for class com.quantfinlib.trading.HftQuoter
HftQuoter.Config - Record Class in com.quantfinlib.trading: Quoting parameters.
HftQuoterBenchmark - Class in com.quantfinlib.examples: Benchmarks the market-making loop end-to-end, completing the fast-lane benchmark family (HftLatencyBenchmark: publish→strategy, HftOrderBenchmark: tick→order):
HftQuoterBenchmark() - Constructor for class com.quantfinlib.examples.HftQuoterBenchmark
HftRiskGate - Class in com.quantfinlib.trading: Zero-allocation pre-trade risk gate for the HFT order path — the fast-lane counterpart of PreTradeLimitChecker.
HftRiskGate(int) - Constructor for class com.quantfinlib.trading.HftRiskGate
HftSor - Class in com.quantfinlib.execution: Hot-lane smart order router: the zero-allocation sibling of SmartOrderRouter, for when the routing decision sits on the tick-to-order path.
HftSor(int) - Constructor for class com.quantfinlib.execution.HftSor
HiccupMonitor - Class in com.quantfinlib.util: jHiccup-style platform stall monitor: a daemon thread repeatedly parks for a fixed resolution and records how much longer than requested each park took.
HiccupMonitor() - Constructor for class com.quantfinlib.util.HiccupMonitor: Default 1 ms sampling resolution.
HiccupMonitor(long) - Constructor for class com.quantfinlib.util.HiccupMonitor
HiddenLiquidityDetector - Class in com.quantfinlib.microstructure: Hidden-liquidity / iceberg detection from the lit tape.
HiddenLiquidityDetector(int) - Constructor for class com.quantfinlib.microstructure.HiddenLiquidityDetector
HiddenLiquidityDetector(int, double) - Constructor for class com.quantfinlib.microstructure.HiddenLiquidityDetector
hiddenMultiplier(int) - Method in class com.quantfinlib.microstructure.HiddenLiquidityDetector: Estimated ratio of true resting size to displayed size at a level: 1 = no hidden liquidity detected, >1 = likely iceberg.
hiddenQty() - Method in class com.quantfinlib.execution.IcebergOrder
high() - Method in record class com.quantfinlib.core.Bar: Returns the value of the high record component.
high(int) - Method in class com.quantfinlib.core.BarSeries
HigherOrderGreeks - Class in com.quantfinlib.pricing: The second-order Greeks a vol book actually hedges with — analytic Black-Scholes forms, the risk-side complement to BlackScholes.greeks(com.quantfinlib.pricing.BlackScholes.OptionType, double, double, double, double, double, double): Vanna ∂²V/∂S∂σ — how delta drifts when vol moves (equivalently, how vega drifts when spot moves).
highest(double[], int) - Static method in class com.quantfinlib.indicators.Indicators
highs() - Method in class com.quantfinlib.core.BarSeries
histogram() - Method in record class com.quantfinlib.indicators.Indicators.Macd: Returns the value of the histogram record component.
histogram() - Method in class com.quantfinlib.indicators.StreamingIndicators.Macd
HistoricalDataStore - Class in com.quantfinlib.marketdata: In-memory historical market data store keyed by symbol.
HistoricalDataStore() - Constructor for class com.quantfinlib.marketdata.HistoricalDataStore
historicalVar(double[], double) - Static method in class com.quantfinlib.risk.RiskMetrics: Historical Value at Risk at the given confidence level (e.g. 0.95).
historicalVar(double[], double[][], double) - Static method in class com.quantfinlib.risk.VarEngine: Historical simulation: each row of factorReturns is one scenario replayed through the exposures.
hitProbability(double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.TouchOption: Probability that spot touches barrier at least once before timeYears, under GBM with the given rate/carry/vol.
hitRate() - Method in record class com.quantfinlib.alpha.SignalEvaluator.Report: Returns the value of the hitRate record component.
HOLD - Enum constant in enum class com.quantfinlib.backtest.Signal
holdings() - Method in record class com.quantfinlib.microstructure.AlmgrenChriss.Trajectory: Returns the value of the holdings record component.
horizon() - Method in record class com.quantfinlib.microstructure.AlmgrenChriss.Params: Returns the value of the horizon record component.
horizons() - Method in record class com.quantfinlib.alpha.AlphaReport.Decay: Returns the value of the horizons record component.
html() - Method in record class com.quantfinlib.report.Report.Section: Returns the value of the html record component.
HtmlReportExporter - Class in com.quantfinlib.report: Self-contained styled HTML report: one file, inline CSS, no external assets — so it can be emailed, archived for compliance, or opened from a network share years later and still render identically (a report whose stylesheet lives on a CDN is a report that rots).
HtmlReportExporter() - Constructor for class com.quantfinlib.report.HtmlReportExporter
HttpBarFetcher - Class in com.quantfinlib.data: Fetches OHLCV data over HTTP from any endpoint serving CSV bars (most free market data APIs offer a CSV export) and parses it with CsvBarLoader.
HttpBarFetcher() - Constructor for class com.quantfinlib.data.HttpBarFetcher
HttpBarFetcher(Duration) - Constructor for class com.quantfinlib.data.HttpBarFetcher
hullWhiteBond(YieldCurve, double, double, double, double, double) - Static method in class com.quantfinlib.rates.ShortRateModels: Hull-White zero-coupon bond price P(t, t+T) given the market curve and the short rate now.

I

IcebergExecution - Class in com.quantfinlib.backtest: Iceberg execution: wraps another ExecutionModel and caps each bar's execution at the IcebergOrder state machine's visible tranche (optionally randomized), plus an optional participation cap versus the bar's volume.
IcebergExecution(ExecutionModel, long) - Constructor for class com.quantfinlib.backtest.IcebergExecution
IcebergExecution(ExecutionModel, long, double, double, long) - Constructor for class com.quantfinlib.backtest.IcebergExecution
IcebergOrder - Class in com.quantfinlib.execution: Iceberg order state machine: shows only a small display tranche of the full quantity and reloads automatically when the visible portion fills.
IcebergOrder(long, long) - Constructor for class com.quantfinlib.execution.IcebergOrder
IcebergOrder(long, long, double, long) - Constructor for class com.quantfinlib.execution.IcebergOrder
ichimoku(BarSeries, int, int, int) - Static method in class com.quantfinlib.indicators.Indicators: Ichimoku Cloud with standard forward/backward displacement: senkou spans are plotted kijunPeriod bars ahead, chikou kijunPeriod bars behind.
Ichimoku(double[], double[], double[], double[], double[]) - Constructor for record class com.quantfinlib.indicators.Indicators.Ichimoku: Creates an instance of a Ichimoku record class.
icSeries() - Method in record class com.quantfinlib.alpha.SignalEvaluator.Report: Returns the value of the icSeries record component.
icStd() - Method in record class com.quantfinlib.alpha.AlphaValidation.CrossValidationResult: Returns the value of the icStd record component.
icStd() - Method in record class com.quantfinlib.alpha.SignalEvaluator.Report: Returns the value of the icStd record component.
id() - Method in class com.quantfinlib.orderbook.LimitOrder
id(String) - Method in class com.quantfinlib.crb.FactorRegistry: Returns the id for name, registering it on first sight.
id(String) - Method in class com.quantfinlib.marketdata.SymbolRegistry: Id of an already-registered symbol.
idIfPresent(String) - Method in class com.quantfinlib.crb.FactorRegistry: The id if registered, −1 otherwise (never registers).
idiosyncraticVariance() - Method in record class com.quantfinlib.volatility.VolatilityDecomposition.Decomposition: Returns the value of the idiosyncraticVariance record component.
idiosyncraticVol(int) - Method in record class com.quantfinlib.volatility.VolatilityDecomposition.Decomposition: Annualized idiosyncratic volatility.
imbalance() - Method in record class com.quantfinlib.microstructure.Auction.Result: Returns the value of the imbalance record component.
imbalance(OrderBook, int) - Static method in class com.quantfinlib.orderbook.BookAnalytics: Depth imbalance in [-1, 1] over the top levels: +1 = all bid.
imbalanceHedgeUnits() - Method in class com.quantfinlib.execution.SpreadExecutionAlgo: Current legging imbalance in hedge units (positive = hedge behind).
imbalanceRatio() - Method in class com.quantfinlib.microstructure.ClosingAuctionModel: Today's signed imbalance as a fraction of total auction interest (+ = buy-side unmatched); 0 before any dissemination.
impactBps() - Method in record class com.quantfinlib.execution.BenchmarkExecutor.MarketState: Returns the value of the impactBps record component.
impactBps() - Method in record class com.quantfinlib.orderbook.BookAnalytics.SweepResult: Returns the value of the impactBps record component.
impactBps(double, double) - Method in class com.quantfinlib.microstructure.KylesLambda: The estimated impact of trading quantity now, in basis points of mid — the live producer for MarketState.impactBps.
impactDrag() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Result: Returns the value of the impactDrag record component.
impactWindow() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Config: Returns the value of the impactWindow record component.
IMPLEMENTATION_SHORTFALL - Enum constant in enum class com.quantfinlib.execution.BenchmarkExecutor.Benchmark: Almgren-Chriss shortfall: front-loaded, volatility raises urgency.
implementationShortfallBps() - Method in record class com.quantfinlib.microstructure.TransactionCostAnalyzer.TcaReport: Returns the value of the implementationShortfallBps record component.
ImplementationShortfallScheduler - Class in com.quantfinlib.execution: Implementation-shortfall (arrival-price) schedule: turns the AlmgrenChriss optimal trajectory into executable Slices.
impliedCarry(double, double) - Method in class com.quantfinlib.commodities.CommodityCurve: Market-implied storage-minus-convenience u - y (cc) at the tenor, from F = S * exp((r + u - y) t).
impliedCarry(LocalDate) - Method in class com.quantfinlib.fx.SwapPointsCurve: Continuously compounded rate differential (quote minus base) implied by covered interest parity at a date: ln(F/S) / tau, ACT/365.
impliedCrossMid(TriangularArbitrage.Quote, TriangularArbitrage.Quote) - Static method in class com.quantfinlib.pricing.TriangularArbitrage: The no-arbitrage cross rate implied by the two leg mids.
impliedEquilibriumReturns(double, double[][], double[]) - Static method in class com.quantfinlib.optimization.BlackLitterman: Equilibrium (implied) returns from the market portfolio: Π = δ Σ w_mkt.
impliedRateDifferential(double) - Method in class com.quantfinlib.pricing.ForwardCurve: Implied continuously-compounded rate differential (domestic minus foreign) from covered interest parity: F = S * e^((rd-rf)*t).
impliedVol() - Method in record class com.quantfinlib.hedging.OptionsBook.OptionPosition: Returns the value of the impliedVol record component.
impliedVol(double, double) - Method in class com.quantfinlib.pricing.VannaVolga: Smile-consistent implied vol at any strike: the vanna-volga price inverted through Black-Scholes.
impliedVol(double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.SabrModel: Hagan lognormal implied vol for forward f, strike k, expiry t.
impliedVol(BlackScholes.OptionType, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.Black76: Black-76 implied vol from a price, via bisection (NaN if unattainable).
impliedVol(BlackScholes.OptionType, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.BlackScholes: Implied volatility by bisection.
improvementBps() - Method in record class com.quantfinlib.crb.InternalizationEngine.Decision: Returns the value of the improvementBps record component.
improvementPaid() - Method in class com.quantfinlib.crb.CrbPnlLedger: Improvement handed to clients — the cost of being worth trading with.
incremental(double[], double[][], double, int) - Static method in class com.quantfinlib.risk.ComponentVar: Incremental VaR of position i: portfolio VaR now minus VaR with the position closed (weight zeroed).
IncrementalGreeks - Class in com.quantfinlib.pricing: Tick-frequency Greek estimation without tick-frequency repricing: a full Black-Scholes evaluation anchors the position, and every tick updates price/delta by the delta-gamma Taylor expansion — a handful of multiplies, zero allocation — while the anchor is refreshed off the hot path.
IncrementalGreeks() - Constructor for class com.quantfinlib.pricing.IncrementalGreeks
independencePValue() - Method in record class com.quantfinlib.risk.VarBacktest.VarBacktestResult: Returns the value of the independencePValue record component.
independenceStatistic() - Method in record class com.quantfinlib.risk.VarBacktest.VarBacktestResult: Returns the value of the independenceStatistic record component.
independent(double) - Method in record class com.quantfinlib.risk.VarBacktest.VarBacktestResult: Exceptions arrive independently (no crisis clustering)?
index(double[], double[], double[], double, double, double) - Static method in class com.quantfinlib.volatility.VolatilityIndex: The index (annualized volatility, e.g. 0.20 = "a VIX of 20") from one expiry's chain.
IndexConstruction - Class in com.quantfinlib.markets: INDEX construction — the arithmetic behind "the market was up 1%".
indicative(double) - Method in class com.quantfinlib.microstructure.Auction: The indicative uncross the venue would disseminate right now, or null when no price can match any volume (crossed side empty or book entirely uncrossed).
indicativePressure() - Method in class com.quantfinlib.microstructure.ClosingAuctionModel: Where the auction is clearing relative to the continuous market, as a clamped relative difference; 0 before any dissemination.
Indicators - Class in com.quantfinlib.indicators: Technical Indicator Engine: production-ready implementations of the standard technical analysis toolkit.
Indicators.Adx - Record Class in com.quantfinlib.indicators
Indicators.Bollinger - Record Class in com.quantfinlib.indicators
Indicators.Donchian - Record Class in com.quantfinlib.indicators
Indicators.Ichimoku - Record Class in com.quantfinlib.indicators
Indicators.Keltner - Record Class in com.quantfinlib.indicators
Indicators.Macd - Record Class in com.quantfinlib.indicators
Indicators.StochRsi - Record Class in com.quantfinlib.indicators
Indicators.SuperTrend - Record Class in com.quantfinlib.indicators: direction: +1 = uptrend (value is support), -1 = downtrend (value is resistance).
InformationCriteria - Class in com.quantfinlib.volatility: AIC / BIC — the two numbers that keep model shopping honest.
informationRatio() - Method in record class com.quantfinlib.backtest.BenchmarkComparison.Result: Returns the value of the informationRatio record component.
init(TickTradingContext) - Method in interface com.quantfinlib.backtest.tick.TickStrategy
init(BarSeries) - Method in class com.quantfinlib.backtest.strategies.BollingerBandsStrategy
init(BarSeries) - Method in class com.quantfinlib.backtest.strategies.EmaCrossStrategy
init(BarSeries) - Method in class com.quantfinlib.backtest.strategies.MacdStrategy
init(BarSeries) - Method in class com.quantfinlib.backtest.strategies.RsiStrategy
init(BarSeries) - Method in class com.quantfinlib.backtest.strategies.SmaCrossStrategy
init(BarSeries) - Method in interface com.quantfinlib.backtest.TradingStrategy
init(BarSeries) - Method in class com.quantfinlib.dsl.StrategyBuilder.DslStrategy
init(Map<String, BarSeries>) - Method in class com.quantfinlib.backtest.portfolio.CrossSectionalMomentum
init(Map<String, BarSeries>) - Method in interface com.quantfinlib.backtest.portfolio.PortfolioStrategy
initialCapital() - Method in record class com.quantfinlib.backtest.BacktestConfig: Returns the value of the initialCapital record component.
initialCapital() - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Config: Returns the value of the initialCapital record component.
initialCash() - Method in record class com.quantfinlib.backtest.tick.TickBacktester.Config: Returns the value of the initialCash record component.
initialValue() - Method in class com.quantfinlib.simulation.SimulationResult
initiate(String, int, FixSession.Config, FixSession.Listener) - Static method in class com.quantfinlib.fix.FixSession: Connects, sends Logon, and blocks until the handshake completes.
initiate(String, int, FixSession.Config, FixSession.Listener, FixSessionStore) - Static method in class com.quantfinlib.fix.FixSession: As FixSession.initiate(String, int, Config, Listener) with a durable session store.
inMemory() - Static method in interface com.quantfinlib.fix.FixSessionStore: Fresh in-memory store: per-connection sequence numbers (the default).
InMemory() - Constructor for class com.quantfinlib.fix.FixSessionStore.InMemory
Input contract (documented, not proven) - Search tag in class com.quantfinlib.microstructure.ClosingAuctionModel: Section
inSampleIc() - Method in record class com.quantfinlib.alpha.AlphaValidation.Fold: Returns the value of the inSampleIc record component.
inSampleObjective() - Method in record class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.Fold: Returns the value of the inSampleObjective record component.
insideCount() - Method in record class com.quantfinlib.alpha.CalendarAnomalies.TurnOfMonth: Returns the value of the insideCount record component.
insideMean() - Method in record class com.quantfinlib.alpha.CalendarAnomalies.TurnOfMonth: Returns the value of the insideMean record component.
instantaneousForward(YieldCurve, double) - Static method in class com.quantfinlib.rates.ShortRateModels: The instantaneous forward rate f(0, t) off the curve, by symmetric finite difference of ln P (the curve carries no analytic derivative).
InstantExecution - Class in com.quantfinlib.backtest: Baseline execution model: the full quantity fills at the bar close with commission and slippage folded into the all-in price — equivalent to the classic Backtester fill assumption.
InstantExecution(double, double) - Constructor for class com.quantfinlib.backtest.InstantExecution
institutional(double, double, double, int) - Static method in interface com.quantfinlib.backtest.TradeCostModel: The institutional four-component model.
instrument() - Method in record class com.quantfinlib.crb.CrbAutoHedger.HedgeOrder: Returns the value of the instrument record component.
Instrument(String, double, double, double) - Constructor for record class com.quantfinlib.hedging.GreekHedger.Instrument: Creates an instance of a Instrument record class.
intensity() - Method in record class com.quantfinlib.risk.CovarianceShrinkage.Result: Returns the value of the intensity record component.
intensity(long) - Method in class com.quantfinlib.microstructure.HawkesIntensity: The current intensity λ(now) in events per second.
intercept() - Method in record class com.quantfinlib.hedging.CointegrationTest.EngleGrangerResult: Returns the value of the intercept record component.
intercept() - Method in record class com.quantfinlib.hedging.PairsHedger.PairsAnalysis: Returns the value of the intercept record component.
intercept() - Method in record class com.quantfinlib.volatility.HarRv.Params: Returns the value of the intercept record component.
interceptMean() - Method in record class com.quantfinlib.alpha.FamaMacBeth.Result: Returns the value of the interceptMean record component.
interceptTStat() - Method in record class com.quantfinlib.alpha.FamaMacBeth.Result: Returns the value of the interceptTStat record component.
internal() - Method in record class com.quantfinlib.crb.CrbRouter.Allocation: Returns the value of the internal record component.
InternalizationEngine - Class in com.quantfinlib.crb: The internalize-or-route decision — the economics that justify a central risk book's existence.
InternalizationEngine(double, double) - Constructor for class com.quantfinlib.crb.InternalizationEngine
InternalizationEngine.Decision - Record Class in com.quantfinlib.crb: Where one flow went, and what the client got for it.
internalizationRate() - Method in class com.quantfinlib.crb.InternalizationEngine: Fraction of decided notional the book kept (0 before any flow).
internalizations() - Method in class com.quantfinlib.crb.CrbPnlLedger
internalized() - Method in record class com.quantfinlib.crb.InternalizationEngine.Decision: Returns the value of the internalized record component.
internalizedNotional() - Method in class com.quantfinlib.crb.InternalizationEngine
Interpolation - Search tag in class com.quantfinlib.fx.FxVolSurface: Section
intersect(Map<String, BarSeries>) - Static method in class com.quantfinlib.data.SeriesAligner: Timestamps common to all series, in order; input map order preserved.
intervalIndex() - Method in record class com.quantfinlib.ml.AnomalyDetector.Anomaly: Returns the value of the intervalIndex record component.
intervals() - Method in record class com.quantfinlib.microstructure.AlmgrenChriss.Params: Returns the value of the intervals record component.
IntradayLiquidityForecaster - Class in com.quantfinlib.ml: Intraday liquidity forecasting: accumulates per-bucket volumes across days into a seasonal profile (e.g. 24 hourly buckets) to predict when liquidity peaks — London open, the London/New York overlap, etc.
IntradayLiquidityForecaster(int) - Constructor for class com.quantfinlib.ml.IntradayLiquidityForecaster
intrinsic(BlackScholes.OptionType, double, double) - Static method in class com.quantfinlib.pricing.BlackScholes
inverse(double[][]) - Static method in class com.quantfinlib.util.MathUtils: Matrix inverse by Gauss-Jordan elimination with partial pivoting.
inverseVolatilityWeights(double[]) - Static method in class com.quantfinlib.backtest.portfolio.PositionSizing: Normalized inverse-volatility weights (equal weight for any zero vols).
inverseVolBudget(double[], double[], double) - Static method in class com.quantfinlib.alpha.PortfolioConstruction: Inverse-volatility risk budgeting: rescales each position by 1/σᵢ (keeping its sign and relative signal strength), so every name contributes comparably to portfolio risk instead of the volatile names dominating — the first-order version of equal risk contribution, exact when correlations are equal.
ir() - Method in record class com.quantfinlib.alpha.SignalEvaluator.Report: Returns the value of the ir record component.
irr(double[]) - Static method in class com.quantfinlib.markets.PrivateMarketAnalytics: Money-weighted return per period: solves sum cf_t / (1+irr)^t = 0.
isActive(int, int) - Method in class com.quantfinlib.alpha.AlphaContext: Whether symbol i is in the tradeable cross-section at barIndex: always true without a universe, otherwise point-in-time membership (dead and dropped names excluded).
isBackwardation() - Method in class com.quantfinlib.commodities.CommodityCurve: Strictly downward at every adjacent pillar pair.
isBullish() - Method in record class com.quantfinlib.core.Bar
isBusinessDay(LocalDate) - Method in class com.quantfinlib.rates.BusinessCalendar
isBuyAggressor(double) - Method in class com.quantfinlib.microstructure.TradeClassifier: Convenience for SignalEngine.onTrade: UNKNOWN maps to the last known side.
isComplete() - Method in class com.quantfinlib.execution.IcebergOrder
isConnected() - Method in class com.quantfinlib.feed.WebSocketFeed
isContango() - Method in class com.quantfinlib.commodities.CommodityCurve: Strictly upward at every adjacent pillar pair (deferred above near).
isCrossed() - Method in class com.quantfinlib.fx.AggregatedBook: Whether the composite is crossed or locked (best bid ≥ best ask): common transiently in aggregated e-FX, and exactly the state arbitrage/SOR logic wants to see, not have hidden.
isEmpty() - Method in record class com.quantfinlib.execution.OrderPlacementPolicy.PostRegion
isEmpty() - Method in class com.quantfinlib.marketdata.RingBuffer
isEmpty() - Method in class com.quantfinlib.marketdata.TickRingBuffer
isEmpty() - Method in class com.quantfinlib.trading.OrderRingBuffer
isEstablished() - Method in class com.quantfinlib.fix.FixSession
isFill() - Method in record class com.quantfinlib.fix.ExecutionReport
isHtml() - Method in record class com.quantfinlib.report.Report.Section
isIceberg(int) - Method in class com.quantfinlib.microstructure.HiddenLiquidityDetector: True once a level has shown iceberg behavior at least once.
isJointBusinessDay(LocalDate) - Method in class com.quantfinlib.fx.CurrencyPair: Business day in both currencies' calendars.
isKilled() - Method in class com.quantfinlib.trading.HftRiskGate: Whether the gate-wide kill switch is currently engaged.
isMarket() - Method in record class com.quantfinlib.fix.NewOrderSingle
isMarket() - Method in record class com.quantfinlib.fix.OrderCancelReplaceRequest
isMember(String, long) - Method in class com.quantfinlib.data.PointInTimeUniverse: Whether the symbol is a universe member at timestamp: inside a membership interval and not past its terminal event.
isOnTick(double) - Method in class com.quantfinlib.microstructure.TickSizeSchedule: Whether a price already sits on the grid (within FP tolerance).
isPremiumAdjusted() - Method in class com.quantfinlib.fx.FxVolSurface
isSatisfied(int) - Method in interface com.quantfinlib.dsl.Rule
isSnapshot() - Method in class com.quantfinlib.fix.FixMarketDataView: True for 35=W (full refresh), false for 35=X (incremental).
isTripped() - Method in class com.quantfinlib.trading.GlobalRiskAggregator: Whether the firm-wide breaker is currently tripped.
isWin() - Method in record class com.quantfinlib.backtest.Trade
ItchCodec - Class in com.quantfinlib.marketdata: ITCH 5.0-style binary market-data codec: the message subset that drives a full-depth (L3) book — add, add-with-attribution, execute, cancel, delete, replace, and off-book trade — with the exact field layout and big-endian encoding of the Nasdaq TotalView-ITCH 5.0 specification.
ItchCodec.View - Class in com.quantfinlib.marketdata: Mutable flyweight over one message in a caller-owned buffer.

J

jitterSizes(long[]) - Method in class com.quantfinlib.execution.AntiGamingJitter: Jitters child sizes ±sizeFraction, preserving the total EXACTLY and never producing a negative child.
jitterTimes(long[], long) - Method in class com.quantfinlib.execution.AntiGamingJitter: Jitters firing times within their intervals: each time moves ±timeFraction of the gap to its neighbors, strict monotonicity preserved, first/last never escape [startNanos, original end].
join(long, long) - Method in class com.quantfinlib.microstructure.QueuePositionEstimator: Join the back of a level currently displaying levelSize shares (before our order is added).
jumpFraction() - Method in class com.quantfinlib.microstructure.JumpRobustVolatility: The share of raw variance attributed to jumps: clamp(1 − bipower/raw, 0, 1).
JumpRobustVolatility - Class in com.quantfinlib.microstructure: Jump-robust streaming volatility.
JumpRobustVolatility() - Constructor for class com.quantfinlib.microstructure.JumpRobustVolatility: 10-second half-life.
JumpRobustVolatility(long) - Constructor for class com.quantfinlib.microstructure.JumpRobustVolatility

K

k() - Method in record class com.quantfinlib.indicators.Indicators.StochRsi: Returns the value of the k record component.
KalmanBeta - Class in com.quantfinlib.microstructure: TIME-VARYING regression by Kalman filter — the pairs desk's upgrade over a static OLS hedge ratio.
KalmanBeta(double, double, double, double) - Constructor for class com.quantfinlib.microstructure.KalmanBeta
kappa() - Method in record class com.quantfinlib.microstructure.AlmgrenChriss.Trajectory: Returns the value of the kappa record component.
kappa() - Method in record class com.quantfinlib.microstructure.OrnsteinUhlenbeck.Params: Returns the value of the kappa record component.
kappa() - Method in record class com.quantfinlib.pricing.Heston.Params: Returns the value of the kappa record component.
kappa() - Method in class com.quantfinlib.trading.AvellanedaStoikov
kellyFraction() - Method in record class com.quantfinlib.backtest.TradeAnalytics.Result: Returns the value of the kellyFraction record component.
kellyFraction(double, double) - Static method in class com.quantfinlib.backtest.portfolio.PositionSizing: Full Kelly fraction for a return stream: f* = μ / σ².
keltner(BarSeries, int, int, double) - Static method in class com.quantfinlib.indicators.Indicators: Keltner Channel: EMA middle band with ATR-based envelope.
Keltner(double[], double[], double[]) - Constructor for record class com.quantfinlib.indicators.Indicators.Keltner: Creates an instance of a Keltner record class.
kendallTau(double[], double[]) - Static method in class com.quantfinlib.risk.Dependence: Kendall's τ (tau-a) in [-1, 1]; O(n²).
KeyRateDurations - Class in com.quantfinlib.rates: Key-rate durations — WHERE on the curve a bond's rate risk lives.
keyRateDv01s(double, double, int, double, YieldCurve) - Static method in class com.quantfinlib.rates.KeyRateDurations: Per-node price sensitivities of a fixed-coupon bond to a 1bp bump of each curve tenor, in price units per 100 face (positive = the bond LOSES that much when the node rises 1bp — DV01 sign convention).
kijun() - Method in record class com.quantfinlib.indicators.Indicators.Ichimoku: Returns the value of the kijun record component.
kill(boolean) - Method in class com.quantfinlib.trading.HftRiskGate: Gate-wide kill switch: every check rejects with HftRiskGate.REJECT_KILLED until cleared.
kirkSpreadCall(double, double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.ExchangeOption: Kirk's approximation for a spread CALL on two forwards: max(0, F1 − F2 − K) paid at expiry, discounted at rate.
ksPme(double[], double[], double, double[]) - Static method in class com.quantfinlib.markets.PrivateMarketAnalytics: Kaplan-Schoar PME.
ksStatistic() - Method in record class com.quantfinlib.risk.PnlAttribution.Result: Returns the value of the ksStatistic record component.
ksStatistic(double[], double[]) - Static method in class com.quantfinlib.risk.PnlAttribution: The two-sample KS statistic: max gap between the empirical CDFs, evaluated after BOTH samples have consumed each distinct value — ties must not register a transient gap (identical series score exactly 0).
kupiecPValue() - Method in record class com.quantfinlib.risk.VarBacktest.VarBacktestResult: Returns the value of the kupiecPValue record component.
kupiecStatistic() - Method in record class com.quantfinlib.risk.VarBacktest.VarBacktestResult: Returns the value of the kupiecStatistic record component.
kurtosis(double[]) - Static method in class com.quantfinlib.util.MathUtils: Population kurtosis: m4 / m2^2 (3 for a normal distribution, not excess).
KylesLambda - Class in com.quantfinlib.microstructure: Kyle's lambda — market impact LEARNED from the tape instead of assumed from a formula.
KylesLambda() - Constructor for class com.quantfinlib.microstructure.KylesLambda: 2% sample weight.
KylesLambda(double) - Constructor for class com.quantfinlib.microstructure.KylesLambda

L

L3BookBuilder - Class in com.quantfinlib.marketdata: Participant-side full-depth (L3) book builder: reconstructs a venue's book from an ITCH-style event stream (add / execute / cancel / delete / replace) and answers the questions an execution engine actually asks — best bid/ask, depth, and exactly how many shares are queued ahead of my order — with zero allocation on every event.
L3BookBuilder(int, int, int, int) - Constructor for class com.quantfinlib.marketdata.L3BookBuilder
label() - Method in record class com.quantfinlib.hedging.OptionsBook.OptionPosition: Returns the value of the label record component.
lambda() - Method in class com.quantfinlib.microstructure.KylesLambda: The learned λ: price change per unit of signed volume.
lambda() - Method in record class com.quantfinlib.rates.NelsonSiegel.Fit: Returns the value of the lambda record component.
lambda1() - Method in record class com.quantfinlib.rates.Svensson.Fit: Returns the value of the lambda1 record component.
lambda2() - Method in record class com.quantfinlib.rates.Svensson.Fit: Returns the value of the lambda2 record component.
LAST_PX - Static variable in class com.quantfinlib.fix.FixMessage
LAST_QTY - Static variable in class com.quantfinlib.fix.FixMessage
lastClose() - Method in class com.quantfinlib.core.BarSeries
lastClose() - Method in record class com.quantfinlib.screener.StockSnapshot
lastExpectedPrice() - Method in class com.quantfinlib.fx.LpRouter: Reject-adjusted price behind the last successful LpRouter.route(boolean, double); NaN otherwise.
lastGrossNotional() - Method in class com.quantfinlib.trading.GlobalRiskAggregator: Gross notional from the most recent monitor sweep.
LastLookExecution - Class in com.quantfinlib.backtest: Last-look execution model — the missing realism for FX backtests: on ECN and single-dealer FX liquidity, the provider holds your order briefly and may reject it if the price moves against them during the hold.
LastLookExecution(double, double) - Constructor for class com.quantfinlib.backtest.LastLookExecution
LastLookGate - Class in com.quantfinlib.trading: Maker-side symmetric last-look price check — the mechanism FX liquidity providers apply to incoming deal requests, implemented the way the FX Global Code (Principle 17) says it must be: symmetric.
LastLookGate(double) - Constructor for class com.quantfinlib.trading.LastLookGate
lastPrice() - Method in record class com.quantfinlib.fix.ExecutionReport: Returns the value of the lastPrice record component.
lastPrice(int) - Method in class com.quantfinlib.backtest.tick.TickBacktester
lastPrice(int) - Method in interface com.quantfinlib.backtest.tick.TickTradingContext: Last traded price for the symbol (NaN before its first tick).
lastPxDecimals() - Method in class com.quantfinlib.fix.FixExecReportView
lastPxMantissa() - Method in class com.quantfinlib.fix.FixExecReportView: LastPx as a scaled long: mantissa × 10^-decimals.
lastQty() - Method in record class com.quantfinlib.fix.ExecutionReport: Returns the value of the lastQty record component.
lastQty() - Method in class com.quantfinlib.fix.FixExecReportView
lastQuotedPrice() - Method in class com.quantfinlib.fx.LpRouter: Raw quoted price behind the last successful LpRouter.route(boolean, double); NaN otherwise.
lastTradeTick() - Method in class com.quantfinlib.marketdata.L3BookBuilder
lastZScore() - Method in record class com.quantfinlib.hedging.PairsHedger.PairsAnalysis: Returns the value of the lastZScore record component.
lastZScore(double[], double) - Static method in class com.quantfinlib.microstructure.OrnsteinUhlenbeck: Convenience: the fitted z-score of the LAST observation.
latencyAdjustedFair(long) - Method in class com.quantfinlib.pricing.FairValueEngine: Fair price projected latencyNanos into the future: microprice plus drift over the latency horizon.
latencyFillAdvantage(long, long, double, double, long) - Static method in class com.quantfinlib.microstructure.QueueModel: Fill-probability edge from being latencyAdvantageNanos faster to the queue: P(fill | fast arrival) - P(fill | slow arrival).
latencyNanos() - Method in record class com.quantfinlib.execution.VenueQuote: Returns the value of the latencyNanos record component.
LatencyRecorder - Class in com.quantfinlib.util: Zero-allocation nanosecond latency histogram (HdrHistogram-style log-linear buckets: 16 sub-buckets per power of two, ~6% worst-case quantile error).
LatencyRecorder() - Constructor for class com.quantfinlib.util.LatencyRecorder
latencyToFillNanos() - Method in record class com.quantfinlib.execution.VenueBenchmark.Sample: Returns the value of the latencyToFillNanos record component.
latencyToFillNanos() - Method in record class com.quantfinlib.regulatory.BestExecutionAnalyzer.OrderOutcome: Returns the value of the latencyToFillNanos record component.
latestPrice(int) - Method in class com.quantfinlib.marketdata.HftMarketDataBus: Last traded price by symbol id; NaN before the first tick.
latestPrice(String) - Method in class com.quantfinlib.marketdata.HftMarketDataBus
latestPrice(String) - Method in class com.quantfinlib.marketdata.MarketDataProcessor
latestVol(double[]) - Method in class com.quantfinlib.volatility.EwmaVolatility: One-step-ahead volatility forecast (per period).
leadExecuted() - Method in class com.quantfinlib.execution.SpreadExecutionAlgo
LeadLagEstimator - Class in com.quantfinlib.microstructure: Streaming cross-asset lead-lag estimation: does instrument A's return now predict instrument B's return a few intervals from now?
LeadLagEstimator() - Constructor for class com.quantfinlib.microstructure.LeadLagEstimator: maxLag 10 intervals, EWMA memory ~200 samples.
LeadLagEstimator(int, double) - Constructor for class com.quantfinlib.microstructure.LeadLagEstimator
leadQty() - Method in record class com.quantfinlib.execution.SpreadExecutionAlgo.Children: Returns the value of the leadQty record component.
LEAVES_QTY - Static variable in class com.quantfinlib.fix.FixMessage
leavesQty() - Method in record class com.quantfinlib.fix.ExecutionReport: Returns the value of the leavesQty record component.
leavesQty() - Method in class com.quantfinlib.fix.FixExecReportView
ledoitWolf(double[][]) - Static method in class com.quantfinlib.risk.CovarianceShrinkage
legs() - Method in record class com.quantfinlib.execution.SmartOrderRouter.RoutingPlan: Returns the value of the legs record component.
lehman2008() - Static method in class com.quantfinlib.risk.StressTester: 2008-09-15 (Lehman week) stylized: −9% equities, −40bp, USD bid, oil down, vol +16pts.
length() - Method in class com.quantfinlib.fix.FixOrderEncoder: Length of the last message.
length(byte) - Static method in class com.quantfinlib.marketdata.ItchCodec: Wire length of a message type; -1 for types outside the subset.
level(double[], double[], double[], double) - Static method in class com.quantfinlib.markets.IndexConstruction: Index level from an aggregate and a divisor.
LEVEL_1 - Static variable in class com.quantfinlib.microstructure.CircuitBreakers.MarketWide
LEVEL_2 - Static variable in class com.quantfinlib.microstructure.CircuitBreakers.MarketWide
LEVEL_3 - Static variable in class com.quantfinlib.microstructure.CircuitBreakers.MarketWide
level1Used() - Method in class com.quantfinlib.microstructure.CircuitBreakers.MarketWide
level2Used() - Method in class com.quantfinlib.microstructure.CircuitBreakers.MarketWide
level3Used() - Method in class com.quantfinlib.microstructure.CircuitBreakers.MarketWide
levels() - Method in class com.quantfinlib.microstructure.HiddenLiquidityDetector
levels(Side, int) - Method in class com.quantfinlib.orderbook.OrderBook: Price/quantity pairs for the given side's best maxLevels (side = the resting liquidity side: BUY returns bids).
levelsConsumed() - Method in record class com.quantfinlib.orderbook.BookAnalytics.SweepResult: Returns the value of the levelsConsumed record component.
LH_10 - Static variable in class com.quantfinlib.risk.FrtbEs: The five regulatory liquidity horizons, in days.
LH_120 - Static variable in class com.quantfinlib.risk.FrtbEs
LH_20 - Static variable in class com.quantfinlib.risk.FrtbEs
LH_40 - Static variable in class com.quantfinlib.risk.FrtbEs
LH_60 - Static variable in class com.quantfinlib.risk.FrtbEs
lifecycleEventsApplied() - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Result: Returns the value of the lifecycleEventsApplied record component.
LIMIT_DOWN - Enum constant in enum class com.quantfinlib.microstructure.CircuitBreakers.LuldState: NBO pinned at the lower band.
LIMIT_UP - Enum constant in enum class com.quantfinlib.microstructure.CircuitBreakers.LuldState: NBB pinned at the upper band: sellers must arrive or a pause follows.
limitBreaches(Map<String, Double>, double) - Static method in class com.quantfinlib.risk.ConcentrationRisk: Group keys whose share exceeds the single-name concentration limit.
LimitOrder - Class in com.quantfinlib.orderbook: A resting limit order.
line() - Method in record class com.quantfinlib.indicators.Indicators.Macd: Returns the value of the line record component.
line() - Method in class com.quantfinlib.indicators.StreamingIndicators.Macd
lineChart(double[], int, int, String) - Static method in class com.quantfinlib.report.SvgCharts: Generic line chart of a value series.
liquidityHalfLifeNanos() - Method in record class com.quantfinlib.microstructure.SignalEngine.Config: Returns the value of the liquidityHalfLifeNanos record component.
liquidityHorizonEs(double[], int[]) - Static method in class com.quantfinlib.risk.FrtbEs: The liquidity-horizon cascade: given the base 10-day ES computed on the FULL factor set and the ESs of the nested subsets that remain shocked at each longer horizon, aggregates per MAR33.5:
LiquidityMeasures - Class in com.quantfinlib.microstructure: Liquidity estimated from BARS ALONE — the estimators for every market where you have prices but no quotes: history before your tick capture started, less-developed markets, bonds marked once a day, or a 20-year backtest that would otherwise pretend spreads were zero.
LiquiditySeekingAlgo - Class in com.quantfinlib.execution: The opportunistic execution archetype — the counterpart to BenchmarkExecutor's schedule-driven family.
LiquiditySeekingAlgo(long) - Constructor for class com.quantfinlib.execution.LiquiditySeekingAlgo
LiquiditySeekingAlgo(long, LiquiditySeekingAlgo.Config) - Constructor for class com.quantfinlib.execution.LiquiditySeekingAlgo
LiquiditySeekingAlgo.Config - Record Class in com.quantfinlib.execution
liquidityShare() - Method in record class com.quantfinlib.backtest.SorExecution.VenueConfig: Returns the value of the liquidityShare record component.
listener(Nbbo.Listener) - Method in class com.quantfinlib.marketdata.Nbbo: Installs the (single) inside-change callback.
lit() - Method in record class com.quantfinlib.crb.CrbRouter.Allocation: Returns the value of the lit record component.
lit() - Method in record class com.quantfinlib.execution.AdaptiveSor.RoutingDecision: Returns the value of the lit record component.
LiveTradingDemo - Class in com.quantfinlib.examples: The five-minute live demo: real market data → streaming strategy → paper execution → live dashboard, in one command.
LiveTradingDemo() - Constructor for class com.quantfinlib.examples.LiveTradingDemo
load(Path) - Static method in class com.quantfinlib.data.UniverseCsvLoader: Loads a universe file (see the class doc for the format).
load(Path, String) - Static method in class com.quantfinlib.data.CsvBarLoader
loading(int, int) - Method in class com.quantfinlib.risk.Pca: Unit loading of factor f on component c.
loadings() - Method in class com.quantfinlib.crb.CrbHedgeUniverse: The loadings matrix [factor][instrument] at the registry's CURRENT size — call after all booking/adding, alongside CrbHedgeUniverse.costs().
localId(int, int) - Method in class com.quantfinlib.trading.ShardedTradingEngine: The symbol's dense id within one of its shards (for subscriptions).
locked() - Method in class com.quantfinlib.marketdata.Nbbo: Locked market flag (NBB equal to NBO).
logGamma(double) - Static method in class com.quantfinlib.util.MathUtils: Natural log of the gamma function (Lanczos, |relative error| < 2e-10).
logits() - Method in record class com.quantfinlib.backtest.validation.OverfitProbability.Result: Returns the value of the logits record component.
logLikelihood() - Method in record class com.quantfinlib.ml.RegimeDetector.RegimeModel: Returns the value of the logLikelihood record component.
logLikelihood() - Method in record class com.quantfinlib.volatility.Egarch11.Params: Returns the value of the logLikelihood record component.
logLikelihood() - Method in record class com.quantfinlib.volatility.Garch11.Params: Returns the value of the logLikelihood record component.
logLikelihood() - Method in record class com.quantfinlib.volatility.GjrGarch11.Params: Returns the value of the logLikelihood record component.
LOGON - Static variable in class com.quantfinlib.fix.FixMessage
logout() - Method in class com.quantfinlib.fix.FixSession: Initiates the Logout handshake and closes the session.
LOGOUT - Static variable in class com.quantfinlib.fix.FixMessage
logReturns() - Method in class com.quantfinlib.core.BarSeries: Log returns; length = size - 1.
longRate() - Method in record class com.quantfinlib.rates.NelsonSiegel.Fit: The long-end asymptote z(∞) = b0.
longRate() - Method in record class com.quantfinlib.rates.Svensson.Fit: The long-end asymptote z(infinity) = b0.
lookbackBars() - Method in record class com.quantfinlib.backtest.portfolio.CrossSectionalMomentum.Config: Returns the value of the lookbackBars record component.
low() - Method in record class com.quantfinlib.core.Bar: Returns the value of the low record component.
low(int) - Method in class com.quantfinlib.core.BarSeries
lower() - Method in record class com.quantfinlib.indicators.Indicators.Bollinger: Returns the value of the lower record component.
lower() - Method in record class com.quantfinlib.indicators.Indicators.Donchian: Returns the value of the lower record component.
lower() - Method in record class com.quantfinlib.indicators.Indicators.Keltner: Returns the value of the lower record component.
lowerBand() - Method in class com.quantfinlib.microstructure.CircuitBreakers.Luld
lowest(double[], int) - Static method in class com.quantfinlib.indicators.Indicators
lows() - Method in class com.quantfinlib.core.BarSeries
lowVolatility(int) - Static method in class com.quantfinlib.alpha.Factors: Low-volatility anomaly: −σ(returns) over the lookback — calm names score high.
lpCount() - Method in class com.quantfinlib.fx.FxTierBook
lpCount() - Method in class com.quantfinlib.fx.LpScorecard
LpRouter - Class in com.quantfinlib.fx: Last-look-aware LP router: chooses where to send an FX clip by expected all-in price, not displayed price.
LpRouter(FxTierBook, LpScorecard, double) - Constructor for class com.quantfinlib.fx.LpRouter: Wiring requirement: the scorecard's markout penalty only works if card.onMid is fed composite mids on the same clock as onReject — without it markouts never mature, the penalty is silently zero, and routing degrades to displayed-price-plus-veto.
LpRouter(FxTierBook, LpScorecard, double, double) - Constructor for class com.quantfinlib.fx.LpRouter: With a hold-time urgency: an LP's last-look hold is FX's latency dimension — while it deliberates, the market drifts against you.
LpScorecard - Class in com.quantfinlib.fx: Streaming per-LP execution quality: the taker-side answer to last look.
LpScorecard(int) - Constructor for class com.quantfinlib.fx.LpScorecard: 5% event weight, 100 ms markout horizon.
LpScorecard(int, double, long) - Constructor for class com.quantfinlib.fx.LpScorecard
Luld(boolean) - Constructor for class com.quantfinlib.microstructure.CircuitBreakers.Luld
luldBandPct(double, boolean, boolean) - Static method in class com.quantfinlib.microstructure.CircuitBreakers: LULD band as a fraction of the reference price.
luldLowerBand(double, boolean, boolean) - Static method in class com.quantfinlib.microstructure.CircuitBreakers: Lower LULD band price.
luldUpperBand(double, boolean, boolean) - Static method in class com.quantfinlib.microstructure.CircuitBreakers: Upper LULD band price.

M

macaulayDuration(double, double, int, double, double) - Static method in class com.quantfinlib.rates.BondPricer: Macaulay duration in years: PV-weighted average time to cash flow.
macd(double[], int, int, int) - Static method in class com.quantfinlib.indicators.Indicators: MACD: EMA(fast) - EMA(slow), with an EMA signal line and histogram.
macd(int, int, int) - Static method in class com.quantfinlib.alpha.Factors: MACD histogram normalized by price: (macdLine − signalLine) / close.
Macd(double[], double[], double[]) - Constructor for record class com.quantfinlib.indicators.Indicators.Macd: Creates an instance of a Macd record class.
Macd(int, int, int) - Constructor for class com.quantfinlib.indicators.StreamingIndicators.Macd
macdBullish() - Static method in class com.quantfinlib.screener.TechnicalFilters: MACD line above its signal line on the last bar.
MacdStrategy - Class in com.quantfinlib.backtest.strategies: MACD signal-line crossover: buy when MACD crosses above its signal line, sell on the reverse.
MacdStrategy() - Constructor for class com.quantfinlib.backtest.strategies.MacdStrategy
MacdStrategy(int, int, int) - Constructor for class com.quantfinlib.backtest.strategies.MacdStrategy
mahalanobisSigmas() - Method in record class com.quantfinlib.risk.StressTester.ReverseStress: Returns the value of the mahalanobisSigmas record component.
main(String[]) - Static method in class com.quantfinlib.cli.Main
main(String[]) - Static method in class com.quantfinlib.examples.HftBookBenchmark
main(String[]) - Static method in class com.quantfinlib.examples.HftLatencyBenchmark
main(String[]) - Static method in class com.quantfinlib.examples.HftOrderBenchmark
main(String[]) - Static method in class com.quantfinlib.examples.HftQuoterBenchmark
main(String[]) - Static method in class com.quantfinlib.examples.LiveTradingDemo
main(String[]) - Static method in class com.quantfinlib.examples.QuickStartDemo
main(String[]) - Static method in class com.quantfinlib.examples.ScaleBenchmark
main(String[]) - Static method in class com.quantfinlib.examples.ShardScaleBenchmark
Main - Class in com.quantfinlib.cli: Command-line entry point: run backtests, walk-forward validation, and HTML reports on CSV bar data without writing Java.
makerProtectiveRejects() - Method in class com.quantfinlib.trading.LastLookGate: Rejects where the move was against the maker (the classic pick-off).
mapFind(long[], int, long) - Static method in class com.quantfinlib.orderbook.BookPrimitives: Slot of key, or -1.
mapPut(long[], int[], int, long, int) - Static method in class com.quantfinlib.orderbook.BookPrimitives: Inserts into the open-addressing map (caller guarantees the key is absent).
mapRemoveAt(long[], int[], int, int) - Static method in class com.quantfinlib.orderbook.BookPrimitives: Backward-shift deletion: re-places every entry of the probe run that follows the hole, so lookups never need tombstones and cancel churn cannot degrade probe lengths over a long session.
marginalContribution(double[], double[]) - Method in class com.quantfinlib.microstructure.EwmaCovariance: Marginal contribution to portfolio risk: out[i] = wᵢ·(Σw)ᵢ / (w'Σw) — the fraction of total basket variance symbol i's position is responsible for (contributions sum to 1; a natural hedge contributes negatively).
marginals() - Method in record class com.quantfinlib.risk.ComponentVar.Allocation: Returns the value of the marginals record component.
margrabe(double, double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.ExchangeOption: Margrabe: receive asset 1, deliver asset 2 at expiry.
marketCap() - Method in record class com.quantfinlib.screener.Fundamentals: Returns the value of the marketCap record component.
marketCapAbove(double) - Static method in class com.quantfinlib.screener.FundamentalFilters
MarketDataEvent - Record Class in com.quantfinlib.marketdata: A tick / trade print.
MarketDataEvent(String, double, double, long) - Constructor for record class com.quantfinlib.marketdata.MarketDataEvent: Creates an instance of a MarketDataEvent record class.
MarketDataListener - Interface in com.quantfinlib.marketdata: Callback for market data events.
MarketDataProcessor - Class in com.quantfinlib.marketdata: Real-Time Market Data Processing pipeline.
MarketDataProcessor() - Constructor for class com.quantfinlib.marketdata.MarketDataProcessor
MarketDataProcessor(int) - Constructor for class com.quantfinlib.marketdata.MarketDataProcessor
MarketImpactModel - Class in com.quantfinlib.microstructure: Temporary / permanent market impact models for large trades, parameterized by average daily volume (ADV) and daily volatility: Square-root law (empirical standard): impact = Y * sigma_daily * sqrt(Q / ADV). Almgren-Chriss style decomposition: linear temporary impact in participation rate and linear permanent impact in size, with the expected cost of an execution schedule E[cost] = permanent/2 + temporary. All results in basis points of the arrival price.
MarketImpactModel(double, double) - Constructor for class com.quantfinlib.microstructure.MarketImpactModel
MarketImpactPredictor - Class in com.quantfinlib.ml: ML market impact prediction: learns realized impact (bps) from order and book features using gradient-boosted trees, and estimates the probability a marketable order sweeps through the visible top of book.
MarketImpactPredictor() - Constructor for class com.quantfinlib.ml.MarketImpactPredictor
MarketQualityMetrics - Class in com.quantfinlib.regulatory: Market quality indices used in execution-quality and venue-quality reporting: quoted / effective / realized spread, price impact, and order-to-trade ratio.
MarketState(double, double, double, double, double, double, double) - Constructor for record class com.quantfinlib.execution.BenchmarkExecutor.MarketState: Creates an instance of a MarketState record class.
marketVolume() - Method in class com.quantfinlib.execution.BenchmarkExecutor
marketVolume() - Method in class com.quantfinlib.execution.PovTracker
marketVwap() - Method in record class com.quantfinlib.microstructure.TransactionCostAnalyzer.TcaReport: Returns the value of the marketVwap record component.
MarketWide() - Constructor for class com.quantfinlib.microstructure.CircuitBreakers.MarketWide
markToMarket() - Method in record class com.quantfinlib.risk.CounterpartyExposureTracker.CounterpartyTrade: Returns the value of the markToMarket record component.
markToMarket(double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.VarianceSwap: Mark-to-market of a seasoned variance swap per unit of variance notional (multiply by VarianceSwap.varianceNotional(double, double) for money).
markToMarket(SwapPointsCurve) - Method in class com.quantfinlib.fx.FxSwap: Undiscounted mark-to-market in quote currency against a current curve: each leg's (current forward − traded rate) × signed base notional.
markToMarket(SwapPointsCurve) - Method in class com.quantfinlib.fx.Ndf: Undiscounted mark-to-market in base currency: the settlement formula evaluated at the curve's forward to the fixing date — the date the payoff actually references.
markToMarket(SwapPointsCurve, YieldCurve) - Method in class com.quantfinlib.fx.FxSwap: Discounted mark-to-market: live-leg P&Ls discounted off a quote-currency zero curve (ACT/365 from the valuation curve's spot date).
markToMarket(SwapPointsCurve, YieldCurve) - Method in class com.quantfinlib.fx.Ndf: Discounted mark-to-market: the expected settlement discounted from the settlement date on a base-currency (USD) zero curve, ACT/365 from the curve's spot.
matches(StockSnapshot) - Method in interface com.quantfinlib.screener.ScreenFilter
matchNumber() - Method in class com.quantfinlib.marketdata.ItchCodec.View: E/P: the venue's match (execution) number.
MathUtils - Class in com.quantfinlib.util: Numerical primitives shared across the library.
matrix() - Method in record class com.quantfinlib.risk.CovarianceShrinkage.Result: Returns the value of the matrix record component.
maturedFillMarkouts() - Method in class com.quantfinlib.execution.VenueScorecard: Fill markouts matured across all venues — the wiring canary: zero while fills accrue means VenueScorecard.onMid(double, long) is not being fed and the router's adverse-selection term is silently disabled.
maturedMarkouts() - Method in class com.quantfinlib.fx.LpScorecard: Markouts matured across all LPs — the router-degradation canary: zero while rejects accrue means LpScorecard.onMid(double, long) is not wired and the routing penalty is silently zero.
matVec(double[][], double[]) - Static method in class com.quantfinlib.util.MathUtils
max() - Method in class com.quantfinlib.util.LatencyRecorder
maxDarkFraction() - Method in record class com.quantfinlib.execution.AdaptiveSor.Config: Returns the value of the maxDarkFraction record component.
maxDepth() - Method in record class com.quantfinlib.backtest.DrawdownAnalytics.Result: Returns the value of the maxDepth record component.
maxDepthFraction() - Method in record class com.quantfinlib.execution.LiquiditySeekingAlgo.Config: Returns the value of the maxDepthFraction record component.
maxDrawdown() - Method in record class com.quantfinlib.backtest.PerformanceMetrics: Returns the value of the maxDrawdown record component.
maxDrawdown(double[]) - Static method in class com.quantfinlib.risk.RiskMetrics: Maximum peak-to-trough drawdown of an equity curve, as a positive fraction.
maxDuration() - Method in record class com.quantfinlib.backtest.DrawdownAnalytics.Result: Returns the value of the maxDuration record component.
maxHiccupNanos() - Method in class com.quantfinlib.util.HiccupMonitor: Worst platform stall observed, in nanoseconds.
maxImpactBps() - Method in record class com.quantfinlib.execution.LiquiditySeekingAlgo.Config: Returns the value of the maxImpactBps record component.
maxIntervalNotional() - Method in record class com.quantfinlib.execution.PortfolioExecutor.Config: Returns the value of the maxIntervalNotional record component.
maxLag() - Method in class com.quantfinlib.microstructure.LeadLagEstimator
maxLossStreak() - Method in record class com.quantfinlib.backtest.TradeAnalytics.Result: Returns the value of the maxLossStreak record component.
maxNetNotional() - Method in record class com.quantfinlib.execution.PortfolioExecutor.Config: Returns the value of the maxNetNotional record component.
maxOrderNotional(double) - Method in class com.quantfinlib.risk.PreTradeLimitChecker
maxOrderNotional(double) - Method in class com.quantfinlib.trading.HftRiskGate
maxOrderQuantity(long) - Method in class com.quantfinlib.risk.PreTradeLimitChecker
maxOrderQuantity(long) - Method in class com.quantfinlib.trading.HftRiskGate
maxPositionQuantity(long) - Method in class com.quantfinlib.risk.PreTradeLimitChecker: Cap on |position| after the order would fully fill.
maxPositionQuantity(long) - Method in class com.quantfinlib.trading.HftRiskGate
maxSharpe(double) - Method in class com.quantfinlib.optimization.ConstrainedPortfolioOptimizer
maxSharpe(double) - Method in class com.quantfinlib.optimization.PortfolioOptimizer: Maximum Sharpe ratio portfolio.
maxTiers() - Method in class com.quantfinlib.fx.FxTierBook
maxVolRegime() - Method in record class com.quantfinlib.execution.LiquiditySeekingAlgo.Config: Returns the value of the maxVolRegime record component.
maxWinStreak() - Method in record class com.quantfinlib.backtest.TradeAnalytics.Result: Returns the value of the maxWinStreak record component.
mean() - Method in class com.quantfinlib.hedging.HedgingErrorDistribution
mean() - Method in class com.quantfinlib.util.LatencyRecorder
mean(double[]) - Static method in class com.quantfinlib.util.MathUtils
mean(double[], int, int) - Static method in class com.quantfinlib.util.MathUtils
meanIc() - Method in record class com.quantfinlib.alpha.AlphaValidation.CrossValidationResult: Returns the value of the meanIc record component.
meanIc() - Method in record class com.quantfinlib.alpha.SignalEvaluator.Report: Returns the value of the meanIc record component.
meanIcs() - Method in record class com.quantfinlib.alpha.AlphaReport.Decay: Returns the value of the meanIcs record component.
meanIcs() - Method in record class com.quantfinlib.alpha.AlphaValidation.SensitivityResult: Returns the value of the meanIcs record component.
meanInSampleIc() - Method in record class com.quantfinlib.alpha.AlphaValidation.WalkForwardResult: Returns the value of the meanInSampleIc record component.
meanOutOfSampleIc() - Method in record class com.quantfinlib.alpha.AlphaValidation.WalkForwardResult: Returns the value of the meanOutOfSampleIc record component.
meanRebalances() - Method in class com.quantfinlib.hedging.HedgingErrorDistribution
meanReturn() - Method in record class com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile: Returns the value of the meanReturn record component.
meanReturns() - Method in record class com.quantfinlib.alpha.SignalEvaluator.QuantileReport: Returns the value of the meanReturns record component.
meanReversion(int) - Static method in class com.quantfinlib.alpha.Factors: Plain mean reversion: −(close / SMA − 1) — how far the price sits below its own average, as a fraction.
meanReward(int) - Method in class com.quantfinlib.execution.Ucb1Selector: The arm's observed mean reward (NaN before its first pull).
means() - Method in record class com.quantfinlib.ml.RegimeDetector.RegimeModel: Returns the value of the means record component.
meanTradingCosts() - Method in class com.quantfinlib.hedging.HedgingErrorDistribution
meanTurnover() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Result: Returns the value of the meanTurnover record component.
meanTurnover() - Method in record class com.quantfinlib.alpha.SignalEvaluator.Report: Returns the value of the meanTurnover record component.
meanVarianceTilt(double[], double[][], double) - Static method in class com.quantfinlib.alpha.PortfolioConstruction: Unconstrained mean-variance tilt: w ∝ Σ⁻¹ α (the Markowitz solution up to scale), solved via Gaussian elimination and normalized to grossTarget.
measuredLatencyNanos(int) - Method in class com.quantfinlib.execution.VenueScorecard: EWMA measured response latency in nanos (0 before any data).
medianLatencyToFillMillis() - Method in record class com.quantfinlib.regulatory.BestExecutionAnalyzer.BestExecutionReport: Returns the value of the medianLatencyToFillMillis record component.
medianMaxDrawdown() - Method in record class com.quantfinlib.backtest.validation.MonteCarloTradeShuffle.Result: Returns the value of the medianMaxDrawdown record component.
medianTerminalPnl() - Method in record class com.quantfinlib.backtest.validation.MonteCarloTradeShuffle.Result: Returns the value of the medianTerminalPnl record component.
medianValue() - Method in class com.quantfinlib.simulation.SimulationResult
membersAsOf(long) - Method in class com.quantfinlib.data.PointInTimeUniverse: All members as of a timestamp, sorted for determinism.
membersAsOf(List<StockSnapshot>, PointInTimeUniverse, long) - Static method in class com.quantfinlib.screener.StockScreener: Filters snapshots to the point-in-time members at asOfTimestamp — the survivorship-safe way to build a historical screening universe (assuming the snapshot list itself includes the dead tickers).
MERGER - Enum constant in enum class com.quantfinlib.data.PointInTimeUniverse.EventType
MESSAGE_TYPE - Static variable in class com.quantfinlib.sbe.OrderFlyweight: Message type discriminator at offset 0.
MESSAGE_TYPE - Static variable in class com.quantfinlib.sbe.QuoteFlyweight: Message type discriminator at offset 0.
MESSAGE_TYPE - Static variable in class com.quantfinlib.sbe.TradeFlyweight: Message type discriminator at offset 0.
messagesDecoded() - Method in class com.quantfinlib.sbe.BinaryMarketDataClient
messagesReceived() - Method in class com.quantfinlib.feed.WebSocketFeed
metrics() - Method in class com.quantfinlib.backtest.BacktestResult
metrics() - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Result: Returns the value of the metrics record component.
metrics() - Method in record class com.quantfinlib.backtest.tick.TickBacktester.TickBacktestResult: Returns the value of the metrics record component.
metrics() - Method in record class com.quantfinlib.backtest.validation.GridSearchOptimizer.Candidate: Returns the value of the metrics record component.
microprice() - Method in class com.quantfinlib.pricing.FairValueEngine: Latest microprice (NaN before the first quote).
microprice(double, double, double, double) - Static method in class com.quantfinlib.orderbook.BookAnalytics
microprice(double, double, double, double) - Static method in class com.quantfinlib.pricing.FairValueEngine: Size-weighted microprice: I*ask + (1-I)*bid, I = bidSize/(bidSize+askSize).
microprice(int) - Method in class com.quantfinlib.microstructure.SignalEngine: Size-weighted microprice; NaN before the first two-sided quote.
microprice(OrderBook) - Static method in class com.quantfinlib.orderbook.BookAnalytics: Size-weighted microprice: I*ask + (1-I)*bid with I = bidSize / (bidSize + askSize) — a better short-horizon fair value than the mid when the book is imbalanced.
mid() - Method in record class com.quantfinlib.execution.BenchmarkExecutor.MarketState: Returns the value of the mid record component.
mid() - Method in record class com.quantfinlib.execution.VenueQuote
mid() - Method in class com.quantfinlib.fx.AggregatedBook: Composite mid; NaN until both sides are quoted.
mid() - Method in class com.quantfinlib.orderbook.OrderBook
mid() - Method in record class com.quantfinlib.pricing.TriangularArbitrage.Quote
midAfterHorizon() - Method in record class com.quantfinlib.execution.VenueBenchmark.Sample: Returns the value of the midAfterHorizon record component.
midAtExec() - Method in record class com.quantfinlib.execution.VenueBenchmark.Sample: Returns the value of the midAtExec record component.
middle() - Method in record class com.quantfinlib.indicators.Indicators.Bollinger: Returns the value of the middle record component.
middle() - Method in record class com.quantfinlib.indicators.Indicators.Donchian: Returns the value of the middle record component.
middle() - Method in record class com.quantfinlib.indicators.Indicators.Keltner: Returns the value of the middle record component.
MidPegTracker - Class in com.quantfinlib.execution: Mid-rate pegging model: tracks the target price of a mid-pegged order with an offset and optional limit cap, and decides when the peg has drifted far enough to justify a reprice (each reprice costs queue priority and a message, so small moves are ignored).
MidPegTracker(Side, double, double, double) - Constructor for class com.quantfinlib.execution.MidPegTracker
midTick() - Method in class com.quantfinlib.marketdata.Nbbo: Mid in tick units, NaN when either side is absent.
min() - Method in class com.quantfinlib.util.LatencyRecorder
minFillRate() - Method in record class com.quantfinlib.execution.AdaptiveSor.Config: Returns the value of the minFillRate record component.
MinimumVarianceHedge - Class in com.quantfinlib.hedging: Minimum-variance and beta hedging with futures or a correlated proxy: Optimal hedge ratio h* = cov(asset, hedge) / var(hedge) — the classic OLS/minimum-variance ratio. Hedge effectiveness — the fraction of variance removed at the optimal ratio (= correlation², the standard 80%+ effectiveness test). Futures contract sizing — contracts to move a portfolio from its current beta to a target beta.
minMove() - Method in record class com.quantfinlib.trading.HftQuoter.Config: Returns the value of the minMove record component.
minRequoteIntervalNanos() - Method in record class com.quantfinlib.trading.HftQuoter.Config: Returns the value of the minRequoteIntervalNanos record component.
minTrackRecordLength(double, double, double, double, double) - Static method in class com.quantfinlib.backtest.validation.SharpeValidation: Minimum track record length (Bailey & López de Prado): how many periods of THIS performance are needed before SharpeValidation.probabilisticSharpe(double, double, int, double, double) would clear confidence that the true Sharpe exceeds the benchmark — the allocator's question ("how long until this manager's record means something?")
minusDi() - Method in record class com.quantfinlib.indicators.Indicators.Adx: Returns the value of the minusDi record component.
minVarianceHedgeRatio(int, int) - Method in class com.quantfinlib.microstructure.EwmaCovariance: The live minimum-variance hedge ratio: hedge target with cov(target,hedge)/var(hedge) units of hedge — the streaming sibling of hedging.MinimumVarianceHedge. 0 while the hedge instrument's variance is unlearned.
minVolatility() - Method in class com.quantfinlib.optimization.ConstrainedPortfolioOptimizer
minVolatility() - Method in class com.quantfinlib.optimization.PortfolioOptimizer: Minimum volatility portfolio.
mispricingBps(double, double, double) - Method in class com.quantfinlib.pricing.ForwardCurve: Covered-interest-parity arbitrage check: market forward versus the deposit-implied forward, in basis points (positive = market forward rich).
missPenaltyBps() - Method in record class com.quantfinlib.execution.AdaptiveSor.Config: Returns the value of the missPenaltyBps record component.
mix(long) - Static method in class com.quantfinlib.orderbook.BookPrimitives: Stafford variant 13 finalizer: cheap, well-mixed long hash.
MODIFIED_FOLLOWING - Enum constant in enum class com.quantfinlib.rates.BusinessCalendar.Roll: Forward, unless that crosses month-end — then backward.
modifiedDuration(double, double, int, double, double) - Static method in class com.quantfinlib.rates.BondPricer: Modified duration: price sensitivity per unit yield change.
momentum(double[], int) - Static method in class com.quantfinlib.indicators.Indicators: Momentum: v[i] - v[i-period].
momentum(int) - Method in class com.quantfinlib.microstructure.SignalEngine: Normalized momentum: (fast EMA − slow EMA) / mid.
momentum(int, int) - Static method in class com.quantfinlib.alpha.Factors: Cross-sectional momentum: close[i−skip] / close[i−lookback] − 1.
momentumZ(int) - Method in class com.quantfinlib.microstructure.SignalEngine: Momentum scaled by the volatility accrued over the fast horizon — a t-statistic-like "drift vs noise" ratio — clamped to [-1, 1].
monitor(Portfolio) - Method in class com.quantfinlib.marketdata.MarketDataProcessor: Keeps the given portfolio's marks synchronized with incoming ticks.
monteCarloRobustness(AlphaContext, AlphaFactor, int, int, int, long) - Static method in class com.quantfinlib.alpha.AlphaValidation: Permutation test on the score/return pairing: per trial, scores from date tᵢ are paired with forward returns from a shuffled date tⱼ, destroying any true predictive link while preserving both marginal distributions.
MonteCarloSimulator - Class in com.quantfinlib.simulation: Monte Carlo Portfolio Simulation.
MonteCarloSimulator() - Constructor for class com.quantfinlib.simulation.MonteCarloSimulator
MonteCarloSimulator(long) - Constructor for class com.quantfinlib.simulation.MonteCarloSimulator
MonteCarloTradeShuffle - Class in com.quantfinlib.backtest.validation: MONTE CARLO trade reshuffling — the answer to "was my equity curve's SHAPE luck?".
MonteCarloTradeShuffle.Result - Record Class in com.quantfinlib.backtest.validation
monteCarloVar(double[], double[][], double, int, long) - Static method in class com.quantfinlib.risk.VarEngine
movingAverageCrossover(int, int) - Static method in class com.quantfinlib.alpha.Factors: Moving-average crossover: (SMA_fast − SMA_slow) / SMA_slow.
MSG_SEQ_NUM - Static variable in class com.quantfinlib.fix.FixMessage
MSG_TYPE - Static variable in class com.quantfinlib.fix.FixMessage
msgType() - Method in class com.quantfinlib.fix.FixMessage.Builder
msgType() - Method in class com.quantfinlib.fix.FixMessage
msgType() - Method in record class com.quantfinlib.fix.FixSessionStore.StoredMessage: Returns the value of the msgType record component.
MULTIPLY - Enum constant in enum class com.quantfinlib.fx.CrossRateEngine.Op: A/B × B/C = A/C (shared middle currency).

N

name() - Method in interface com.quantfinlib.alpha.AlphaFactor: Human-readable name used in reports; override for real factors.
name() - Method in class com.quantfinlib.backtest.portfolio.CrossSectionalMomentum
name() - Method in interface com.quantfinlib.backtest.portfolio.PortfolioStrategy
name() - Method in record class com.quantfinlib.backtest.SorExecution.VenueConfig: Returns the value of the name record component.
name() - Method in class com.quantfinlib.backtest.strategies.BollingerBandsStrategy
name() - Method in class com.quantfinlib.backtest.strategies.EmaCrossStrategy
name() - Method in class com.quantfinlib.backtest.strategies.MacdStrategy
name() - Method in class com.quantfinlib.backtest.strategies.RsiStrategy
name() - Method in class com.quantfinlib.backtest.strategies.SmaCrossStrategy
name() - Method in interface com.quantfinlib.backtest.tick.TickStrategy
name() - Method in interface com.quantfinlib.backtest.TradingStrategy
name() - Method in record class com.quantfinlib.crb.CrbRouter.DarkVenue: Returns the value of the name record component.
name() - Method in class com.quantfinlib.dsl.StrategyBuilder.DslStrategy
name() - Method in record class com.quantfinlib.hedging.GreekHedger.Instrument: Returns the value of the name record component.
name(int) - Method in class com.quantfinlib.crb.CrbHedgeUniverse: Instrument name for a CrbAutoHedger.HedgeOrder.instrument() index.
name(int) - Method in class com.quantfinlib.crb.FactorRegistry
named(String) - Static method in class com.quantfinlib.dsl.StrategyBuilder
names() - Method in record class com.quantfinlib.alpha.AlphaValidation.SensitivityResult: Returns the value of the names record component.
names() - Method in class com.quantfinlib.persist.Checkpoint.Reader: The section names present, in file order.
nanArray(int) - Static method in class com.quantfinlib.util.MathUtils
nanosUntilAvailable(long) - Method in class com.quantfinlib.trading.OrderThrottle: Nanoseconds until a permit would be available (0 when one already is) — for pacing loops that would rather sleep than spin-fail.
Nbbo - Class in com.quantfinlib.marketdata: National Best Bid and Offer: aggregates per-venue top-of-book quotes for one symbol into the consolidated best bid/ask, the size available at those prices, and a bitmask of which venues are at the inside — the three inputs a smart order router actually consumes.
Nbbo(int) - Constructor for class com.quantfinlib.marketdata.Nbbo
Nbbo.Listener - Interface in com.quantfinlib.marketdata: Fired after the NBBO (price or inside size) changes.
Ndf - Class in com.quantfinlib.fx: A non-deliverable forward: the FX forward for restricted currencies (INR, KRW, TWD, BRL, CNY, ...) where the local currency never moves.
near52WeekHigh(double) - Static method in class com.quantfinlib.screener.TechnicalFilters: Close within withinFraction of the 52-week (252-bar) high.
near52WeekLow(double) - Static method in class com.quantfinlib.screener.TechnicalFilters: Close within withinFraction of the 52-week (252-bar) low.
nearDate() - Method in class com.quantfinlib.fx.FxSwap
nearRate() - Method in class com.quantfinlib.fx.FxSwap
needsReprice(double) - Method in class com.quantfinlib.pricing.IncrementalGreeks: Whether spot has drifted beyond maxSpotDrift from the anchor — the signal for the slow path to IncrementalGreeks.reprice(com.quantfinlib.pricing.BlackScholes.OptionType, double, double, double, double, double, double).
negate() - Method in interface com.quantfinlib.screener.ScreenFilter
NelsonSiegel - Class in com.quantfinlib.rates: NELSON-SIEGEL yield-curve fit — the parametric answer to "what SHAPE is the curve", where YieldCurve is the exact-repricing answer to "what IS the curve".
NelsonSiegel.Fit - Record Class in com.quantfinlib.rates: Fitted parameters plus the fit's root-mean-square error.
netEconomics() - Method in class com.quantfinlib.crb.CrbPnlLedger: The desk's realized economics: captured spread minus hedging and routing costs.
netEquity() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Result: Returns the value of the netEquity record component.
netExposure() - Method in record class com.quantfinlib.crb.CentralRiskBook.CrbReport: Returns the value of the netExposure record component.
netExposures() - Method in class com.quantfinlib.crb.CentralRiskBook: Net exposures over all factors, indexed by registry id.
netExposures(List<FxHedger.FxExposure>) - Static method in class com.quantfinlib.hedging.FxHedger: Nets signed exposures per currency across the book.
netFlow() - Method in record class com.quantfinlib.regulatory.FixAnalyzer.FixImpactReport: Returns the value of the netFlow record component.
netMetrics() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Result: Returns the value of the netMetrics record component.
netNotional() - Method in class com.quantfinlib.execution.PortfolioExecutor: Signed net filled notional: buys − sells.
nettingEfficiency() - Method in record class com.quantfinlib.crb.CentralRiskBook.CrbReport: Returns the value of the nettingEfficiency record component.
nettingEfficiency() - Method in class com.quantfinlib.crb.CentralRiskBook: How much risk the netting destroyed before anyone hedged: 1 − Σ|net| / Σgross — 0 when every flow is one-way, → 1 when the desks' flows offset each other entirely.
neutral(double, double) - Static method in record class com.quantfinlib.execution.BenchmarkExecutor.MarketState: A neutral state: no spread/vol/alpha/impact, unlimited depth, VWAP=TWAP.
neutralize(double[], GreekHedger.Instrument[]) - Static method in class com.quantfinlib.hedging.GreekHedger: General case: solves per-instrument quantities so that the summed instrument Greeks exactly offset the portfolio Greeks.
NEW - Enum constant in enum class com.quantfinlib.trading.OrderStatus
NEW_ORDER_SINGLE - Static variable in class com.quantfinlib.fix.FixMessage
NEW_SEQ_NO - Static variable in class com.quantfinlib.fix.FixMessage
NewOrderSingle - Record Class in com.quantfinlib.fix: Typed view of a FIX NewOrderSingle (35=D).
NewOrderSingle(String, String, Side, long, char, double, char) - Constructor for record class com.quantfinlib.fix.NewOrderSingle: Creates an instance of a NewOrderSingle record class.
newRef() - Method in class com.quantfinlib.marketdata.ItchCodec.View: U only: the new order reference.
nextOutgoingSeq() - Method in class com.quantfinlib.fix.FileSessionStore
nextOutgoingSeq() - Method in class com.quantfinlib.fix.FixSessionStore.InMemory
nextOutgoingSeq() - Method in interface com.quantfinlib.fix.FixSessionStore: The next outgoing MsgSeqNum to use (1 for a fresh session).
nextSetAtOrAbove(long[], int) - Static method in class com.quantfinlib.orderbook.BookPrimitives: Lowest set bit at or above from, or -1.
nextSetAtOrBelow(long[], int) - Static method in class com.quantfinlib.orderbook.BookPrimitives: Highest set bit at or below from, or -1.
nextVariance(double[], Egarch11.Params) - Static method in class com.quantfinlib.volatility.Egarch11: One-step-ahead variance — EXACT (tomorrow's ln h is deterministic today).
NO_ASK - Static variable in class com.quantfinlib.marketdata.Nbbo
NO_BID - Static variable in class com.quantfinlib.marketdata.Nbbo
NONE - Enum constant in enum class com.quantfinlib.microstructure.CircuitBreakers.Halt
NONE - Enum constant in enum class com.quantfinlib.rates.BusinessCalendar.Roll: Leave the date as generated (for theoretical pricing).
NONE - Static variable in class com.quantfinlib.pricing.DividendSchedule: Empty schedule (no dividends): forwards collapse to the yield-free case.
NORMAL - Enum constant in enum class com.quantfinlib.microstructure.CircuitBreakers.LuldState: Trading normally inside the bands.
normalizedOfi(int) - Method in class com.quantfinlib.microstructure.SignalEngine: OFI as a fraction of decayed displayed depth, clamped to [-1, 1].
normalizedPrediction(double, double, double, double) - Method in class com.quantfinlib.microstructure.OnlineAlphaLearner: The prediction scaled by its own typical magnitude and clamped to [-1, 1] — the BenchmarkExecutor.MarketState.alpha-ready form.
normCdf(double) - Static method in class com.quantfinlib.util.MathUtils: Standard normal CDF (Abramowitz & Stegun 26.2.17, |error| < 7.5e-8).
normInv(double) - Static method in class com.quantfinlib.util.MathUtils: Inverse standard normal CDF (Acklam's approximation, |error| invalid input: '<' 1.15e-9).
normPdf(double) - Static method in class com.quantfinlib.util.MathUtils: Standard normal density.
not() - Method in interface com.quantfinlib.dsl.Rule
notional() - Method in record class com.quantfinlib.crb.CrbAutoHedger.HedgeOrder: Returns the value of the notional record component.
notional() - Method in record class com.quantfinlib.microstructure.Execution
notional() - Method in class com.quantfinlib.pricing.Autocallable
notional() - Method in record class com.quantfinlib.risk.CounterpartyExposureTracker.CounterpartyTrade: Returns the value of the notional record component.
noTouch(double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.TouchOption: Pays payout at expiry if the barrier never traded.
nu() - Method in record class com.quantfinlib.pricing.SabrModel.Params: Returns the value of the nu record component.
nullMean() - Method in record class com.quantfinlib.alpha.AlphaValidation.RobustnessResult: Returns the value of the nullMean record component.
nullStd() - Method in record class com.quantfinlib.alpha.AlphaValidation.RobustnessResult: Returns the value of the nullStd record component.

O

objective() - Method in record class com.quantfinlib.backtest.validation.GridSearchOptimizer.Candidate: Returns the value of the objective record component.
observations() - Method in record class com.quantfinlib.alpha.SignalEvaluator.Report: Returns the value of the observations record component.
observations() - Method in class com.quantfinlib.microstructure.KalmanBeta
observations() - Method in class com.quantfinlib.pricing.Autocallable
observations() - Method in record class com.quantfinlib.risk.VarBacktest.VarBacktestResult: Returns the value of the observations record component.
observedMeanIc() - Method in record class com.quantfinlib.alpha.AlphaValidation.RobustnessResult: Returns the value of the observedMeanIc record component.
obv(BarSeries) - Static method in class com.quantfinlib.indicators.Indicators: On-Balance Volume.
of(double[], double[]) - Static method in class com.quantfinlib.pricing.DividendSchedule
of(double, double[], double[]) - Static method in class com.quantfinlib.commodities.CommodityCurve
of(int) - Static method in enum class com.quantfinlib.risk.FrtbEs.TrafficLight
of(long, double) - Static method in record class com.quantfinlib.trading.HftQuoter.Config: Minimal config: size and half-spread, no skew, no conflation, no grid.
of(CurrencyPair, double, double, LocalDate, LocalDate) - Static method in class com.quantfinlib.fx.Ndf: Explicit dates (broken dates, historical bookings).
of(CurrencyPair, double, LocalDate, double, LocalDate, double) - Static method in class com.quantfinlib.fx.FxSwap: Explicit legs (off-market swaps, historical bookings).
of(CurrencyPair, LocalDate, String, double, double) - Static method in class com.quantfinlib.fx.Ndf: Books an NDF at a market tenor: settlement from the pair's tenor arithmetic, fixing walked back by the restricted (quote) currency's lag counted in local (quote-calendar) business days — the market convention: an RBI/KFTC/PTAX fixing publishes on its local business days regardless of USD holidays.
of(Side, long, BenchmarkExecutor.Benchmark) - Static method in class com.quantfinlib.execution.BenchmarkExecutor: Sensible defaults: alpha urgency 1 (a full-scale normalized alpha of ±1 doubles/halves the pace — smooth, never rail-pinned), child capped at 25% of displayed depth.
of(String) - Static method in class com.quantfinlib.fx.CurrencyPair: Standard conventions for a 6-letter pair code ("EURUSD", "USDJPY", ...), weekends-only calendars.
of(String, double[]) - Static method in class com.quantfinlib.core.BarSeries: Builds a series from close prices only (open = high = low = close).
of(String, String) - Static method in class com.quantfinlib.fx.CurrencyPair: Standard conventions for an explicit base/quote, weekends-only calendars.
of(Map<String, BarSeries>) - Static method in class com.quantfinlib.alpha.AlphaContext: Panel without fundamentals (technical factors only).
of(Map<String, BarSeries>, Map<String, Fundamentals>) - Static method in class com.quantfinlib.alpha.AlphaContext: Panel with a fundamentals snapshot for value/quality factors.
offer(E) - Method in class com.quantfinlib.marketdata.RingBuffer: Producer side.
offset() - Method in class com.quantfinlib.fix.FixOrderEncoder: Start offset of the last message within FixOrderEncoder.buffer().
offsetMillis() - Method in record class com.quantfinlib.execution.Slice: Returns the value of the offsetMillis record component.
ofi() - Method in class com.quantfinlib.microstructure.FlowSignals: Time-decayed net order-flow imbalance in shares (+ = buying pressure).
ofi(int) - Method in class com.quantfinlib.microstructure.SignalEngine: Time-decayed net order-flow imbalance, in size units (+ = buying pressure).
ofi(long) - Method in class com.quantfinlib.microstructure.FlowSignals: Decay-adjusted OFI as of nowNanos without adding an event.
ofPillars(double[], double[], double, double, double) - Static method in class com.quantfinlib.pricing.VannaVolga: Builds directly from a solved fx.FxVolSurface pillar (25Δ set).
ofZeroRates(double[], double[]) - Static method in class com.quantfinlib.rates.YieldCurve: Curve from parallel arrays of tenors (years) and continuous zero rates.
OK - Static variable in class com.quantfinlib.trading.HftRiskGate
omega() - Method in record class com.quantfinlib.volatility.Egarch11.Params: Returns the value of the omega record component.
omega() - Method in record class com.quantfinlib.volatility.Garch11.Params: Returns the value of the omega record component.
omega() - Method in record class com.quantfinlib.volatility.GjrGarch11.Params: Returns the value of the omega record component.
onAdd(long, Side, long, int) - Method in class com.quantfinlib.marketdata.L3BookBuilder: Add order: appends to its level's FIFO.
onAuction(RfqAuction) - Method in class com.quantfinlib.rfq.RfqDealerScorecard: Records a finished auction: every dealer on the panel is scored (quoted or declined), quoters add response time and — when the auction carried a fair-value anchor — spread to fair.
onAuctionResult(long, long) - Method in class com.quantfinlib.microstructure.ClosingAuctionModel: Closes the day: folds the realized auction share of total volume into the learned baseline (first session seeds) and resets today's imbalance state.
onBar(int) - Method in class com.quantfinlib.backtest.strategies.BollingerBandsStrategy
onBar(int) - Method in class com.quantfinlib.backtest.strategies.EmaCrossStrategy
onBar(int) - Method in class com.quantfinlib.backtest.strategies.MacdStrategy
onBar(int) - Method in class com.quantfinlib.backtest.strategies.RsiStrategy
onBar(int) - Method in class com.quantfinlib.backtest.strategies.SmaCrossStrategy
onBar(int) - Method in interface com.quantfinlib.backtest.TradingStrategy
onBar(int) - Method in class com.quantfinlib.dsl.StrategyBuilder.DslStrategy
onCancel(long, long) - Method in class com.quantfinlib.marketdata.L3BookBuilder: Partial cancel: reduces a resting order in place (keeps its priority).
onDarkProbe(int, long) - Method in class com.quantfinlib.execution.VenueScorecard: A dark probe's outcome: how many shares it actually found (0 is a real observation — an empty pool teaches as much as a full one).
onDecision(InternalizationEngine.Decision, double) - Method in class com.quantfinlib.crb.CrbPnlLedger: Convenience: books a whole InternalizationEngine.Decision.
onDecline(double, int) - Method in class com.quantfinlib.microstructure.CircuitBreakers.MarketWide
onDelete(long) - Method in class com.quantfinlib.marketdata.L3BookBuilder: Full removal of a resting order.
onDisconnect(String) - Method in interface com.quantfinlib.fix.FixSession.Listener
onDisplayed(int, long) - Method in class com.quantfinlib.microstructure.HiddenLiquidityDetector: The displayed size now standing at level.
oneTouch(double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.TouchOption: Pays payout at expiry if the barrier traded at any point.
onEvent(long) - Method in class com.quantfinlib.microstructure.HawkesIntensity: One event arrival.
onEvent(MarketDataEvent) - Method in interface com.quantfinlib.marketdata.MarketDataListener
onExecute(long, long) - Method in class com.quantfinlib.marketdata.L3BookBuilder: Execution against a resting order (always the queue head under price-time priority — which is what makes O(1) queue tracking sound).
onExecuted(long) - Method in class com.quantfinlib.execution.PovTracker: Our own child fill (do not also feed it to PovTracker.onMarketVolume(long)).
onExecution(int, long) - Method in class com.quantfinlib.microstructure.HiddenLiquidityDetector: One trade print of qty at level, compared against the size displayed at that moment.
onExecutionReport(FixSession, ExecutionReport) - Method in interface com.quantfinlib.fix.FixSession.Listener
onFill(int, boolean, double, double, long) - Method in class com.quantfinlib.fx.LpScorecard: An accepted fill.
onFill(int, long) - Method in class com.quantfinlib.execution.VenueScorecard: A marketable child filled (fully or partially counts as a fill).
onFill(int, long, boolean, double, long) - Method in class com.quantfinlib.execution.VenueScorecard: A fill WITH the context that arms its markout: direction, the mid at fill time, and the fill timestamp.
onFill(int, long, double) - Method in class com.quantfinlib.execution.PortfolioExecutor: A fill for one child: forwards to its executor and maintains the net ledger.
onFill(int, Side, long) - Method in class com.quantfinlib.trading.HftRiskGate: Applies a fill to the position book — callable from the venue-ack thread (atomic add: concurrent fill sources cannot lose updates).
onFill(long) - Method in class com.quantfinlib.execution.BenchmarkExecutor: Our own child fill.
onFill(long) - Method in class com.quantfinlib.execution.IcebergOrder: Records a fill against the visible tranche.
onFill(long) - Method in class com.quantfinlib.execution.LiquiditySeekingAlgo: Our own child fill.
onFill(long, String, Side, double, long, long) - Method in interface com.quantfinlib.trading.OrderGateway.ExecutionListener
onHedge(double, double) - Method in class com.quantfinlib.crb.CrbPnlLedger: Records a hedge execution's all-in cost.
onHedgeFill(long) - Method in class com.quantfinlib.execution.SpreadExecutionAlgo: Hedge-leg fill.
onImbalance(long, boolean, long, double, double) - Method in class com.quantfinlib.microstructure.ClosingAuctionModel: An imbalance dissemination tick (see the class input contract).
onInternalized(double, double, double) - Method in class com.quantfinlib.crb.CrbPnlLedger: Records one internalization decision's economics.
onLeadFill(long) - Method in class com.quantfinlib.execution.SpreadExecutionAlgo: Lead-leg fill.
onLevelCleared(int) - Method in class com.quantfinlib.microstructure.HiddenLiquidityDetector: The level fully cleared (best moved away / all pulled).
onLevelResize(long) - Method in class com.quantfinlib.microstructure.QueuePositionEstimator: The level's displayed size changed to newLevelSize for a reason other than a trade — i.e. cancels (net of any adds behind us).
OnlineAlphaLearner - Class in com.quantfinlib.microstructure: Online alpha-weight learning: upgrades SignalEngine.alpha(int)'s fixed composite weights to weights learned from realized returns — an online ridge regression (SGD with L2 shrinkage) from the four dimensionless signal ingredients (queue imbalance, trade imbalance, normalized OFI, momentum-Z) to the next-interval return.
OnlineAlphaLearner() - Constructor for class com.quantfinlib.microstructure.OnlineAlphaLearner: lr 0.01, ridge 1e-4, IC memory ~200 samples.
OnlineAlphaLearner(double, double, double) - Constructor for class com.quantfinlib.microstructure.OnlineAlphaLearner
onLogon(FixSession) - Method in interface com.quantfinlib.fix.FixSession.Listener
onLogout(FixSession) - Method in interface com.quantfinlib.fix.FixSession.Listener
onMarketVolume(long) - Method in class com.quantfinlib.execution.BenchmarkExecutor: A market print that was NOT our fill (drives VWAP/POV realized volume).
onMarketVolume(long) - Method in class com.quantfinlib.execution.PovTracker: A market trade print that was NOT our fill.
onMessage(byte[], int) - Method in class com.quantfinlib.marketdata.L3BookBuilder: Applies one wire message starting at offset.
onMessage(FixSession, FixMessage) - Method in interface com.quantfinlib.fix.FixSession.Listener: Heartbeats, test requests and any unrecognized message types.
onMid(double, long) - Method in class com.quantfinlib.execution.VenueScorecard: Mid update FOR THE CARD'S ONE SYMBOL (see the class doc): matures every pending fill markout whose horizon has elapsed.
onMid(double, long) - Method in class com.quantfinlib.fx.LpScorecard: Composite mid update: matures every pending reject markout whose horizon has elapsed.
onMiss(int, long) - Method in class com.quantfinlib.execution.VenueScorecard: A marketable child that came back unfilled (faded, rejected, expired).
onNbbo(double, double, long) - Method in class com.quantfinlib.microstructure.CircuitBreakers.Luld: NBBO update; returns the state after applying it.
onNbbo(int, long, int, long, long) - Method in interface com.quantfinlib.marketdata.Nbbo.Listener
onNewOrderSingle(FixSession, NewOrderSingle) - Method in interface com.quantfinlib.fix.FixSession.Listener
onObservation(double[], double) - Method in class com.quantfinlib.microstructure.AlphaEnsemble: One interval: the current component values and the return realized since the previous call.
onObservation(double, double) - Method in class com.quantfinlib.microstructure.KalmanBeta: One observation pair: y ≈ α + β·x.
onOrder(long, int, Side, long, double, long) - Method in class com.quantfinlib.sbe.BinaryOrderPublisher
onOrder(long, int, Side, long, double, long) - Method in interface com.quantfinlib.trading.OrderListener
onOrderCancelReplace(FixSession, OrderCancelReplaceRequest) - Method in interface com.quantfinlib.fix.FixSession.Listener
onOrderCancelRequest(FixSession, OrderCancelRequest) - Method in interface com.quantfinlib.fix.FixSession.Listener
onParentOrder(Side, long, int) - Method in interface com.quantfinlib.backtest.ExecutionModel: Notification that a new parent order has been created (entry or exit).
onParentOrder(Side, long, int) - Method in class com.quantfinlib.backtest.IcebergExecution
onParentOrder(Side, long, int) - Method in class com.quantfinlib.backtest.LastLookExecution
onQuote(double, double) - Method in class com.quantfinlib.execution.DarkPoolSimulator: Update the lit reference mid.
onQuote(double, double) - Method in class com.quantfinlib.execution.MidPegTracker: Feed a top-of-book update.
onQuote(double, double) - Method in class com.quantfinlib.microstructure.TradeClassifier: The current inside quote (NaN sides are treated as absent).
onQuote(double, double, double, double, long) - Method in class com.quantfinlib.pricing.FairValueEngine: Feed a top-of-book update.
onQuote(double, long, double, long, long) - Method in class com.quantfinlib.microstructure.FlowSignals: Inside-quote update on raw double prices — the cross-asset entry point (FX rates, or anything not tick-gridded).
onQuote(int, double, double, double, double) - Method in class com.quantfinlib.fx.AggregatedBook: A venue's fresh two-sided quote (NaN on a side pulls that side).
onQuote(int, double, long) - Method in class com.quantfinlib.rfq.RfqAuction: A dealer's quote.
onQuote(int, double, long, double, long, long) - Method in class com.quantfinlib.microstructure.SignalEngine: Top-of-book update.
onQuote(int, long, int, long, long) - Method in class com.quantfinlib.microstructure.FlowSignals: Inside-quote update (ticks + sizes).
onQuote(String, double, double) - Method in class com.quantfinlib.trading.PaperTradingGateway: Updates the top of book and fills any resting limit orders that now cross.
onReject(int, boolean, double, long, long) - Method in class com.quantfinlib.fx.LpScorecard: A last-look reject.
onReject(FixSession, long, String) - Method in interface com.quantfinlib.fix.FixSession.Listener: Session-level Reject (35=3) received from the peer.
onReplace(long, long, long, int) - Method in class com.quantfinlib.marketdata.L3BookBuilder: Cancel/replace: the original order is removed and the new reference joins the back of the (possibly different) level's queue — priority is lost, exactly as on a real venue.
onResendServed(long, long) - Method in interface com.quantfinlib.fix.FixSession.Listener: This session serviced a peer's ResendRequest for [beginSeqNo, endSeqNo].
onReturn(double, long) - Method in class com.quantfinlib.microstructure.JumpRobustVolatility: One return observation: the relative mid change over the elapsed dtNanos.
onReturns(double[]) - Method in class com.quantfinlib.microstructure.EwmaCovariance: One sampling interval: every symbol's return over the interval that just closed (0 for a symbol that did not move — that IS its return).
onRolled(long) - Method in class com.quantfinlib.execution.FuturesRollAlgo: Records rolled contracts (calendar-spread fills).
onRoute(double, CrbRouter.Allocation) - Method in class com.quantfinlib.crb.CrbPnlLedger: Records a router allocation's blended expected cost.
onSample(double, double) - Method in class com.quantfinlib.microstructure.KylesLambda: One aggregation window: the mid change over the window and the signed volume traded in it (+ = buyer-initiated).
onSample(double, double) - Method in class com.quantfinlib.microstructure.LeadLagEstimator: One sampling interval: the leader's and follower's returns over the interval that just closed.
onSequenceGap(long, long) - Method in interface com.quantfinlib.fix.FixSession.Listener
onSpread(int, double, long) - Method in class com.quantfinlib.microstructure.SpreadForecaster: Observed spread at bucket.
onSymbol(int, String) - Method in class com.quantfinlib.backtest.tick.TickBacktester
onSymbol(int, String) - Method in interface com.quantfinlib.data.TickFileReader.ReplayHandler
onTick(double) - Method in class com.quantfinlib.pricing.IncrementalGreeks: The hot path: delta-gamma update from the anchor.
onTick(int, double, double, long) - Method in class com.quantfinlib.backtest.tick.TickBacktester
onTick(int, double, double, long) - Method in interface com.quantfinlib.backtest.tick.TickStrategy
onTick(int, double, double, long) - Method in class com.quantfinlib.data.AsyncTickCapture: The hot path: one ring publish; a full ring drops (counted), never blocks.
onTick(int, double, double, long) - Method in class com.quantfinlib.data.TickCapture
onTick(int, double, double, long) - Method in interface com.quantfinlib.data.TickFileReader.ReplayHandler
onTick(int, double, double, long) - Method in interface com.quantfinlib.marketdata.TickListener
onTick(int, double, double, long) - Method in class com.quantfinlib.trading.AutoHedger: The hot path: band check per tick; an order only on breach.
onTick(int, double, double, long) - Method in class com.quantfinlib.trading.HftQuoter: The hot path: one tick → (possibly) one two-sided quote.
onTrade(boolean, long, long) - Method in class com.quantfinlib.microstructure.FlowSignals: Trade print with aggressor side: buyAggressor true when the buyer crossed the spread (trade at/above ask under Lee-Ready).
onTrade(int) - Method in class com.quantfinlib.marketdata.L3BookBuilder: Off-book/non-displayed trade print: records it, book unchanged.
onTrade(int, boolean, long, long) - Method in class com.quantfinlib.microstructure.SignalEngine: Trade print with aggressor side (Lee-Ready if the venue doesn't say).
onTrade(long) - Method in class com.quantfinlib.microstructure.QueuePositionEstimator: A trade executed at our level: it consumed tradedQty from the front, so shares-ahead drops by that much (clamped at 0 — once the front reaches us we start filling).
onTrade(long, boolean) - Method in class com.quantfinlib.microstructure.Vpin: One classified trade.
onTrade(long, long, double, long, long) - Method in interface com.quantfinlib.orderbook.OrderBook.TradeListener
onTrade(long, long, int, long, long) - Method in interface com.quantfinlib.orderbook.HftOrderBook.TradeSink
onVenueDown(int, long) - Method in class com.quantfinlib.marketdata.Nbbo: Removes a venue's quotes (feed loss / venue halt).
onVenueQuote(int, int, long, int, long, long) - Method in class com.quantfinlib.marketdata.Nbbo: One venue's new top of book.
onVol(int, double) - Method in class com.quantfinlib.microstructure.VolatilityCurve: An observed volatility reading for bucket (e.g.
onVolume(int, long) - Method in class com.quantfinlib.microstructure.VolumeCurve: Market volume observed in bucket (call as prints arrive).
open() - Method in record class com.quantfinlib.core.Bar: Returns the value of the open record component.
open(int) - Method in class com.quantfinlib.core.BarSeries
OPENING_PRICE - Enum constant in enum class com.quantfinlib.execution.BenchmarkExecutor.Benchmark: Track the opening price: aggressively front-loaded at the open.
openQuantity(long) - Method in class com.quantfinlib.marketdata.L3BookBuilder: Open shares of any resting order by ref; 0 when gone/unknown.
openQuantity(long) - Method in class com.quantfinlib.orderbook.HftOrderBook: Open (unfilled, uncancelled) quantity of an order; 0 when gone.
opens() - Method in class com.quantfinlib.core.BarSeries
opposite() - Method in enum class com.quantfinlib.orderbook.Side
optimalHalfSpread(double, double) - Method in class com.quantfinlib.trading.AvellanedaStoikov: Half of the optimal total spread: (γ·σ²·τ)/2 + (1/γ)·ln(1 + γ/κ).
optimalHedgeRatio(double[], double[]) - Static method in class com.quantfinlib.hedging.FxHedger: Variance-minimizing hedge ratio for a foreign asset held by a base-currency investor: h* = cov(unhedged, fx) / var(fx). 1 = full hedge is optimal; below 1 when the asset and the currency are negatively correlated (the currency already diversifies).
optimalTrajectory(AlmgrenChriss.Params) - Static method in class com.quantfinlib.microstructure.AlmgrenChriss
OptionPosition(String, BlackScholes.OptionType, double, double, double, double) - Constructor for record class com.quantfinlib.hedging.OptionsBook.OptionPosition: Creates an instance of a OptionPosition record class.
OptionsBook - Class in com.quantfinlib.hedging: An options book on one underlying: aggregate Greeks across positions, spot×vol scenario grids, and delta-gamma-vega-theta Pinvalid input: '&L' explain — the risk view a desk runs, not a single option.
OptionsBook(double, double, double) - Constructor for class com.quantfinlib.hedging.OptionsBook
OptionsBook.BookGreeks - Record Class in com.quantfinlib.hedging: Aggregated book value and Greeks.
OptionsBook.OptionPosition - Record Class in com.quantfinlib.hedging: One option position; quantity in option units (contract multiplier applied by caller).
OptionsBook.PnlExplain - Record Class in com.quantfinlib.hedging: First/second-order attribution of a Pinvalid input: '&L' move.
or(Rule) - Method in interface com.quantfinlib.dsl.Rule
or(ScreenFilter) - Method in interface com.quantfinlib.screener.ScreenFilter
ORD_STATUS - Static variable in class com.quantfinlib.fix.FixMessage
ORD_STATUS_CANCELED - Static variable in record class com.quantfinlib.fix.ExecutionReport
ORD_STATUS_FILLED - Static variable in record class com.quantfinlib.fix.ExecutionReport
ORD_STATUS_NEW - Static variable in record class com.quantfinlib.fix.ExecutionReport
ORD_STATUS_PARTIALLY_FILLED - Static variable in record class com.quantfinlib.fix.ExecutionReport
ORD_STATUS_REJECTED - Static variable in record class com.quantfinlib.fix.ExecutionReport
ORD_STATUS_REPLACED - Static variable in record class com.quantfinlib.fix.ExecutionReport
ORD_TYPE - Static variable in class com.quantfinlib.fix.FixMessage
ORD_TYPE_LIMIT - Static variable in record class com.quantfinlib.fix.NewOrderSingle
ORD_TYPE_MARKET - Static variable in record class com.quantfinlib.fix.NewOrderSingle
order(long) - Method in class com.quantfinlib.orderbook.OrderBook
ORDER_CANCEL_REPLACE_REQUEST - Static variable in class com.quantfinlib.fix.FixMessage
ORDER_CANCEL_REQUEST - Static variable in class com.quantfinlib.fix.FixMessage
ORDER_ID - Static variable in class com.quantfinlib.fix.FixMessage
ORDER_QTY - Static variable in class com.quantfinlib.fix.FixMessage
OrderBook - Class in com.quantfinlib.orderbook: Price-time-priority limit order book with continuous matching.
OrderBook(String) - Constructor for class com.quantfinlib.orderbook.OrderBook
OrderBook.TradeListener - Interface in com.quantfinlib.orderbook: Fill callback: maker is the resting order, taker the incoming one.
OrderCancelReplaceRequest - Record Class in com.quantfinlib.fix: Typed view of a FIX OrderCancelReplaceRequest (35=G) — amend a working order's quantity and/or price.
OrderCancelReplaceRequest(String, String, String, Side, long, char, double, char) - Constructor for record class com.quantfinlib.fix.OrderCancelReplaceRequest: Creates an instance of a OrderCancelReplaceRequest record class.
OrderCancelRequest - Record Class in com.quantfinlib.fix: Typed view of a FIX OrderCancelRequest (35=F).
OrderCancelRequest(String, String, String, Side, long) - Constructor for record class com.quantfinlib.fix.OrderCancelRequest: Creates an instance of a OrderCancelRequest record class.
orderCount() - Method in class com.quantfinlib.orderbook.HftOrderBook
orderCount() - Method in class com.quantfinlib.orderbook.OrderBook
OrderFlyweight - Class in com.quantfinlib.sbe: SBE-style flyweight codec for an order-entry message — the binary counterpart of a FIX NewOrderSingle, at fixed offsets with zero allocation and zero parsing (see TradeFlyweight for the pattern).
OrderFlyweight() - Constructor for class com.quantfinlib.sbe.OrderFlyweight
OrderGateway - Interface in com.quantfinlib.trading: Order entry abstraction — the seam between strategy code and the venue.
OrderGateway.ExecutionListener - Interface in com.quantfinlib.trading
orderId() - Method in record class com.quantfinlib.fix.ExecutionReport: Returns the value of the orderId record component.
orderId() - Method in record class com.quantfinlib.regulatory.BestExecutionAnalyzer.OrderOutcome: Returns the value of the orderId record component.
orderId() - Method in class com.quantfinlib.sbe.OrderFlyweight
OrderListener - Interface in com.quantfinlib.trading: All-primitive order callback on the venue side of the fast lane: no order object, no boxing, no allocation.
OrderOutcome(String, String, Side, long, double, double, long, boolean) - Constructor for record class com.quantfinlib.regulatory.BestExecutionAnalyzer.OrderOutcome: Creates an instance of a OrderOutcome record class.
OrderPlacementPolicy - Class in com.quantfinlib.execution: The post-or-cross decision — the smallest and most repeated choice in execution, made explicit as expected-cost arithmetic instead of habit.
OrderPlacementPolicy.Placement - Record Class in com.quantfinlib.execution: The decision plus the arithmetic that made it.
OrderPlacementPolicy.PostRegion - Record Class in com.quantfinlib.execution: The fill-probability REGION where posting beats crossing.
orderRef() - Method in class com.quantfinlib.marketdata.ItchCodec.View: Order reference (A/F/E/X/D/P, and the original ref of U via ItchCodec.View.origRef()).
OrderRequest(String, Side, long, double, String) - Constructor for record class com.quantfinlib.risk.PreTradeLimitChecker.OrderRequest: Creates an instance of a OrderRequest record class.
OrderRingBuffer - Class in com.quantfinlib.trading: Zero-allocation single-producer / single-consumer ring buffer for order messages — the order-entry mirror of the market-data TickRingBuffer: preallocated primitive slots, cache-line-padded sequences, acquire/release publication, and producer/consumer sequence caching.
OrderRingBuffer(int) - Constructor for class com.quantfinlib.trading.OrderRingBuffer
ordersReceived() - Method in class com.quantfinlib.sbe.BinaryOrderReceiver
ordersSent() - Method in class com.quantfinlib.sbe.BinaryOrderPublisher
OrderStatus - Enum Class in com.quantfinlib.trading: Lifecycle state of a gateway order.
OrderThrottle - Class in com.quantfinlib.trading: Order-rate throttle: a nanosecond token bucket for exchange message-rate limits (every real venue enforces one; exceeding it earns disconnects or fines, so the gateway must self-limit).
OrderThrottle(double, int) - Constructor for class com.quantfinlib.trading.OrderThrottle
orderToTradeRatio() - Method in class com.quantfinlib.orderbook.OrderBook: Order-to-trade ratio: messages (orders + cancels) per trade.
orderToTradeRatio(long, long) - Static method in class com.quantfinlib.regulatory.MarketQualityMetrics: Messages (orders + cancels + replaces) per executed trade.
ordStatus() - Method in record class com.quantfinlib.fix.ExecutionReport: Returns the value of the ordStatus record component.
ordStatus() - Method in class com.quantfinlib.fix.FixExecReportView: Tag 39 as its ASCII byte.
ordType() - Method in record class com.quantfinlib.fix.NewOrderSingle: Returns the value of the ordType record component.
ordType() - Method in record class com.quantfinlib.fix.OrderCancelReplaceRequest: Returns the value of the ordType record component.
ORIG_CL_ORD_ID - Static variable in class com.quantfinlib.fix.FixMessage
ORIG_SENDING_TIME - Static variable in class com.quantfinlib.fix.FixMessage
origClOrdId() - Method in record class com.quantfinlib.fix.OrderCancelReplaceRequest: Returns the value of the origClOrdId record component.
origClOrdId() - Method in record class com.quantfinlib.fix.OrderCancelRequest: Returns the value of the origClOrdId record component.
origRef() - Method in class com.quantfinlib.marketdata.ItchCodec.View: U only: the replaced (original) order reference.
OrnsteinUhlenbeck - Class in com.quantfinlib.microstructure: Ornstein-Uhlenbeck estimation — the mean-reversion engine under every pairs trade and basis position: dx = κ(θ − x)dt + σ dW.
OrnsteinUhlenbeck.Params - Record Class in com.quantfinlib.microstructure
outOfBandCount() - Method in class com.quantfinlib.marketdata.L3BookBuilder: Orders dropped for off-band prices or an exhausted pool — adds AND replace re-adds (widen the band/pool; off-band liquidity is invisible to this book by design, and its later events count as unknown refs).
outOfSampleEquity() - Method in record class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.WalkForwardResult: Returns the value of the outOfSampleEquity record component.
outOfSampleIc() - Method in record class com.quantfinlib.alpha.AlphaValidation.Fold: Returns the value of the outOfSampleIc record component.
outOfSampleIC() - Method in class com.quantfinlib.microstructure.OnlineAlphaLearner: The prequential (out-of-sample) information coefficient: time-decayed correlation between the predictions made BEFORE each outcome and the outcomes themselves.
outOfSampleMetrics() - Method in record class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.WalkForwardResult: Returns the value of the outOfSampleMetrics record component.
outOfSampleObjective() - Method in record class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.Fold: Returns the value of the outOfSampleObjective record component.
outOfSampleTrades() - Method in record class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.WalkForwardResult: Returns the value of the outOfSampleTrades record component.
outright(String) - Method in class com.quantfinlib.fx.SwapPointsCurve: Outright forward for a market tenor of this curve's pair.
outright(LocalDate) - Method in class com.quantfinlib.fx.SwapPointsCurve: Outright forward: spot plus interpolated points.
outsideCount() - Method in record class com.quantfinlib.alpha.CalendarAnomalies.TurnOfMonth: Returns the value of the outsideCount record component.
outsideMean() - Method in record class com.quantfinlib.alpha.CalendarAnomalies.TurnOfMonth: Returns the value of the outsideMean record component.
OverfitProbability - Class in com.quantfinlib.backtest.validation: PROBABILITY OF BACKTEST OVERFITTING via combinatorially symmetric cross-validation — CSCV (Bailey, Borwein, Lopez de Prado & Zhu 2015, "The probability of backtest overfitting").
OverfitProbability.Result - Record Class in com.quantfinlib.backtest.validation
ownQty() - Method in class com.quantfinlib.microstructure.QueuePositionEstimator

P

p95MaxDrawdown() - Method in record class com.quantfinlib.backtest.validation.MonteCarloTradeShuffle.Result: Returns the value of the p95MaxDrawdown record component.
p99MaxDrawdown() - Method in record class com.quantfinlib.backtest.validation.MonteCarloTradeShuffle.Result: Returns the value of the p99MaxDrawdown record component.
packStock(String) - Static method in class com.quantfinlib.marketdata.ItchCodec: Packs up to 8 ASCII chars into a big-endian long, space-padded (ITCH alpha style).
pair() - Method in class com.quantfinlib.fx.FxSwap
pair() - Method in class com.quantfinlib.fx.Ndf
pair() - Method in class com.quantfinlib.fx.SwapPointsCurve
PairsAnalysis(double, double, double, double, double, double[]) - Constructor for record class com.quantfinlib.hedging.PairsHedger.PairsAnalysis: Creates an instance of a PairsAnalysis record class.
PairsHedger - Class in com.quantfinlib.hedging: Statistical (pairs) hedging: regresses one price series on another to get the hedge ratio, builds the spread, and characterizes its mean reversion — z-score for entry/exit signals and half-life (from an AR(1) fit of spread changes on spread levels) for expected holding time.
PairsHedger.PairsAnalysis - Record Class in com.quantfinlib.hedging
pairSort(double[], int[]) - Static method in class com.quantfinlib.util.MathUtils: Sorts keys ascending while permuting values identically — the primitive replacement for boxing an Integer[] index array through a comparator sort (no allocation beyond the caller's arrays, no boxed compares).
PaperTradingGateway - Class in com.quantfinlib.trading: Quote-driven paper trading venue: closes the research-to-production loop by running real strategy + risk-gate code against simulated fills.
PaperTradingGateway(double) - Constructor for class com.quantfinlib.trading.PaperTradingGateway
PaperTradingGateway(double, double, PreTradeLimitChecker) - Constructor for class com.quantfinlib.trading.PaperTradingGateway
PaperTradingGateway.AccountSnapshot - Record Class in com.quantfinlib.trading: One internally consistent view of the whole account (single lock acquisition).
parabolicSar(BarSeries, double, double, double) - Static method in class com.quantfinlib.indicators.Indicators: Parabolic SAR (standard Wilder acceleration schedule).
parallelDv01(double, double, int, double, YieldCurve) - Static method in class com.quantfinlib.rates.KeyRateDurations: The parallel DV01 off the curve (every node bumped together) — the number the key-rate slices must add back up to, within the curve-interpolation tolerance the tests document.
ParameterGrid - Class in com.quantfinlib.backtest.validation: A named parameter grid for strategy optimization; ParameterGrid.combinations() enumerates the cartesian product in deterministic order.
ParameterGrid() - Constructor for class com.quantfinlib.backtest.validation.ParameterGrid
parameterSensitivity(AlphaContext, List<AlphaFactor>, int, int) - Static method in class com.quantfinlib.alpha.AlphaValidation: Evaluates each candidate (an ORDERED parameter sweep — neighbors in the list must be neighbors in parameter space) and reports the worst IC drop between adjacent candidates.
parametricVar(double[], double) - Static method in class com.quantfinlib.risk.RiskMetrics: Parametric (Gaussian) VaR at the given confidence level.
parametricVaR() - Method in record class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport: Returns the value of the parametricVaR record component.
params() - Method in record class com.quantfinlib.backtest.validation.GridSearchOptimizer.Candidate: Returns the value of the params record component.
Params(double, double, double, double) - Constructor for record class com.quantfinlib.microstructure.OrnsteinUhlenbeck.Params: Creates an instance of a Params record class.
Params(double, double, double, double) - Constructor for record class com.quantfinlib.volatility.Garch11.Params: Creates an instance of a Params record class.
Params(double, double, double, double) - Constructor for record class com.quantfinlib.volatility.HarRv.Params: Creates an instance of a Params record class.
Params(double, double, double, double, double) - Constructor for record class com.quantfinlib.pricing.Heston.Params: Creates an instance of a Params record class.
Params(double, double, double, double, double) - Constructor for record class com.quantfinlib.pricing.SabrModel.Params: Creates an instance of a Params record class.
Params(double, double, double, double, double) - Constructor for record class com.quantfinlib.volatility.Egarch11.Params: Creates an instance of a Params record class.
Params(double, double, double, double, double) - Constructor for record class com.quantfinlib.volatility.GjrGarch11.Params: Creates an instance of a Params record class.
Params(double, double, int, double, double, double, double) - Constructor for record class com.quantfinlib.microstructure.AlmgrenChriss.Params: Creates an instance of a Params record class.
ParentOrder - Record Class in com.quantfinlib.backtest: One parent order worked by the ExecutionAwareBacktester: the signal that created it, the arrival price (close at signal time — the TCA benchmark), and the child fills with the bar index each filled on.
ParentOrder(Side, int, double, String, List<Execution>, int[]) - Constructor for record class com.quantfinlib.backtest.ParentOrder: Creates an instance of a ParentOrder record class.
parentOrders() - Method in class com.quantfinlib.backtest.ExecutionAwareResult
parentQty() - Method in class com.quantfinlib.execution.BenchmarkExecutor
parkinson(double[], double[], double) - Static method in class com.quantfinlib.volatility.RangeVolatility: Parkinson estimator from highs/lows, annualized.
parkinson(BarSeries, double) - Static method in class com.quantfinlib.volatility.RangeVolatility: Parkinson over a whole BarSeries.
parRate(YieldCurve, int) - Static method in class com.quantfinlib.rates.SwapPricer: The spot-starting par swap rate for tenorYears.
parse(byte[]) - Static method in class com.quantfinlib.fix.FixMessage: Parses and validates one complete framed message.
parse(List<String>) - Static method in class com.quantfinlib.data.UniverseCsvLoader: Parses in-memory lines — same format, no file required (tests, HTTP).
parse(List<String>, String) - Static method in class com.quantfinlib.data.CsvBarLoader
parseTrade(String) - Method in class com.quantfinlib.feed.BinanceTradeParser
parseTrade(String) - Method in interface com.quantfinlib.feed.FeedParser
parSpread(CreditCurve, YieldCurve, double) - Static method in class com.quantfinlib.credit.CdsPricer: The zero-upfront (par) spread for this maturity.
PARTIALLY_FILLED - Enum constant in enum class com.quantfinlib.trading.OrderStatus
PARTICIPATION - Enum constant in enum class com.quantfinlib.execution.BenchmarkExecutor.Benchmark: Percentage-of-volume: a fixed share of realized volume (time-agnostic).
participationCap() - Method in record class com.quantfinlib.backtest.ExecutionAlgoBacktester.Config: Returns the value of the participationCap record component.
participationFor(double, double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.StructuredNotes: The participation rate a given ISSUE PRICE affords: (issuePrice - protection * par * DF) / ((par/S0) * call).
participationRate(double, double) - Static method in class com.quantfinlib.fx.FixingRisk: Order size as a fraction of expected window volume — above ~20% the order moves the fix it is trying to match, and impact (not tracking noise) dominates.
participationShare() - Method in record class com.quantfinlib.regulatory.FixAnalyzer.FixImpactReport: Returns the value of the participationShare record component.
passes(double) - Method in record class com.quantfinlib.risk.VarBacktest.VarBacktestResult: Joint test: right rate AND independent.
passiveFillProbability(double, double, double, double, long, long, double) - Static method in class com.quantfinlib.microstructure.FillProbabilityModel: Probability a passive order distance from the current price fills within the horizon: touch × queue-clear (independence approximation, mildly conservative — see the class doc).
passiveFillProbability(long, long, double) - Static method in class com.quantfinlib.execution.AdaptiveSor: Fill probability for a PASSIVE child joining a queue with qtyAhead ahead of it — the queue-position leg of the routing checklist, delegated to QueueModel.
password() - Method in record class com.quantfinlib.fix.FixSession.Config: Returns the value of the password record component.
PASSWORD - Static variable in class com.quantfinlib.fix.FixMessage
paths() - Method in class com.quantfinlib.hedging.HedgingErrorDistribution
pauseCount() - Method in class com.quantfinlib.microstructure.CircuitBreakers.Luld
PAUSED - Enum constant in enum class com.quantfinlib.microstructure.CircuitBreakers.LuldState: In the 5-minute trading pause.
payAmount() - Method in record class com.quantfinlib.risk.SettlementRiskAnalyzer.SettlementLeg: Returns the value of the payAmount record component.
payCurrency() - Method in record class com.quantfinlib.risk.SettlementRiskAnalyzer.SettlementLeg: Returns the value of the payCurrency record component.
payerPv(YieldCurve, int, double) - Static method in class com.quantfinlib.rates.SwapPricer: PV per unit notional of a PAYER swap (pay fixed fixedRate, receive float).
payoff() - Method in record class com.quantfinlib.hedging.DeltaHedger.HedgeReport: Returns the value of the payoff record component.
payoffRatio() - Method in record class com.quantfinlib.backtest.TradeAnalytics.Result: Returns the value of the payoffRatio record component.
payTimeMillis() - Method in record class com.quantfinlib.risk.SettlementRiskAnalyzer.SettlementLeg: Returns the value of the payTimeMillis record component.
pbBelow(double) - Static method in class com.quantfinlib.screener.FundamentalFilters
pbo() - Method in record class com.quantfinlib.backtest.validation.OverfitProbability.Result: Returns the value of the pbo record component.
pbRatio() - Method in record class com.quantfinlib.screener.Fundamentals: Returns the value of the pbRatio record component.
Pca - Class in com.quantfinlib.risk: Principal component analysis of a covariance matrix — the risk-factor compressor.
Pca(double[][]) - Constructor for class com.quantfinlib.risk.Pca: Decomposes a symmetric covariance matrix (n×n, row-major square).
PdfReportExporter - Class in com.quantfinlib.report: Minimal dependency-free PDF writer (PDF 1.4, Courier text, multi-page).
PdfReportExporter() - Constructor for class com.quantfinlib.report.PdfReportExporter
peakBucket() - Method in class com.quantfinlib.ml.IntradayLiquidityForecaster: Bucket with the highest expected liquidity.
peakExposure(List<SettlementRiskAnalyzer.SettlementLeg>, String) - Static method in class com.quantfinlib.risk.SettlementRiskAnalyzer: Peak intraday settlement exposure to one counterparty: the maximum total receive-amount outstanding (paid but not yet received) at any point in time.
peakIndex() - Method in record class com.quantfinlib.backtest.DrawdownAnalytics.Drawdown: Returns the value of the peakIndex record component.
pearsonFromKendall(double) - Static method in class com.quantfinlib.risk.Dependence: The elliptical-copula bridge: Pearson ρ implied by a Kendall τ.
peBelow(double) - Static method in class com.quantfinlib.screener.FundamentalFilters
peBetween(double, double) - Static method in class com.quantfinlib.screener.FundamentalFilters
PENDING_RING - Static variable in class com.quantfinlib.execution.VenueScorecard: Pending fill-markout slots per venue (bursts deeper overwrite oldest).
PENDING_RING - Static variable in class com.quantfinlib.fx.LpScorecard: Pending-markout slots per LP (bursts deeper than this overwrite oldest).
pendingFixing(String) - Method in class com.quantfinlib.crb.CentralRiskBook: Non-deliverable notional still awaiting its fixing, per pair.
peRatio() - Method in record class com.quantfinlib.screener.Fundamentals: Returns the value of the peRatio record component.
percentile(double) - Method in class com.quantfinlib.hedging.HedgingErrorDistribution
percentile(double) - Method in class com.quantfinlib.util.LatencyRecorder: Estimated latency at quantile p in [0, 1], in nanoseconds.
percentile(double[], double) - Static method in class com.quantfinlib.util.MathUtils: Linear-interpolated percentile, p in [0, 1].
percentileSorted(double[], double) - Static method in class com.quantfinlib.util.MathUtils: Percentile on an already-sorted array (no copy).
PerformanceAnalytics - Class in com.quantfinlib.backtest: Computes PerformanceMetrics from an equity curve and trade history.
PerformanceMetrics - Record Class in com.quantfinlib.backtest: Strategy performance analytics.
PerformanceMetrics(double, double, double, double, double, double, double, double, double, double, int, double) - Constructor for record class com.quantfinlib.backtest.PerformanceMetrics: Creates an instance of a PerformanceMetrics record class.
periodsPerYear() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Config: Returns the value of the periodsPerYear record component.
periodsPerYear() - Method in record class com.quantfinlib.backtest.BacktestConfig: Returns the value of the periodsPerYear record component.
periodsPerYear() - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Config: Returns the value of the periodsPerYear record component.
periodsUsed() - Method in record class com.quantfinlib.alpha.FamaMacBeth.Result: Returns the value of the periodsUsed record component.
permanentImpact() - Method in record class com.quantfinlib.microstructure.AlmgrenChriss.Params: Returns the value of the permanentImpact record component.
permanentImpactBps(double) - Method in class com.quantfinlib.microstructure.MarketImpactModel: Permanent (information) impact, linear in size relative to ADV.
perSide() - Method in record class com.quantfinlib.backtest.portfolio.CrossSectionalMomentum.Config: Returns the value of the perSide record component.
persistence() - Method in record class com.quantfinlib.volatility.Garch11.Params
persistence() - Method in record class com.quantfinlib.volatility.GjrGarch11.Params: α + γ/2 + β — the mean-reversion persistence under symmetric returns.
pillar(int) - Method in class com.quantfinlib.fx.FxVolSurface: The solved pillar smile at index i (reporting, VannaVolga inputs).
pillarCount() - Method in class com.quantfinlib.fx.FxVolSurface
pillarTenors() - Method in class com.quantfinlib.fx.SwapPointsCurve: Pillar tenors in date order (diagnostics/reporting).
pips(double) - Method in class com.quantfinlib.fx.CurrencyPair: Converts a price difference to pips (e.g. 0.00013 → 1.3 pips on EURUSD).
pipSize() - Method in class com.quantfinlib.fx.CurrencyPair: One pip in price terms (0.0001, or 0.01 for JPY quotes).
Placement(boolean, double, double) - Constructor for record class com.quantfinlib.execution.OrderPlacementPolicy.Placement: Creates an instance of a Placement record class.
plusDi() - Method in record class com.quantfinlib.indicators.Indicators.Adx: Returns the value of the plusDi record component.
pnl() - Method in record class com.quantfinlib.backtest.Trade: Returns the value of the pnl record component.
pnl(double[]) - Method in interface com.quantfinlib.risk.VarEngine.ScenarioReval
PnlAttribution - Class in com.quantfinlib.risk: FRTB P&L attribution test (PLAT) — the exam a risk MODEL must pass to keep internal-model approval: does the risk engine's theoretical P&L (RTPL — what the model's factors and pricers say the desk made) actually track the desk's hypothetical P&L (HPL — what revaluing the real book on real prices says)?
PnlAttribution.Result - Record Class in com.quantfinlib.risk: The PLAT verdict for one desk over one window.
PnlAttribution.Zone - Enum Class in com.quantfinlib.risk
pnlExplain(double, double, double) - Method in class com.quantfinlib.hedging.OptionsBook: Delta-gamma-vega-theta Pinvalid input: '&L' explain versus full revaluation: how much of the actual move the Greeks account for, and what is left unexplained (higher-order and cross terms).
PnlExplain(double, double, double, double, double, double) - Constructor for record class com.quantfinlib.hedging.OptionsBook.PnlExplain: Creates an instance of a PnlExplain record class.
PointInTimeUniverse - Class in com.quantfinlib.data: Point-in-time universe membership — the engine-side half of survivorship-bias-free backtesting.
PointInTimeUniverse() - Constructor for class com.quantfinlib.data.PointInTimeUniverse
PointInTimeUniverse.EventType - Enum Class in com.quantfinlib.data: How a security's life ends.
PointInTimeUniverse.TerminalEvent - Record Class in com.quantfinlib.data: A security's terminal event.
poll() - Method in class com.quantfinlib.marketdata.RingBuffer: Consumer side.
port() - Method in class com.quantfinlib.trading.TradingDashboard
Portfolio - Class in com.quantfinlib.risk: Multi-asset portfolio of positions with live price updates.
Portfolio() - Constructor for class com.quantfinlib.risk.Portfolio
Portfolio.Position - Record Class in com.quantfinlib.risk
PortfolioBacktester - Class in com.quantfinlib.backtest.portfolio: Multi-asset, long/short portfolio backtester: rebalances positions (possibly fractional and negative) toward the strategy's target weights at a configurable cadence, charging commission on traded notional.
PortfolioBacktester.Config - Record Class in com.quantfinlib.backtest.portfolio: costModel, when set, supersedes the flat commissionRate for every trade (rebalances and forced index-drop sales alike) — the shared TradeCostModel seam that makes a run simultaneously survivorship-aware AND execution-aware.
PortfolioBacktester.Result - Record Class in com.quantfinlib.backtest.portfolio: dividendCashCredited and lifecycleEventsApplied are populated by the survivorship-aware overload (zero otherwise).
PortfolioConstruction - Class in com.quantfinlib.alpha: Turns raw factor scores into tradeable weight vectors — deliberately a chain of small, composable, pure functions so a construction pipeline reads as what it does:
PortfolioExecutor - Class in com.quantfinlib.execution: True multi-symbol portfolio-level scheduling: a basket (rebalance, transition, program trade) executed as one coordinated schedule rather than N independent parents.
PortfolioExecutor(int, PortfolioExecutor.Config) - Constructor for class com.quantfinlib.execution.PortfolioExecutor
PortfolioExecutor.Config - Record Class in com.quantfinlib.execution
PortfolioOptimizer - Class in com.quantfinlib.optimization: Portfolio Optimization Engine (long-only, fully invested).
PortfolioOptimizer(double[], double[][]) - Constructor for class com.quantfinlib.optimization.PortfolioOptimizer
PortfolioOptimizer(double[], double[][], long) - Constructor for class com.quantfinlib.optimization.PortfolioOptimizer
PortfolioOptimizer.Allocation - Record Class in com.quantfinlib.optimization: An optimized allocation with its risk/return profile (same periodicity as the inputs).
portfolioReturns() - Method in class com.quantfinlib.risk.PortfolioRiskAnalyzer: Weighted portfolio return series.
PortfolioRiskAnalyzer - Class in com.quantfinlib.risk: Portfolio-level risk engine: portfolio VaR/CVaR/volatility, asset-level risk, exposure analysis, correlation analysis, and risk decomposition (marginal contribution to risk).
PortfolioRiskAnalyzer(String[], double[][], double[]) - Constructor for class com.quantfinlib.risk.PortfolioRiskAnalyzer
PortfolioRiskAnalyzer.RiskReport - Record Class in com.quantfinlib.risk: Full risk report.
portfolioStdev(double[], double[][]) - Static method in class com.quantfinlib.risk.VarEngine: Portfolio stdev √(δ'Σδ) in currency units.
PortfolioStrategy - Interface in com.quantfinlib.backtest.portfolio: A multi-asset, weight-based strategy for the PortfolioBacktester.
portfolioVar() - Method in record class com.quantfinlib.risk.ComponentVar.Allocation: Returns the value of the portfolioVar record component.
portfolioVariance(double[]) - Method in class com.quantfinlib.microstructure.EwmaCovariance: w'Σw: portfolio variance of the (signed) weight vector.
position(int) - Method in class com.quantfinlib.backtest.tick.TickBacktester
position(int) - Method in interface com.quantfinlib.backtest.tick.TickTradingContext
position(int) - Method in class com.quantfinlib.trading.HftRiskGate: Live position — readable from any thread (quoter skew, hedger, dashboards).
position(String) - Method in class com.quantfinlib.risk.Portfolio
position(String) - Method in class com.quantfinlib.trading.PaperTradingGateway
Position(String, double, double) - Constructor for record class com.quantfinlib.risk.Portfolio.Position: Creates an instance of a Position record class.
positions() - Method in class com.quantfinlib.hedging.OptionsBook
positions() - Method in class com.quantfinlib.risk.Portfolio
positions() - Method in record class com.quantfinlib.trading.PaperTradingGateway.AccountSnapshot: Returns the value of the positions record component.
PositionSizing - Class in com.quantfinlib.backtest.portfolio: Position sizing rules: Kelly, fixed-fractional risk, inverse-volatility weighting, and volatility targeting — the building blocks for PortfolioStrategy weight construction.
positionsSnapshot() - Method in class com.quantfinlib.trading.PaperTradingGateway: Snapshot of non-zero positions by symbol (for dashboards/monitoring).
POSS_DUP_FLAG - Static variable in class com.quantfinlib.fix.FixMessage
post() - Method in record class com.quantfinlib.execution.OrderPlacementPolicy.Placement: Returns the value of the post record component.
posteriorReturns(double, double[][], double[], double[][], double[], double[]) - Static method in class com.quantfinlib.optimization.BlackLitterman: Posterior expected returns blending equilibrium and views.
postFillMarkout(int) - Method in class com.quantfinlib.execution.VenueScorecard: EWMA post-fill markout in price units — positive means the mid kept moving your way after fills at this venue; negative means it reverted: you crossed the spread into informed or stale flow, the per-share cost AdaptiveSor prices as adverse selection. 0 before any matured markout.
postRegion(double, double, double, double) - Static method in class com.quantfinlib.execution.OrderPlacementPolicy: The desk's rule for these market conditions: post iff the fill probability lands inside the returned region of [0, 1].
PostRegion(double, double) - Constructor for record class com.quantfinlib.execution.OrderPlacementPolicy.PostRegion: Creates an instance of a PostRegion record class.
postRejectMarkout(int) - Method in class com.quantfinlib.fx.LpScorecard: EWMA post-reject markout in price units — positive means the market moved the way you were trying to trade after the LP declined: the realized cost of that LP's last look.
potentialFutureExposure(String) - Method in class com.quantfinlib.risk.CounterpartyExposureTracker: Potential future exposure with the CEM net-to-gross adjustment: PFE = (0.4 + 0.6 * NGR) * sum |notional| * addOn, where NGR = net current exposure / gross positive MTM.
pov(Side, long, double) - Static method in class com.quantfinlib.execution.BenchmarkExecutor: POV convenience.
PovTracker - Class in com.quantfinlib.execution: POV (percentage-of-volume) execution tracker: the streaming counterpart of the precomputed TwapScheduler/VwapScheduler schedules.
PovTracker(long, double, long, long) - Constructor for class com.quantfinlib.execution.PovTracker
PRECEDING - Enum constant in enum class com.quantfinlib.rates.BusinessCalendar.Roll: Move backward to the previous business day.
predict(double[]) - Method in class com.quantfinlib.ml.GradientBoostedRegressor
predict(double, double, double, double) - Method in class com.quantfinlib.microstructure.OnlineAlphaLearner: The learned prediction of the next-interval return from the four SignalEngine ingredients (each expected in ~[-1, 1]).
predictAll(double[][]) - Method in class com.quantfinlib.ml.GradientBoostedRegressor
predictFrom(SignalEngine, int) - Method in class com.quantfinlib.microstructure.OnlineAlphaLearner: OnlineAlphaLearner.predict(double, double, double, double) pulling the ingredients straight from a SignalEngine.
predictImpactBps(double[]) - Method in class com.quantfinlib.ml.MarketImpactPredictor
premia() - Method in record class com.quantfinlib.alpha.FamaMacBeth.Result: Returns the value of the premia record component.
premium() - Method in record class com.quantfinlib.hedging.DeltaHedger.HedgeReport: Returns the value of the premium record component.
premium() - Method in class com.quantfinlib.hedging.HedgingErrorDistribution
premiumAdjusted(boolean) - Method in class com.quantfinlib.fx.FxVolSurface.Builder: Switches strike solving to premium-adjusted forward delta.
premiumLegPv(CreditCurve, YieldCurve, double, double) - Static method in class com.quantfinlib.credit.CdsPricer: PV of the premium leg at the given running spread.
presentValue(double, double) - Method in class com.quantfinlib.pricing.DividendSchedule: Present value of all dividends with ex-dates on or before horizonYears.
PreTradeLimitChecker - Class in com.quantfinlib.risk: Pre-trade risk gate: validates every order against configured limits before it reaches the market — order size, notional, resulting position, price collar versus a reference mid, restricted symbols, and counterparty credit headroom.
PreTradeLimitChecker() - Constructor for class com.quantfinlib.risk.PreTradeLimitChecker
PreTradeLimitChecker.CheckResult - Record Class in com.quantfinlib.risk
PreTradeLimitChecker.OrderRequest - Record Class in com.quantfinlib.risk
price() - Method in record class com.quantfinlib.execution.DarkPoolSimulator.Fill: Returns the value of the price record component.
price() - Method in record class com.quantfinlib.execution.SmartOrderRouter.RouteLeg: Returns the value of the price record component.
price() - Method in record class com.quantfinlib.execution.VenueBenchmark.Sample: Returns the value of the price record component.
price() - Method in record class com.quantfinlib.feed.FeedTrade: Returns the value of the price record component.
price() - Method in record class com.quantfinlib.fix.NewOrderSingle: Returns the value of the price record component.
price() - Method in record class com.quantfinlib.fix.OrderCancelReplaceRequest: Returns the value of the price record component.
price() - Method in record class com.quantfinlib.marketdata.MarketDataEvent: Returns the value of the price record component.
price() - Method in record class com.quantfinlib.microstructure.Auction.Result: Returns the value of the price record component.
price() - Method in record class com.quantfinlib.microstructure.Execution: Returns the value of the price record component.
price() - Method in class com.quantfinlib.orderbook.LimitOrder
price() - Method in record class com.quantfinlib.pricing.BlackScholes.Greeks: Returns the value of the price record component.
price() - Method in record class com.quantfinlib.risk.Portfolio.Position: Returns the value of the price record component.
price() - Method in record class com.quantfinlib.risk.PreTradeLimitChecker.OrderRequest: Returns the value of the price record component.
price() - Method in class com.quantfinlib.sbe.OrderFlyweight
price() - Method in class com.quantfinlib.sbe.TradeFlyweight
price(double) - Method in class com.quantfinlib.commodities.CommodityCurve: Interpolated futures price; throws beyond the pillars (no extrapolation).
price(double, double, double, double, double, int, long) - Method in class com.quantfinlib.pricing.Autocallable: Monte Carlo present value under GBM.
price(int) - Method in class com.quantfinlib.fix.FixMarketDataView: MDEntryPx as a double — the safe conversion for double-domain consumers (fx.FxTierBook, fx.AggregatedBook).
price(int, boolean, int) - Method in class com.quantfinlib.fx.FxTierBook
price(BlackScholes.OptionType, double, double) - Method in class com.quantfinlib.pricing.VannaVolga: Smile-consistent price of a vanilla at any strike.
price(BlackScholes.OptionType, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.Black76: Discounted Black-76 price of a call/put on a forward.
price(BlackScholes.OptionType, double, double, double, double, double) - Method in class com.quantfinlib.pricing.VolSurface: Option price using the surface vol at (expiry, strike).
price(BlackScholes.OptionType, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.BlackScholes
price(BlackScholes.OptionType, double, double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.QuantoOption: Quanto vanilla priced in domestic currency per unit of the fixed conversion rate: Black-Scholes with the carry shifted by ρ·σ_S·σ_FX.
price(BlackScholes.OptionType, BinomialTree.ExerciseStyle, double, double, double, double, double, double, int) - Static method in class com.quantfinlib.pricing.BinomialTree
PRICE - Static variable in class com.quantfinlib.fix.FixMessage
PRICE_SPIKE - Static variable in class com.quantfinlib.ml.AnomalyDetector
priceAboveEma(int) - Static method in class com.quantfinlib.screener.TechnicalFilters
priceAboveSma(int) - Static method in class com.quantfinlib.screener.TechnicalFilters
priceAboveVwap() - Static method in class com.quantfinlib.screener.TechnicalFilters
priceBelowSma(int) - Static method in class com.quantfinlib.screener.TechnicalFilters
priceCollarPct(double) - Method in class com.quantfinlib.risk.PreTradeLimitChecker: Reject prices more than this fraction away from the reference mid (fat-finger guard).
priceCollarPct(double) - Method in class com.quantfinlib.trading.HftRiskGate: Fat-finger guard versus the reference price (0.02 = 2%).
priceFromCurve(double, double, int, double, YieldCurve) - Static method in class com.quantfinlib.rates.BondPricer: Price by discounting each cash flow on a zero curve.
priceFromPips(double) - Method in class com.quantfinlib.fx.CurrencyPair: Converts pips to a price difference (the inverse of CurrencyPair.pips(double)).
priceFromYield(double, double, int, double, double) - Static method in class com.quantfinlib.rates.BondPricer: Dirty price per face from a yield (regular schedule, whole periods).
priceImpactBps(Side, double, double) - Static method in class com.quantfinlib.regulatory.MarketQualityMetrics: Price impact: how far the mid moved in the taker's direction after the trade (2 * sign * (midAfter - midAtExec) / midAtExec); effective spread ≈ realized spread + price impact.
pricePrecision() - Method in class com.quantfinlib.fx.CurrencyPair: Quoted decimal places (5, or 3 for JPY quotes).
priceTick() - Method in class com.quantfinlib.marketdata.ItchCodec.View: Price in 0.0001 ticks (A/F/P; U: the new price).
priceWeights(double[]) - Static method in class com.quantfinlib.markets.IndexConstruction: Price weights: w_i ∝ price_i (the Dow's accident).
priceWithZSpread(double, double, int, double, YieldCurve, double) - Static method in class com.quantfinlib.credit.CreditSpreads: Bond PV under the curve shifted by a constant z (cc).
PrivateMarketAnalytics - Class in com.quantfinlib.markets: PRIVATE-MARKET analytics — the toolkit for the asset class where the usual machinery fails on purpose: no daily prices, cash flows the manager (not the investor) times, and NAVs that are appraisals rather than trades.
probabilisticSharpe(double, double, int, double, double) - Static method in class com.quantfinlib.backtest.validation.SharpeValidation: Probability the true Sharpe exceeds benchmarkSharpe, in [0,1].
probabilityOfLoss() - Method in class com.quantfinlib.hedging.HedgingErrorDistribution: Fraction of paths where the hedge lost money.
probabilityOfLoss() - Method in class com.quantfinlib.simulation.SimulationResult
probabilityOfProfit() - Method in class com.quantfinlib.simulation.SimulationResult
probes() - Method in record class com.quantfinlib.execution.AdaptiveSor.RoutingDecision: Returns the value of the probes record component.
probes(int) - Method in class com.quantfinlib.execution.VenueScorecard
probLoss() - Method in record class com.quantfinlib.backtest.validation.MonteCarloTradeShuffle.Result: Returns the value of the probLoss record component.
processedCount() - Method in class com.quantfinlib.marketdata.HftMarketDataBus
processedCount() - Method in class com.quantfinlib.marketdata.MarketDataProcessor
processedCount() - Method in class com.quantfinlib.trading.ShardedTradingEngine: Ticks processed across all shards.
product() - Method in record class com.quantfinlib.risk.CounterpartyExposureTracker.CounterpartyTrade: Returns the value of the product record component.
profile() - Method in class com.quantfinlib.ml.IntradayLiquidityForecaster: Normalized profile summing to 1 — directly usable as a VWAP weight curve.
profile(int) - Method in class com.quantfinlib.microstructure.DayTypeProfiles: The independently-learned profile for dayType.
profileVolume(int) - Method in class com.quantfinlib.microstructure.VolumeCurve: The learned average volume for one bucket.
profitFactor() - Method in record class com.quantfinlib.backtest.PerformanceMetrics: Returns the value of the profitFactor record component.
projectedDayVolume(int, double) - Method in class com.quantfinlib.microstructure.VolumeCurve: Projected total volume for today: the learned day total scaled by today's realized-vs-expected ratio, shrunk toward 1 by how much of the expected day has elapsed.
protectionLegPv(CreditCurve, YieldCurve, double) - Static method in class com.quantfinlib.credit.CdsPricer: PV of the protection leg: (1-R) paid at default.
publish(int, double, double, long) - Method in class com.quantfinlib.marketdata.HftMarketDataBus: Publishes a tick; single producer thread, zero allocation.
publish(int, double, double, long) - Method in class com.quantfinlib.marketdata.TickRingBuffer: Producer side; single producer thread only.
publish(int, double, double, long) - Method in class com.quantfinlib.trading.ShardedTradingEngine: The producer hot path: fans one tick to every shard hosting the symbol.
publish(long, int, Side, long, double, long) - Method in class com.quantfinlib.trading.OrderRingBuffer: Producer side (trading thread).
publish(MarketDataEvent) - Method in class com.quantfinlib.marketdata.MarketDataProcessor: Publishes a tick; single-producer.
pulls(int) - Method in class com.quantfinlib.execution.Ucb1Selector: Times an arm has been used.
PurgedKFold - Class in com.quantfinlib.backtest.validation: PURGED K-fold cross-validation splits with an EMBARGO — the fix for the quiet leak that ordinary K-fold has on financial data (Lopez de Prado, Advances in Financial Machine Learning, ch. 7).
PurgedKFold.Split - Record Class in com.quantfinlib.backtest.validation: One fold: test on [testFrom, testTo), train on trainIndices (ascending, purged and embargoed).
put(double, double, double, double, double, Heston.Params) - Static method in class com.quantfinlib.pricing.Heston: European put via put-call parity.
PUT - Enum constant in enum class com.quantfinlib.pricing.BlackScholes.OptionType
putSeries(BarSeries) - Method in class com.quantfinlib.marketdata.HistoricalDataStore
pValue() - Method in record class com.quantfinlib.alpha.AlphaValidation.RobustnessResult: Returns the value of the pValue record component.
pxDecimals(int) - Method in class com.quantfinlib.fix.FixMarketDataView
pxMantissa(int) - Method in class com.quantfinlib.fix.FixMarketDataView: MDEntryPx as a scaled long: mantissa × 10^-decimals.

Q

qtyAhead(long) - Method in class com.quantfinlib.orderbook.OrderBook: Quantity queued ahead of the given resting order at its price level.
qtyAtTick(Side, int) - Method in class com.quantfinlib.marketdata.L3BookBuilder: Resting quantity at an absolute tick (0 when off-band or empty).
qtyAtTick(Side, int) - Method in class com.quantfinlib.orderbook.HftOrderBook: Resting quantity at an absolute tick (0 when off-band or empty).
quadraticForm(double[], double[][]) - Static method in class com.quantfinlib.util.MathUtils: w' * M * w (quadratic form).
quality() - Static method in class com.quantfinlib.alpha.Factors: Quality composite: profitability minus leverage — ROE − 0.1 × debt/equity.
QuantileReport(String, double[], int[], int, int) - Constructor for record class com.quantfinlib.alpha.SignalEvaluator.QuantileReport: Creates an instance of a QuantileReport record class.
quantileReturns(AlphaContext, AlphaFactor, int, int, int) - Static method in class com.quantfinlib.alpha.SignalEvaluator: Buckets each evaluation date's cross-section into quantiles score-ranked groups and averages the forward returns per group, over the same non-overlapping date grid as SignalEvaluator.evaluate(AlphaContext, AlphaFactor, int, int): dates step by horizon from startIndex, a NaN score or NaN forward return drops that (symbol, date) pair, and a date with fewer complete pairs than quantiles contributes to no bucket at all.
quantiles() - Method in record class com.quantfinlib.alpha.SignalEvaluator.QuantileReport: Returns the value of the quantiles record component.
quantity() - Method in record class com.quantfinlib.backtest.Trade: Returns the value of the quantity record component.
quantity() - Method in record class com.quantfinlib.execution.DarkPoolSimulator.Fill: Returns the value of the quantity record component.
quantity() - Method in record class com.quantfinlib.execution.Slice: Returns the value of the quantity record component.
quantity() - Method in record class com.quantfinlib.execution.SmartOrderRouter.RouteLeg: Returns the value of the quantity record component.
quantity() - Method in record class com.quantfinlib.execution.VenueBenchmark.Sample: Returns the value of the quantity record component.
quantity() - Method in record class com.quantfinlib.fix.NewOrderSingle: Returns the value of the quantity record component.
quantity() - Method in record class com.quantfinlib.fix.OrderCancelReplaceRequest: Returns the value of the quantity record component.
quantity() - Method in record class com.quantfinlib.fix.OrderCancelRequest: Returns the value of the quantity record component.
quantity() - Method in record class com.quantfinlib.hedging.OptionsBook.OptionPosition: Returns the value of the quantity record component.
quantity() - Method in record class com.quantfinlib.microstructure.Execution: Returns the value of the quantity record component.
quantity() - Method in class com.quantfinlib.orderbook.LimitOrder
quantity() - Method in record class com.quantfinlib.regulatory.BestExecutionAnalyzer.OrderOutcome: Returns the value of the quantity record component.
quantity() - Method in record class com.quantfinlib.risk.Portfolio.Position: Returns the value of the quantity record component.
quantity() - Method in record class com.quantfinlib.risk.PreTradeLimitChecker.OrderRequest: Returns the value of the quantity record component.
quantity() - Method in class com.quantfinlib.sbe.OrderFlyweight
quantoForward(double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.QuantoOption: The quanto-adjusted forward (domestic-settled, fixed conversion).
QuantoOption - Class in com.quantfinlib.pricing: QUANTO adjustment — for payoffs on a foreign asset settled in domestic currency at a FIXED conversion rate (a Nikkei option paying in USD at 1:1).
queueGrowth(double, long) - Static method in class com.quantfinlib.microstructure.QueueModel: Extra quantity that joins the queue ahead of an order arriving latencyNanos later, given the rate at which others join.
queueImbalance() - Method in class com.quantfinlib.microstructure.FlowSignals: Inside-queue imbalance in [-1, 1]; 0 when either side is empty/unset.
queueImbalance(int) - Method in class com.quantfinlib.microstructure.SignalEngine: Inside queue imbalance in [-1, 1]; 0 on a one-sided book.
QueueModel - Class in com.quantfinlib.microstructure: Queue positioning and priority analytics: how position in the price-time queue — and small latency differences in reaching it — translate into fill probability.
Queue position - Search tag in class com.quantfinlib.marketdata.L3BookBuilder: Section
QueuePositionEstimator - Class in com.quantfinlib.microstructure: Queue position estimation from L2 data — for when you don't have the L3 feed that marketdata.L3BookBuilder needs to track position exactly.
QueuePositionEstimator() - Constructor for class com.quantfinlib.microstructure.QueuePositionEstimator
queueProgress() - Method in class com.quantfinlib.microstructure.QueuePositionEstimator: Queue progress since joining: 0 right after QueuePositionEstimator.join(long, long), 1 when the whole queue that was ahead of us has drained.
QuickStartDemo - Class in com.quantfinlib.examples: End-to-end tour of the platform on synthetic data: the 11 research capabilities (indicators, backtesting, DSL, risk, ML, optimization, Monte Carlo, screening, market data, reporting with SVG charts) plus the trading and research extensions — data I/O, order book analytics, smart order routing, execution-aware backtests with TCA, options hedging and vol surfaces, fixed income, GARCH/EWMA, cointegration, walk-forward validation, portfolio backtesting, and a risk-gated paper trading session.
QuickStartDemo() - Constructor for class com.quantfinlib.examples.QuickStartDemo
quote() - Method in class com.quantfinlib.fx.CurrencyPair
quote(double, double, double, double, double) - Static method in class com.quantfinlib.crb.SkewedQuoter
quote(int) - Method in class com.quantfinlib.rfq.RfqAuction: A dealer's standing quote (NaN = none/declined/pulled).
Quote(double, double) - Constructor for record class com.quantfinlib.pricing.TriangularArbitrage.Quote: Creates an instance of a Quote record class.
Quote(double, double, double) - Constructor for record class com.quantfinlib.crb.SkewedQuoter.Quote: Creates an instance of a Quote record class.
QUOTE_STUFFING - Static variable in class com.quantfinlib.ml.AnomalyDetector
quoteCalendar() - Method in class com.quantfinlib.fx.CurrencyPair: The quote currency's own holiday calendar — e.g. the restricted currency's local calendar that NDF fixing conventions count in.
quoteCount() - Method in class com.quantfinlib.microstructure.FlowSignals
quoteCount() - Method in class com.quantfinlib.microstructure.SignalEngine
quoteCount() - Method in class com.quantfinlib.rfq.RfqAuction: Dealers with a standing quote right now (a small scan — panels are ~10).
quotedSpreadBps(double, double) - Static method in class com.quantfinlib.regulatory.MarketQualityMetrics
QuoteFlyweight - Class in com.quantfinlib.sbe: SBE-style flyweight codec for a two-sided quote message — the outbound format of a market maker (and the inbound format of venue top-of-book feeds), completing the binary codec family: TradeFlyweight (trade in), OrderFlyweight (order out), quote (two-sided out).
QuoteFlyweight() - Constructor for class com.quantfinlib.sbe.QuoteFlyweight
quoteIntensityPerSecond(int) - Method in class com.quantfinlib.microstructure.SignalEngine: Quote arrival intensity, per second (0 until two quotes).
quoteRate(int) - Method in class com.quantfinlib.rfq.RfqDealerScorecard: EWMA probability this dealer quotes when asked (0 before any request).
quotesGiven(int) - Method in class com.quantfinlib.rfq.RfqDealerScorecard
quoteSize() - Method in record class com.quantfinlib.trading.HftQuoter.Config: Returns the value of the quoteSize record component.
quoteUpdates() - Method in class com.quantfinlib.trading.HftQuoter: Quote updates actually sent (each is up to two orders).

R

range() - Method in record class com.quantfinlib.core.Bar
RangeVolatility - Class in com.quantfinlib.volatility: RANGE-BASED volatility estimators — the free lunch hiding inside every OHLC bar: the high-low range carries far more information about the day's variance than the close alone, so a range estimator reaches a given precision with several times fewer bars than close-to-close.
rank() - Method in class com.quantfinlib.execution.VenueBenchmark: Per-venue statistics, best execution quality first (lowest effective spread net of markout).
rank(List<StockSnapshot>) - Method in class com.quantfinlib.screener.RankingEngine
RankingEngine - Class in com.quantfinlib.screener: Ranking engine: scores stocks by a weighted blend of min-max-normalized criteria and sorts them best-first.
RankingEngine() - Constructor for class com.quantfinlib.screener.RankingEngine
RankingEngine.ScoredStock - Record Class in com.quantfinlib.screener
ranks(double[]) - Static method in class com.quantfinlib.risk.Dependence: Midranks (average rank for ties), 1-based.
RatesOptions - Class in com.quantfinlib.rates: RATES VOLATILITY products priced off the curve — the bridge between YieldCurve (where forwards and discount factors live) and pricing.Black76 (the market-standard lognormal quoter for anything written on a forward rate).
ratio() - Method in record class com.quantfinlib.microstructure.VarianceRatio.Result: Returns the value of the ratio record component.
rawVolPerSqrtSecond() - Method in class com.quantfinlib.microstructure.JumpRobustVolatility: The plain squared-return volatility (jumps and all), per √second.
read(DataInput) - Method in interface com.quantfinlib.persist.Checkpoint.StateReader
readDoublesInto(DataInput, double[]) - Static method in class com.quantfinlib.persist.Checkpoint: Reads a length-prefixed double array INTO a — a length mismatch means the checkpoint was written by a differently-configured instance (other bucket/venue count) and throws before touching it.
reader(Path) - Static method in class com.quantfinlib.persist.Checkpoint: Loads a checkpoint fully into memory and validates the header.
readLongsInto(DataInput, long[]) - Static method in class com.quantfinlib.persist.Checkpoint: Long-array counterpart of Checkpoint.readDoublesInto(java.io.DataInput, double[]).
readState(DataInput) - Method in class com.quantfinlib.crb.CentralRiskBook: Restores state written by CentralRiskBook.writeState(java.io.DataOutput) into THIS (fresh) book.
readState(DataInput) - Method in class com.quantfinlib.crb.CrbPnlLedger
readState(DataInput) - Method in class com.quantfinlib.crb.InternalizationEngine: Restores counters written by InternalizationEngine.writeState(java.io.DataOutput).
readState(DataInput) - Method in class com.quantfinlib.execution.VenueScorecard: Restores the card; pending fill markouts (intraday) reset.
readState(DataInput) - Method in class com.quantfinlib.fx.LpScorecard: Restores the card; pending markouts reset (restore at session start).
readState(DataInput) - Method in class com.quantfinlib.microstructure.AlphaEnsemble: Restores the IC evidence; the snapshot (intraday alignment state) resets.
readState(DataInput) - Method in class com.quantfinlib.microstructure.ClosingAuctionModel: Restores the learned share; today's imbalance state resets.
readState(DataInput) - Method in class com.quantfinlib.microstructure.EwmaCovariance: Restores the matrix.
readState(DataInput) - Method in class com.quantfinlib.microstructure.KylesLambda: Restores the moments.
readState(DataInput) - Method in class com.quantfinlib.microstructure.LeadLagEstimator: Restores the learned correlations; the leader ring resets, so post-restore samples never pair today's follower with yesterday's pre-close leader across the overnight gap — and lag k resumes updating only once the ring holds k+1 fresh samples, so the restored moments are never diluted by the empty ring either.
readState(DataInput) - Method in class com.quantfinlib.microstructure.OnlineAlphaLearner: Restores weights and IC evidence; the trainFrom feature snapshot is intraday state and resets.
readState(DataInput) - Method in class com.quantfinlib.microstructure.SpreadForecaster: Restores the learned baseline; the intraday deviation, last observed spread and today's accumulation reset (restore at session start).
readState(DataInput) - Method in class com.quantfinlib.microstructure.VolatilityCurve: Restores the learned baseline; today's accumulation resets (restore at session start).
readState(DataInput) - Method in class com.quantfinlib.microstructure.VolumeCurve: Restores the learned profile; intraday state resets (restore at session start).
readState(DataInput) - Method in class com.quantfinlib.rfq.RfqDealerScorecard: Restores the card.
ready() - Method in class com.quantfinlib.microstructure.Vpin: True once the full window of buckets has completed.
realizedParticipation() - Method in class com.quantfinlib.execution.BenchmarkExecutor: Realized participation vs other-flow volume (NaN before any market print).
realizedParticipation() - Method in class com.quantfinlib.execution.PovTracker: Realized participation so far vs other-flow volume (NaN before any print).
realizedPnl() - Method in record class com.quantfinlib.trading.PaperTradingGateway.AccountSnapshot: Returns the value of the realizedPnl record component.
realizedPnl() - Method in class com.quantfinlib.trading.PaperTradingGateway
realizedSpreadBps(Side, double, double) - Static method in class com.quantfinlib.regulatory.MarketQualityMetrics: Realized spread: effective spread measured against the mid some horizon after the trade — the part of the spread the liquidity provider kept after adverse selection.
realizedToday() - Method in class com.quantfinlib.microstructure.VolumeCurve: Today's realized volume so far (O(1) running total).
reason() - Method in record class com.quantfinlib.backtest.ParentOrder: Returns the value of the reason record component.
REASON_END_OF_DATA - Static variable in record class com.quantfinlib.backtest.Trade
REASON_ENTRY - Static variable in record class com.quantfinlib.backtest.ParentOrder
REASON_SIGNAL - Static variable in record class com.quantfinlib.backtest.Trade
REASON_STOP_LOSS - Static variable in record class com.quantfinlib.backtest.Trade
REASON_TAKE_PROFIT - Static variable in record class com.quantfinlib.backtest.Trade
reasonName(int) - Static method in class com.quantfinlib.trading.HftRiskGate
rebalance(double[], double[]) - Static method in class com.quantfinlib.optimization.PortfolioOptimizer: Rebalancing deltas: target minus current weights, per asset.
rebalance(double, double, double) - Static method in class com.quantfinlib.hedging.WhalleyWilmott: The hedge-to-the-edge policy: hold inside the band, trade to the NEAREST edge outside it.
rebalanceEveryBars() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Config: Returns the value of the rebalanceEveryBars record component.
rebalanceEveryBars() - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Config: Returns the value of the rebalanceEveryBars record component.
rebalances() - Method in record class com.quantfinlib.hedging.DeltaHedger.HedgeReport: Returns the value of the rebalances record component.
receiveAmount() - Method in record class com.quantfinlib.risk.SettlementRiskAnalyzer.SettlementLeg: Returns the value of the receiveAmount record component.
receiveCurrency() - Method in record class com.quantfinlib.risk.SettlementRiskAnalyzer.SettlementLeg: Returns the value of the receiveCurrency record component.
receiveTimeMillis() - Method in record class com.quantfinlib.risk.SettlementRiskAnalyzer.SettlementLeg: Returns the value of the receiveTimeMillis record component.
reconnectCount() - Method in class com.quantfinlib.feed.WebSocketFeed
record(int, double) - Method in class com.quantfinlib.execution.Ucb1Selector: Records the observed reward for an arm.
record(long) - Method in class com.quantfinlib.util.LatencyRecorder
recordDelisting(String, long, double) - Method in class com.quantfinlib.data.PointInTimeUniverse: Records a delisting: membership (if any) is truncated at the event and the position terminates at lastClose × (1 + delistingReturn).
recorder() - Method in class com.quantfinlib.util.HiccupMonitor: The hiccup histogram: excess-over-requested park time, in nanos.
recordMerger(String, long, double, double, String) - Method in class com.quantfinlib.data.PointInTimeUniverse: Records a merger/acquisition: at the event each held share converts to cashPerShare cash plus acquirerSharesPerShare shares of acquirer.
recovery() - Method in class com.quantfinlib.credit.CreditCurve
recoveryIndex() - Method in record class com.quantfinlib.backtest.DrawdownAnalytics.Drawdown: Returns the value of the recoveryIndex record component.
RED - Enum constant in enum class com.quantfinlib.risk.FrtbEs.TrafficLight
RED - Enum constant in enum class com.quantfinlib.risk.PnlAttribution.Zone
REF_SEQ_NUM - Static variable in class com.quantfinlib.fix.FixMessage
reference(double, boolean) - Method in class com.quantfinlib.microstructure.CircuitBreakers.Luld: New reference price (the plan recomputes it as a 5-minute average).
referencePrice(int) - Method in class com.quantfinlib.trading.HftRiskGate: The collar reference for a symbol (NaN = unset) — readable anywhere.
referencePrice(BarSeries, int) - Method in interface com.quantfinlib.backtest.ExecutionModel: The price this model's fills are anchored to on the given bar — the engine budgets entry requests as cash / (referencePrice * (1 + worstCaseCostFraction())).
referencePrice(BarSeries, int) - Method in class com.quantfinlib.backtest.IcebergExecution
referencePrice(BarSeries, int) - Method in class com.quantfinlib.backtest.LastLookExecution
refillObservations(int) - Method in class com.quantfinlib.microstructure.HiddenLiquidityDetector
regime(int, double) - Method in class com.quantfinlib.microstructure.VolatilityCurve: The normalized volatility-regime signal for BenchmarkExecutor.MarketState.volatility: how elevated the current vol is against this hour's baseline, clamp(current/baseline − 1, 0, 1). 0 when calm-for-the-hour, unlearned, or fed a non-finite reading — a bad input reads as neutral, never as urgency.
RegimeDetector - Class in com.quantfinlib.ml: Two-state Gaussian Markov-switching model (hidden Markov model) fitted by Baum-Welch EM with forward-backward scaling: detects calm/turbulent regimes in a return series.
RegimeDetector.RegimeModel - Record Class in com.quantfinlib.ml
RegimeModel(double[], double[], double[][], double, double[], double[], int) - Constructor for record class com.quantfinlib.ml.RegimeDetector.RegimeModel: Creates an instance of a RegimeModel record class.
register(String) - Method in class com.quantfinlib.marketdata.SymbolRegistry: Registers (or looks up) a symbol; returns its stable dense id.
register(String, int) - Method in class com.quantfinlib.execution.AdaptiveSor: Maps a venue name to its scorecard index.
register(String, RiskMetric) - Method in class com.quantfinlib.risk.RiskMetricRegistry
registerSymbol(int, String) - Method in class com.quantfinlib.fix.FixOrderEncoder: Registers a tradeable symbol (cold path, before trading).
registerSymbol(String) - Method in class com.quantfinlib.marketdata.HftMarketDataBus: Registers a symbol and returns the dense id used on the hot path.
registerSymbol(String, int...) - Method in class com.quantfinlib.trading.ShardedTradingEngine: Registers a symbol on the given shard(s); returns the global handle used with ShardedTradingEngine.publish(int, double, double, long).
regularizedIncompleteBeta(double, double, double) - Static method in class com.quantfinlib.util.MathUtils: Regularized incomplete beta function I_x(a, b) via the continued fraction (modified Lentz), switching to the symmetry I_x(a,b) = 1 − I_{1−x}(b,a) where the fraction converges fastest.
REJECT - Static variable in class com.quantfinlib.fix.FixMessage
REJECT_HALTED - Static variable in class com.quantfinlib.trading.HftRiskGate
REJECT_INVALID - Static variable in class com.quantfinlib.orderbook.HftOrderBook
REJECT_KILLED - Static variable in class com.quantfinlib.trading.HftRiskGate
REJECT_NOTIONAL - Static variable in class com.quantfinlib.trading.HftRiskGate
REJECT_OUT_OF_BAND - Static variable in class com.quantfinlib.orderbook.HftOrderBook
REJECT_POOL_FULL - Static variable in class com.quantfinlib.orderbook.HftOrderBook: Accepted-order ids are positive; these are the rejection codes.
REJECT_POSITION - Static variable in class com.quantfinlib.trading.HftRiskGate
REJECT_PRICE_COLLAR - Static variable in class com.quantfinlib.trading.HftRiskGate
REJECT_QUANTITY - Static variable in class com.quantfinlib.trading.HftRiskGate
REJECT_WOULD_CROSS - Static variable in class com.quantfinlib.orderbook.HftOrderBook: Post-only order would have crossed the spread and taken liquidity.
rejectCount() - Method in class com.quantfinlib.backtest.LastLookExecution: Last-look rejections — the number a real desk tracks per LP.
REJECTED - Enum constant in enum class com.quantfinlib.trading.OrderStatus
rejectedSides() - Method in class com.quantfinlib.trading.HftQuoter: Individual sides refused by the risk gate or a full ring.
rejectionCount() - Method in record class com.quantfinlib.trading.PaperTradingGateway.AccountSnapshot: Returns the value of the rejectionCount record component.
rejectionCount(int) - Method in class com.quantfinlib.trading.HftRiskGate
rejectionLog() - Method in class com.quantfinlib.trading.PaperTradingGateway: The first 1000 rejection messages; the snapshot's rejectionCount keeps counting past the cap.
rejectRate() - Method in class com.quantfinlib.backtest.LastLookExecution: Reject rate across all attempts, 0 when nothing was attempted.
rejectRate() - Method in class com.quantfinlib.trading.LastLookGate: Reject fraction of all decisions (NaN before any decision).
rejectRate(int) - Method in class com.quantfinlib.fx.LpScorecard: EWMA reject probability in [0, 1]; 0 before any events.
rejects() - Method in class com.quantfinlib.trading.LastLookGate
rejects(int) - Method in class com.quantfinlib.fx.LpScorecard
rejectsRandomWalk() - Method in record class com.quantfinlib.microstructure.VarianceRatio.Result: |z| ≥ 2: the deviation from a random walk is not noise.
relativeHedgeError() - Method in class com.quantfinlib.hedging.HedgingErrorDistribution: Replication error as a fraction of the premium (std / premium).
remaining() - Method in class com.quantfinlib.execution.BenchmarkExecutor
remaining() - Method in class com.quantfinlib.execution.FuturesRollAlgo
remaining() - Method in class com.quantfinlib.execution.LiquiditySeekingAlgo
remaining() - Method in class com.quantfinlib.execution.PovTracker
remainingQty() - Method in class com.quantfinlib.execution.IcebergOrder
REPLACE - Static variable in class com.quantfinlib.marketdata.ItchCodec
replaceCount() - Method in class com.quantfinlib.marketdata.L3BookBuilder
replaced(OrderCancelReplaceRequest, String, String, double) - Static method in record class com.quantfinlib.fix.ExecutionReport: Venue-side convenience: confirm a cancel/replace with the new working quantity.
replay(Path, TickFileReader.ReplayHandler) - Static method in class com.quantfinlib.data.TickFileReader: Replays the file as fast as possible.
replayPaced(Path, TickFileReader.ReplayHandler, double) - Static method in class com.quantfinlib.data.TickFileReader: Replays reproducing the recorded inter-tick gaps scaled by speedMultiplier (2.0 = twice real time; individual gaps are capped at 10 s).
report() - Method in class com.quantfinlib.regulatory.BestExecutionAnalyzer
report(double[][], double) - Method in class com.quantfinlib.crb.CentralRiskBook: The book-level risk report.
Report - Class in com.quantfinlib.report: Format-agnostic report model: an ordered list of titled table sections.
Report(String, double, double, double, double, double, double, int, double[]) - Constructor for record class com.quantfinlib.alpha.SignalEvaluator.Report: Creates an instance of a Report record class.
Report.Builder - Class in com.quantfinlib.report
Report.Section - Record Class in com.quantfinlib.report: A report section: either tabular (headers + rows) or raw HTML content such as an inline SVG chart (html != null).
ReportExporter - Interface in com.quantfinlib.report: Renders a Report to a file.
ReportGenerator - Class in com.quantfinlib.report: Professional Report Generator: assembles portfolio summaries, performance analytics, risk analysis, allocations, strategy results, trade history, Monte Carlo results and technical summaries into a Report, and exports to PDF, Excel (.xlsx), HTML or CSV.
ReportGenerator(String) - Constructor for class com.quantfinlib.report.ReportGenerator
reprice(BlackScholes.OptionType, double, double, double, double, double, double) - Method in class com.quantfinlib.pricing.IncrementalGreeks: Full reprice: re-anchors the expansion.
requests(int) - Method in class com.quantfinlib.rfq.RfqDealerScorecard
requireVersion(DataInput, int, String) - Static method in class com.quantfinlib.persist.Checkpoint: Reads and checks a model's leading state-version byte — the shared first line of every readState.
resample(double[], int, Random) - Static method in class com.quantfinlib.backtest.validation.BlockBootstrap: One stationary-bootstrap path (circular, geometric blocks).
RESEND_REQUEST - Static variable in class com.quantfinlib.fix.FixMessage
reservationPrice(double, double, double, double) - Method in class com.quantfinlib.trading.AvellanedaStoikov: The inventory-shaded fair value: mid − inventory·γ·σ²·τ.
reserveFraction(boolean) - Method in class com.quantfinlib.microstructure.ClosingAuctionModel: The fraction of the remaining parent to hold back for the auction.
reset() - Method in class com.quantfinlib.util.LatencyRecorder
RESET_SEQ_NUM_FLAG - Static variable in class com.quantfinlib.fix.FixMessage
resetOnLogon() - Method in record class com.quantfinlib.fix.FixSession.Config: Returns the value of the resetOnLogon record component.
residual(double[], double[][], double[]) - Static method in class com.quantfinlib.crb.HedgeOptimizer: Post-hedge factor exposures e + L·h.
residualGreeks(double[], GreekHedger.Instrument[], double[]) - Static method in class com.quantfinlib.hedging.GreekHedger: Residual portfolio Greeks after applying the hedge quantities (for verification).
responseNanos(int) - Method in class com.quantfinlib.rfq.RfqAuction: Time from the request to this dealer's FIRST response, or -1 if the dealer never quoted this auction (a later pull does not erase that they showed up).
restingOrders() - Method in class com.quantfinlib.marketdata.L3BookBuilder
restingOrders() - Method in class com.quantfinlib.orderbook.HftOrderBook: Orders currently resting in the book (pool slots in use).
restingQty(Side) - Method in class com.quantfinlib.execution.DarkPoolSimulator: Total hidden resting quantity on a side (for simulation introspection only).
restrictSymbol(String) - Method in class com.quantfinlib.risk.PreTradeLimitChecker
Result(double[][], double, double) - Constructor for record class com.quantfinlib.risk.CovarianceShrinkage.Result: Creates an instance of a Result record class.
Result(double[], double[], double, double, int) - Constructor for record class com.quantfinlib.alpha.FamaMacBeth.Result: Creates an instance of a Result record class.
Result(double[], double[], PerformanceMetrics, PerformanceMetrics, double, double, double, double, double) - Constructor for record class com.quantfinlib.alpha.AlphaBacktester.Result: Creates an instance of a Result record class.
Result(double[], PerformanceMetrics, double, double, Map<String, Double>, double, int) - Constructor for record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Result: Creates an instance of a Result record class.
Result(double, double) - Constructor for record class com.quantfinlib.microstructure.VarianceRatio.Result: Creates an instance of a Result record class.
Result(double, double, double, double, double, double, double) - Constructor for record class com.quantfinlib.backtest.BenchmarkComparison.Result: Creates an instance of a Result record class.
Result(double, double, double, double, double, double, double) - Constructor for record class com.quantfinlib.backtest.validation.MonteCarloTradeShuffle.Result: Creates an instance of a Result record class.
Result(double, double, PnlAttribution.Zone) - Constructor for record class com.quantfinlib.risk.PnlAttribution.Result: Creates an instance of a Result record class.
Result(double, int, double[]) - Constructor for record class com.quantfinlib.backtest.validation.OverfitProbability.Result: Creates an instance of a Result record class.
Result(double, int, double, List<DrawdownAnalytics.Drawdown>) - Constructor for record class com.quantfinlib.backtest.DrawdownAnalytics.Result: Creates an instance of a Result record class.
Result(double, long, long) - Constructor for record class com.quantfinlib.microstructure.Auction.Result: Creates an instance of a Result record class.
Result(int, double, double, double, double, double, int, int, double, double, double) - Constructor for record class com.quantfinlib.backtest.TradeAnalytics.Result: Creates an instance of a Result record class.
Result(long, boolean, double, double, double, double, double) - Constructor for record class com.quantfinlib.backtest.ExecutionAlgoBacktester.Result: Creates an instance of a Result record class.
retrieve(long) - Method in class com.quantfinlib.fix.FileSessionStore
retrieve(long) - Method in class com.quantfinlib.fix.FixSessionStore.InMemory
retrieve(long) - Method in interface com.quantfinlib.fix.FixSessionStore: The stored message at seq, or null (admin / never sent).
returnOver(int, int, int) - Method in class com.quantfinlib.alpha.AlphaContext: Simple return of symbol i over (fromIndex, toIndex] — the forward-return building block evaluation and backtesting share.
returnPct() - Method in record class com.quantfinlib.backtest.Trade: Returns the value of the returnPct record component.
returns() - Method in class com.quantfinlib.core.BarSeries: Simple (arithmetic) returns; length = size - 1.
returnsOf(double[]) - Static method in class com.quantfinlib.alpha.AlphaReport: Per-bar simple returns of an equity curve — the input to attribution/rolling.
reverseConvertible(double, double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.StructuredNotes: Fair value of a vanilla reverse convertible of face par.
reverseConvertibleDelta(double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.StructuredNotes: Delta of the reverse convertible: short put makes the holder LONG the stock.
reverseStress(double[], double[][], double) - Static method in class com.quantfinlib.risk.StressTester: The most-probable factor move (under Gaussian factors with covariance Σ) that loses exactly targetLoss on a linear book — closed form, no search.
ReverseStress(double[], double) - Constructor for record class com.quantfinlib.risk.StressTester.ReverseStress: Creates an instance of a ReverseStress record class.
reversionBps() - Method in record class com.quantfinlib.regulatory.FixAnalyzer.FixImpactReport: Returns the value of the reversionBps record component.
RfqAuction - Class in com.quantfinlib.rfq: One request-for-quote auction — how equity derivatives actually trade.
RfqAuction(boolean, double, int, long) - Constructor for class com.quantfinlib.rfq.RfqAuction
RfqDealerScorecard - Class in com.quantfinlib.rfq: Streaming per-dealer RFQ quality — the structured-products sibling of execution.VenueScorecard and fx.LpScorecard: over many auctions, which dealers actually show up, how fast, how competitively, and how often they win.
RfqDealerScorecard(int) - Constructor for class com.quantfinlib.rfq.RfqDealerScorecard: 5% per-auction weight.
RfqDealerScorecard(int, double) - Constructor for class com.quantfinlib.rfq.RfqDealerScorecard
rho() - Method in record class com.quantfinlib.hedging.OptionsBook.BookGreeks: Returns the value of the rho record component.
rho() - Method in record class com.quantfinlib.pricing.BlackScholes.Greeks: Returns the value of the rho record component.
rho() - Method in record class com.quantfinlib.pricing.Heston.Params: Returns the value of the rho record component.
rho() - Method in record class com.quantfinlib.pricing.SabrModel.Params: Returns the value of the rho record component.
rho(BlackScholes.OptionType, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.BlackScholes: Per 1.00 change in the domestic rate.
RingBuffer<E> - Class in com.quantfinlib.marketdata: Bounded lock-free single-producer / single-consumer ring buffer for ultra-low-latency event passing: no locks, no allocation on the hot path, power-of-two indexing.
RingBuffer(int) - Constructor for class com.quantfinlib.marketdata.RingBuffer
ringFullCount() - Method in class com.quantfinlib.marketdata.HftMarketDataBus: Failed publish attempts due to a full ring (backpressure events).
ringFullCount() - Method in class com.quantfinlib.trading.HftOrderGateway
rising(double[], int) - Static method in class com.quantfinlib.dsl.Rules: a has risen on each of the last bars bars.
risk(double[], double[][]) - Static method in class com.quantfinlib.crb.HedgeOptimizer: Portfolio stdev of an exposure vector under Σ — the risk being cut.
riskAversion() - Method in record class com.quantfinlib.microstructure.AlmgrenChriss.Params: Returns the value of the riskAversion record component.
riskAversionForFrontLoad(AlmgrenChriss.Params, double) - Static method in class com.quantfinlib.execution.ImplementationShortfallScheduler: Convenience urgency calibration: the risk aversion whose first slice is roughly frontLoadFraction of the parent (e.g. 0.3 = "30% up front"), found by bisection on λ.
riskContributions() - Method in record class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport: Returns the value of the riskContributions record component.
riskContributions(double[][]) - Method in class com.quantfinlib.risk.PortfolioRiskAnalyzer: Risk decomposition: each asset's fractional contribution to total portfolio variance (w_i * (Cov·w)_i / (w'·Cov·w)).
riskContributions(double[], double[][]) - Static method in class com.quantfinlib.optimization.RiskParityOptimizer: Each asset's fractional contribution to portfolio variance under weights w.
riskGate() - Method in class com.quantfinlib.trading.HftOrderGateway
RiskMetric - Interface in com.quantfinlib.risk: Pluggable risk metric over a periodic return series.
RiskMetricRegistry - Class in com.quantfinlib.risk: Custom Risk Metrics Framework: registry of built-in and user-defined risk metrics, evaluated together over a return series.
RiskMetricRegistry() - Constructor for class com.quantfinlib.risk.RiskMetricRegistry
riskMetrics() - Static method in class com.quantfinlib.volatility.EwmaVolatility: The classic RiskMetrics daily decay (λ = 0.94).
RiskMetrics - Class in com.quantfinlib.risk: Core quantitative risk metrics.
RiskParityOptimizer - Class in com.quantfinlib.optimization: Risk parity: the portfolio where every asset contributes equally to total risk (w_i (Σw)_i equal across assets).
RiskReport(double, double, double, double, double, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, double[][]) - Constructor for record class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport: Creates an instance of a RiskReport record class.
riskScore(double[]) - Method in class com.quantfinlib.ml.VolatilityForecaster: Intelligent risk score in [0, 100]: the percentile of the forecast within the distribution of historically realized volatilities.
riskyAnnuity(CreditCurve, YieldCurve, double) - Static method in class com.quantfinlib.credit.CdsPricer: PV of 1bp-per-year premium stream per unit spread (the risky annuity / risky DV01 base).
rmse() - Method in record class com.quantfinlib.pricing.SabrModel.Params: Returns the value of the rmse record component.
rmse() - Method in record class com.quantfinlib.rates.NelsonSiegel.Fit: Returns the value of the rmse record component.
rmse() - Method in record class com.quantfinlib.rates.Svensson.Fit: Returns the value of the rmse record component.
rmse(double[][], double[]) - Method in class com.quantfinlib.ml.GradientBoostedRegressor: Root mean squared error on a labeled set.
RobustnessResult(double, double, double, double, int) - Constructor for record class com.quantfinlib.alpha.AlphaValidation.RobustnessResult: Creates an instance of a RobustnessResult record class.
roc(double[], int) - Static method in class com.quantfinlib.indicators.Indicators: Rate of change, percent: (v[i] / v[i-period] - 1) * 100.
roe() - Method in record class com.quantfinlib.screener.Fundamentals: Returns the value of the roe record component.
roeAbove(double) - Static method in class com.quantfinlib.screener.FundamentalFilters
rogersSatchell(double[], double[], double[], double[], double) - Static method in class com.quantfinlib.volatility.RangeVolatility: Rogers-Satchell (drift-independent) estimator, annualized.
rogersSatchell(BarSeries, double) - Static method in class com.quantfinlib.volatility.RangeVolatility: Rogers-Satchell over a whole BarSeries.
roll(LocalDate, BusinessCalendar.Roll) - Method in class com.quantfinlib.rates.BusinessCalendar: Applies the roll convention to a date.
rollCost(CurrencyPair, double, double) - Static method in class com.quantfinlib.fx.FxSwap: Cost in quote currency of rolling a base position one day at a quoted tom-next rate: what a position holder pays (or earns, when negative) to push settlement from tomorrow to the next day.
rollDay() - Method in class com.quantfinlib.microstructure.SpreadForecaster: Closes the session: folds today's per-bucket mean spreads into the baseline with the day-over-day EWMA (buckets with no observations keep their learned value) and resets the intraday state.
rollDay() - Method in class com.quantfinlib.microstructure.VolatilityCurve: Closes the session: folds today's per-bucket mean vol into the baseline (buckets without observations keep their learned value).
rollDay() - Method in class com.quantfinlib.microstructure.VolumeCurve: Closes the session: folds today into the learned profile and resets the intraday state.
rollDays() - Method in class com.quantfinlib.execution.FuturesRollAlgo
rolled() - Method in class com.quantfinlib.execution.FuturesRollAlgo
rollingSharpe(double[], int, int) - Static method in class com.quantfinlib.alpha.AlphaReport: Rolling annualized Sharpe over a trailing window of per-bar returns; NaN until the window fills.
rollingStd(double[], int) - Static method in class com.quantfinlib.indicators.Indicators: Rolling population standard deviation.
rollSpread(double[]) - Static method in class com.quantfinlib.microstructure.LiquidityMeasures: Roll's implied effective spread from trade/close prices (same units as the prices).
round(double) - Method in class com.quantfinlib.fx.CurrencyPair: Rounds a raw price to the pair's quoted precision (half-up).
roundDown(double) - Method in class com.quantfinlib.microstructure.TickSizeSchedule: Rounds down to the grid — the passive direction for a buy order.
roundDownClamped(double) - Method in class com.quantfinlib.microstructure.TickSizeSchedule: TickSizeSchedule.roundDown(double) with the clamped tick — total over any price, for hot paths (a quoter's skewed bid can drift below the first band, and throwing inside a bus listener would kill the consumer thread; the risk gate downstream is the right place to refuse bad prices).
roundNearest(double) - Method in class com.quantfinlib.microstructure.TickSizeSchedule: Rounds to the nearest grid point (marks, reference prices).
roundUp(double) - Method in class com.quantfinlib.microstructure.TickSizeSchedule: Rounds up to the grid — the passive direction for a sell order.
roundUpClamped(double) - Method in class com.quantfinlib.microstructure.TickSizeSchedule: TickSizeSchedule.roundUp(double) with the clamped tick — see TickSizeSchedule.roundDownClamped(double).
route(boolean, double) - Method in class com.quantfinlib.fx.LpRouter: Chooses the LP for a full-amount clip.
route(double, double, CrbRouter.DarkVenue[], double, double) - Static method in class com.quantfinlib.crb.CrbRouter: Routes notional (positive, in book-currency units).
route(Side, long, int, long[]) - Method in class com.quantfinlib.execution.HftSor: Routes a marketable order across venues by best all-in price (quote ± fee), splitting at displayed size.
route(Side, long, List<VenueQuote>) - Method in class com.quantfinlib.execution.AdaptiveSor: Routes a marketable parent of quantity.
route(Side, long, List<VenueQuote>, boolean) - Static method in class com.quantfinlib.execution.SmartOrderRouter
routeCount() - Method in class com.quantfinlib.execution.HftSor
routeCount() - Method in class com.quantfinlib.fx.LpRouter
routed() - Method in record class com.quantfinlib.crb.InternalizationEngine.Decision: Returns the value of the routed record component.
routedNotional() - Method in class com.quantfinlib.crb.InternalizationEngine
routedQty() - Method in record class com.quantfinlib.execution.AdaptiveSor.RoutingDecision: Returns the value of the routedQty record component.
routedQty() - Method in record class com.quantfinlib.execution.SmartOrderRouter.RoutingPlan: Returns the value of the routedQty record component.
RouteLeg(String, double, long, boolean) - Constructor for record class com.quantfinlib.execution.SmartOrderRouter.RouteLeg: Creates an instance of a RouteLeg record class.
routerCost() - Method in class com.quantfinlib.crb.CrbPnlLedger
RoutingDecision(List<SmartOrderRouter.RouteLeg>, List<SmartOrderRouter.RouteLeg>, long, long) - Constructor for record class com.quantfinlib.execution.AdaptiveSor.RoutingDecision: Creates an instance of a RoutingDecision record class.
RoutingPlan(List<SmartOrderRouter.RouteLeg>, long, long, double) - Constructor for record class com.quantfinlib.execution.SmartOrderRouter.RoutingPlan: Creates an instance of a RoutingPlan record class.
rows() - Method in record class com.quantfinlib.report.Report.Section: Returns the value of the rows record component.
rsi(double[], int) - Static method in class com.quantfinlib.indicators.Indicators: Relative Strength Index (Wilder smoothing).
rsi(int) - Static method in class com.quantfinlib.alpha.Factors: Contrarian RSI: (50 − RSI) / 50, in [−1, +1].
Rsi(int) - Constructor for class com.quantfinlib.indicators.StreamingIndicators.Rsi
rsiAbove(int, double) - Static method in class com.quantfinlib.screener.TechnicalFilters
rsiBelow(int, double) - Static method in class com.quantfinlib.screener.TechnicalFilters
RsiStrategy - Class in com.quantfinlib.backtest.strategies: RSI mean reversion: buy when RSI crosses up through the oversold level, sell when it crosses down through the overbought level.
RsiStrategy(int, double, double) - Constructor for class com.quantfinlib.backtest.strategies.RsiStrategy
rSquared() - Method in record class com.quantfinlib.alpha.AlphaReport.Attribution: Returns the value of the rSquared record component.
rSquared() - Method in record class com.quantfinlib.volatility.VolatilityDecomposition.Decomposition: Returns the value of the rSquared record component.
Rule - Interface in com.quantfinlib.dsl: A boolean condition over a bar index, typically closing over precomputed indicator arrays.
Rules - Class in com.quantfinlib.dsl: Factory of common Rules over indicator arrays.
run(AlphaContext, AlphaFactor, AlphaBacktester.Config) - Static method in class com.quantfinlib.alpha.AlphaBacktester: Runs with the standard z-score construction (gross 1.0, 5% name cap).
run(AlphaContext, AlphaFactor, AlphaBacktester.Config, AlphaBacktester.WeightBuilder) - Static method in class com.quantfinlib.alpha.AlphaBacktester: Runs with a caller-supplied construction pipeline.
run(PortfolioStrategy, Map<String, BarSeries>, PortfolioBacktester.Config) - Static method in class com.quantfinlib.backtest.portfolio.PortfolioBacktester: Classic run: every supplied symbol is tradeable on every bar.
run(PortfolioStrategy, Map<String, BarSeries>, PortfolioBacktester.Config, PointInTimeUniverse, Map<String, List<CorporateActions.CorporateAction>>) - Static method in class com.quantfinlib.backtest.portfolio.PortfolioBacktester: Survivorship-aware run (see the class doc for semantics).
run(TickStrategy, Path, TickBacktester.Config) - Static method in class com.quantfinlib.backtest.tick.TickBacktester: Replays the tick file through the strategy and returns the result.
run(TradingStrategy, BarSeries, BacktestConfig) - Static method in class com.quantfinlib.backtest.Backtester
run(TradingStrategy, BarSeries, BacktestConfig, int) - Static method in class com.quantfinlib.backtest.Backtester: Variant with a WARM-UP prefix: indicators are initialized over the whole series, but no signal is acted on (and no equity recorded) before tradeFrom.
run(TradingStrategy, BarSeries, BacktestConfig, ExecutionModel) - Static method in class com.quantfinlib.backtest.ExecutionAwareBacktester
run(BarSeries, Side, long, BenchmarkExecutor.Benchmark) - Method in class com.quantfinlib.backtest.ExecutionAlgoBacktester: ExecutionAlgoBacktester.run(com.quantfinlib.core.BarSeries, com.quantfinlib.orderbook.Side, long, com.quantfinlib.execution.BenchmarkExecutor.Benchmark, double) for the time/volume benchmarks (no POV rate needed).
run(BarSeries, Side, long, BenchmarkExecutor.Benchmark, double) - Method in class com.quantfinlib.backtest.ExecutionAlgoBacktester: Works parentQty through the session under benchmark and grades it.
run(String[]) - Static method in class com.quantfinlib.cli.Main: Testable entry: 0 = ok, 1 = usage error, 2 = execution failure.
runUpBps() - Method in record class com.quantfinlib.regulatory.FixAnalyzer.FixImpactReport: Returns the value of the runUpBps record component.
rvpi(double, double, double) - Static method in class com.quantfinlib.markets.PrivateMarketAnalytics: RVPI: remaining (appraised) value to paid-in.

S

SabrModel - Class in com.quantfinlib.pricing: SABR stochastic volatility model: Hagan et al. (2002) lognormal implied volatility approximation and smile calibration.
SabrModel.Params - Record Class in com.quantfinlib.pricing: Calibrated SABR parameters and the fit's RMSE in vol points.
sample(Random, double[], double[]) - Method in class com.quantfinlib.risk.GaussianCopula: One Gaussian-copula draw: out[i] are correlated uniforms in (0, 1).
Sample(String, Side, double, long, double, double, long, boolean) - Constructor for record class com.quantfinlib.execution.VenueBenchmark.Sample: Creates an instance of a Sample record class.
sampledEquity() - Method in record class com.quantfinlib.backtest.tick.TickBacktester.TickBacktestResult: Returns the value of the sampledEquity record component.
samples() - Method in class com.quantfinlib.microstructure.AlphaEnsemble
samples() - Method in class com.quantfinlib.microstructure.EwmaCovariance
samples() - Method in class com.quantfinlib.microstructure.JumpRobustVolatility
samples() - Method in class com.quantfinlib.microstructure.KylesLambda
samples() - Method in class com.quantfinlib.microstructure.LeadLagEstimator
samples() - Method in class com.quantfinlib.microstructure.OnlineAlphaLearner
samples() - Method in class com.quantfinlib.util.HiccupMonitor
sampleSize() - Method in record class com.quantfinlib.risk.ExtremeValueTheory.GpdFit: Returns the value of the sampleSize record component.
sampleT(Random, int, double[], double[]) - Method in class com.quantfinlib.risk.GaussianCopula: One Student-t-copula draw with df degrees of freedom: the same correlated Gaussians divided by a shared √(χ²/df) — the SHARED shock is what creates tail dependence (one bad draw drags every factor's tail together).
save(BarSeries, Path) - Static method in class com.quantfinlib.data.CsvBarLoader: Writes the series as timestamp,open,high,low,close,volume with epoch-millis timestamps.
saveIncomingSeq(long) - Method in class com.quantfinlib.fix.FileSessionStore
saveIncomingSeq(long) - Method in class com.quantfinlib.fix.FixSessionStore.InMemory
saveIncomingSeq(long) - Method in interface com.quantfinlib.fix.FixSessionStore
saveOutgoingSeq(long) - Method in class com.quantfinlib.fix.FileSessionStore
saveOutgoingSeq(long) - Method in class com.quantfinlib.fix.FixSessionStore.InMemory
saveOutgoingSeq(long) - Method in interface com.quantfinlib.fix.FixSessionStore
scale() - Method in record class com.quantfinlib.risk.ExtremeValueTheory.GpdFit: Returns the value of the scale record component.
ScaleBenchmark - Class in com.quantfinlib.examples: Scale probe, parameterized: args = [crossCount, measuredTicks, crossMinMove]. 200 direct pairs, crossCount synthetic crosses with legs spread across the direct pairs (~crossCount/100 crosses touched per direct tick).
ScaleBenchmark() - Constructor for class com.quantfinlib.examples.ScaleBenchmark
scenarioGrid(double[], double[]) - Method in class com.quantfinlib.hedging.OptionsBook: Spot×vol scenario Pinvalid input: '&L' grid (full revaluation, no time decay): grid[i][j] = Pinvalid input: '&L' at spot shifted by spotShiftsPct[i] (fraction, 0.05 = +5%) and vol shifted by volShiftsAbs[j] (absolute, 0.02 = +2 vol points).
scenarioPnl(double[], double[]) - Static method in class com.quantfinlib.risk.StressTester: Delta-only scenario P&L: δ'Δx.
scenarioPnl(double[], double[][], double[]) - Static method in class com.quantfinlib.risk.StressTester: Delta-gamma scenario P&L: δ'Δx + ½Δx'ΓΔx.
schedule(long, double[], long) - Static method in class com.quantfinlib.execution.VwapScheduler
schedule(long, int) - Static method in class com.quantfinlib.execution.WmrFixingScheduler: WmrFixingScheduler.schedule(long, long, int) with the standard 5-minute window.
schedule(long, long, int) - Static method in class com.quantfinlib.execution.TwapScheduler: Equal slices at equal intervals starting at t=0.
schedule(long, long, int) - Static method in class com.quantfinlib.execution.WmrFixingScheduler: Even slices across the fixing window.
schedule(AlmgrenChriss.Params, long) - Static method in class com.quantfinlib.execution.ImplementationShortfallScheduler: The optimal IS schedule for the given market parameters.
schedule(LocalDate, LocalDate, int, BusinessCalendar.Roll) - Method in class com.quantfinlib.rates.BusinessCalendar: Coupon payment schedule: unadjusted dates generated backward from maturity every 12/paymentsPerYear months, then rolled.
scheduleDrift(double, BenchmarkExecutor.MarketState) - Method in class com.quantfinlib.execution.BenchmarkExecutor: Schedule drift: executed fraction minus the benchmark's target fraction at scheduleFraction.
scheduleRandomized(long, long, int, double, long) - Static method in class com.quantfinlib.execution.TwapScheduler: Randomized TWAP: slice sizes jittered by up to jitterPct (e.g. 0.3 = ±30%), deterministic for a given seed.
score() - Method in record class com.quantfinlib.ml.AnomalyDetector.Anomaly: Returns the value of the score record component.
score() - Method in record class com.quantfinlib.screener.RankingEngine.ScoredStock: Returns the value of the score record component.
scorecard() - Method in class com.quantfinlib.execution.AdaptiveSor: The scorecard this router learns from (feed fills/misses/probes to it).
ScoredStock(StockSnapshot, double) - Constructor for record class com.quantfinlib.screener.RankingEngine.ScoredStock: Creates an instance of a ScoredStock record class.
scores(AlphaContext, int) - Method in interface com.quantfinlib.alpha.AlphaFactor: Raw scores at index, aligned with the context's symbols.
screen(ScreenFilter...) - Method in class com.quantfinlib.screener.StockScreener: Returns stocks matching every supplied filter.
screenAndRank(RankingEngine, ScreenFilter...) - Method in class com.quantfinlib.screener.StockScreener: Screens then ranks the survivors best-first.
ScreenFilter - Interface in com.quantfinlib.screener: Composable screening predicate over a StockSnapshot.
search(ParameterGrid, StrategyFactory, BarSeries, BacktestConfig, ToDoubleFunction<PerformanceMetrics>) - Static method in class com.quantfinlib.backtest.validation.GridSearchOptimizer
section(String, Checkpoint.StateReader) - Method in class com.quantfinlib.persist.Checkpoint.Reader: Restores one model from the named section.
section(String, Checkpoint.StateWriter) - Method in class com.quantfinlib.persist.Checkpoint.Writer: Serializes one model's state under name.
Section(String, List<String>, List<List<String>>) - Constructor for record class com.quantfinlib.report.Report.Section
Section(String, List<String>, List<List<String>>, String) - Constructor for record class com.quantfinlib.report.Report.Section: Creates an instance of a Section record class.
sections() - Method in class com.quantfinlib.report.Report
sectorNeutralize(double[], String[]) - Static method in class com.quantfinlib.alpha.PortfolioConstruction: Sector neutrality: demeans weights within each sector, so every sector's net weight is exactly zero and the book carries stock selection, not sector bets.
sectorNeutralize(AlphaContext, double[], Map<String, String>) - Static method in class com.quantfinlib.alpha.PortfolioConstruction: PortfolioConstruction.sectorNeutralize(double[], String[]) with alignment by construction: sector labels come as a map keyed by symbol and are resolved against the context's frozen (sorted!)
seedBaseline(double[]) - Method in class com.quantfinlib.microstructure.SpreadForecaster: Seeds the time-of-day baseline from a known shape — optional.
seedBaseline(double[]) - Method in class com.quantfinlib.microstructure.VolatilityCurve: Seeds the baseline from a known shape (same units you will feed) — optional.
seedProfile(double[]) - Method in class com.quantfinlib.microstructure.VolumeCurve: Seeds the profile from a known shape (any positive scale) — optional.
select() - Method in class com.quantfinlib.execution.Ucb1Selector: The arm to use next: each arm once first (in index order), then highest upper confidence bound, ties to the lowest index.
SELL - Enum constant in enum class com.quantfinlib.backtest.Signal
SELL - Enum constant in enum class com.quantfinlib.orderbook.Side
SELL - Static variable in class com.quantfinlib.marketdata.ItchCodec
SELL - Static variable in class com.quantfinlib.microstructure.TradeClassifier
sellOrderId() - Method in record class com.quantfinlib.execution.DarkPoolSimulator.Fill: Returns the value of the sellOrderId record component.
sellSavings(double, CrossRateEngine.Op, double, double, double, double) - Static method in class com.quantfinlib.fx.SyntheticCross: Mirror: extra proceeds per unit of selling via the legs (positive = legs win).
sellSyntheticWins(double, CrossRateEngine.Op, double, double, double, double) - Static method in class com.quantfinlib.fx.SyntheticCross: True when selling through the legs beats the direct bid (NaN-safe: false).
SENDER_COMP_ID - Static variable in class com.quantfinlib.fix.FixMessage
senderCompId() - Method in record class com.quantfinlib.fix.FixSession.Config: Returns the value of the senderCompId record component.
sendExecutionReport(ExecutionReport) - Method in class com.quantfinlib.fix.FixSession: Venue side: sends an execution report for a received order.
SENDING_TIME - Static variable in class com.quantfinlib.fix.FixMessage
sendingTime() - Method in record class com.quantfinlib.fix.FixSessionStore.StoredMessage: Returns the value of the sendingTime record component.
sendNewOrderSingle(String, String, Side, long, double, char) - Method in class com.quantfinlib.fix.FixSession: Sends a NewOrderSingle.
sendOrderCancelReplace(String, String, String, Side, long, double, char) - Method in class com.quantfinlib.fix.FixSession: Sends an OrderCancelReplaceRequest (35=G); limitPrice = NaN = market.
sendOrderCancelRequest(String, String, String, Side, long) - Method in class com.quantfinlib.fix.FixSession: Sends an OrderCancelRequest (35=F) for a working order.
sendReject(long, String) - Method in class com.quantfinlib.fix.FixSession: Sends a session-level Reject (35=3) referring to an inbound message.
senkouA() - Method in record class com.quantfinlib.indicators.Indicators.Ichimoku: Returns the value of the senkouA record component.
senkouB() - Method in record class com.quantfinlib.indicators.Indicators.Ichimoku: Returns the value of the senkouB record component.
sensitivityLadder(double[], double[][], int, double, int) - Static method in class com.quantfinlib.risk.StressTester: The delta-gamma ladder: the same sweep with the swept factor's own curvature ½·Γ_ff·shock² included — the rung table a short-gamma book actually needs, since its down rungs are WORSE than the linear ladder admits (cross-gammas stay out: the other factors are flat by construction).
sensitivityLadder(double[], int, double, int) - Static method in class com.quantfinlib.risk.StressTester: One factor swept over [−range, +range] in steps increments, everything else flat — the sensitivity ladder.
SensitivityResult(String[], double[], double) - Constructor for record class com.quantfinlib.alpha.AlphaValidation.SensitivityResult: Creates an instance of a SensitivityResult record class.
sent(int) - Method in class com.quantfinlib.execution.VenueScorecard
SEQUENCE_RESET - Static variable in class com.quantfinlib.fix.FixMessage
series() - Method in record class com.quantfinlib.screener.StockSnapshot: Returns the value of the series record component.
series(int) - Method in class com.quantfinlib.alpha.AlphaContext: Price series for symbol index i (the panel axis, not the bar).
series(String) - Method in class com.quantfinlib.marketdata.HistoricalDataStore
SeriesAligner - Class in com.quantfinlib.data: Aligns multi-asset bar series onto one shared timeline — the bridge from raw vendor files (CsvBarLoader) to the index-aligned input the PortfolioBacktester requires.
SESSION_REJECT_REASON - Static variable in class com.quantfinlib.fix.FixMessage
sessionShare(int, int) - Method in class com.quantfinlib.ml.IntradayLiquidityForecaster: Share of daily liquidity expected within [fromBucket, toBucket).
sessionVwap() - Method in record class com.quantfinlib.backtest.ExecutionAlgoBacktester.Result: Returns the value of the sessionVwap record component.
setReferencePrice(int, double) - Method in class com.quantfinlib.trading.HftRiskGate: Updates the collar reference (e.g. from the market data bus).
settleFixing(String, double) - Method in class com.quantfinlib.crb.CentralRiskBook: Releases notional (positive, gross) of pending fixing after the fixing occurs — without this the pending number only ever grows and goes stale the day after the first fixing.
settlementAmount(double) - Method in class com.quantfinlib.fx.Ndf: Cash settlement in base (deliverable) currency once the official fixing publishes.
settlementDate() - Method in class com.quantfinlib.fx.Ndf
settlementDate(LocalDate, int, BusinessCalendar) - Static method in class com.quantfinlib.rates.BondPricer: Settlement date from a trade date and settlement lag (e.g.
SettlementLeg(String, String, double, long, String, double, long) - Constructor for record class com.quantfinlib.risk.SettlementRiskAnalyzer.SettlementLeg: Creates an instance of a SettlementLeg record class.
SettlementRiskAnalyzer - Class in com.quantfinlib.risk: Settlement (Herstatt) risk: the exposure created when you pay away one currency before receiving the other leg.
SettlementRiskAnalyzer.SettlementLeg - Record Class in com.quantfinlib.risk: One settlement instruction pair: we pay one leg and receive the other.
shape() - Method in record class com.quantfinlib.risk.ExtremeValueTheory.GpdFit: Returns the value of the shape record component.
shardCount() - Method in class com.quantfinlib.trading.ShardedTradingEngine
ShardedTradingEngine - Class in com.quantfinlib.trading: Horizontal scaling as shipped machinery, not a recipe: N independent bus → risk gate → order gateway stacks (one consumer core and one venue core per shard) behind a single symbol-routing facade.
ShardedTradingEngine(int, int, int, int, boolean, IntFunction<HftRiskGate>) - Constructor for class com.quantfinlib.trading.ShardedTradingEngine
ShardScaleBenchmark - Class in com.quantfinlib.examples: Horizontal-scaling probe: 300 direct symbols spread across k shards, all quoted two-sided on every tick (conflation off = worst case), single producer round-robin. args[0] = shard count.
ShardScaleBenchmark() - Constructor for class com.quantfinlib.examples.ShardScaleBenchmark
shares() - Method in class com.quantfinlib.marketdata.ItchCodec.View: A/F/P: displayed shares.
shares(Map<String, Double>) - Static method in class com.quantfinlib.risk.ConcentrationRisk: |Exposure| share per group key.
sharesAhead() - Method in class com.quantfinlib.microstructure.QueuePositionEstimator: Expected shares ahead of our order right now.
sharesAhead(long) - Method in class com.quantfinlib.marketdata.L3BookBuilder: Shares queued ahead of a tracked order right now; -1 when the ref is not tracked (never was, or it filled / was deleted / was replaced).
sharpe() - Method in record class com.quantfinlib.optimization.PortfolioOptimizer.Allocation: Returns the value of the sharpe record component.
sharpeRatio() - Method in record class com.quantfinlib.backtest.PerformanceMetrics: Returns the value of the sharpeRatio record component.
sharpeRatio() - Method in record class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport: Returns the value of the sharpeRatio record component.
sharpeRatio(double[], double, int) - Static method in class com.quantfinlib.risk.RiskMetrics: Annualized Sharpe ratio; riskFreeRate is annual.
sharpeSamples(double[], int, int, int, long) - Static method in class com.quantfinlib.backtest.validation.BlockBootstrap: The bootstrap distribution of ANNUALIZED Sharpe, sorted ascending — read percentiles with MathUtils.percentileSorted.
SharpeValidation - Class in com.quantfinlib.backtest.validation: Sharpe ratio significance tests (Bailey & López de Prado): Probabilistic Sharpe Ratio — the probability the true Sharpe exceeds a benchmark, adjusting for track length and non-normal returns (skew, kurtosis). Deflated Sharpe Ratio — PSR against the Sharpe you'd expect from the best of N random trials: the multiple-testing haircut for a strategy picked from a parameter grid.
shocks() - Method in record class com.quantfinlib.risk.StressTester.ReverseStress: Returns the value of the shocks record component.
shortfallBps() - Method in record class com.quantfinlib.backtest.ExecutionAlgoBacktester.Result: Returns the value of the shortfallBps record component.
shortRate() - Method in record class com.quantfinlib.rates.NelsonSiegel.Fit: The short-rate limit z(0+) = b0 + b1 (exact in the model).
shortRate() - Method in record class com.quantfinlib.rates.Svensson.Fit: The short-rate limit z(0+) = b0 + b1 (exact in the model).
ShortRateModels - Class in com.quantfinlib.rates: The three classic short-rate models, each answering "what is a zero-coupon bond worth if the short rate follows this SDE?"
shrink(double[][]) - Static method in class com.quantfinlib.risk.CovarianceShrinkage: Convenience: the shrunk matrix only.
side() - Method in record class com.quantfinlib.backtest.ParentOrder: Returns the value of the side record component.
side() - Method in class com.quantfinlib.execution.BenchmarkExecutor
side() - Method in record class com.quantfinlib.execution.VenueBenchmark.Sample: Returns the value of the side record component.
side() - Method in record class com.quantfinlib.fix.ExecutionReport: Returns the value of the side record component.
side() - Method in class com.quantfinlib.fix.FixExecReportView: Tag 54: '1' buy, '2' sell.
side() - Method in record class com.quantfinlib.fix.NewOrderSingle: Returns the value of the side record component.
side() - Method in record class com.quantfinlib.fix.OrderCancelReplaceRequest: Returns the value of the side record component.
side() - Method in record class com.quantfinlib.fix.OrderCancelRequest: Returns the value of the side record component.
side() - Method in class com.quantfinlib.marketdata.ItchCodec.View: A/F/P: ItchCodec.BUY or ItchCodec.SELL.
side() - Method in record class com.quantfinlib.microstructure.Execution: Returns the value of the side record component.
side() - Method in class com.quantfinlib.orderbook.LimitOrder
side() - Method in record class com.quantfinlib.regulatory.BestExecutionAnalyzer.OrderOutcome: Returns the value of the side record component.
side() - Method in record class com.quantfinlib.risk.PreTradeLimitChecker.OrderRequest: Returns the value of the side record component.
side() - Method in class com.quantfinlib.sbe.OrderFlyweight
Side - Enum Class in com.quantfinlib.orderbook: Order side.
SIDE - Static variable in class com.quantfinlib.fix.FixMessage
sigma() - Method in record class com.quantfinlib.microstructure.OrnsteinUhlenbeck.Params: Returns the value of the sigma record component.
sigmaV() - Method in record class com.quantfinlib.pricing.Heston.Params: Returns the value of the sigmaV record component.
sign() - Method in enum class com.quantfinlib.orderbook.Side: +1 for BUY, -1 for SELL — for signed cost/slippage arithmetic.
sign() - Method in enum class com.quantfinlib.pricing.BlackScholes.OptionType
signal() - Method in record class com.quantfinlib.indicators.Indicators.Macd: Returns the value of the signal record component.
signal() - Method in class com.quantfinlib.indicators.StreamingIndicators.Macd
Signal - Enum Class in com.quantfinlib.backtest: Trading signal emitted by a strategy for a single bar.
SignalEngine - Class in com.quantfinlib.microstructure: The unified streaming signal engine: one multi-symbol, hot-lane component that turns raw top-of-book quotes and trade prints into the five signal families a trading decision reads — for equities and FX alike (prices are doubles; equity integer ticks are exact in a double, FX rates feed in directly): Imbalance — order-flow imbalance (Cont-Kukanov-Stoikov, time-decayed), inside queue imbalance and signed trade-flow imbalance, via a per-symbol FlowSignals; Fair value — the size-weighted microprice (FairValueEngine.microprice); Volatility — a streaming EWMA realized-variance rate over irregular tick arrivals: per valid mid change, r² / dt enters a time-decayed average, and SignalEngine.volPerSqrtSecond(int) is its square root — multiply by √(seconds per year) to annualize externally; Liquidity — time-decayed EWMAs of the absolute spread (and SignalEngine.spreadBps(int) of mid), displayed top-of-book depth, and quote arrival intensity (from the decayed inter-quote gap); Momentum — two time-aware EMAs of the mid (decay by elapsed time, not by update count — constant-step EMAs like indicators.StreamingIndicators mis-weight irregular tick arrivals), read as the normalized fast/slow gap (fast − slow)/mid.
SignalEngine(int) - Constructor for class com.quantfinlib.microstructure.SignalEngine
SignalEngine(int, SignalEngine.Config) - Constructor for class com.quantfinlib.microstructure.SignalEngine
SignalEngine.Config - Record Class in com.quantfinlib.microstructure: Half-lives (all in nanos) for the decayed estimators, plus the composite weights.
SignalEvaluator - Class in com.quantfinlib.alpha: Signal evaluation — the metrics that decide whether a factor is worth constructing a portfolio from, computed before any backtest so weak signals die cheaply: IC (information coefficient) — Spearman rank correlation between scores at t and forward returns over (t, t+horizon], per evaluation date.
SignalEvaluator.QuantileReport - Record Class in com.quantfinlib.alpha: Mean forward return per score quantile — the picture behind the IC: meanReturns()[0] is the average forward return of the lowest-scored names, the last entry of the highest-scored, and SignalEvaluator.QuantileReport.spread() is the top-minus-bottom long/short return per period.
SignalEvaluator.Report - Record Class in com.quantfinlib.alpha: The evaluation scorecard; SignalEvaluator.Report.format() renders it for humans.
signalIndex() - Method in record class com.quantfinlib.backtest.ParentOrder: Returns the value of the signalIndex record component.
signConsistency() - Method in record class com.quantfinlib.alpha.AlphaValidation.CrossValidationResult: Fraction of blocks where the IC kept the overall sign.
simulate(double, double, double, int, int) - Method in class com.quantfinlib.simulation.MonteCarloSimulator: Single-asset / whole-portfolio GBM simulation with daily steps.
simulate(BlackScholes.OptionType, double, double, double, double, double, double, double, int, int, DeltaHedger.Config) - Method in class com.quantfinlib.hedging.HedgingSimulator
simulatePortfolio(double, double[], double[], double[][], int, int) - Method in class com.quantfinlib.simulation.MonteCarloSimulator: Correlated multi-asset portfolio simulation using daily mean returns and daily covariance (e.g. estimated from historical returns).
simulateShortOption(BlackScholes.OptionType, double, double, double, double, double, double[], double, DeltaHedger.Config) - Static method in class com.quantfinlib.hedging.DeltaHedger: Simulates a short option delta-hedged along the given path.
SimulationResult - Class in com.quantfinlib.simulation: Analytics over Monte Carlo terminal portfolio values: probabilities, VaR/CVaR, confidence intervals and scenario extremes.
SimulationResult(double, double[]) - Constructor for class com.quantfinlib.simulation.SimulationResult
simulations() - Method in class com.quantfinlib.simulation.SimulationResult
size() - Method in class com.quantfinlib.backtest.validation.ParameterGrid
size() - Method in class com.quantfinlib.core.BarSeries
size() - Method in class com.quantfinlib.crb.CrbHedgeUniverse
size() - Method in class com.quantfinlib.crb.FactorRegistry
size() - Method in class com.quantfinlib.execution.PortfolioExecutor
size() - Method in record class com.quantfinlib.feed.FeedTrade: Returns the value of the size record component.
size() - Method in class com.quantfinlib.marketdata.SymbolRegistry
size() - Method in class com.quantfinlib.risk.Pca
size() - Method in class com.quantfinlib.risk.Portfolio
size() - Method in class com.quantfinlib.sbe.TradeFlyweight
size(int) - Method in class com.quantfinlib.fix.FixMarketDataView
size(int, boolean, int) - Method in class com.quantfinlib.fx.FxTierBook
skew(double, double, double) - Method in class com.quantfinlib.pricing.VolSurface: Smile slope between two strikes, in vol points per unit of strike.
skewBps() - Method in record class com.quantfinlib.crb.SkewedQuoter.Quote: Returns the value of the skewBps record component.
SkewedQuoter - Class in com.quantfinlib.crb: Inventory-skewed two-way pricing — the central risk book's quoting face.
SkewedQuoter.Quote - Record Class in com.quantfinlib.crb: A shaded two-way price.
skewness(double[]) - Static method in class com.quantfinlib.util.MathUtils: Population skewness: m3 / m2^1.5.
skewPerUnit() - Method in record class com.quantfinlib.trading.HftQuoter.Config: Returns the value of the skewPerUnit record component.
skipBars() - Method in record class com.quantfinlib.backtest.portfolio.CrossSectionalMomentum.Config: Returns the value of the skipBars record component.
slice(int, int) - Method in class com.quantfinlib.core.BarSeries: Copy of the bar range [from, toExclusive) as a new series (for train/test splits).
Slice - Record Class in com.quantfinlib.execution: One child slice of an execution schedule.
Slice(long, long) - Constructor for record class com.quantfinlib.execution.Slice: Creates an instance of a Slice record class.
slippageBps() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Config: Returns the value of the slippageBps record component.
slippageDrag() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Result: Returns the value of the slippageDrag record component.
slippageRate() - Method in record class com.quantfinlib.backtest.BacktestConfig: Returns the value of the slippageRate record component.
slippageVsFix(CurrencyPair, double, double) - Static method in class com.quantfinlib.fx.FixingRisk: Realized slippage of an achieved price vs the fix print, in pips (signed, buy side).
slippageVsVwapBps() - Method in record class com.quantfinlib.microstructure.TransactionCostAnalyzer.TcaReport: Returns the value of the slippageVsVwapBps record component.
slowHalfLifeNanos() - Method in record class com.quantfinlib.microstructure.SignalEngine.Config: Returns the value of the slowHalfLifeNanos record component.
sma(double[], int) - Static method in class com.quantfinlib.indicators.Indicators: Simple moving average.
Sma(int) - Constructor for class com.quantfinlib.indicators.StreamingIndicators.Sma
SmaCrossStrategy - Class in com.quantfinlib.backtest.strategies: Golden/death cross: buy when the fast SMA crosses above the slow SMA, sell on the reverse cross.
SmaCrossStrategy(int, int) - Constructor for class com.quantfinlib.backtest.strategies.SmaCrossStrategy
SmartOrderRouter - Class in com.quantfinlib.execution: Smart Order Router: splits a marketable order across venues to minimize the all-in (fee-adjusted) execution price, respecting each venue's displayed/estimated size.
SmartOrderRouter.RouteLeg - Record Class in com.quantfinlib.execution: One child order of the routing plan.
SmartOrderRouter.RoutingPlan - Record Class in com.quantfinlib.execution
SmilePillar(double, double, double[], double[]) - Constructor for record class com.quantfinlib.fx.FxVolSurface.SmilePillar: Creates an instance of a SmilePillar record class.
smoothedHighVolProbability() - Method in record class com.quantfinlib.ml.RegimeDetector.RegimeModel: Returns the value of the smoothedHighVolProbability record component.
snapshot() - Method in class com.quantfinlib.trading.PaperTradingGateway
snapshot(Side, int[], long[]) - Method in class com.quantfinlib.marketdata.L3BookBuilder: Depth snapshot into caller arrays, best-first; returns levels written.
snapshot(Side, int[], long[]) - Method in class com.quantfinlib.orderbook.HftOrderBook: Depth snapshot into caller-provided arrays (absolute ticks + level quantities, best-first): zero allocation.
SOH - Static variable in class com.quantfinlib.fix.FixMessage
solveLinear(double[][], double[]) - Static method in class com.quantfinlib.util.MathUtils: Solves A x = b by Gaussian elimination with partial pivoting.
SorExecution - Class in com.quantfinlib.backtest: Smart-order-routed execution over a synthetic fragmented market.
SorExecution(List<SorExecution.VenueConfig>, double, boolean) - Constructor for class com.quantfinlib.backtest.SorExecution
SorExecution.VenueConfig - Record Class in com.quantfinlib.backtest
sortinoRatio() - Method in record class com.quantfinlib.backtest.PerformanceMetrics: Returns the value of the sortinoRatio record component.
sortinoRatio(double[], double, int) - Static method in class com.quantfinlib.risk.RiskMetrics: Annualized Sortino ratio using downside deviation below the periodic MAR.
Sourcing the data (honesty section) - Search tag in class com.quantfinlib.data.UniverseCsvLoader: Section
spearman(double[], double[]) - Static method in class com.quantfinlib.risk.Dependence: Spearman rank correlation in [-1, 1].
spearmanCorrelation() - Method in record class com.quantfinlib.risk.PnlAttribution.Result: Returns the value of the spearmanCorrelation record component.
Split(int, int, int, int[]) - Constructor for record class com.quantfinlib.backtest.validation.PurgedKFold.Split: Creates an instance of a Split record class.
SPLIT - Enum constant in enum class com.quantfinlib.data.CorporateActions.Type
splits(int, int, int, int) - Static method in class com.quantfinlib.backtest.validation.PurgedKFold
spot() - Method in class com.quantfinlib.commodities.CommodityCurve
spot() - Method in class com.quantfinlib.hedging.OptionsBook
spot() - Method in class com.quantfinlib.pricing.ForwardCurve
spotDate() - Method in class com.quantfinlib.fx.SwapPointsCurve: The spot settlement date all pillar offsets are measured from.
spotDate(LocalDate) - Method in class com.quantfinlib.fx.CurrencyPair: Spot settlement date: spotLagDays joint business days after the trade date (see the class doc for the intermediate-day simplification).
spotLagDays() - Method in class com.quantfinlib.fx.CurrencyPair: Spot settlement lag in business days (T+2, or T+1 exceptions).
spotRate() - Method in class com.quantfinlib.fx.SwapPointsCurve
spread() - Method in record class com.quantfinlib.alpha.SignalEvaluator.QuantileReport: Top-quantile minus bottom-quantile mean forward return.
spread() - Method in record class com.quantfinlib.execution.BenchmarkExecutor.MarketState: Returns the value of the spread record component.
spread() - Method in class com.quantfinlib.fx.AggregatedBook: Composite spread; NaN until both sides are quoted.
spread() - Method in record class com.quantfinlib.hedging.PairsHedger.PairsAnalysis: Returns the value of the spread record component.
spread() - Method in class com.quantfinlib.orderbook.OrderBook
spread(int) - Method in class com.quantfinlib.microstructure.SignalEngine: Time-decayed absolute inside spread (0 until seeded).
SPREAD_SENSITIVITY - Static variable in class com.quantfinlib.execution.BenchmarkExecutor: How hard a 1% relative trading cost (spread fraction of mid plus impact as a fraction) damps aggression: the term is 1/(1 + cost × SPREAD_SENSITIVITY), so a 1% cost halves the pace and a 2-pip FX spread (~0.002%) barely registers.
spreadBps() - Method in record class com.quantfinlib.backtest.ExecutionAlgoBacktester.Config: Returns the value of the spreadBps record component.
spreadBps() - Method in record class com.quantfinlib.backtest.tick.TickBacktester.Config: Returns the value of the spreadBps record component.
spreadBps(int) - Method in class com.quantfinlib.microstructure.SignalEngine: Decayed spread as basis points of the current mid; NaN before a mid.
spreadBps(OrderBook) - Static method in class com.quantfinlib.orderbook.BookAnalytics
spreadCaptured() - Method in class com.quantfinlib.crb.CrbPnlLedger: Spread captured by internalizing, net of improvement given back.
spreadDrag() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Result: Returns the value of the spreadDrag record component.
SpreadExecutionAlgo - Class in com.quantfinlib.execution: Two-legged spread execution with LEGGING-RISK control — pairs trades, cash-vs-futures basis, stub-vs-hedge: the trade is the SPREAD, and the risk is the moment you own one leg without the other.
SpreadExecutionAlgo(long, double, long, long) - Constructor for class com.quantfinlib.execution.SpreadExecutionAlgo
SpreadExecutionAlgo.Children - Record Class in com.quantfinlib.execution: This interval's child quantities, per leg.
SpreadForecaster - Class in com.quantfinlib.microstructure: Short-term spread prediction.
SpreadForecaster() - Constructor for class com.quantfinlib.microstructure.SpreadForecaster: 78 equity buckets, 10% day weight, 5-second reversion.
SpreadForecaster(int, double, long) - Constructor for class com.quantfinlib.microstructure.SpreadForecaster
spreadToFairBps(double) - Method in class com.quantfinlib.rfq.RfqAuction: RfqAuction.winnerSpreadToFairBps() for any price (e.g. a losing quote).
spreadTolerance() - Method in record class com.quantfinlib.execution.LiquiditySeekingAlgo.Config: Returns the value of the spreadTolerance record component.
squareRootImpactBps(double) - Method in class com.quantfinlib.microstructure.MarketImpactModel: Square-root-law total impact for an order of quantity.
standaloneDeskVar() - Method in record class com.quantfinlib.crb.CentralRiskBook.CrbReport: Returns the value of the standaloneDeskVar record component.
start() - Method in class com.quantfinlib.feed.WebSocketFeed: Connects and blocks until the first connection is established.
start() - Method in class com.quantfinlib.marketdata.HftMarketDataBus
start() - Method in class com.quantfinlib.marketdata.MarketDataProcessor
start() - Method in class com.quantfinlib.sbe.BinaryMarketDataClient
start() - Method in class com.quantfinlib.sbe.BinaryOrderReceiver
start() - Method in class com.quantfinlib.trading.HftOrderGateway
start() - Method in class com.quantfinlib.trading.ShardedTradingEngine: Starts every shard (subscribe strategies via ShardedTradingEngine.bus(int) first).
start() - Method in class com.quantfinlib.trading.TradingDashboard
start() - Method in class com.quantfinlib.util.HiccupMonitor
start(Duration) - Method in class com.quantfinlib.feed.WebSocketFeed
startIndex() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Config: Returns the value of the startIndex record component.
state() - Method in class com.quantfinlib.microstructure.CircuitBreakers.Luld: Last observed state WITHOUT pause expiry; prefer CircuitBreakers.Luld.state(long) when a paused symbol may be quote-silent.
state(long) - Method in class com.quantfinlib.microstructure.CircuitBreakers.Luld: Current state as of nowNanos, applying pause expiry — paused symbols are exactly the ones that stop quoting, so expiry must be pollable rather than waiting for the next quote.
stationaryStdev() - Method in record class com.quantfinlib.microstructure.OrnsteinUhlenbeck.Params: Stationary standard deviation σ/√(2κ) — the z-score's yardstick.
status(long) - Method in interface com.quantfinlib.trading.OrderGateway
status(long) - Method in class com.quantfinlib.trading.PaperTradingGateway
stdDev() - Method in class com.quantfinlib.hedging.HedgingErrorDistribution
stdDev(double[]) - Static method in class com.quantfinlib.util.MathUtils: Sample standard deviation.
stdDevP(double[], int, int) - Static method in class com.quantfinlib.util.MathUtils: Population standard deviation over [from, to).
stdDevs() - Method in record class com.quantfinlib.ml.RegimeDetector.RegimeModel: Returns the value of the stdDevs record component.
stdDevSample(double[], int, int) - Static method in class com.quantfinlib.util.MathUtils: Sample standard deviation over [from, to).
stochasticRsi(double[], int, int, int, int) - Static method in class com.quantfinlib.indicators.Indicators: Stochastic RSI: stochastic oscillator applied to RSI, with %K and %D smoothing.
StochRsi(double[], double[]) - Constructor for record class com.quantfinlib.indicators.Indicators.StochRsi: Creates an instance of a StochRsi record class.
stock() - Method in class com.quantfinlib.marketdata.ItchCodec.View: A/F/P: symbol as 8 packed ASCII bytes (compare against ItchCodec.packStock(java.lang.String)).
stock() - Method in record class com.quantfinlib.screener.RankingEngine.ScoredStock: Returns the value of the stock record component.
stockLocate() - Method in class com.quantfinlib.marketdata.ItchCodec.View: Per-symbol locate code — the feed's symbol id for the day.
StockScreener - Class in com.quantfinlib.screener: Professional Stock Screener: applies technical and fundamental filters to a universe, optionally ranks matches, and exports results to CSV.
StockScreener(List<StockSnapshot>) - Constructor for class com.quantfinlib.screener.StockScreener
StockSnapshot - Record Class in com.quantfinlib.screener: One screening candidate: symbol, price history, and fundamentals.
StockSnapshot(String, BarSeries, Fundamentals) - Constructor for record class com.quantfinlib.screener.StockSnapshot: Creates an instance of a StockSnapshot record class.
stop() - Method in class com.quantfinlib.marketdata.HftMarketDataBus: Stops the consumer after draining queued ticks.
stop() - Method in class com.quantfinlib.marketdata.MarketDataProcessor: Stops the consumer after draining any queued events.
stop() - Method in class com.quantfinlib.trading.HftOrderGateway: Stops the venue thread after draining queued orders.
stop() - Method in class com.quantfinlib.util.HiccupMonitor
stopLossPct() - Method in record class com.quantfinlib.backtest.BacktestConfig: Returns the value of the stopLossPct record component.
stopLossPct() - Method in interface com.quantfinlib.backtest.TradingStrategy: Optional per-trade stop loss as a fraction (0 = disabled).
stopLossPct() - Method in class com.quantfinlib.dsl.StrategyBuilder.DslStrategy
StoredMessage(String, String, String) - Constructor for record class com.quantfinlib.fix.FixSessionStore.StoredMessage: Creates an instance of a StoredMessage record class.
storeMessage(long, FixSessionStore.StoredMessage) - Method in class com.quantfinlib.fix.FileSessionStore
storeMessage(long, FixSessionStore.StoredMessage) - Method in class com.quantfinlib.fix.FixSessionStore.InMemory
storeMessage(long, FixSessionStore.StoredMessage) - Method in interface com.quantfinlib.fix.FixSessionStore
StrategyBuilder - Class in com.quantfinlib.dsl: Strategy Builder DSL: compose entry/exit rules, stop loss and take profit into a backtestable strategy with a fluent API.
StrategyBuilder.DslStrategy - Class in com.quantfinlib.dsl: A rule-based strategy produced by the builder.
StrategyFactory - Interface in com.quantfinlib.backtest.validation: Builds a strategy instance from one parameter combination.
strategyName() - Method in class com.quantfinlib.backtest.BacktestResult
strategyName() - Method in record class com.quantfinlib.backtest.tick.TickBacktester.TickBacktestResult: Returns the value of the strategyName record component.
StreamingIndicators - Class in com.quantfinlib.indicators: Incremental O(1)-per-tick indicators for live/HFT strategies: update state with each new value instead of recomputing arrays.
StreamingIndicators.Ema - Class in com.quantfinlib.indicators: Exponential moving average seeded with the SMA of the first period values.
StreamingIndicators.Macd - Class in com.quantfinlib.indicators: MACD line, signal and histogram, matching the batch seeding exactly.
StreamingIndicators.Rsi - Class in com.quantfinlib.indicators: Wilder RSI; NaN until period price changes have been observed.
StreamingIndicators.Sma - Class in com.quantfinlib.indicators: Simple moving average over a fixed window; NaN until the window fills.
StreamingIndicators.Vwap - Class in com.quantfinlib.indicators: Cumulative volume-weighted average price.
streamUri(String...) - Static method in class com.quantfinlib.feed.BinanceTradeParser: Public Binance combined-stream endpoint for the given symbols' trades.
stressCalibratedEs(double, double, double) - Static method in class com.quantfinlib.risk.FrtbEs: The stressed-calibration multiplier (MAR33.6): current full-factor ES scaled by the reduced-factor-set ratio between the stressed period and today.
StressTester - Class in com.quantfinlib.risk: Stress testing and scenario analysis — the risk numbers VaR cannot give you, because VaR is calibrated to the recent past and a stress test deliberately is not.
StressTester.ReverseStress - Record Class in com.quantfinlib.risk: The reverse-stress answer: the most-probable shock vector and its distance.
strike() - Method in record class com.quantfinlib.hedging.OptionsBook.OptionPosition: Returns the value of the strike record component.
strikeForDelta(double, double, double, double, boolean, boolean) - Static method in class com.quantfinlib.fx.FxVolSurface: Strike for a target forward delta (call delta in (0,1), put delta in (−1,0)).
strikes() - Method in record class com.quantfinlib.fx.FxVolSurface.SmilePillar: Returns the value of the strikes record component.
strikes(double) - Method in class com.quantfinlib.pricing.VolSurface
StructuredNotes - Class in com.quantfinlib.pricing: STRUCTURED NOTES — the retail shelf, priced the only honest way: by DECOMPOSITION into the vanilla pieces this library already prices.
submit(int, Side, long, double, long) - Method in class com.quantfinlib.trading.HftOrderGateway: Risk-checks and submits one order.
submit(Side, long, long) - Method in class com.quantfinlib.execution.DarkPoolSimulator: Submits an order: crosses immediately against resting contra interest at the current mid (time priority), then rests the remainder.
submitFok(Side, int, long, long) - Method in class com.quantfinlib.orderbook.HftOrderBook: Fill-or-kill: executes the full quantity within the limit price or does nothing at all.
submitIoc(Side, int, long, long) - Method in class com.quantfinlib.orderbook.HftOrderBook: Immediate-or-cancel: a price-limited taker — matches while it crosses, and the remainder expires instead of resting.
submitLimit(int, Side, double, long) - Method in class com.quantfinlib.backtest.tick.TickBacktester
submitLimit(int, Side, double, long) - Method in interface com.quantfinlib.backtest.tick.TickTradingContext: Places a passive limit order.
submitLimit(Side, double, long, long) - Method in class com.quantfinlib.orderbook.OrderBook: Submits a limit order: matches any crossing liquidity, then rests the remainder.
submitLimit(Side, int, long, long) - Method in class com.quantfinlib.orderbook.HftOrderBook: Limit order: matches against the opposite side while it crosses, rests any remainder at priceTick.
submitLimit(String, Side, long, double) - Method in interface com.quantfinlib.trading.OrderGateway: Submits a limit order; returns the order id (status may be REJECTED).
submitLimit(String, Side, long, double) - Method in class com.quantfinlib.trading.PaperTradingGateway
submitMarket(int, Side, long) - Method in class com.quantfinlib.backtest.tick.TickBacktester
submitMarket(int, Side, long) - Method in interface com.quantfinlib.backtest.tick.TickTradingContext: Immediate execution at the last trade price plus half the configured spread (aggressor pays the spread).
submitMarket(Side, long, long) - Method in class com.quantfinlib.orderbook.HftOrderBook: Market order: matches against the whole opposite book, never rests.
submitMarket(Side, long, long) - Method in class com.quantfinlib.orderbook.OrderBook: Submits a market order; any unfilled remainder is discarded.
submitMarket(String, Side, long) - Method in interface com.quantfinlib.trading.OrderGateway: Submits a market order for immediate execution at the touch.
submitMarket(String, Side, long) - Method in class com.quantfinlib.trading.PaperTradingGateway
submitPostOnly(Side, int, long, long) - Method in class com.quantfinlib.orderbook.HftOrderBook: Post-only (add-liquidity-only) limit order: rests at priceTick, or is rejected with HftOrderBook.REJECT_WOULD_CROSS when it would trade on arrival — the maker-fee-preserving order type.
submittedCount() - Method in class com.quantfinlib.trading.HftOrderGateway
subscribe(int, TickListener) - Method in class com.quantfinlib.marketdata.HftMarketDataBus
subscribe(String, MarketDataListener) - Method in class com.quantfinlib.marketdata.MarketDataProcessor
subscribeAll(MarketDataListener) - Method in class com.quantfinlib.marketdata.MarketDataProcessor
subscribeAll(TickListener) - Method in class com.quantfinlib.marketdata.HftMarketDataBus
subtractBusinessDays(LocalDate, int) - Method in class com.quantfinlib.rates.BusinessCalendar: Walks back n >= 0 business days — e.g. a fixing lag before settlement.
summarize(double[], int) - Static method in class com.quantfinlib.alpha.AlphaReport: The full ratio set on an equity curve — Sharpe, Sortino, Calmar, CAGR, max drawdown — computed by the same engine the backtesters use, so definitions never fork between research and backtest reports.
summary() - Method in class com.quantfinlib.util.HiccupMonitor
summary() - Method in class com.quantfinlib.util.LatencyRecorder: One-line summary: p50/p90/p99/p99.9/max in appropriate units.
superTrend(BarSeries, int, double) - Static method in class com.quantfinlib.indicators.Indicators: SuperTrend with ATR bands.
SuperTrend(double[], int[]) - Constructor for record class com.quantfinlib.indicators.Indicators.SuperTrend: Creates an instance of a SuperTrend record class.
superTrendBullish(int, double) - Static method in class com.quantfinlib.screener.TechnicalFilters
suppressedUpdates() - Method in class com.quantfinlib.trading.HftQuoter: Updates suppressed by conflation.
survivalProbability(double) - Method in class com.quantfinlib.credit.CreditCurve: Survival probability Q(t), exact under piecewise-constant hazards.
Svensson - Class in com.quantfinlib.rates: SVENSSON (Nelson-Siegel-Svensson) yield-curve fit — NelsonSiegel with a SECOND curvature hump, the form most central banks actually publish (the ECB's daily curve is exactly this):
Svensson.Fit - Record Class in com.quantfinlib.rates: Fitted parameters plus the fit's root-mean-square error.
SvgCharts - Class in com.quantfinlib.report: Dependency-free inline SVG charts for HTML reports: equity curves and drawdown charts rendered as self-contained SVG strings (no external assets, no JavaScript).
SwapPointsCurve - Class in com.quantfinlib.fx: FX forward (swap-points) curve: the market's quoted forward points per tenor, turned into outright forwards for any settlement date.
SwapPointsCurve.Builder - Class in com.quantfinlib.fx: Accumulates tenor/points quotes, then freezes them into a curve.
swapPointsPips() - Method in class com.quantfinlib.fx.FxSwap: The swap's traded points differential (far − near) in pips — what the two counterparties actually negotiated.
SwapPricer - Class in com.quantfinlib.rates: VANILLA interest-rate swap pricing off the YieldCurve — the missing middle between the curve (which the bootstrap builds FROM par swaps) and RatesOptions (which prices options ON forward swaps): the PV, par rate and DV01 of an actual swap position.
swaption(YieldCurve, int, int, double, double, boolean) - Static method in class com.quantfinlib.rates.RatesOptions: Black-76 swaption price per unit notional.
sweep(OrderBook, Side, long) - Static method in class com.quantfinlib.orderbook.BookAnalytics: Simulates (without mutating the book) sweeping quantity with a marketable order on takerSide: returns achievable fill, VWAP fill price, and impact versus the pre-sweep mid.
sweepBuyCost(double) - Method in class com.quantfinlib.fx.FxTierBook: All-in cost of BUYING size by sweeping ask tiers across LPs, cheapest tier first.
sweepPlan(boolean, double, double[]) - Method in class com.quantfinlib.fx.FxTierBook: Sweep with a plan: outLpQty[lp] receives the quantity taken from each LP (array length ≥ lpCount, fully overwritten).
sweepProbability(long, long) - Static method in class com.quantfinlib.ml.MarketImpactPredictor: Probability a marketable order of orderQty sweeps beyond the visible contra depth at the touch: logistic in the size/depth ratio, 0.5 exactly when the order equals the visible depth.
SweepResult(long, double, double, int) - Constructor for record class com.quantfinlib.orderbook.BookAnalytics.SweepResult: Creates an instance of a SweepResult record class.
sweepSellProceeds(double) - Method in class com.quantfinlib.fx.FxTierBook: Mirror: proceeds of SELLING size into the bid tiers; NaN if unfillable.
symbol() - Method in class com.quantfinlib.backtest.BacktestResult
symbol() - Method in record class com.quantfinlib.backtest.Trade: Returns the value of the symbol record component.
symbol() - Method in class com.quantfinlib.core.BarSeries
symbol() - Method in record class com.quantfinlib.feed.FeedTrade: Returns the value of the symbol record component.
symbol() - Method in record class com.quantfinlib.fix.ExecutionReport: Returns the value of the symbol record component.
symbol() - Method in record class com.quantfinlib.fix.NewOrderSingle: Returns the value of the symbol record component.
symbol() - Method in record class com.quantfinlib.fix.OrderCancelReplaceRequest: Returns the value of the symbol record component.
symbol() - Method in record class com.quantfinlib.fix.OrderCancelRequest: Returns the value of the symbol record component.
symbol() - Method in class com.quantfinlib.fx.CurrencyPair: "EURUSD" style symbol, the natural key for the tick bus.
symbol() - Method in record class com.quantfinlib.marketdata.MarketDataEvent: Returns the value of the symbol record component.
symbol() - Method in record class com.quantfinlib.microstructure.Execution: Returns the value of the symbol record component.
symbol() - Method in class com.quantfinlib.orderbook.OrderBook
symbol() - Method in record class com.quantfinlib.risk.Portfolio.Position: Returns the value of the symbol record component.
symbol() - Method in record class com.quantfinlib.risk.PreTradeLimitChecker.OrderRequest: Returns the value of the symbol record component.
symbol() - Method in record class com.quantfinlib.screener.StockSnapshot: Returns the value of the symbol record component.
symbol(int) - Method in class com.quantfinlib.marketdata.HftMarketDataBus
symbol(int) - Method in class com.quantfinlib.marketdata.SymbolRegistry
SYMBOL - Static variable in class com.quantfinlib.fix.FixMessage
symbolCapacity() - Method in class com.quantfinlib.trading.HftRiskGate: Symbol capacity this gate was sized for (aggregators iterate to it).
symbolCount() - Method in class com.quantfinlib.alpha.AlphaContext
symbolCount() - Method in class com.quantfinlib.microstructure.SignalEngine
symbolEquals(byte[]) - Method in class com.quantfinlib.fix.FixExecReportView: Compares the in-place symbol bytes against a registered ASCII symbol (e.g. the same table FixOrderEncoder holds) — the getter that replaces a String: resolve the dense id by probing your table.
symbolEquals(byte[]) - Method in class com.quantfinlib.fix.FixMarketDataView: In-place symbol comparison — same discipline as FixExecReportView.
symbolId() - Method in class com.quantfinlib.sbe.OrderFlyweight
symbolId() - Method in class com.quantfinlib.sbe.QuoteFlyweight
symbolId() - Method in class com.quantfinlib.sbe.TradeFlyweight
symbolId(String) - Method in class com.quantfinlib.marketdata.HftMarketDataBus
symbolName(int) - Method in class com.quantfinlib.backtest.tick.TickBacktester
symbolName(int) - Method in interface com.quantfinlib.backtest.tick.TickTradingContext: Symbol name for an id from the tick file.
SymbolRegistry - Class in com.quantfinlib.marketdata: Interns instrument symbols to dense int ids so the hot path never touches String hashing or map lookups: resolve the id once at subscription time, then publish and dispatch with primitive ints only.
SymbolRegistry() - Constructor for class com.quantfinlib.marketdata.SymbolRegistry
symbols() - Method in class com.quantfinlib.alpha.AlphaContext: The frozen symbol order every score/weight array aligns with.
symbols() - Method in class com.quantfinlib.marketdata.HistoricalDataStore
symbols() - Method in class com.quantfinlib.microstructure.EwmaCovariance
syntheticAsk(CrossRateEngine.Op, double, double, double, double) - Static method in class com.quantfinlib.fx.SyntheticCross: All-in synthetic ASK (cost to BUY the cross via the legs).
syntheticBid(CrossRateEngine.Op, double, double, double, double) - Static method in class com.quantfinlib.fx.SyntheticCross: All-in synthetic BID (proceeds of SELLING the cross via the legs): the mirror of SyntheticCross.syntheticAsk(com.quantfinlib.fx.CrossRateEngine.Op, double, double, double, double).
SyntheticCross - Class in com.quantfinlib.fx: Direct-versus-synthetic cross execution arithmetic: an FX cross (EURJPY) can be dealt directly or replicated through its liquid legs (buy EURUSD, buy USDJPY), and the cheaper route changes with every quote — direct cross books are thin outside London hours while the USD legs stay tight.
syntheticSeries(String, int, double, double, double, long) - Static method in class com.quantfinlib.examples.QuickStartDemo: Deterministic synthetic GBM daily series with realistic OHLC structure.
systematicVariance() - Method in record class com.quantfinlib.volatility.VolatilityDecomposition.Decomposition: Returns the value of the systematicVariance record component.
systematicVol(int) - Method in record class com.quantfinlib.volatility.VolatilityDecomposition.Decomposition: Annualized systematic volatility.

T

takeProfitPct() - Method in record class com.quantfinlib.backtest.BacktestConfig: Returns the value of the takeProfitPct record component.
takeProfitPct() - Method in interface com.quantfinlib.backtest.TradingStrategy: Optional per-trade take profit as a fraction (0 = disabled).
takeProfitPct() - Method in class com.quantfinlib.dsl.StrategyBuilder.DslStrategy
takerProtectiveRejects() - Method in class com.quantfinlib.trading.LastLookGate: Rejects where the move favored the maker — a symmetric gate produces these in roughly equal measure; their absence in an LP's disclosures is the signature of asymmetric last look.
target() - Method in record class com.quantfinlib.risk.CovarianceShrinkage.Result: Returns the value of the target record component.
TARGET_COMP_ID - Static variable in class com.quantfinlib.fix.FixMessage
targetBand(int) - Method in class com.quantfinlib.crb.CrbAutoHedger: The band the book hedges back INTO for a factor.
targetCompId() - Method in record class com.quantfinlib.fix.FixSession.Config: Returns the value of the targetCompId record component.
targetHedge() - Method in record class com.quantfinlib.hedging.WhalleyWilmott.Action: Returns the value of the targetHedge record component.
targetWeights(int) - Method in class com.quantfinlib.backtest.portfolio.CrossSectionalMomentum
targetWeights(int) - Method in interface com.quantfinlib.backtest.portfolio.PortfolioStrategy: Target weights by symbol as of bar index (decided at that bar's close).
tca(ParentOrder) - Method in class com.quantfinlib.backtest.ExecutionAwareResult: Transaction cost analysis for one parent order: arrival mid = close at the signal bar, market VWAP = volume-weighted close over the fill interval, per-fill mid = close of the fill bar.
TcaReport(long, double, double, double, double, double, double) - Constructor for record class com.quantfinlib.microstructure.TransactionCostAnalyzer.TcaReport: Creates an instance of a TcaReport record class.
tCdf(double, double) - Static method in class com.quantfinlib.util.MathUtils: Student-t CDF with df degrees of freedom — exact via the regularized incomplete beta (P(T ≤ t) = 1 − ½·I_{ν/(ν+t²)}(ν/2, ½) for t ≥ 0), no normal approximation: the tails are precisely where a t distribution and its moment-matched normal disagree most.
TechnicalFilters - Class in com.quantfinlib.screener: Technical screening filters evaluated on the most recent bar.
temporaryImpact() - Method in record class com.quantfinlib.microstructure.AlmgrenChriss.Params: Returns the value of the temporaryImpact record component.
temporaryImpactBps(double) - Method in class com.quantfinlib.microstructure.MarketImpactModel: Temporary (execution-rate) impact at the given participation rate in [0, 1].
tenkan() - Method in record class com.quantfinlib.indicators.Indicators.Ichimoku: Returns the value of the tenkan record component.
tenorDate(LocalDate, String) - Method in class com.quantfinlib.fx.CurrencyPair: Forward settlement date for a market tenor, measured from the pair's spot date.
tenors() - Method in class com.quantfinlib.rates.YieldCurve
tenorYears() - Method in record class com.quantfinlib.risk.CounterpartyExposureTracker.CounterpartyTrade: Returns the value of the tenorYears record component.
terminalEvent(String) - Method in class com.quantfinlib.data.PointInTimeUniverse: The symbol's terminal event, or null while it lives.
TerminalEvent(long, PointInTimeUniverse.EventType, double, double, double, String) - Constructor for record class com.quantfinlib.data.PointInTimeUniverse.TerminalEvent: Creates an instance of a TerminalEvent record class.
test(double[], double[]) - Static method in class com.quantfinlib.risk.PnlAttribution: Runs the PLAT over aligned daily P&L series (250 days is the regulatory window; anything ≥ 20 computes).
test(double[], double[], double) - Static method in class com.quantfinlib.risk.VarBacktest
test(double[], double, double) - Static method in class com.quantfinlib.risk.VarBacktest: Backtests a constant VaR (positive loss fraction) against realized returns.
test(double[], int) - Static method in class com.quantfinlib.microstructure.VarianceRatio
TEST_REQ_ID - Static variable in class com.quantfinlib.fix.FixMessage
TEST_REQUEST - Static variable in class com.quantfinlib.fix.FixMessage
testEnd() - Method in record class com.quantfinlib.alpha.AlphaValidation.Fold: Returns the value of the testEnd record component.
testFrom() - Method in record class com.quantfinlib.backtest.validation.PurgedKFold.Split: Returns the value of the testFrom record component.
testFrom() - Method in record class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.Fold: Returns the value of the testFrom record component.
testStart() - Method in record class com.quantfinlib.alpha.AlphaValidation.Fold: Returns the value of the testStart record component.
testTo() - Method in record class com.quantfinlib.backtest.validation.PurgedKFold.Split: Returns the value of the testTo record component.
testTo() - Method in record class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.Fold: Returns the value of the testTo record component.
TEXT - Static variable in class com.quantfinlib.fix.FixMessage
The honesty mechanism: prequential out-of-sample IC - Search tag in class com.quantfinlib.microstructure.OnlineAlphaLearner: Section
theoreticalForward(double, double, double, double) - Static method in class com.quantfinlib.pricing.ForwardCurve: CIP-theoretical forward from SIMPLE deposit rates (see the convention note on ForwardCurve.impliedRateDifferential(double)).
theta() - Method in record class com.quantfinlib.hedging.OptionsBook.BookGreeks: Returns the value of the theta record component.
theta() - Method in record class com.quantfinlib.microstructure.OrnsteinUhlenbeck.Params: Returns the value of the theta record component.
theta() - Method in record class com.quantfinlib.pricing.BlackScholes.Greeks: Returns the value of the theta record component.
theta() - Method in record class com.quantfinlib.pricing.Heston.Params: Returns the value of the theta record component.
theta() - Method in class com.quantfinlib.pricing.IncrementalGreeks: Anchor theta.
theta(BlackScholes.OptionType, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.BlackScholes: Per year (divide by 365 for per-calendar-day).
thetaPnl() - Method in record class com.quantfinlib.hedging.OptionsBook.PnlExplain: Returns the value of the thetaPnl record component.
THIRTY_360 - Enum constant in enum class com.quantfinlib.rates.DayCount: US (Bond Basis) 30/360 — corporate and agency bonds.
Threading - Search tag in class com.quantfinlib.trading.HftRiskGate: Section
threshold() - Method in record class com.quantfinlib.risk.ExtremeValueTheory.GpdFit: Returns the value of the threshold record component.
throttledCount() - Method in class com.quantfinlib.trading.OrderThrottle: Denials so far — a persistent nonzero rate means the strategy outruns the venue limit.
TickBacktester - Class in com.quantfinlib.backtest.tick: Event-driven tick-level backtester: replays a captured QFLT tick file through a TickStrategy with microstructure-aware fills — the level below the bar-based engines, where queue position decides whether your passive order actually trades.
TickBacktester.Config - Record Class in com.quantfinlib.backtest.tick: tickSize > 0 snaps limit-order matching to the exchange price grid (prices within the same tick are one level); 0 falls back to epsilon equality — use a real tick size with real market data.
TickBacktester.TickBacktestResult - Record Class in com.quantfinlib.backtest.tick
TickBacktestResult(String, List<Execution>, double[], double, long, PerformanceMetrics) - Constructor for record class com.quantfinlib.backtest.tick.TickBacktester.TickBacktestResult: Creates an instance of a TickBacktestResult record class.
TickCapture - Class in com.quantfinlib.data: Records every tick flowing through an HftMarketDataBus into a QFLT tick file: attach once, trade/observe as usual, close to flush — then replay the session deterministically with TickFileReader.
tickCount() - Method in class com.quantfinlib.data.TickFileWriter
TickFileReader - Class in com.quantfinlib.data: Reader/replayer for QFLT tick files (see TickFileWriter).
TickFileReader.ReplayHandler - Interface in com.quantfinlib.data: Replay callbacks: primitive tick data plus symbol definitions as encountered.
TickFileWriter - Class in com.quantfinlib.data: Writer for the QFLT binary tick format — compact capture of live tick streams for deterministic replay (28 bytes per tick, buffered sequential writes).
TickFileWriter(Path) - Constructor for class com.quantfinlib.data.TickFileWriter
tickFor(double) - Method in class com.quantfinlib.microstructure.TickSizeSchedule: The minimum increment in force at a price.
tickForClamped(double) - Method in class com.quantfinlib.microstructure.TickSizeSchedule: Like TickSizeSchedule.tickFor(double), but prices below the first band floor take the first band's tick instead of throwing — for engines (backtesters, quoters) that must stay total over any positive price the market or a strategy can produce.
TickListener - Interface in com.quantfinlib.marketdata: All-primitive tick callback for the HFT hot path: no event object, no boxing, no allocation.
TickRingBuffer - Class in com.quantfinlib.marketdata: Zero-allocation single-producer / single-consumer ring buffer for market data ticks, in the style of the LMAX Disruptor: Preallocated primitive slots — ticks live in parallel int[]/double[]/long[] arrays; nothing is allocated per tick on either side, so the steady-state GC load is zero. Cache-line-padded sequences — head and tail counters are padded to avoid false sharing between the producer and consumer cores. Acquire/release ordering — slot writes are published with a single release store of the tail; no CAS, no locks on the hot path. Sequence caching — each side caches the other's sequence and only re-reads the volatile counter when it appears blocked, removing most cross-core traffic.
TickRingBuffer(int) - Constructor for class com.quantfinlib.marketdata.TickRingBuffer
tickSchedule() - Method in record class com.quantfinlib.backtest.tick.TickBacktester.Config: Returns the value of the tickSchedule record component.
tickSchedule() - Method in record class com.quantfinlib.trading.HftQuoter.Config: Returns the value of the tickSchedule record component.
tickSize() - Method in record class com.quantfinlib.backtest.tick.TickBacktester.Config: Returns the value of the tickSize record component.
TickSizeSchedule - Class in com.quantfinlib.microstructure: Price-banded tick sizes — the MiFID II / ESMA RTS 11 regime where the minimum price increment depends on the instrument's price (and liquidity band), rather than being one flat number.
TickSizeSchedule.Builder - Class in com.quantfinlib.microstructure: Accumulates (floor price, tick) bands; floors may arrive in any order.
ticksProcessed() - Method in record class com.quantfinlib.backtest.tick.TickBacktester.TickBacktestResult: Returns the value of the ticksProcessed record component.
TickStrategy - Interface in com.quantfinlib.backtest.tick: An event-driven strategy for the TickBacktester: sees every tick in sequence and trades through the TickTradingContext.
ticksWritten() - Method in class com.quantfinlib.data.AsyncTickCapture
ticksWritten() - Method in class com.quantfinlib.data.TickCapture
TickTradingContext - Interface in com.quantfinlib.backtest.tick: Order entry and account access for a TickStrategy.
tier(int, boolean, int, double, double) - Method in class com.quantfinlib.fx.FxTierBook: Replaces one tier of one LP's ladder (tier invalid input: '<' maxTiers).
tierCount(int, boolean) - Method in class com.quantfinlib.fx.FxTierBook
tierCount(int, boolean, int) - Method in class com.quantfinlib.fx.FxTierBook: Declares how many tiers of lp's side are now active (0 pulls the side).
TIF_DAY - Static variable in record class com.quantfinlib.fix.NewOrderSingle
TIF_IOC - Static variable in record class com.quantfinlib.fix.NewOrderSingle
TIME_IN_FORCE - Static variable in class com.quantfinlib.fix.FixMessage
timeInForce() - Method in record class com.quantfinlib.fix.NewOrderSingle: Returns the value of the timeInForce record component.
timeInForce() - Method in record class com.quantfinlib.fix.OrderCancelReplaceRequest: Returns the value of the timeInForce record component.
timestamp() - Method in record class com.quantfinlib.core.Bar: Returns the value of the timestamp record component.
timestamp() - Method in record class com.quantfinlib.data.PointInTimeUniverse.TerminalEvent: Returns the value of the timestamp record component.
timestamp(int) - Method in class com.quantfinlib.alpha.AlphaContext: Bar timestamp at index (taken from the first series).
timestamp(int) - Method in class com.quantfinlib.core.BarSeries
timestampMillis() - Method in record class com.quantfinlib.feed.FeedTrade: Returns the value of the timestampMillis record component.
timestampNanos() - Method in class com.quantfinlib.marketdata.ItchCodec.View: Nanoseconds since midnight (48-bit wire field).
timestampNanos() - Method in record class com.quantfinlib.marketdata.MarketDataEvent: Returns the value of the timestampNanos record component.
timestampNanos() - Method in record class com.quantfinlib.microstructure.Execution: Returns the value of the timestampNanos record component.
timestampNanos() - Method in class com.quantfinlib.orderbook.LimitOrder
timestampNanos() - Method in class com.quantfinlib.sbe.OrderFlyweight
timestampNanos() - Method in class com.quantfinlib.sbe.QuoteFlyweight
timestampNanos() - Method in class com.quantfinlib.sbe.TradeFlyweight
timestamps() - Method in class com.quantfinlib.core.BarSeries: Zero-copy accessors: internal arrays, treat as read-only.
timeUnderWater() - Method in record class com.quantfinlib.backtest.DrawdownAnalytics.Result: Returns the value of the timeUnderWater record component.
title() - Method in record class com.quantfinlib.report.Report.Section: Returns the value of the title record component.
title() - Method in class com.quantfinlib.report.Report
to() - Method in record class com.quantfinlib.execution.OrderPlacementPolicy.PostRegion: Returns the value of the to record component.
toCsv(Path) - Method in class com.quantfinlib.report.ReportGenerator
toExcel(Path) - Method in class com.quantfinlib.report.ReportGenerator
toHtml(Path) - Method in class com.quantfinlib.report.ReportGenerator
topDepth(int) - Method in class com.quantfinlib.microstructure.SignalEngine: Time-decayed displayed depth (bid + ask size at the inside).
toPdf(Path) - Method in class com.quantfinlib.report.ReportGenerator
topNShare(double[], int) - Static method in class com.quantfinlib.risk.ConcentrationRisk: Combined |exposure| share of the largest n positions.
toString() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Config: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Result: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.alpha.AlphaReport.Attribution: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.alpha.AlphaReport.Decay: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.alpha.AlphaValidation.CrossValidationResult: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.alpha.AlphaValidation.Fold: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.alpha.AlphaValidation.RobustnessResult: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.alpha.AlphaValidation.SensitivityResult: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.alpha.AlphaValidation.WalkForwardResult: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.alpha.CalendarAnomalies.TurnOfMonth: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.alpha.FamaMacBeth.Result: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.alpha.SignalEvaluator.QuantileReport: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.alpha.SignalEvaluator.Report: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.backtest.BacktestConfig: Returns a string representation of this record class.
toString() - Method in class com.quantfinlib.backtest.BacktestResult
toString() - Method in record class com.quantfinlib.backtest.BenchmarkComparison.Result: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.backtest.DrawdownAnalytics.Drawdown: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.backtest.DrawdownAnalytics.Result: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.backtest.ExecutionAlgoBacktester.Config: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.backtest.ExecutionAlgoBacktester.Result: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.backtest.ParentOrder: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.backtest.PerformanceMetrics: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.backtest.portfolio.CrossSectionalMomentum.Config: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Config: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Result: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.backtest.SorExecution.VenueConfig: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.backtest.tick.TickBacktester.Config: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.backtest.tick.TickBacktester.TickBacktestResult: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.backtest.Trade: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.backtest.TradeAnalytics.Result: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.backtest.validation.GridSearchOptimizer.Candidate: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.backtest.validation.MonteCarloTradeShuffle.Result: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.backtest.validation.OverfitProbability.Result: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.backtest.validation.PurgedKFold.Split: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.Fold: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.WalkForwardResult: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.core.Bar: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.crb.CentralRiskBook.CrbReport: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.crb.CrbAutoHedger.HedgeOrder: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.crb.CrbRouter.Allocation: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.crb.CrbRouter.DarkVenue: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.crb.InternalizationEngine.Decision: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.crb.SkewedQuoter.Quote: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.data.CorporateActions.CorporateAction: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.data.PointInTimeUniverse.TerminalEvent: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.execution.AdaptiveSor.Config: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.execution.AdaptiveSor.RoutingDecision: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.execution.BenchmarkExecutor.MarketState: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.execution.DarkPoolSimulator.Fill: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.execution.LiquiditySeekingAlgo.Config: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.execution.OrderPlacementPolicy.Placement: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.execution.OrderPlacementPolicy.PostRegion: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.execution.PortfolioExecutor.Config: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.execution.Slice: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.execution.SmartOrderRouter.RouteLeg: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.execution.SmartOrderRouter.RoutingPlan: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.execution.SpreadExecutionAlgo.Children: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.execution.VenueBenchmark.Sample: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.execution.VenueBenchmark.VenueStats: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.execution.VenueQuote: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.feed.FeedTrade: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.fix.ExecutionReport: Returns a string representation of this record class.
toString() - Method in class com.quantfinlib.fix.FixMessage
toString() - Method in record class com.quantfinlib.fix.FixSession.Config: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.fix.FixSessionStore.StoredMessage: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.fix.NewOrderSingle: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.fix.OrderCancelReplaceRequest: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.fix.OrderCancelRequest: Returns a string representation of this record class.
toString() - Method in class com.quantfinlib.fx.CurrencyPair
toString() - Method in class com.quantfinlib.fx.FxSwap
toString() - Method in record class com.quantfinlib.fx.FxVolSurface.SmilePillar: Returns a string representation of this record class.
toString() - Method in class com.quantfinlib.fx.Ndf
toString() - Method in record class com.quantfinlib.hedging.CointegrationTest.EngleGrangerResult: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.hedging.DeltaHedger.Config: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.hedging.DeltaHedger.HedgeReport: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.hedging.FxHedger.FxExposure: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.hedging.GreekHedger.Instrument: Returns a string representation of this record class.
toString() - Method in class com.quantfinlib.hedging.HedgingErrorDistribution
toString() - Method in record class com.quantfinlib.hedging.OptionsBook.BookGreeks: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.hedging.OptionsBook.OptionPosition: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.hedging.OptionsBook.PnlExplain: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.hedging.PairsHedger.PairsAnalysis: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.hedging.WhalleyWilmott.Action: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.indicators.Indicators.Adx: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.indicators.Indicators.Bollinger: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.indicators.Indicators.Donchian: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.indicators.Indicators.Ichimoku: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.indicators.Indicators.Keltner: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.indicators.Indicators.Macd: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.indicators.Indicators.StochRsi: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.indicators.Indicators.SuperTrend: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.marketdata.MarketDataEvent: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.microstructure.AlmgrenChriss.Params: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.microstructure.AlmgrenChriss.Trajectory: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.microstructure.Auction.Result: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.microstructure.Execution: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.microstructure.OrnsteinUhlenbeck.Params: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.microstructure.SignalEngine.Config: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.microstructure.TransactionCostAnalyzer.TcaReport: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.microstructure.VarianceRatio.Result: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.ml.AnomalyDetector.Anomaly: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.ml.RegimeDetector.RegimeModel: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.optimization.PortfolioOptimizer.Allocation: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.orderbook.BookAnalytics.SweepResult: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.pricing.BlackScholes.Greeks: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.pricing.Heston.Params: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.pricing.SabrModel.Params: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.pricing.TriangularArbitrage.Quote: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.rates.NelsonSiegel.Fit: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.rates.Svensson.Fit: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.regulatory.BestExecutionAnalyzer.BestExecutionReport: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.regulatory.BestExecutionAnalyzer.OrderOutcome: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.regulatory.FixAnalyzer.FixImpactReport: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.report.Report.Section: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.risk.ComponentVar.Allocation: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.risk.CounterpartyExposureTracker.CounterpartyTrade: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.risk.CovarianceShrinkage.Result: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.risk.ExtremeValueTheory.GpdFit: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.risk.PnlAttribution.Result: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.risk.Portfolio.Position: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.risk.PreTradeLimitChecker.CheckResult: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.risk.PreTradeLimitChecker.OrderRequest: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.risk.SettlementRiskAnalyzer.SettlementLeg: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.risk.StressTester.ReverseStress: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.risk.VarBacktest.VarBacktestResult: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.risk.VarEngine.VarResult: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.screener.Fundamentals: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.screener.RankingEngine.ScoredStock: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.screener.StockSnapshot: Returns a string representation of this record class.
toString() - Method in class com.quantfinlib.simulation.SimulationResult
toString() - Method in record class com.quantfinlib.trading.HftQuoter.Config: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.trading.PaperTradingGateway.AccountSnapshot: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.volatility.Egarch11.Params: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.volatility.Garch11.Params: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.volatility.GjrGarch11.Params: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.volatility.HarRv.Params: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.volatility.VolatilityDecomposition.Decomposition: Returns a string representation of this record class.
totalAskSizeAtBest(double) - Method in class com.quantfinlib.fx.AggregatedBook: Mirror of AggregatedBook.totalBidSizeAtBest(double) for the offer side.
totalBidSizeAtBest(double) - Method in class com.quantfinlib.fx.AggregatedBook: Total size quoted within tolerance of the best bid across all venues — the sweepable size at the composite level.
totalCostDrag() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Result: Total cost drag: gross minus net, decomposed.
totalCosts() - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Result: Returns the value of the totalCosts record component.
totalExposure(String) - Method in class com.quantfinlib.risk.CounterpartyExposureTracker: Total exposure = current + potential future.
totalOrders() - Method in record class com.quantfinlib.regulatory.BestExecutionAnalyzer.BestExecutionReport: Returns the value of the totalOrders record component.
totalPulls() - Method in class com.quantfinlib.execution.Ucb1Selector
totalQuantity() - Method in record class com.quantfinlib.microstructure.TransactionCostAnalyzer.TcaReport: Returns the value of the totalQuantity record component.
totalReturn() - Method in record class com.quantfinlib.backtest.PerformanceMetrics: Returns the value of the totalReturn record component.
totalShares() - Method in record class com.quantfinlib.microstructure.AlmgrenChriss.Params: Returns the value of the totalShares record component.
totalTurnoverNotional() - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Result: Returns the value of the totalTurnoverNotional record component.
totalValue() - Method in class com.quantfinlib.risk.Portfolio
totalVariance() - Method in record class com.quantfinlib.volatility.VolatilityDecomposition.Decomposition: Returns the value of the totalVariance record component.
totalVol(int) - Method in record class com.quantfinlib.volatility.VolatilityDecomposition.Decomposition: Annualized total volatility.
TouchOption - Class in com.quantfinlib.pricing: One-touch and no-touch options (pay-at-expiry) under continuously monitored geometric Brownian motion — with the barrier-hitting probability itself exposed, since desks quote one-touches as (roughly) discounted hit probabilities.
touchProbability(double, double, double, double) - Static method in class com.quantfinlib.microstructure.FillProbabilityModel: Probability the price touches a level distance away (in price units, ≥ 0) within horizonSeconds, given volatility volPerSqrtSecond (return per √second) at price. 1 at/through the level; 0 for degenerate inputs (no vol, no time, no price — a dead market never reaches anything).
track(long) - Method in class com.quantfinlib.marketdata.L3BookBuilder: Starts queue tracking for a resting order (yours, learned from your gateway ack).
trackingError() - Method in record class com.quantfinlib.backtest.BenchmarkComparison.Result: Returns the value of the trackingError record component.
trackingErrorStd(double, double) - Static method in class com.quantfinlib.fx.FixingRisk: Ex-ante 1σ tracking error (price terms) between a fix print and a uniform execution across the window, from diffusion alone.
trackingNumber() - Method in class com.quantfinlib.marketdata.ItchCodec.View
trade() - Method in record class com.quantfinlib.hedging.WhalleyWilmott.Action: Returns the value of the trade record component.
Trade - Record Class in com.quantfinlib.backtest: A completed round-trip trade.
Trade(String, int, int, long, long, double, double, double, double, double, String) - Constructor for record class com.quantfinlib.backtest.Trade: Creates an instance of a Trade record class.
TRADE - Static variable in class com.quantfinlib.marketdata.ItchCodec
TradeAnalytics - Class in com.quantfinlib.backtest: TRADE-LEVEL analytics — the numbers a discretionary reviewer asks for that a Sharpe ratio hides.
TradeAnalytics.Result - Record Class in com.quantfinlib.backtest
TradeClassifier - Class in com.quantfinlib.microstructure: Trade aggressor classification (Lee-Ready, 1991): the missing glue for feeds that print trades without saying who initiated.
TradeClassifier() - Constructor for class com.quantfinlib.microstructure.TradeClassifier
TradeCostModel - Interface in com.quantfinlib.backtest: A pluggable per-trade cost model — the ONE definition of "what a trade costs" shared by the backtest engines, so an execution-aware number and a survivorship-aware number can come out of the same run: TradeCostModel.flat(double) — a fixed all-in bps (the classic commission assumption, and the exact equivalent of the legacy commissionRate configs); TradeCostModel.institutional(double, double, double, int) — commission + half-spread + slippage + square-root market impact, with per-symbol ADV/vol estimated from the trailing bars via MarketImpactModel.estimate(com.quantfinlib.core.BarSeries, int, int).
tradeCount() - Method in record class com.quantfinlib.backtest.PerformanceMetrics: Returns the value of the tradeCount record component.
tradeCount() - Method in class com.quantfinlib.marketdata.L3BookBuilder
tradeCount() - Method in class com.quantfinlib.microstructure.FlowSignals
tradeCount() - Method in class com.quantfinlib.microstructure.SignalEngine
tradeCount() - Method in class com.quantfinlib.orderbook.HftOrderBook
tradeCount() - Method in class com.quantfinlib.orderbook.OrderBook
tradeDateForSpot(LocalDate) - Method in class com.quantfinlib.fx.CurrencyPair: The inverse of CurrencyPair.spotDate(java.time.LocalDate): the trade date whose spot is spotDate (which must be a joint business day) — the anchor inversion curve/instrument builders need to resolve tenors from a curve's own spot.
TradeFlyweight - Class in com.quantfinlib.sbe: SBE-style flyweight codec for a market-data trade message: fixed field offsets over a ByteBuffer, so encode/decode is a handful of absolute primitive reads/writes — zero allocation, zero parsing, zero copying.
TradeFlyweight() - Constructor for class com.quantfinlib.sbe.TradeFlyweight
tradeImbalance() - Method in class com.quantfinlib.microstructure.FlowSignals: Signed/total decayed aggressor volume in [-1, 1]; 0 before any trade.
tradeImbalance(int) - Method in class com.quantfinlib.microstructure.SignalEngine: Signed aggressor-volume imbalance in [-1, 1]; 0 before any trade.
trades() - Method in class com.quantfinlib.backtest.BacktestResult
trades() - Method in record class com.quantfinlib.microstructure.AlmgrenChriss.Trajectory: Returns the value of the trades record component.
tradeSink(HftOrderBook.TradeSink) - Method in class com.quantfinlib.orderbook.HftOrderBook: Installs the (single) trade callback; call before trading.
tradesPublished() - Method in class com.quantfinlib.feed.WebSocketFeed
TRADING_DAYS_PER_YEAR - Static variable in class com.quantfinlib.risk.RiskMetrics
tradingCosts() - Method in record class com.quantfinlib.hedging.DeltaHedger.HedgeReport: Returns the value of the tradingCosts record component.
TradingDashboard - Class in com.quantfinlib.trading: Zero-dependency live trading dashboard (JDK com.sun.net.httpserver): serves a self-refreshing HTML page and a JSON status endpoint with the paper-trading account (cash, equity, realized Pinvalid input: '&L', positions, rejections) and any attached latency histograms — the whole live loop, observable in a browser.
TradingDashboard(PaperTradingGateway, int) - Constructor for class com.quantfinlib.trading.TradingDashboard
TradingStrategy - Interface in com.quantfinlib.backtest: A bar-driven trading strategy.
trailingBetas(AlphaContext, int, int) - Static method in class com.quantfinlib.alpha.PortfolioConstruction: Trailing OLS betas of each symbol against the equal-weight universe return — the in-panel market proxy when no index series is supplied.
trailingVols(AlphaContext, int, int) - Static method in class com.quantfinlib.alpha.PortfolioConstruction: Trailing return volatilities per symbol at index — the standard input to PortfolioConstruction.inverseVolBudget(double[], double[], double) (per-bar σ; the common scale cancels in the renormalization).
train(double, double, double, double, double) - Method in class com.quantfinlib.microstructure.OnlineAlphaLearner: One learning step: the prediction made with the current weights is scored against realizedReturn (this is what makes OnlineAlphaLearner.outOfSampleIC() honest), THEN the weights update by ridge-SGD.
trainFrom() - Method in record class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.Fold: Returns the value of the trainFrom record component.
trainFrom(SignalEngine, int, double) - Method in class com.quantfinlib.microstructure.OnlineAlphaLearner: The aligned learning step over a SignalEngine: trains on the ingredients snapshotted at the PREVIOUS call (which predate the interval realizedReturn covers), then snapshots the current ingredients for the next call.
trainIndices() - Method in record class com.quantfinlib.backtest.validation.PurgedKFold.Split: Returns the value of the trainIndices record component.
trainStart() - Method in record class com.quantfinlib.alpha.AlphaValidation.Fold: Returns the value of the trainStart record component.
trainTo() - Method in record class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.Fold: Returns the value of the trainTo record component.
Trajectory(double[], double[], double, double, double) - Constructor for record class com.quantfinlib.microstructure.AlmgrenChriss.Trajectory: Creates an instance of a Trajectory record class.
TRANSACT_TIME - Static variable in class com.quantfinlib.fix.FixMessage
TransactionCostAnalyzer - Class in com.quantfinlib.microstructure: Transaction Cost Analysis: benchmarks matched trades against the arrival mid, the interval market VWAP, and the prevailing mid at each fill (effective spread).
TransactionCostAnalyzer.TcaReport - Record Class in com.quantfinlib.microstructure
transactionCostBps() - Method in record class com.quantfinlib.hedging.DeltaHedger.Config: Returns the value of the transactionCostBps record component.
transition() - Method in record class com.quantfinlib.ml.RegimeDetector.RegimeModel: Returns the value of the transition record component.
trials() - Method in record class com.quantfinlib.alpha.AlphaValidation.RobustnessResult: Returns the value of the trials record component.
TriangularArbitrage - Class in com.quantfinlib.pricing: Triangular arbitrage checks over three related FX pairs, using dealable bid/ask quotes (not mids), so a positive result is executable edge before fees.
TriangularArbitrage.Quote - Record Class in com.quantfinlib.pricing
tripCount() - Method in class com.quantfinlib.trading.GlobalRiskAggregator: Times the breaker has tripped over this aggregator's life.
troughIndex() - Method in record class com.quantfinlib.backtest.DrawdownAnalytics.Drawdown: Returns the value of the troughIndex record component.
trueRange(BarSeries) - Static method in class com.quantfinlib.indicators.Indicators: True range series.
tryAcquire(long) - Method in class com.quantfinlib.trading.OrderThrottle: Attempts to take one send permit at nowNanos.
tStat() - Method in record class com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile: Returns the value of the tStat record component.
tStat() - Method in record class com.quantfinlib.alpha.CalendarAnomalies.TurnOfMonth: Returns the value of the tStat record component.
tStat() - Method in record class com.quantfinlib.alpha.SignalEvaluator.Report: Returns the value of the tStat record component.
tStats() - Method in record class com.quantfinlib.alpha.FamaMacBeth.Result: Returns the value of the tStats record component.
turnOfMonth(double[], long[], int, int) - Static method in class com.quantfinlib.alpha.CalendarAnomalies
TurnOfMonth(double, double, double, int, int) - Constructor for record class com.quantfinlib.alpha.CalendarAnomalies.TurnOfMonth: Creates an instance of a TurnOfMonth record class.
turnover() - Method in record class com.quantfinlib.hedging.DeltaHedger.HedgeReport: Returns the value of the turnover record component.
turnover(double[], double[]) - Static method in class com.quantfinlib.markets.IndexConstruction: One-way turnover between two aligned weight vectors: 0.5 * sum|w1-w2|.
tvpi(double, double, double) - Static method in class com.quantfinlib.markets.PrivateMarketAnalytics: TVPI: total value (distributions + NAV) to paid-in.
twap(AlmgrenChriss.Params) - Static method in class com.quantfinlib.microstructure.AlmgrenChriss: The risk-neutral (λ = 0) linear schedule, for comparison.
TWAP - Enum constant in enum class com.quantfinlib.execution.BenchmarkExecutor.Benchmark: Equal participation over time.
TwapScheduler - Class in com.quantfinlib.execution: TWAP (time-weighted average price) schedule design: splits a parent order into evenly spaced child slices, optionally with randomized sizes to reduce schedule predictability (anti-gaming).
twelveMinusOne(int) - Static method in record class com.quantfinlib.backtest.portfolio.CrossSectionalMomentum.Config: The academic 12-1 monthly-rebalance setup on daily bars.
Two layers - Search tag in class com.quantfinlib.execution.BenchmarkExecutor: Section
type() - Method in record class com.quantfinlib.data.CorporateActions.CorporateAction: Returns the value of the type record component.
type() - Method in record class com.quantfinlib.data.PointInTimeUniverse.TerminalEvent: Returns the value of the type record component.
type() - Method in record class com.quantfinlib.hedging.OptionsBook.OptionPosition: Returns the value of the type record component.
type() - Method in class com.quantfinlib.marketdata.ItchCodec.View
type() - Method in record class com.quantfinlib.ml.AnomalyDetector.Anomaly: Returns the value of the type record component.
type(int) - Method in class com.quantfinlib.fix.FixMarketDataView: FixMarketDataView.ENTRY_BID or FixMarketDataView.ENTRY_OFFER.
typeAt(ByteBuffer, int) - Static method in class com.quantfinlib.sbe.QuoteFlyweight: Reads the type discriminator without wrapping a flyweight.
typeAt(ByteBuffer, int) - Static method in class com.quantfinlib.sbe.TradeFlyweight: Reads the message-type discriminator at offset without wrapping.
typicalPrice() - Method in record class com.quantfinlib.core.Bar

U

Ucb1Selector - Class in com.quantfinlib.execution: UCB1 multi-armed bandit — principled selection among venues, LPs or algo variants when the scorecards are still THIN.
Ucb1Selector(int) - Constructor for class com.quantfinlib.execution.Ucb1Selector
unadjustedSchedule(LocalDate, LocalDate, int) - Static method in class com.quantfinlib.rates.BusinessCalendar: The unadjusted (theoretical) coupon dates strictly after effectiveDate.
unconditionalLogVariance() - Method in record class com.quantfinlib.volatility.Egarch11.Params: Long-run (unconditional) LOG variance ω/(1−β).
unconditionalVariance() - Method in record class com.quantfinlib.volatility.Garch11.Params
unconditionalVariance() - Method in record class com.quantfinlib.volatility.GjrGarch11.Params
unconstrained() - Static method in record class com.quantfinlib.execution.PortfolioExecutor.Config: No portfolio constraints: children pass through untouched.
uncross(double) - Method in class com.quantfinlib.microstructure.Auction: Runs the auction: the indicative at this instant becomes the print.
underlying(String) - Static method in record class com.quantfinlib.hedging.GreekHedger.Instrument
underlyingQuantity() - Method in class com.quantfinlib.hedging.OptionsBook
unexplained() - Method in record class com.quantfinlib.hedging.OptionsBook.PnlExplain: Returns the value of the unexplained record component.
union(BusinessCalendar) - Method in class com.quantfinlib.rates.BusinessCalendar: The joint calendar of two trading centers: a day is a business day only when it is one in BOTH (holiday sets union).
unionForwardFill(Map<String, BarSeries>) - Static method in class com.quantfinlib.data.SeriesAligner: Union of timestamps from the latest series start onward; missing bars are forward-filled as flat bars at the previous close with zero volume.
UniverseCsvLoader - Class in com.quantfinlib.data: Loads a PointInTimeUniverse from a user-supplied CSV file — the defined interchange format for the membership/lifecycle data the engine cannot invent.
unknown() - Static method in record class com.quantfinlib.screener.Fundamentals
UNKNOWN - Static variable in class com.quantfinlib.microstructure.TradeClassifier
unknownRefCount() - Method in class com.quantfinlib.marketdata.L3BookBuilder: Events referencing unknown orders (feed gap symptom — resubscribe/snapshot).
unpackStock(long) - Static method in class com.quantfinlib.marketdata.ItchCodec: Inverse of ItchCodec.packStock(java.lang.String): trailing spaces stripped.
unrouted() - Method in record class com.quantfinlib.execution.AdaptiveSor.RoutingDecision: Returns the value of the unrouted record component.
unroutedQty() - Method in record class com.quantfinlib.execution.SmartOrderRouter.RoutingPlan: Returns the value of the unroutedQty record component.
untrack(long) - Method in class com.quantfinlib.marketdata.L3BookBuilder: Stops tracking a ref (no-op when not tracked).
upAndInPut(double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.BarrierOption: Up-and-in put, H ≥ max(S, K): the mirror of the down-and-in call.
upAndOutPut(double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.BarrierOption: Up-and-out put, H ≥ max(S, K).
upCapture() - Method in record class com.quantfinlib.backtest.BenchmarkComparison.Result: Returns the value of the upCapture record component.
update(double) - Method in class com.quantfinlib.indicators.StreamingIndicators.Ema
update(double) - Method in class com.quantfinlib.indicators.StreamingIndicators.Macd: Returns the MACD line (NaN during warm-up).
update(double) - Method in class com.quantfinlib.indicators.StreamingIndicators.Rsi
update(double) - Method in class com.quantfinlib.indicators.StreamingIndicators.Sma
update(double, double) - Method in class com.quantfinlib.indicators.StreamingIndicators.Vwap
updateCount() - Method in class com.quantfinlib.fx.AggregatedBook
updateCount() - Method in class com.quantfinlib.fx.FxTierBook
updateCount() - Method in class com.quantfinlib.marketdata.Nbbo
updatePrice(String, double) - Method in class com.quantfinlib.risk.Portfolio: Updates the mark price of an existing position (no-op for unknown symbols).
upfront(CreditCurve, YieldCurve, double, double) - Static method in class com.quantfinlib.credit.CdsPricer: Upfront points (per unit notional) the protection BUYER pays on a contract with fixed running coupon contractSpread.
upper() - Method in record class com.quantfinlib.indicators.Indicators.Bollinger: Returns the value of the upper record component.
upper() - Method in record class com.quantfinlib.indicators.Indicators.Donchian: Returns the value of the upper record component.
upper() - Method in record class com.quantfinlib.indicators.Indicators.Keltner: Returns the value of the upper record component.
upperBand() - Method in class com.quantfinlib.microstructure.CircuitBreakers.Luld
urgencyBpsPerMs() - Method in record class com.quantfinlib.execution.AdaptiveSor.Config: Returns the value of the urgencyBpsPerMs record component.
useRiskModel(EwmaCovariance) - Method in class com.quantfinlib.execution.PortfolioExecutor: Upgrades the capacity allocation from the diagonal approximation to true basket risk: with a covariance model, a binding maxIntervalNotional flows to the symbols whose REMAINING position contributes most to portfolio variance (EwmaCovariance.marginalContribution(double[], double[])) — two correlated buys carry more joint timing risk than their individual vols admit, and a natural hedge carries less.
username() - Method in record class com.quantfinlib.fix.FixSession.Config: Returns the value of the username record component.
USERNAME - Static variable in class com.quantfinlib.fix.FixMessage

V

v0() - Method in record class com.quantfinlib.pricing.Heston.Params: Returns the value of the v0 record component.
value() - Static method in class com.quantfinlib.alpha.Factors: Value composite: the average of earnings yield (1/PE) and book yield (1/PB) — yields, not ratios, so "cheap" is high and negative-earnings names contribute a negative yield rather than a meaningless negative PE rank.
value() - Method in record class com.quantfinlib.data.CorporateActions.CorporateAction: Returns the value of the value record component.
value() - Method in record class com.quantfinlib.hedging.OptionsBook.BookGreeks: Returns the value of the value record component.
value() - Method in class com.quantfinlib.hedging.OptionsBook: Book value at current market (options MTM + underlying).
value() - Method in record class com.quantfinlib.indicators.Indicators.SuperTrend: Returns the value of the value record component.
value() - Method in class com.quantfinlib.indicators.StreamingIndicators.Ema
value() - Method in class com.quantfinlib.indicators.StreamingIndicators.Rsi
value() - Method in class com.quantfinlib.indicators.StreamingIndicators.Sma
value() - Method in class com.quantfinlib.indicators.StreamingIndicators.Vwap
value() - Method in record class com.quantfinlib.risk.Portfolio.Position
valueAt(double, double, double) - Method in class com.quantfinlib.hedging.OptionsBook: Full revaluation at a shifted market (parallel vol shift, time decay).
valueAtRisk() - Method in record class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport: Returns the value of the valueAtRisk record component.
valueAtRisk(double) - Method in class com.quantfinlib.hedging.HedgingErrorDistribution: Hedging VaR: loss at the given confidence, as a positive number (0 if a gain).
valueAtRisk(double) - Method in class com.quantfinlib.simulation.SimulationResult: VaR at the given confidence as a positive loss fraction of the initial value.
valueOf(String) - Static method in enum class com.quantfinlib.backtest.Signal: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.data.CorporateActions.Type: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.data.PointInTimeUniverse.EventType: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.execution.BenchmarkExecutor.Benchmark: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.fx.CrossRateEngine.Op: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.microstructure.CircuitBreakers.Halt: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.microstructure.CircuitBreakers.LuldState: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.orderbook.Side: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.pricing.BinomialTree.ExerciseStyle: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.pricing.BlackScholes.OptionType: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.rates.BusinessCalendar.Roll: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.rates.DayCount: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.risk.FrtbEs.TrafficLight: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.risk.PnlAttribution.Zone: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.trading.OrderStatus: Returns the enum constant of this class with the specified name.
values() - Static method in enum class com.quantfinlib.backtest.Signal: Returns an array containing the constants of this enum class, in the order they are declared.
values() - Static method in enum class com.quantfinlib.data.CorporateActions.Type: Returns an array containing the constants of this enum class, in the order they are declared.
values() - Static method in enum class com.quantfinlib.data.PointInTimeUniverse.EventType: Returns an array containing the constants of this enum class, in the order they are declared.
values() - Static method in enum class com.quantfinlib.execution.BenchmarkExecutor.Benchmark: Returns an array containing the constants of this enum class, in the order they are declared.
values() - Static method in enum class com.quantfinlib.fx.CrossRateEngine.Op: Returns an array containing the constants of this enum class, in the order they are declared.
values() - Static method in enum class com.quantfinlib.microstructure.CircuitBreakers.Halt: Returns an array containing the constants of this enum class, in the order they are declared.
values() - Static method in enum class com.quantfinlib.microstructure.CircuitBreakers.LuldState: Returns an array containing the constants of this enum class, in the order they are declared.
values() - Static method in enum class com.quantfinlib.orderbook.Side: Returns an array containing the constants of this enum class, in the order they are declared.
values() - Static method in enum class com.quantfinlib.pricing.BinomialTree.ExerciseStyle: Returns an array containing the constants of this enum class, in the order they are declared.
values() - Static method in enum class com.quantfinlib.pricing.BlackScholes.OptionType: Returns an array containing the constants of this enum class, in the order they are declared.
values() - Static method in enum class com.quantfinlib.rates.BusinessCalendar.Roll: Returns an array containing the constants of this enum class, in the order they are declared.
values() - Static method in enum class com.quantfinlib.rates.DayCount: Returns an array containing the constants of this enum class, in the order they are declared.
values() - Static method in enum class com.quantfinlib.risk.FrtbEs.TrafficLight: Returns an array containing the constants of this enum class, in the order they are declared.
values() - Static method in enum class com.quantfinlib.risk.PnlAttribution.Zone: Returns an array containing the constants of this enum class, in the order they are declared.
values() - Static method in enum class com.quantfinlib.trading.OrderStatus: Returns an array containing the constants of this enum class, in the order they are declared.
vanna(double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.HigherOrderGreeks: Vanna ∂²V/∂S∂σ: per 1.00 spot × 1.00 vol.
VannaVolga - Class in com.quantfinlib.pricing: Vanna-volga pricing: the FX desk's standard smile-consistent adjustment built from exactly three market pillars (in practice the 25Δ put, ATM and 25Δ call that fx.FxVolSurface solves from broker RR/BF quotes).
VannaVolga(double[], double[], double, double, double) - Constructor for class com.quantfinlib.pricing.VannaVolga
var() - Method in record class com.quantfinlib.crb.CentralRiskBook.CrbReport: Returns the value of the var record component.
var() - Method in record class com.quantfinlib.risk.VarEngine.VarResult: Returns the value of the var record component.
var(double) - Method in record class com.quantfinlib.risk.ExtremeValueTheory.GpdFit: Tail VaR at one-sided confidence p (must lie in the tail).
VarBacktest - Class in com.quantfinlib.risk: VaR model validation: do the exceptions (losses beyond VaR) occur at the promised rate, and independently?
VarBacktest.VarBacktestResult - Record Class in com.quantfinlib.risk
VarBacktestResult(int, int, double, double, double, double, double, double, double, double) - Constructor for record class com.quantfinlib.risk.VarBacktest.VarBacktestResult: Creates an instance of a VarBacktestResult record class.
VarEngine - Class in com.quantfinlib.risk: Portfolio Value-at-Risk, all four classic flavors over one input shape: factor EXPOSURES (currency P&L per unit factor return — a delta vector) against a factor covariance matrix or a factor-return history.
VarEngine.ScenarioReval - Interface in com.quantfinlib.risk: Revalues the book under one scenario's factor moves.
VarEngine.VarResult - Record Class in com.quantfinlib.risk: VaR and ES from Gaussian Monte Carlo factor scenarios.
variance(double[]) - Static method in class com.quantfinlib.util.MathUtils: Sample variance (n - 1 denominator).
variance(int) - Method in class com.quantfinlib.microstructure.EwmaCovariance: Decayed variance of one symbol.
varianceNotional(double, double) - Static method in class com.quantfinlib.pricing.VarianceSwap: Variance notional from a vega-notional quote: vegaNotional / (2 · strikeVol).
VarianceRatio - Class in com.quantfinlib.microstructure: The Lo-MacKinlay VARIANCE RATIO test — the question that comes before every strategy choice: is this series trending, mean-reverting, or a random walk?
VarianceRatio.Result - Record Class in com.quantfinlib.microstructure
varianceReduction(double[], double[], double) - Static method in class com.quantfinlib.hedging.MinimumVarianceHedge: Realized variance reduction of a given hedge ratio versus unhedged.
variances(double[]) - Method in class com.quantfinlib.volatility.EwmaVolatility: Conditional variance series aligned with returns: variances[i] is the estimate for period i, formed from information up to i-1.
VarianceSwap - Class in com.quantfinlib.pricing: VARIANCE SWAP analytics — the cleanest pure-volatility trade there is: at expiry the swap pays notional × (realized variance − strike), no delta, no path-dependent barriers, no vega decay games.
VarResult(double, double) - Constructor for record class com.quantfinlib.risk.VarEngine.VarResult: Creates an instance of a VarResult record class.
vasicekBond(double, double, double, double, double) - Static method in class com.quantfinlib.rates.ShortRateModels: Vasicek zero-coupon bond price P(t, t+T) given the short rate now.
vasicekStep(double, double, double, double, double, double) - Static method in class com.quantfinlib.rates.ShortRateModels: One EXACT Vasicek simulation step (the transition is Gaussian, so no discretization error): r ← b + (r−b)e^{−aΔt} + stdev·z.
vasicekYield(double, double, double, double, double) - Static method in class com.quantfinlib.rates.ShortRateModels: The continuously-compounded zero yield implied by ShortRateModels.vasicekBond(double, double, double, double, double).
vega() - Method in record class com.quantfinlib.hedging.GreekHedger.Instrument: Returns the value of the vega record component.
vega() - Method in record class com.quantfinlib.hedging.OptionsBook.BookGreeks: Returns the value of the vega record component.
vega() - Method in record class com.quantfinlib.pricing.BlackScholes.Greeks: Returns the value of the vega record component.
vega() - Method in class com.quantfinlib.pricing.IncrementalGreeks: Anchor vega — vol risk only changes on reprice, not per tick.
vega(double, double, double, double, double) - Static method in class com.quantfinlib.pricing.Black76: Vega per 1.00 of vol (divide by 100 for per-point).
vega(double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.BlackScholes: Per 1.00 change in volatility (divide by 100 for per-vol-point).
vegaPnl() - Method in record class com.quantfinlib.hedging.OptionsBook.PnlExplain: Returns the value of the vegaPnl record component.
venue() - Method in record class com.quantfinlib.execution.SmartOrderRouter.RouteLeg: Returns the value of the venue record component.
venue() - Method in record class com.quantfinlib.execution.VenueBenchmark.Sample: Returns the value of the venue record component.
venue() - Method in record class com.quantfinlib.execution.VenueBenchmark.VenueStats: Returns the value of the venue record component.
venue() - Method in record class com.quantfinlib.execution.VenueQuote: Returns the value of the venue record component.
venue() - Method in record class com.quantfinlib.microstructure.Execution: Returns the value of the venue record component.
venue() - Method in record class com.quantfinlib.regulatory.BestExecutionAnalyzer.OrderOutcome: Returns the value of the venue record component.
VenueBenchmark - Class in com.quantfinlib.execution: Venue benchmarking from execution outcomes: fill rate, latency-to-fill, effective spread paid, and post-trade markout (adverse selection) per venue, ranked by execution quality.
VenueBenchmark() - Constructor for class com.quantfinlib.execution.VenueBenchmark
VenueBenchmark.Sample - Record Class in com.quantfinlib.execution: One routing outcome.
VenueBenchmark.VenueStats - Record Class in com.quantfinlib.execution
VenueConfig(String, double, double, boolean) - Constructor for record class com.quantfinlib.backtest.SorExecution.VenueConfig: Creates an instance of a VenueConfig record class.
venueCount() - Method in class com.quantfinlib.execution.HftSor
venueCount() - Method in class com.quantfinlib.execution.VenueScorecard
venueCount() - Method in class com.quantfinlib.fx.AggregatedBook
venueDown(int) - Method in class com.quantfinlib.execution.HftSor: Removes a venue from routing (feed loss / venue halt) — the symmetric call to Nbbo.onVenueDown, so a dead venue's stale quote can never keep receiving child orders.
venueQuote(int, int, long, int, long) - Method in class com.quantfinlib.execution.HftSor: One venue's displayed top of book (zero size = side unavailable).
VenueQuote - Record Class in com.quantfinlib.execution: A venue's dealable top of book for routing.
VenueQuote(String, double, long, double, long, double, long, boolean) - Constructor for record class com.quantfinlib.execution.VenueQuote: Creates an instance of a VenueQuote record class.
VenueScorecard - Class in com.quantfinlib.execution: Streaming per-venue execution quality — the equities counterpart of fx.LpScorecard: displayed prices tell you where a venue CLAIMS you'll trade; the scorecard tells you what actually happens when you send there.
VenueScorecard(int) - Constructor for class com.quantfinlib.execution.VenueScorecard: 5% event weight, 0.95 prior, 100 ms markout horizon.
VenueScorecard(int, double, double) - Constructor for class com.quantfinlib.execution.VenueScorecard: 100 ms markout horizon.
VenueScorecard(int, double, double, long) - Constructor for class com.quantfinlib.execution.VenueScorecard
VenueStats(String, int, double, double, double, double) - Constructor for record class com.quantfinlib.execution.VenueBenchmark.VenueStats: Creates an instance of a VenueStats record class.
vetoCount() - Method in class com.quantfinlib.fx.LpRouter: LP-candidate evaluations skipped for exceeding the reject-rate cap.
View() - Constructor for class com.quantfinlib.marketdata.ItchCodec.View
violations() - Method in record class com.quantfinlib.risk.PreTradeLimitChecker.CheckResult: Returns the value of the violations record component.
visibleQty() - Method in class com.quantfinlib.execution.IcebergOrder
vol(double, double) - Method in class com.quantfinlib.fx.FxVolSurface: Interpolated vol for an absolute strike at an expiry.
vol(double, double) - Method in class com.quantfinlib.pricing.VolSurface: Interpolated implied volatility at any (expiry, strike).
volatility() - Method in record class com.quantfinlib.execution.BenchmarkExecutor.MarketState: Returns the value of the volatility record component.
volatility() - Method in record class com.quantfinlib.microstructure.AlmgrenChriss.Params: Returns the value of the volatility record component.
volatility() - Method in record class com.quantfinlib.optimization.PortfolioOptimizer.Allocation: Returns the value of the volatility record component.
volatility(double[]) - Static method in class com.quantfinlib.risk.RiskMetrics: Per-period sample volatility.
volatility(int) - Method in class com.quantfinlib.microstructure.EwmaCovariance: Decayed volatility (per √interval), 0 until learned.
VolatilityCurve - Class in com.quantfinlib.microstructure: Intraday volatility seasonality — the third leg of the seasonality trio beside VolumeCurve and SpreadForecaster: volatility is U-shaped through an equity day (wild open, quiet lunch, busy close) and session-humped through an FX day (London open, NY overlap), so "is the market volatile right now?"
VolatilityCurve() - Constructor for class com.quantfinlib.microstructure.VolatilityCurve: 78 equity buckets, 10% day weight.
VolatilityCurve(int, double) - Constructor for class com.quantfinlib.microstructure.VolatilityCurve
VolatilityDecomposition - Class in com.quantfinlib.volatility: Systematic vs IDIOSYNCRATIC volatility — the decomposition behind "how much of this stock's risk is the market, and how much is the company?"
VolatilityDecomposition.Decomposition - Record Class in com.quantfinlib.volatility
VolatilityForecaster - Class in com.quantfinlib.ml: Machine Learning Risk Forecasting: predicts forward realized volatility from a return series using gradient-boosted trees over engineered features (multi-horizon realized vol, momentum, and shock magnitude), and maps the forecast to an intuitive 0-100 risk score.
VolatilityForecaster(int) - Constructor for class com.quantfinlib.ml.VolatilityForecaster
VolatilityIndex - Class in com.quantfinlib.volatility: A VIX-style MARKET volatility index — the "fear gauge": the market's own 30-day volatility expectation, read model-free out of an option chain.
volatilityTargetLeverage(double, double) - Static method in class com.quantfinlib.backtest.portfolio.PositionSizing: Leverage multiplier that scales current volatility to the target.
volga(double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.HigherOrderGreeks: Volga (vomma) ∂²V/∂σ²: vega convexity.
volHalfLifeNanos() - Method in record class com.quantfinlib.microstructure.SignalEngine.Config: Returns the value of the volHalfLifeNanos record component.
volPerSqrtSecond() - Method in class com.quantfinlib.microstructure.JumpRobustVolatility: The jump-robust volatility, as return per √second — the diffusion component, with jumps down-weighted. 0 until two consecutive valid returns exist.
volPerSqrtSecond(int) - Method in class com.quantfinlib.microstructure.SignalEngine: Streaming realized volatility as return per √second (0 until two valid mids).
vols() - Method in record class com.quantfinlib.fx.FxVolSurface.SmilePillar: Returns the value of the vols record component.
VolSurface - Class in com.quantfinlib.pricing: Implied volatility surface built from (expiry, strike, vol) pillar quotes — or directly from market option prices via implied-vol inversion.
VolSurface.Builder - Class in com.quantfinlib.pricing
volSwapStrike(double, double) - Static method in class com.quantfinlib.pricing.VarianceSwap: VOLATILITY swap fair strike via the Brockhaus-Long convexity correction: E[√V] ≈ √E[V] − Var(V) / (8·E[V]^{3/2}).
volume() - Method in record class com.quantfinlib.core.Bar: Returns the value of the volume record component.
volume() - Method in record class com.quantfinlib.marketdata.MarketDataEvent: Returns the value of the volume record component.
volume() - Method in record class com.quantfinlib.microstructure.Auction.Result: Returns the value of the volume record component.
volume(int) - Method in class com.quantfinlib.core.BarSeries
VolumeCurve - Class in com.quantfinlib.microstructure: Dynamic intraday volume prediction — the model that makes a VWAP schedule live instead of historical.
VolumeCurve() - Constructor for class com.quantfinlib.microstructure.VolumeCurve: 78 five-minute equity buckets, 10% day weight.
VolumeCurve(int, double) - Constructor for class com.quantfinlib.microstructure.VolumeCurve
volumes() - Method in class com.quantfinlib.core.BarSeries
volumeSpike(int, double) - Static method in class com.quantfinlib.screener.TechnicalFilters: Last bar volume exceeds multiplier times the prior average volume.
vpin() - Method in class com.quantfinlib.microstructure.Vpin: The toxicity estimate over completed buckets; NaN until the first bucket completes (an empty average pretending to be calm would be exactly the wrong default for a risk signal).
Vpin - Class in com.quantfinlib.microstructure: VPIN — Volume-synchronized Probability of INformed trading (Easley, López de Prado & O'Hara): the flow-toxicity gauge a market maker watches to decide when quoting is no longer a business.
Vpin(long, int) - Constructor for class com.quantfinlib.microstructure.Vpin
vwap(BarSeries) - Static method in class com.quantfinlib.indicators.Indicators: Cumulative Volume-Weighted Average Price (anchored at the series start).
Vwap() - Constructor for class com.quantfinlib.indicators.StreamingIndicators.Vwap
VWAP - Enum constant in enum class com.quantfinlib.execution.BenchmarkExecutor.Benchmark: Follow the expected volume curve.
VwapScheduler - Class in com.quantfinlib.execution: VWAP schedule design: allocates child slices proportionally to an expected intraday volume profile (e.g. from com.quantfinlib.ml.IntradayLiquidityForecaster), so participation tracks the market's own volume curve.
vwapSlippageBps() - Method in record class com.quantfinlib.backtest.ExecutionAlgoBacktester.Result: Returns the value of the vwapSlippageBps record component.

W

walkForward(AlphaContext, List<AlphaFactor>, int, int, int, int) - Static method in class com.quantfinlib.alpha.AlphaValidation: Rolls a train/test split across the sample: each fold picks the candidate with the best training-window mean IC and scores it on the next testBars unseen bars.
WalkForwardAnalyzer - Class in com.quantfinlib.backtest.validation: Walk-forward analysis — the standard defense against overfit backtests.
WalkForwardAnalyzer.Fold - Record Class in com.quantfinlib.backtest.validation
WalkForwardAnalyzer.WalkForwardResult - Record Class in com.quantfinlib.backtest.validation
WalkForwardResult(List<AlphaValidation.Fold>, double, double) - Constructor for record class com.quantfinlib.alpha.AlphaValidation.WalkForwardResult: Creates an instance of a WalkForwardResult record class.
WalkForwardResult(List<WalkForwardAnalyzer.Fold>, double[], PerformanceMetrics, List<Trade>, double) - Constructor for record class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.WalkForwardResult: Creates an instance of a WalkForwardResult record class.
WebSocketFeed - Class in com.quantfinlib.feed: Live market data over WebSocket into the HftMarketDataBus — the last mile that lets the capture/replay, paper-trading and analytics stack run on real ticks.
WebSocketFeed(URI, FeedParser, HftMarketDataBus) - Constructor for class com.quantfinlib.feed.WebSocketFeed
weekendsOnly() - Static method in class com.quantfinlib.rates.BusinessCalendar
weekly() - Static method in class com.quantfinlib.ml.VolatilityForecaster
weight(int) - Method in class com.quantfinlib.microstructure.OnlineAlphaLearner: The learned weight for feature i (0=queueImb, 1=tradeImb, 2=OFI, 3=momZ).
weights() - Method in record class com.quantfinlib.optimization.PortfolioOptimizer.Allocation: Returns the value of the weights record component.
weights() - Method in class com.quantfinlib.risk.Portfolio: Current weights by symbol (insertion order not guaranteed).
weights(AlphaContext, double[], int) - Method in interface com.quantfinlib.alpha.AlphaBacktester.WeightBuilder
WhalleyWilmott - Class in com.quantfinlib.hedging: Whalley-Wilmott OPTIMAL hedge bands — the answer to the question every band hedger otherwise guesses: how wide should the no-trade band around delta be?
WhalleyWilmott.Action - Record Class in com.quantfinlib.hedging: The rebalancing decision: trade (to the nearest edge) or hold.
williamsR(BarSeries, int) - Static method in class com.quantfinlib.indicators.Indicators: Williams %R: -100 * (highestHigh - close) / (highestHigh - lowestLow).
WINDOW_MILLIS - Static variable in class com.quantfinlib.execution.WmrFixingScheduler: The standard WMR calculation window for major pairs.
windowTwap(double[]) - Static method in class com.quantfinlib.fx.FixingRisk: Time-weighted average of window prices (equally spaced observations).
windowVwap(double[], double[]) - Static method in class com.quantfinlib.fx.FixingRisk: Volume-weighted average of window prices.
winner() - Method in class com.quantfinlib.rfq.RfqAuction: The winning dealer index, or -1 while nobody has quoted.
winnerSpreadToFairBps() - Method in class com.quantfinlib.rfq.RfqAuction: What the winning quote costs versus the model fair value, in bps of fair — positive = paying over theory (buys) / receiving under it (sells).
winRate() - Method in record class com.quantfinlib.backtest.PerformanceMetrics: Returns the value of the winRate record component.
winRate() - Method in record class com.quantfinlib.backtest.TradeAnalytics.Result: Returns the value of the winRate record component.
winRate(int) - Method in class com.quantfinlib.rfq.RfqDealerScorecard: Win rate over requests answered — lifetime, not decayed (small counts).
wins(int) - Method in class com.quantfinlib.rfq.RfqDealerScorecard
withBounds(double[], double[]) - Method in class com.quantfinlib.optimization.ConstrainedPortfolioOptimizer: Per-asset weight bounds; must admit a fully-invested portfolio.
withCalendars(BusinessCalendar, BusinessCalendar) - Method in class com.quantfinlib.fx.CurrencyPair: Same conventions with real holiday calendars for each currency's center.
withCoefficients(double, double, double) - Method in class com.quantfinlib.microstructure.MarketImpactModel: Returns a copy with calibrated coefficients (square-root Y, temporary eta bps, permanent gamma).
withCommission(double) - Method in record class com.quantfinlib.backtest.BacktestConfig
withCommissionBps(double) - Method in record class com.quantfinlib.backtest.tick.TickBacktester.Config
withConflation(long, double) - Method in record class com.quantfinlib.trading.HftQuoter.Config: Suppresses a re-quote only when the mid moved less than minMovePrice AND the last quote is younger than minIntervalNanos — BOTH gates must pass to suppress.
withCostModel(TradeCostModel) - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Config: Pluggable per-trade costs (e.g.
withCredentials(String, String) - Method in record class com.quantfinlib.fix.FixSession.Config: Adds Username(553)/Password(554) to the initiator's Logon.
withDefaultQueueAhead(long) - Method in record class com.quantfinlib.backtest.tick.TickBacktester.Config
withDefaults() - Static method in class com.quantfinlib.ml.GradientBoostedRegressor
withDefaults() - Static method in class com.quantfinlib.risk.RiskMetricRegistry: Creates a registry pre-populated with the built-in metric set.
withEquitySampleEvery(int) - Method in record class com.quantfinlib.backtest.tick.TickBacktester.Config
withHolidays(LocalDate...) - Static method in class com.quantfinlib.rates.BusinessCalendar
withHolidays(Set<LocalDate>) - Static method in class com.quantfinlib.rates.BusinessCalendar
withInitialCapital(double) - Method in record class com.quantfinlib.backtest.BacktestConfig
withMinMove(double) - Method in record class com.quantfinlib.trading.HftQuoter.Config: Purely move-gated conflation: re-quote only when the mid has moved at least minMovePrice, regardless of age (the interval gate is set effectively infinite).
withRebalanceEvery(int) - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Config
withReconnect(int, long) - Method in class com.quantfinlib.feed.WebSocketFeed
withResetOnLogon() - Method in record class com.quantfinlib.fix.FixSession.Config: Initiator sends ResetSeqNumFlag(141)=Y on Logon and restarts BOTH sequence counters at 1 (persisted) — the standard clean-slate reconnect when the two sides' stores have diverged beyond repair.
withRiskAversion(double) - Method in record class com.quantfinlib.microstructure.AlmgrenChriss.Params
withSkewPerUnit(double) - Method in record class com.quantfinlib.trading.HftQuoter.Config
withSpreadBps(double) - Method in record class com.quantfinlib.backtest.tick.TickBacktester.Config
withStopLoss(double) - Method in record class com.quantfinlib.backtest.BacktestConfig
withStopLoss(double) - Method in class com.quantfinlib.dsl.StrategyBuilder: Per-trade stop loss as a fraction of the entry price (0.03 = 3%).
withSubscribeMessage(String) - Method in class com.quantfinlib.feed.WebSocketFeed: Text frame sent right after connecting (exchanges with subscribe protocols).
withTakeProfit(double) - Method in record class com.quantfinlib.backtest.BacktestConfig
withTakeProfit(double) - Method in class com.quantfinlib.dsl.StrategyBuilder: Per-trade take profit as a fraction of the entry price (0.08 = 8%).
withTickSchedule(TickSizeSchedule) - Method in record class com.quantfinlib.backtest.tick.TickBacktester.Config: Price-banded ticks: the tick in force is looked up per price.
withTickSchedule(TickSizeSchedule) - Method in record class com.quantfinlib.trading.HftQuoter.Config
withTickSize(double) - Method in record class com.quantfinlib.backtest.tick.TickBacktester.Config
withTurnoverPenalty(double[], double) - Method in class com.quantfinlib.optimization.ConstrainedPortfolioOptimizer
withUniverse(PointInTimeUniverse) - Method in class com.quantfinlib.alpha.AlphaContext: The same panel with a point-in-time universe attached: built-in factors then score non-members as NaN per bar (see the class doc).
wma(double[], int) - Static method in class com.quantfinlib.indicators.Indicators: Linearly weighted moving average.
wMomentum() - Method in record class com.quantfinlib.microstructure.SignalEngine.Config: Returns the value of the wMomentum record component.
WmrFixingScheduler - Class in com.quantfinlib.execution: Benchmark-fixing execution schedule, WMR-style: orders benchmarked to a fixing (the WM/Refinitiv 4pm London fix and its cousins) are executed by spreading the parent evenly across the fixing's calculation window, so realized cost tracks the benchmark rather than betting against it — the window is 5 minutes for major pairs, and the benchmark is computed from observations inside it, so TWAP-in-window IS the neutral replication.
wOfi() - Method in record class com.quantfinlib.microstructure.SignalEngine.Config: Returns the value of the wOfi record component.
worst() - Method in class com.quantfinlib.hedging.HedgingErrorDistribution
worstCase() - Method in class com.quantfinlib.simulation.SimulationResult
worstCaseCostFraction() - Method in interface com.quantfinlib.backtest.ExecutionModel: Upper bound on this model's all-in cost as a fraction of ExecutionModel.referencePrice(com.quantfinlib.core.BarSeries, int) (spread + fees + slippage).
worstCaseCostFraction() - Method in class com.quantfinlib.backtest.IcebergExecution
worstCaseCostFraction() - Method in class com.quantfinlib.backtest.InstantExecution
worstCaseCostFraction() - Method in class com.quantfinlib.backtest.LastLookExecution
worstCaseCostFraction() - Method in class com.quantfinlib.backtest.SorExecution
worstNeighborDrop() - Method in record class com.quantfinlib.alpha.AlphaValidation.SensitivityResult: Returns the value of the worstNeighborDrop record component.
wQueueImbalance() - Method in record class com.quantfinlib.microstructure.SignalEngine.Config: Returns the value of the wQueueImbalance record component.
wrap(byte[], int) - Method in class com.quantfinlib.marketdata.ItchCodec.View: Points this view at a message; returns this for chaining.
wrap(byte[], int, int) - Method in class com.quantfinlib.fix.FixExecReportView: Parses one framed message in place.
wrap(byte[], int, int) - Method in class com.quantfinlib.fix.FixMarketDataView: Parses one framed message in place.
wrap(ByteBuffer, int) - Method in class com.quantfinlib.sbe.OrderFlyweight
wrap(ByteBuffer, int) - Method in class com.quantfinlib.sbe.QuoteFlyweight: Positions this flyweight over buffer at offset.
wrap(ByteBuffer, int) - Method in class com.quantfinlib.sbe.TradeFlyweight: Positions this flyweight over buffer at offset.
write(int, double, double, long) - Method in class com.quantfinlib.data.TickFileWriter
write(DataOutput) - Method in interface com.quantfinlib.persist.Checkpoint.StateWriter
writeDoubles(DataOutput, double[]) - Static method in class com.quantfinlib.persist.Checkpoint: Length-prefixed double array.
writeLongs(DataOutput, long[]) - Static method in class com.quantfinlib.persist.Checkpoint: Length-prefixed long array.
writer(Path) - Static method in class com.quantfinlib.persist.Checkpoint: Opens a writer; nothing touches path until Checkpoint.Writer.close().
writeState(DataOutput) - Method in class com.quantfinlib.crb.CentralRiskBook: Serializes the whole netted book — factor names, net/gross, per-desk attribution, pending fixings, flow count — for a persist.Checkpoint section.
writeState(DataOutput) - Method in class com.quantfinlib.crb.CrbPnlLedger
writeState(DataOutput) - Method in class com.quantfinlib.crb.InternalizationEngine: Serializes the counters plus the configuration they were earned under.
writeState(DataOutput) - Method in class com.quantfinlib.execution.VenueScorecard: Persists the learned venue quality — fill rates, measured latencies, dark-probe estimates and fill markouts are exactly what a router should not have to relearn every morning.
writeState(DataOutput) - Method in class com.quantfinlib.fx.LpScorecard: Persists the learned LP behavior — reject rates, hold times, effective spreads and post-reject markouts.
writeState(DataOutput) - Method in class com.quantfinlib.microstructure.AlphaEnsemble: Persists the per-component IC evidence — see persist.Checkpoint.
writeState(DataOutput) - Method in class com.quantfinlib.microstructure.ClosingAuctionModel: Persists the learned auction share — see persist.Checkpoint.
writeState(DataOutput) - Method in class com.quantfinlib.microstructure.EwmaCovariance: Persists the learned matrix — see persist.Checkpoint.
writeState(DataOutput) - Method in class com.quantfinlib.microstructure.KylesLambda: Persists the learned depth moments — see persist.Checkpoint.
writeState(DataOutput) - Method in class com.quantfinlib.microstructure.LeadLagEstimator: Persists the per-lag correlation moments — see persist.Checkpoint.
writeState(DataOutput) - Method in class com.quantfinlib.microstructure.OnlineAlphaLearner: Persists the weights AND the prequential IC evidence — restored trust must be earned trust: a learner reloaded without its IC history would start silent again (OnlineAlphaLearner.normalizedPrediction(double, double, double, double) gates on the IC), which is exactly right for weights with no demonstrated track record.
writeState(DataOutput) - Method in class com.quantfinlib.microstructure.SpreadForecaster: Persists the learned baseline (cross-day state) — see persist.Checkpoint.
writeState(DataOutput) - Method in class com.quantfinlib.microstructure.VolatilityCurve: Persists the learned baseline (cross-day state) — see persist.Checkpoint.
writeState(DataOutput) - Method in class com.quantfinlib.microstructure.VolumeCurve: Persists the learned profile (cross-day state) — see persist.Checkpoint.
writeState(DataOutput) - Method in class com.quantfinlib.rfq.RfqDealerScorecard: Persists the learned panel quality — see persist.Checkpoint.
wTradeImbalance() - Method in record class com.quantfinlib.microstructure.SignalEngine.Config: Returns the value of the wTradeImbalance record component.

X

XlsxReportExporter - Class in com.quantfinlib.report: Minimal dependency-free XLSX (Office Open XML spreadsheet) writer.
XlsxReportExporter() - Constructor for class com.quantfinlib.report.XlsxReportExporter

Y

yangZhang(double[], double[], double[], double[], double) - Static method in class com.quantfinlib.volatility.RangeVolatility: Yang-Zhang estimator, annualized.
yangZhang(BarSeries, double) - Static method in class com.quantfinlib.volatility.RangeVolatility: Yang-Zhang over a whole BarSeries.
yearFraction(LocalDate, LocalDate) - Method in enum class com.quantfinlib.rates.DayCount: Year fraction from start (inclusive) to end (exclusive).
YieldCurve - Class in com.quantfinlib.rates: Zero-coupon yield curve — the single most load-bearing object in fixed income: every bond price, swap value, forward rate and DV01 is a function of it.
yieldToMaturity(double, double, double, int, double) - Static method in class com.quantfinlib.rates.BondPricer: Yield to maturity by bisection (price must be positive).

Z

zeroRate(double) - Method in record class com.quantfinlib.rates.NelsonSiegel.Fit: Model zero rate at tenor t years, > 0.
zeroRate(double) - Method in record class com.quantfinlib.rates.Svensson.Fit: Model zero rate at tenor t years, > 0.
zeroRate(double) - Method in class com.quantfinlib.rates.YieldCurve: Continuously-compounded zero rate (linear interpolation, flat extrapolation).
zone() - Method in record class com.quantfinlib.risk.PnlAttribution.Result: Returns the value of the zone record component.
zScore(double) - Method in record class com.quantfinlib.microstructure.OrnsteinUhlenbeck.Params: (x − θ) / stationary stdev: the entry/exit signal.
zScoreWeights(double[], double) - Static method in class com.quantfinlib.alpha.PortfolioConstruction: PortfolioConstruction.zScoreWeights(double[], double, double) without a per-name cap.
zScoreWeights(double[], double, double) - Static method in class com.quantfinlib.alpha.PortfolioConstruction: Z-score sizing, the workhorse: demean scores cross-sectionally, scale by their dispersion, clamp at ±3σ (a single outlier must not own the book), then normalize to Σ|w| = grossTarget and cap per-name weight at maxWeight.
zSpread(double, double, double, int, double, YieldCurve) - Static method in class com.quantfinlib.credit.CreditSpreads: The Z-spread (continuously compounded, decimal) of a fixed-coupon bond over curve.
zStat() - Method in record class com.quantfinlib.microstructure.VarianceRatio.Result: Returns the value of the zStat record component.

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
All Classes and Interfaces|All Packages|Constant Field Values