Index (Quant-Finance-Library 4.0.0 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|Serialized Form

A

a() - Method in record class com.quantfinlib.pricing.SviSlice: Returns the value of the a record component.
A - Enum constant in enum class com.quantfinlib.risk.FrtbDrc.CreditQuality
A - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.ErbaRating
A - Enum constant in enum class com.quantfinlib.risk.SaCcr.CreditGrade: A single name, 0.42%.
A_MINUS - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.ErbaRating
A_PLUS - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.ErbaRating
A_TO_BBB - Enum constant in enum class com.quantfinlib.risk.SaCcrHaircuts.DebtRating: A+ to BBB-.
A1_P1 - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.ErbaShortTermRating
A2_P2 - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.ErbaShortTermRating
A3_P3 - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.ErbaShortTermRating
AA - Enum constant in enum class com.quantfinlib.risk.FrtbDrc.CreditQuality
AA - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.ErbaRating
AA - Enum constant in enum class com.quantfinlib.risk.SaCcr.CreditGrade: AA single name, 0.38%.
AA_MINUS - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.ErbaRating
AA_PLUS - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.ErbaRating
AAA - Enum constant in enum class com.quantfinlib.risk.FrtbDrc.CreditQuality
AAA - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.ErbaRating
AAA - Enum constant in enum class com.quantfinlib.risk.SaCcr.CreditGrade: AAA single name, 0.38%.
AAA_TO_AA - Enum constant in enum class com.quantfinlib.risk.SaCcrHaircuts.DebtRating: AAA to AA-.
ABCP - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.AssetClass
aboveIchimokuCloud() - Static method in class com.quantfinlib.screener.TechnicalFilters: Close above both Ichimoku cloud spans on the last bar.
accrualEnd() - Method in record class com.quantfinlib.credit.IsdaCdsModel.Period: Returns the value of the accrualEnd record component.
accrualEnd() - Method in record class com.quantfinlib.rates.LegConvention.Period: Returns the value of the accrualEnd record component.
accrualStart() - Method in record class com.quantfinlib.credit.IsdaCdsModel.Period: Returns the value of the accrualStart record component.
accrualStart() - Method in record class com.quantfinlib.rates.LegConvention.Period: Returns the value of the accrualStart record component.
accrualStartDate() - Method in record class com.quantfinlib.credit.IsdaCdsModel.Contract: Returns the value of the accrualStartDate record component.
accrualStartDate(LocalDate) - Static method in class com.quantfinlib.credit.IsdaCdsModel: Accrual start for a step-in date: the last adjusted IMM date on or before it.
accrualStartDate(LocalDate, BusinessCalendar) - Static method in class com.quantfinlib.credit.IsdaCdsModel: Accrual start on a holiday calendar: the last IMM date, adjusted following on calendar, on or before the step-in date.
accruedInterest(double, double, int, LocalDate, LocalDate, DayCount) - Static method in class com.quantfinlib.rates.BondPricer
accruedInterest(double, double, int, LocalDate, LocalDate, DayCount, boolean) - Static method in class com.quantfinlib.rates.BondPricer: Accrued interest at settlement: the current period's coupon times the elapsed fraction (ACT/ACT ICMA: actual days over actual days in the period; 30/360 family: 30/360 days over 360/f).
accruedInterestExact(double, double, int, double) - Static method in class com.quantfinlib.rates.BondPricer: Accrued interest on the quasi-coupon grid of BondPricer.priceFromYieldExact(double, double, int, double, double): C (1 - w); zero when the maturity is a whole number of periods.
accruedYearFraction(IsdaCdsModel.Contract) - Static method in class com.quantfinlib.credit.IsdaCdsModel: Accrued premium fraction at step-in: ACT/360(accrual start, step-in).
acerbiSzekelyZ2(double[], double[], double[], double) - Static method in class com.quantfinlib.risk.VarBacktest: The Acerbi-Szekely (2014, "Backtesting expected shortfall", Risk, December) unconditional ES test statistic
acquirer() - Method in record class com.quantfinlib.data.PointInTimeUniverse.TerminalEvent: Returns the value of the acquirer record component.
acquirerIndex(int) - Method in class com.quantfinlib.alpha.AlphaContext: Panel index of the acquirer receiving symbol i's holders in a stock merger, or −1.
acquirerIsin() - Method in record class com.quantfinlib.data.CorporateEvents.CashStockMerger: Returns the value of the acquirerIsin record component.
acquirerPrice() - Method in record class com.quantfinlib.data.CorporateEvents.CashStockMerger: Returns the value of the acquirerPrice record component.
acquirerSharesPerShare() - Method in record class com.quantfinlib.data.PointInTimeUniverse.TerminalEvent: Returns the value of the acquirerSharesPerShare record component.
acquirerSymbol() - Method in record class com.quantfinlib.data.CorporateEvents.CashStockMerger: Returns the value of the acquirerSymbol 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_ICMA - Enum constant in enum class com.quantfinlib.rates.DayCount: ACT/ACT ICMA — government bonds (US Treasuries, gilts, Bunds).
ACT_ACT_ISDA - Enum constant in enum class com.quantfinlib.rates.DayCount: ACT/ACT ISDA — government bonds and ISDA swap legs; leap-year exact.
actActIcma(LocalDate, LocalDate, LocalDate, LocalDate, int) - Static method in enum class com.quantfinlib.rates.DayCount: ACT/ACT ICMA (ICMA Rule 251): days(start, end) / (frequency × days(periodStart, periodEnd)), where [periodStart, periodEnd) is the regular (quasi-)coupon period containing [start, end).
Action(boolean, double) - Constructor for record class com.quantfinlib.hedging.WhalleyWilmott.Action: Creates an instance of a Action record class.
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(double, double, double, double, double, double, double, double) - Method in class com.quantfinlib.fx.FxVolSurface.Builder: Quote with the foreign discount factor e^{−r_f T}, needed for spot delta conventions.
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(String, long, long, Fundamentals) - Method in class com.quantfinlib.alpha.FundamentalsHistory: Adds a record with its actual publication time.
addBand(double, double) - Method in class com.quantfinlib.microstructure.TickSizeSchedule.Builder: The tick that applies from floorPrice up to the next band's floor.
addBusinessDays(LocalDate, int) - Static method in class com.quantfinlib.credit.IsdaCdsModel: Adds Monday-to-Friday business days.
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.
addCriterion(String, double, ToDoubleFunction) - Method in class com.quantfinlib.screener.RankingEngine: Adds a ranking criterion.
addDay(double[]) - Method in class com.quantfinlib.ml.IntradayLiquidityForecaster: Adds one day's observed volume per bucket.
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.
addJointBusinessDays(LocalDate, int) - Method in class com.quantfinlib.fx.CurrencyPair: Adds n joint business days (n >= 0).
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).
addOnAggregate() - Method in record class com.quantfinlib.risk.SaCcr.Result: Returns the value of the addOnAggregate record component.
addOnCommodity() - Method in record class com.quantfinlib.risk.SaCcr.Result: Returns the value of the addOnCommodity record component.
addOnCredit() - Method in record class com.quantfinlib.risk.SaCcr.Result: Returns the value of the addOnCredit record component.
addOnEquity() - Method in record class com.quantfinlib.risk.SaCcr.Result: Returns the value of the addOnEquity record component.
addOnFactor(double) - Static method in class com.quantfinlib.risk.CounterpartyExposureTracker: BIS CEM-style FX add-on factor by residual tenor.
addOnFx() - Method in record class com.quantfinlib.risk.SaCcr.Result: Returns the value of the addOnFx record component.
addOnInterestRate() - Method in record class com.quantfinlib.risk.SaCcr.Result: Returns the value of the addOnInterestRate record component.
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
addPoint(double, double) - Method in class com.quantfinlib.pricing.ForwardCurve: Adds (or replaces) an outright forward at tenorYears > 0.
addPosition(String, double, double) - Method in class com.quantfinlib.risk.Portfolio
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.
addSynthetic(long, double, double, double, double, double) - Method in class com.quantfinlib.core.BarSeries.Builder: Adds an alignment placeholder bar (see the class doc).
addTrade(CounterpartyExposureTracker.CounterpartyTrade) - Method in class com.quantfinlib.risk.CounterpartyExposureTracker
addUnderlying(double) - Method in class com.quantfinlib.hedging.OptionsBook: Adds (or hedges with) the underlying; negative = short.
addWithLag(String, long, long, Fundamentals) - Method in class com.quantfinlib.alpha.FundamentalsHistory: Adds a record whose release date is unknown, assuming it became public reportingLag after periodEnd.
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).
adfTStatistic(double[], int) - Static method in class com.quantfinlib.hedging.CointegrationTest: Augmented Dickey-Fuller t-statistic without constant (the residuals of a regression with intercept have mean zero): Δe_t = γ·e_{t−1} + Σ_{j=1..p} φ_j·Δe_{t−j} + u_t, OLS over t = p+1 .. n−1; returns γ̂ / se(γ̂).
adjust(BarSeries, List) - Static method in class com.quantfinlib.data.CorporateEvents: Back-adjusts with CorporateEvents.DividendPolicy.ALL.
adjust(BarSeries, List, CorporateEvents.DividendPolicy) - Static method in class com.quantfinlib.data.CorporateEvents: Returns a new back-adjusted series; the input is untouched.
adjust(BarSeries, List) - 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.
adjustFollowing(LocalDate) - Static method in class com.quantfinlib.credit.IsdaCdsModel: Moves a weekend date to the following Monday.
adv() - Method in class com.quantfinlib.microstructure.MarketImpactModel: Average daily volume, in shares.
adverseSelectionBps() - Method in record class com.quantfinlib.crb.CrbRouter.DarkVenue: Returns the value of the adverseSelectionBps record component.
advTradeFraction() - Method in record class com.quantfinlib.alpha.AlphaBacktester.RiskOptions: Returns the value of the advTradeFraction record component.
advWindow() - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Participation: Returns the value of the advWindow record component.
adx(int) - Method in class com.quantfinlib.indicators.Indicators.Adx: Element i of adx.
adx(BarSeries, int) - Static method in class com.quantfinlib.indicators.Indicators: Average Directional Index with +DI / -DI (Wilder).
Adx(double[], double[], double[]) - Constructor for class com.quantfinlib.indicators.Indicators.Adx: Creates the value; array and collection arguments are copied.
adxAbove(int, double) - Static method in class com.quantfinlib.screener.TechnicalFilters
adxCopy() - Method in class com.quantfinlib.indicators.Indicators.Adx: A fresh copy of adx.
adxLength() - Method in class com.quantfinlib.indicators.Indicators.Adx: Length of adx.
AGRICULTURAL - Enum constant in enum class com.quantfinlib.risk.SaCcr.CommoditySet: Agricultural.
aic(double, int) - Static method in class com.quantfinlib.volatility.InformationCriteria: Akaike information criterion 2k - 2 ln L.
ALL - Enum constant in enum class com.quantfinlib.data.CorporateEvents.DividendPolicy: Regular and special dividends both adjust (CRSP-style total return).
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 class com.quantfinlib.optimization.PortfolioOptimizer.Allocation: Creates the value; array and collection arguments are copied.
Allocation(double, double[], double[]) - Constructor for class com.quantfinlib.risk.ComponentVar.Allocation: Creates the value; array and collection arguments are copied.
Allocation(double, double[], double, double) - Constructor for class com.quantfinlib.crb.CrbRouter.Allocation: Creates the value; array and collection arguments are copied.
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: Model inputs.
AlmgrenChriss.Trajectory - 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.
ALPHA - Static variable in class com.quantfinlib.risk.SaCcr: Alpha, para 128.
AlphaBacktester - Class in com.quantfinlib.alpha: Execution-aware factor backtest: runs a factor through a construction pipeline into target weights at each rebalance and simulates holding, trading and financing the book bar by bar.
AlphaBacktester.Config - Record Class in com.quantfinlib.alpha: Backtest settings: decision schedule, costs and capital.
AlphaBacktester.Result - Class in com.quantfinlib.alpha: Net and gross curves (one point per close from startIndex), the cumulative fraction of equity each cost consumed, and turnover.
AlphaBacktester.RiskOptions - Record Class in com.quantfinlib.alpha: Risk-model-driven construction for AlphaBacktester.run(AlphaContext, AlphaFactor, Config, RiskOptions): at each rebalance a FactorRiskModel is rebuilt from the panel up to the decision bar (AlphaRiskModels) and the book comes from TurnoverAwareOptimizer started at the drifted book actually held.
AlphaBacktester.Traced - Class in com.quantfinlib.alpha: A run with its per-bar trace: the book held over each close-to-close bar, each name's P&L, the cost and the financing, all as fractions of equity at the start of the bar.
AlphaBacktester.WeightBuilder - Interface in com.quantfinlib.alpha: Builds target weights from raw scores at a rebalance (the construction hook).
AlphaCombiner - Class in com.quantfinlib.alpha: Combines several alpha factors into one by information-coefficient weights that match the holding horizon, account for signal decay, remove redundancy by orthogonalisation and shrink toward equal weights.
AlphaCombiner.Combination - Class in com.quantfinlib.alpha: Fitted weights and the combined factor.
AlphaCombiner.Settings - Record Class in com.quantfinlib.alpha: Combination settings.
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 and an optional point-in-time universe.
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
AlphaEnsemble(int, double, 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).
alphaFromAtmVol(double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.SabrModel: α that reproduces an ATM vol exactly (West 2005, eq. 3): the smallest positive root of
alphaHacStdError() - Method in class com.quantfinlib.alpha.AlphaReport.Attribution: alphaHacStdError.
alphaPerBar() - Method in class com.quantfinlib.alpha.AlphaReport.Attribution: alphaPerBar (intercept: return per bar not explained by the factors).
AlphaReport - Class in com.quantfinlib.alpha: Alpha reporting: the diagnostics that explain a factor's P&L rather than just totalling it.
AlphaReport.Attribution - Class in com.quantfinlib.alpha: OLS attribution with standard errors.
AlphaReport.Decay - Class in com.quantfinlib.alpha: Mean IC per cumulative horizon, plus the horizon where it first falls below half the shortest-horizon value.
AlphaReport.LagDecay - Class in com.quantfinlib.alpha: Lagged-return IC profile with its exponential fit.
AlphaRiskModels - Class in com.quantfinlib.alpha: Builds a FactorRiskModel from an AlphaContext panel, with style factors taken from Factors.
AlphaRiskModels.Spec - Record Class in com.quantfinlib.alpha: Risk model specification.
alphaStdError() - Method in class com.quantfinlib.alpha.AlphaReport.Attribution: alphaStdError (its classical standard error).
alphaTStat() - Method in class com.quantfinlib.alpha.AlphaReport.Attribution: Newey-West t-stat of the intercept.
AlphaValidation - Class in com.quantfinlib.alpha: Validation for alpha factors, run before any capital-weighted conclusion: Walk-forward: pick the best candidate on a training window by in-sample IC, measure it on the next unseen window, roll forward.
AlphaValidation.CrossValidationResult - 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.
AlphaValidation.NullModel - Enum Class in com.quantfinlib.alpha: Which link the null distribution destroys.
AlphaValidation.RobustnessResult - Record Class in com.quantfinlib.alpha: Observed mean IC against its null distribution.
AlphaValidation.SensitivityResult - Class in com.quantfinlib.alpha: IC across the sweep.
AlphaValidation.WalkForwardResult - 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
AMBER - Enum constant in enum class com.quantfinlib.risk.VarBacktest.Zone: Questions, not conclusive: from 95 % up to 99.99 %.
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.
amount() - Method in record class com.quantfinlib.data.CorporateEvents.Dividend: Returns the value of the amount record component.
amount(int) - Method in class com.quantfinlib.pricing.DividendSchedule: Cash amount per share of dividend i.
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: Analyses the drawdowns of an equity curve.
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: PortfolioRiskAnalyzer.analyze(double, int, double) with a zero risk-free rate.
analyze(double, int, double) - Method in class com.quantfinlib.risk.PortfolioRiskAnalyzer: Computes the risk report.
analyze(BarSeries, ParameterGrid, StrategyFactory, BacktestConfig, int, int, ToDoubleFunction) - Static method in class com.quantfinlib.backtest.validation.WalkForwardAnalyzer: Runs a walk-forward optimisation over the parameter grid.
analyze(List) - Static method in class com.quantfinlib.backtest.TradeAnalytics: Computes trade-level statistics.
analyze(List, int, long) - Static method in class com.quantfinlib.backtest.validation.MonteCarloTradeShuffle: Shuffles the trade order and records the drawdown distribution.
analyze(List, double, double, double[]) - Static method in class com.quantfinlib.microstructure.TransactionCostAnalyzer: Transaction cost analysis of one parent order's fills.
anchorSpot() - Method in class com.quantfinlib.pricing.IncrementalGreeks: The spot the expansion is anchored at (NaN before the first reprice).
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 class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport: annualizedVolatility.
annualizedVolatility(double[], int) - Static method in class com.quantfinlib.risk.RiskMetrics
annuity(DiscountCurve) - Method in record class com.quantfinlib.rates.FixedLeg: Annuity per unit notional and unit rate, over the coupons not yet paid.
annuity(DiscountCurve) - Method in record class com.quantfinlib.rates.InterestRateSwap: Fixed-leg annuity on the discount curve, per unit notional and unit rate.
annuity(DiscountCurve) - Method in record class com.quantfinlib.rates.OisSwap: sum tau_i P(t_i) per unit notional.
annuity(DiscountCurve) - Method in record class com.quantfinlib.rates.VanillaSwap: Fixed-leg annuity per unit notional.
annuity(YieldCurve, double, double, int) - Static method in class com.quantfinlib.rates.RatesOptions: PV of 1 per year paid paymentsPerYear times a year (accrual τ = 1/f) over (start, start + tenor].
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
apply(double) - Method in enum class com.quantfinlib.risk.FrtbSa.Scenario: Applies the scenario to a medium correlation.
apply(CorporateEventPositions.Holding, CorporateEvents.Event, double) - Static method in class com.quantfinlib.data.CorporateEventPositions: Applies an event that needs no election.
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) in the fixing count).
ARRIVAL_PRICE - Enum constant in enum class com.quantfinlib.execution.BenchmarkExecutor.Benchmark: Front-loaded fixed curve 1 - (1 - f)^2 against the arrival price.
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 class com.quantfinlib.backtest.ParentOrder: arrivalPrice.
asBasis() - Method in record class com.quantfinlib.risk.SaCcrTrade: This trade as a basis transaction (para 162): a non-FX trade whose two floating legs reference risk factors of the same asset class in the same currency, such as 3m LIBOR against OIS.
ASIA - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.Region
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.
askSize() - Method in record class com.quantfinlib.execution.VenueQuote: Returns the value of the askSize record component.
asOf(String, long) - Method in class com.quantfinlib.alpha.FundamentalsHistory: The latest record published at or before timestamp, or null when nothing about the symbol was public yet.
assetClass() - Method in record class com.quantfinlib.risk.FrtbDrcSecuritisation.NonCtpBucket: Returns the value of the assetClass record component.
assetClass() - Method in record class com.quantfinlib.risk.SaCcrTrade: Returns the value of the assetClass record component.
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 class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport: assetVaR.
assetVolatilities() - Method in class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport: assetVolatilities.
asVolatility() - Method in record class com.quantfinlib.risk.SaCcrTrade: This trade as a volatility transaction (para 163): the reference is a volatility or variance of a risk factor, such as a variance swap.
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.
atmConvention() - Method in class com.quantfinlib.fx.FxVolSurface
atmConvention(FxVolSurface.AtmConvention) - Method in class com.quantfinlib.fx.FxVolSurface.Builder
atmStrike(double, double, double, FxVolSurface.DeltaConvention, FxVolSurface.AtmConvention) - Static method in class com.quantfinlib.fx.FxVolSurface: ATM strike under the given conventions.
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).
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) - Static method in class com.quantfinlib.alpha.AlphaReport: AlphaReport.attribute(double[], double[][], List, int) with the Andrews (1991) automatic lag picked on the portfolio returns.
attribute(double[], double[][], List, int) - Static method in class com.quantfinlib.alpha.AlphaReport: Regresses portfolio returns on factor return streams with an intercept, r_p = α + Σ βᵢ·fᵢ + ε, by Householder QR (Ols).
attribute(AlphaContext, AlphaBacktester.Traced, String[], AlphaRiskModels.Spec) - Static method in class com.quantfinlib.alpha.BacktestAttribution: Attributes a traced run.
Attribution(double, double[], List, double, double, double, double[], double[], int) - Constructor for class com.quantfinlib.alpha.AlphaReport.Attribution: Creates the value; array and collection arguments are copied.
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: Creates an instance; the explicit form of the default constructor.
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).
AUTO_LOANS_LEASES - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.AssetClass
Autocallable - Class in com.quantfinlib.pricing: Autocallable note pricer, the most common 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
autocorrelation(double[], int) - Static method in class com.quantfinlib.alpha.NeweyWest: Lag-k sample autocorrelation γ_k / γ₀ (0 for a constant series).
automaticLag(double[]) - Static method in class com.quantfinlib.alpha.NeweyWest: Andrews (1991) AR(1) plug-in bandwidth for the Bartlett kernel: S = 1.1447 (α̂ n)^{1/3} with α̂ = 4ρ̂² / ((1−ρ̂)²(1+ρ̂)²), returned as an integer lag floor(S) capped at n/2.
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 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.
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.
avgWin() - Method in record class com.quantfinlib.backtest.TradeAnalytics.Result: Returns the value of the avgWin record component.

B

b() - Method in record class com.quantfinlib.pricing.SviSlice: Returns the value of the b record component.
B - Enum constant in enum class com.quantfinlib.risk.FrtbDrc.CreditQuality
B - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.ErbaRating
B - Enum constant in enum class com.quantfinlib.risk.SaCcr.CreditGrade: B single name, 1.6%.
B_MINUS - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.ErbaRating
B_PLUS - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.ErbaRating
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.
Bachelier - Class in com.quantfinlib.pricing: Bachelier (normal) model for options on a forward: the forward follows dF = σ_N dW, so it can go negative and σ_N is quoted in absolute rate units (0.0080 = 80 basis points a year).
backtest() - Method in class com.quantfinlib.backtest.ExecutionAwareResult
BacktestAttribution - Class in com.quantfinlib.alpha: P&L attribution of a traced backtest over time: factor, specific, trading, cost and financing components per bar, with long/short leg and sector splits.
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: Next-open fills.
BacktestConfig(double, double, double, double, double, int, FillPolicy) - 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.
Backtester.Segment - Record Class in com.quantfinlib.backtest: A segment's result and the state it ended in.
Backtester.State - Record Class in com.quantfinlib.backtest: Book state carried between segments.
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, 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 with zero discounting (r·(T−t) = 0); see WhalleyWilmott.bandHalfWidth(double, double, double, double, double, double).
bandHalfWidth(double, double, double, double, double, double) - Static method in class com.quantfinlib.hedging.WhalleyWilmott: The optimal no-trade half-width around delta, in shares.
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.
BarrierOption - Class in com.quantfinlib.pricing: Continuously monitored single-barrier options: all eight in/out, up/down, call/put combinations, regular and reverse, with a cash rebate.
BarrierOption.Direction - Enum Class in com.quantfinlib.pricing: Barrier direction relative to spot.
BarrierOption.Knock - Enum Class in com.quantfinlib.pricing: Whether the barrier activates or extinguishes the option.
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) so indicators read primitive columns directly.
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).
BASEL_II_2006 - Enum constant in enum class com.quantfinlib.risk.SaCcrHaircuts.Table: BCBS 128 (June 2006) paragraph 151.
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).
baselineRatePerSec() - Method in record class com.quantfinlib.microstructure.HawkesIntensity.Fit: Returns the value of the baselineRatePerSec record component.
baseNotional() - Method in class com.quantfinlib.fx.FxSwap
baseNotional() - Method in class com.quantfinlib.fx.Ndf
BASIS - Enum constant in enum class com.quantfinlib.risk.SaCcr.HedgingSetType: Basis transaction, own hedging set per risk-factor pair, factor 0.5.
BasisFactor(double, double, double[]) - Constructor for record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.BasisFactor: Validates and copies.
BB - Enum constant in enum class com.quantfinlib.risk.FrtbDrc.CreditQuality
BB - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.ErbaRating
BB - Enum constant in enum class com.quantfinlib.risk.SaCcr.CreditGrade: BB single name, 1.06%.
BB - Enum constant in enum class com.quantfinlib.risk.SaCcrHaircuts.DebtRating: BB+ to BB- (eligible for sovereign debt only).
BB_MINUS - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.ErbaRating
BB_PLUS - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.ErbaRating
BBB - Enum constant in enum class com.quantfinlib.risk.FrtbDrc.CreditQuality
BBB - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.ErbaRating
BBB - Enum constant in enum class com.quantfinlib.risk.SaCcr.CreditGrade: BBB single name, 0.54%.
BBB_MINUS - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.ErbaRating
BBB_PLUS - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.ErbaRating
beatsBaselines() - Method in record class com.quantfinlib.ml.VolatilityForecaster.Validation: True when the model beats both baselines out of sample.
BELOW_CCC_MINUS - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.ErbaRating
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: Strategy statistics relative to a benchmark.
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)).
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 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) - Static method in class com.quantfinlib.backtest.validation.GridSearchOptimizer: The winning parameter set only.
bestAsk() - Method in class com.quantfinlib.fx.FxTierBook: Best (lowest) ask across LPs at each LP's frontier tier; NaN when nobody offers.
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.
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: Execution-quality analytics of the kind a MiFID II best-execution review starts from: slippage versus arrival mid (simple average per order and quantity-weighted), latency-to-fill distribution, fraction executed at or better than arrival, and per-venue slippage.
BestExecutionAnalyzer() - Constructor for class com.quantfinlib.regulatory.BestExecutionAnalyzer: Creates an instance; the explicit form of the default constructor.
BestExecutionAnalyzer.BestExecutionReport - Record Class in com.quantfinlib.regulatory: Best-execution summary.
BestExecutionAnalyzer.OrderOutcome - Record Class in com.quantfinlib.regulatory: One parent order outcome.
BestExecutionAnalyzer.ShortfallDecomposition - Record Class in com.quantfinlib.regulatory: Perold (1988) implementation shortfall of one order, in currency:
BestExecutionReport(int, double, double, double, double, double, Map) - 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, provided it is significant and beats the contemporaneous correlation.
bestParams() - Method in record class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.Fold: Returns the value of the bestParams record component.
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.
betaHacStdErrors(int) - Method in class com.quantfinlib.alpha.AlphaReport.Attribution: Element i of betaHacStdErrors (Newey-West standard errors of the betas).
betaHacStdErrorsCopy() - Method in class com.quantfinlib.alpha.AlphaReport.Attribution: A fresh copy of betaHacStdErrors.
betaHacStdErrorsLength() - Method in class com.quantfinlib.alpha.AlphaReport.Attribution: Length of betaHacStdErrors.
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).
betas(int) - Method in class com.quantfinlib.alpha.AlphaReport.Attribution: Element i of betas.
betasCopy() - Method in class com.quantfinlib.alpha.AlphaReport.Attribution: A fresh copy of betas.
betasLength() - Method in class com.quantfinlib.alpha.AlphaReport.Attribution: Length of betas.
betaStdErrors(int) - Method in class com.quantfinlib.alpha.AlphaReport.Attribution: Element i of betaStdErrors (classical standard errors of the betas).
betaStdErrorsCopy() - Method in class com.quantfinlib.alpha.AlphaReport.Attribution: A fresh copy of betaStdErrors.
betaStdErrorsLength() - Method in class com.quantfinlib.alpha.AlphaReport.Attribution: Length of betaStdErrors.
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.
bidSize() - Method in record class com.quantfinlib.execution.VenueQuote: Returns the value of the bidSize record component.
bilateral(ExposureProfile, CreditCurve, double, CreditCurve, double) - Static method in class com.quantfinlib.credit.CvaApproximator: Bilateral CVA/DVA from a simulated profile with first-to-default (Brigo and Capponi, "Bilateral counterparty risk with application to CDSs", 2008; Gregory, The xVA Challenge, 3rd ed., 2015, ch. 14).
Bilateral(double, double) - Constructor for record class com.quantfinlib.credit.CvaApproximator.Bilateral: Creates an instance of a Bilateral record class.
bilateralWrongWay(ExposureProfile, CreditCurve, double, CreditCurve, double, double, double, ExposureProfile.Factor) - Static method in class com.quantfinlib.credit.CvaApproximator: Bilateral CVA/DVA with wrong-way risk on both names and one path-consistent first-to-default (added in 2.3).
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
black(BlackScholes.OptionType, double, double, double, double) - Static method in class com.quantfinlib.pricing.ImpliedVolatility: Black implied volatility from an undiscounted (forward) option price.
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 (Black and Litterman 1992; He and Litterman 1999).
BlackLitterman.Posterior - Class in com.quantfinlib.optimization: Posterior mean, posterior covariance of the mean M, and Σ + M.
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
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(int) - Method in class com.quantfinlib.alpha.AlphaValidation.CrossValidationResult: Element i of blockIcs.
blockIcsCopy() - Method in class com.quantfinlib.alpha.AlphaValidation.CrossValidationResult: A fresh copy of blockIcs.
blockIcsLength() - Method in class com.quantfinlib.alpha.AlphaValidation.CrossValidationResult: Length of blockIcs.
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 class com.quantfinlib.indicators.Indicators.Bollinger: Creates the value; array and collection arguments are copied.
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.
Book(double[], double, double, boolean) - Constructor for class com.quantfinlib.alpha.PortfolioConstruction.Book: Creates the value; array and collection arguments are copied.
bookCashEquity(int, int, double, double) - Method in class com.quantfinlib.crb.CentralRiskBook: As CentralRiskBook.bookCashEquity(String, String, double, double) with dense ids from CentralRiskBook.deskId(String) and CentralRiskBook.equityHandle(String).
bookCashEquity(String, String, double, double) - Method in class com.quantfinlib.crb.CentralRiskBook: Cash equity: qty shares (signed) at price.
bookEquityOption(int, int, BlackScholes.OptionType, double, double, double, double, double, double, double, double) - Method in class com.quantfinlib.crb.CentralRiskBook: As the String-keyed overload with dense ids from CentralRiskBook.deskId(String) and CentralRiskBook.equityHandle(String).
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(int, int, BlackScholes.OptionType, double, double, double, double, double, double, double) - Method in class com.quantfinlib.crb.CentralRiskBook: As the String-keyed overload with dense ids from CentralRiskBook.deskId(String) and CentralRiskBook.fxPairHandle(String).
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(int, int, double, double) - Method in class com.quantfinlib.crb.CentralRiskBook: As the String-keyed overload with dense ids from CentralRiskBook.deskId(String) and CentralRiskBook.fxPairHandle(String).
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(int, int, double, double, double) - Method in class com.quantfinlib.crb.CentralRiskBook: As the String-keyed overload with dense ids from CentralRiskBook.deskId(String) and CentralRiskBook.fxPairHandle(String).
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(int, int, double, double) - Method in class com.quantfinlib.crb.CentralRiskBook: As the String-keyed overload with dense ids from CentralRiskBook.deskId(String) and CentralRiskBook.fxPairHandle(String).
bookNdf(String, String, double, double) - Method in class com.quantfinlib.crb.CentralRiskBook: NDF: buy baseNotional of base forward at fwdRate.
bootstrap(int[], double[], double, YieldCurve) - Static method in class com.quantfinlib.credit.CreditCurve: Bootstraps from CDS par spreads.
bootstrap(LocalDate, int[], double[], double, IsdaCurve) - Static method in class com.quantfinlib.credit.IsdaCdsModel: Bootstraps a piecewise-constant hazard curve from par spreads of standard contracts traded today, one node per maturity.
bootstrap(LocalDate, int[], double[], double, IsdaCurve, IsdaCdsModel.Conventions) - Static method in class com.quantfinlib.credit.IsdaCdsModel: Bootstraps under explicit conventions; the standard contracts are built on the conventions' calendar.
bootstrap(LocalDate, List, CurveInterpolation) - Static method in class com.quantfinlib.rates.MultiCurveBootstrap: A self-discounting curve (OIS: deposits on the overnight rate and OIS swaps).
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).
BootstrapJacobian - Class in com.quantfinlib.rates: Bucketed curve risk from the analytic Jacobian of the bootstrap, instead of bumping each quote and rebuilding the curves (MultiCurveRisk).
bootstrapProjection(LocalDate, List, CurveInterpolation, DiscountCurve) - Static method in class com.quantfinlib.rates.MultiCurveBootstrap: A projection curve, discounting on the fixed discount curve.
bootstrapSwaps(LocalDate, List, BusinessCalendar) - Static method in class com.quantfinlib.credit.IsdaRateCurve: Bootstraps the swap-only zero curve.
borrowBpsBySymbol() - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Financing: Returns the value of the borrowBpsBySymbol record component.
borrowBpsPerYear() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Config: Returns the value of the borrowBpsPerYear record component.
bosVandermarkPrice(BlackScholes.OptionType, double, double, double, double, double, double) - Method in class com.quantfinlib.pricing.DividendSchedule: European price with the Bos-Vandermark (2002) split: for dividends dᵢ at tᵢ ≤ T,
branchingRatio() - Method in record class com.quantfinlib.microstructure.HawkesIntensity.Fit: α/β: expected direct children per event.
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.
BROKER_STRANGLE - Enum constant in enum class com.quantfinlib.fx.FxVolSurface.ButterflyQuote: Broker (market) strangle, priced at one vol.
bucket() - Method in record class com.quantfinlib.risk.FrtbDrcSecuritisation.Position: Returns the value of the bucket record component.
bucket(FrtbSa.Bucket, FrtbSa.Scenario) - Static method in class com.quantfinlib.risk.FrtbSa: K_b and clamped S_b of one bucket (delta or vega).
Bucket(double[], double[][]) - Constructor for record class com.quantfinlib.risk.FrtbSa.Bucket: Creates an instance of a Bucket record class.
bucketCharge(List) - Static method in class com.quantfinlib.risk.FrtbDrc: DRC of one bucket, max(Σ RW·long − HBR·Σ RW·|short|, 0) (MAR22.25, verified).
bucketedDv01(LocalDate, List, List, CurveInterpolation, ToDoubleBiFunction) - Static method in class com.quantfinlib.rates.BootstrapJacobian: Per-quote DV01 with the same contract and ordering as MultiCurveRisk.bucketedDv01(LocalDate, List, List, CurveInterpolation, ToDoubleBiFunction): the PV change for +1bp in each quote, OIS quotes first, by the implicit-function Jacobian.
bucketedDv01(LocalDate, List, List, CurveInterpolation, ToDoubleBiFunction) - Static method in class com.quantfinlib.rates.MultiCurveRisk: Per-quote DV01, OIS quotes first then projection quotes.
BucketResult(double, double) - Constructor for record class com.quantfinlib.risk.FrtbSa.BucketResult: Creates an instance of a BucketResult record class.
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
build() - Method in class com.quantfinlib.core.BarSeries.Builder
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
buildCurves(LocalDate, List, List, CurveInterpolation) - Static method in class com.quantfinlib.rates.MultiCurveRisk: Builds the curve pair: OIS from oisInstruments, projection from projectionInstruments discounted on it (the OIS curve itself when that list is empty).
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() - Constructor for class com.quantfinlib.fx.FxVolSurface.Builder: Creates an instance; the explicit form of the default constructor.
Builder() - Constructor for class com.quantfinlib.microstructure.TickSizeSchedule.Builder: Creates an instance; the explicit form of the default constructor.
Builder() - Constructor for class com.quantfinlib.pricing.VolSurface.Builder: Creates an instance; the explicit form of the default constructor.
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.
bus252(BusinessCalendar, LocalDate, LocalDate) - Static method in enum class com.quantfinlib.rates.DayCount: BUS/252: business days d with start <= d < end on calendar, divided by 252 (Brazilian DI and government bond convention, ANBIMA).
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.
BusinessCalendar.StubType - Enum Class in com.quantfinlib.rates: Where an irregular (stub) period goes when the dates do not divide into whole periods (ISDA 2006 definitions, section 4.14 and market practice).
BUTTERFLY_PENALTY - Static variable in record class com.quantfinlib.pricing.SviSlice: Weight of the min(g, 0) penalty residuals in SviSlice.calibrate(double[], double[], double[]).
butterflyQuote(FxVolSurface.ButterflyQuote) - Method in class com.quantfinlib.fx.FxVolSurface.Builder
BUY - Enum constant in enum class com.quantfinlib.backtest.Signal
BUY - Enum constant in enum class com.quantfinlib.core.Side
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, CrossOp, 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, CrossOp, 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).
byBucket(List) - Static method in class com.quantfinlib.risk.FrtbDrcSecuritisation: Groups positions by bucket key in first-seen order.

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: Median of the mid samples captured inside the fixing window.
calculateFix(double[], double[]) - Static method in class com.quantfinlib.regulatory.FixAnalyzer: WM/R-style fix: the mid of the separate medians of bid and offer snapshots in the window, (median(bids) + median(offers)) / 2.
calendar() - Method in record class com.quantfinlib.credit.IsdaCdsModel.Conventions: Returns the value of the calendar record component.
calendar() - Method in record class com.quantfinlib.rates.InterestRateSwap: Returns the value of the calendar record component.
calendar() - Method in record class com.quantfinlib.rates.LegConvention: Returns the value of the calendar record component.
calendar() - Method in record class com.quantfinlib.rates.OisSwap: Returns the value of the calendar record component.
calendar(HolidayCalendars.Market, int, int) - Static method in class com.quantfinlib.rates.HolidayCalendars: A business calendar for a market, holidays generated for every year in [fromYear, toYear].
CalendarAnomalies - Class in com.quantfinlib.alpha: Calendar anomaly profiles: day-of-week and turn-of-month seasonality with their t-statistics.
CalendarAnomalies.DayOfWeekProfile - 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.
CalendarViolation(double, double, double, double, double) - Constructor for record class com.quantfinlib.pricing.VolSurface.CalendarViolation: Creates an instance of a CalendarViolation record class.
calendarViolations(double[], double, double, int) - Method in interface com.quantfinlib.pricing.TotalVarianceSurface: Calendar-arbitrage scan: number of (t, k) grid points where total variance falls between consecutive times of times (ascending) at fixed log-moneyness, over nk points of [kMin, kMax].
calendarViolations(int) - Method in class com.quantfinlib.pricing.VolSurface: Calendar-arbitrage scan: for each pair of consecutive quoted expiries, total variance at gridPoints log-moneyness values spanning both smiles' quoted range must not decrease.
calibrate(double[], double[], double[]) - Static method in record class com.quantfinlib.pricing.SviSlice: Calibrates a slice to total-variance quotes with the butterfly penalty on.
calibrate(double[], double[], double[], boolean) - Static method in record class com.quantfinlib.pricing.SviSlice: Calibrates a slice; butterflyPenalty adds residuals SviSlice.BUTTERFLY_PENALTY·min(g, 0) on a 121-point grid over [min k − 0.5, max k + 0.5].
calibrate(double, double, double, double[], double[]) - Static method in class com.quantfinlib.pricing.SabrModel: Unweighted calibration of (α, ρ, ν) with β fixed.
calibrate(double, double, double, double[], double[][], double[][], double[][]) - Static method in class com.quantfinlib.pricing.SsviSurface: Calibrates ρ, η and γ to implied vol quotes, by Levenberg-Marquardt on weighted total-variance residuals in a reparametrisation that enforces the constructor's no-arbitrage bounds. θ at each expiry is the market ATM total variance: linear interpolation of quoted total variance in log-moneyness at k = 0 (nearest quote if k = 0 is not bracketed), then made non-decreasing by a running maximum.
calibrate(double, double, double, double[], double[][], double[][], double[][]) - Static method in class com.quantfinlib.pricing.SviSurface: Fits one SVI slice per expiry (SviSlice.calibrate(double[], double[], double[]), butterfly penalty on) to implied vol quotes.
calibrate(double, double, double, double[], double[], double[]) - Static method in class com.quantfinlib.pricing.SabrModel: Weighted least-squares calibration of (α, ρ, ν) with β fixed.
calibrate(double, double, double, double[], double[], double[], Heston.Params) - Static method in class com.quantfinlib.pricing.HestonCalibrator: Calibrates with at most 200 iterations and tolerance 1e-12.
calibrate(double, double, double, double[], double[], double[], Heston.Params, int, double) - Static method in class com.quantfinlib.pricing.HestonCalibrator: Calibrates to quotes (strikes[i], maturities[i], impliedVols[i]).
calibrated(double) - Method in record class com.quantfinlib.risk.VarBacktest.VarBacktestResult: Exception frequency consistent with the confidence level?
calibrateToAtm(double, double, double, double, double[], double[], double[]) - Static method in class com.quantfinlib.pricing.SabrModel: Calibration that reprices the ATM vol exactly: α from SabrModel.alphaFromAtmVol(double, double, double, double, double, double) for each trial (ρ, ν), and (ρ, ν) fitted by Levenberg-Marquardt to the quotes.
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.
Candidate(Map, PerformanceMetrics, double, double[]) - Constructor for class com.quantfinlib.backtest.validation.GridSearchOptimizer.Candidate: Creates the value; array and collection arguments are copied.
cap(YieldCurve, int, double, double) - Static method in class com.quantfinlib.rates.RatesOptions: Cap: strip of annual Black-76 caplets to maturityYears.
capacityAt(double) - Method in class com.quantfinlib.alpha.CapacityCurve: Largest capital at which net Sharpe is still at least floor, interpolating linearly in log capital between grid points.
CapacityCurve - Class in com.quantfinlib.alpha: Strategy capacity: net Sharpe ratio against book size.
capFloor(DiscountCurve, DiscountCurve, LocalDate, LocalDate, int, DayCount, BusinessCalendar, BusinessCalendar.Roll, double, double, boolean, RatesOptions.VolModel) - Static method in class com.quantfinlib.rates.RatesOptions: Cap (or floor) on the projection index over the adjusted schedule from start to end: caplet j pays tau_j max(F_j - K, 0) at t_j, F_j the projection forward on its accrual period, fixing at the period start, discounted on discount.
capFloor(YieldCurve, double, int, double, double, boolean, RatesOptions.VolModel) - Static method in class com.quantfinlib.rates.RatesOptions: Cap (or floor, cap = false) with accrual τ = 1/f: caplet i fixes at (i−1)τ, pays τ·max(L_i − K, 0) at iτ, L_i the simple forward.
capital() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Config: Returns the value of the capital record component.
capital(int) - Method in class com.quantfinlib.alpha.CapacityCurve
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.
capitalsCopy() - Method in class com.quantfinlib.alpha.CapacityCurve
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 and rescales the uncapped names so that Σ|w| reaches grossTarget, repeating until no further name breaches the cap (water-filling).
capWindow() - Method in record class com.quantfinlib.alpha.AlphaRiskModels.Spec: Returns the value of the capWindow record component.
carry() - Method in class com.quantfinlib.pricing.SsviSurface
carry() - Method in class com.quantfinlib.pricing.SviSurface
carry() - Method in interface com.quantfinlib.pricing.TotalVarianceSurface: Continuous carry yield (dividend yield, or foreign rate for FX).
carry() - Method in class com.quantfinlib.pricing.VannaVolga
cash() - Method in record class com.quantfinlib.backtest.Backtester.State: Returns the value of the cash record component.
cash() - Method in record class com.quantfinlib.data.CorporateEventPositions.Outcome: Returns the value of the cash record component.
CASH - Enum constant in enum class com.quantfinlib.risk.SaCcrHaircuts.CollateralKind: Cash in the settlement currency (0%).
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).
cashOrNothingSkewAdjusted(BlackScholes.OptionType, double, double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.DigitalOption: Cash-or-nothing digital consistent with a volatility smile: the limit of a tight call (put) spread priced on the smile,
cashOrNothingSkewAdjusted(BlackScholes.OptionType, double, double, double, double, VolSurface, double, double) - Static method in class com.quantfinlib.pricing.DigitalOption: Skew-adjusted cash-or-nothing with vol and slope read from a VolSurface.
cashPerShare() - Method in record class com.quantfinlib.data.CorporateEvents.CashStockMerger: Returns the value of the cashPerShare record component.
cashPerShare() - Method in record class com.quantfinlib.data.PointInTimeUniverse.TerminalEvent: Returns the value of the cashPerShare record component.
cashRate() - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Financing: Returns the value of the cashRate record component.
cashRatePerYear() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Config: Returns the value of the cashRatePerYear record component.
cashSettleDate() - Method in record class com.quantfinlib.credit.IsdaCdsModel.Contract: Returns the value of the cashSettleDate record component.
CashStockMerger(long, String, String, double, double, double, double) - Constructor for record class com.quantfinlib.data.CorporateEvents.CashStockMerger: Creates an instance of a CashStockMerger record class.
CCC - Enum constant in enum class com.quantfinlib.risk.FrtbDrc.CreditQuality
CCC - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.ErbaRating
CCC - Enum constant in enum class com.quantfinlib.risk.SaCcr.CreditGrade: CCC single name, 6.0%.
cci(BarSeries, int) - Static method in class com.quantfinlib.indicators.Indicators: Commodity Channel Index over typical price.
CDO_SQUARED - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.AssetClass
cdoTrancheDelta(double, double, boolean) - Static method in class com.quantfinlib.risk.SaCcr: Supervisory delta of a CDO tranche, para 159: 15 / ((1 + 14 A)(1 + 14 D)), positive for purchased protection.
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: Creates an instance; the explicit form of the default constructor.
CentralRiskBook.CrbReport - Record Class in com.quantfinlib.crb: Snapshot of the book's exposures.
charge(double, double) - Static method in class com.quantfinlib.risk.FrtbRrao: RRAO from gross (absolute) notionals.
check(double[], double[][], double[][], double[], double, long) - Method in class com.quantfinlib.crb.CrbAutoHedger: The hedging decision for this interval.
check(PreTradeLimitChecker.OrderRequest, double, long, double) - Method in class com.quantfinlib.risk.PreTradeLimitChecker: Checks an order against the pre-trade limits.
Checkpoint - Class in com.quantfinlib.persist: Multi-day persistence of learned state.
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) - Constructor for record class com.quantfinlib.risk.PreTradeLimitChecker.CheckResult: Creates an instance of a CheckResult record class.
checkSingleNameDecomposition(double, double[], boolean, double) - Static method in class com.quantfinlib.risk.FrtbDrcSecuritisation: Checks a valuation-model decomposition into single-name equivalents (MAR22.39(2)): allowed for vanilla securitisations only (exotics such as CDO-squared are prohibited) and the single-name amounts must be consistent with the undecomposed value.
chikou(int) - Method in class com.quantfinlib.indicators.Indicators.Ichimoku: Element i of chikou.
chikouCopy() - Method in class com.quantfinlib.indicators.Indicators.Ichimoku: A fresh copy of chikou.
chikouLength() - Method in class com.quantfinlib.indicators.Indicators.Ichimoku: Length of chikou.
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.
childIsin() - Method in record class com.quantfinlib.data.CorporateEvents.SpinOff: Returns the value of the childIsin record component.
childPrice() - Method in record class com.quantfinlib.data.CorporateEvents.SpinOff: Returns the value of the childPrice record component.
Children(long, long, boolean) - Constructor for record class com.quantfinlib.execution.SpreadExecutionAlgo.Children: Creates an instance of a Children record class.
childSymbol() - Method in record class com.quantfinlib.data.CorporateEvents.SpinOff: Returns the value of the childSymbol record component.
cholesky(double[][]) - Static method in class com.quantfinlib.stats.LinearAlgebra: Cholesky decomposition: returns lower-triangular L with A = L * L'.
choleskyPsd(double[][]) - Static method in class com.quantfinlib.risk.PsdMatrices: Lower-triangular L with A = L·L' for a symmetric PSD matrix.
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.
CIRCULAR_SHIFT - Enum constant in enum class com.quantfinlib.alpha.AlphaValidation.NullModel: Pair the scores of date d with the returns of date (d + k) mod D for every shift k = 1..D−1 (an exact enumeration).
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).
clamp(double, double, double) - Static method in class com.quantfinlib.stats.Numerics: max(lo, min(hi, v)); NaN in gives NaN out, and lo > hi is not checked.
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) - Static method in class com.quantfinlib.rates.BondPricer
cleanPrice(double, double, int, LocalDate, LocalDate, double, DayCount, boolean) - Static method in class com.quantfinlib.rates.BondPricer: Clean price = dirty price minus accrued interest.
cleanUpfront(IsdaCdsModel.Contract, IsdaCurve, IsdaCurve) - Static method in class com.quantfinlib.credit.IsdaCdsModel: Points upfront per unit notional paid by the protection buyer (clean).
cleanUpfront(IsdaCdsModel.Contract, IsdaCurve, IsdaCurve, IsdaCdsModel.Conventions) - Static method in class com.quantfinlib.credit.IsdaCdsModel: Clean points upfront under explicit conventions.
clear(int) - Method in class com.quantfinlib.fx.FxTierBook: Pulls an LP entirely (disconnect / last-look withdrawal).
CLO - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.AssetClass
close() - Method in record class com.quantfinlib.core.Bar: Returns the value of the close record component.
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(int) - Method in class com.quantfinlib.core.BarSeries
CLOSE - Enum constant in enum class com.quantfinlib.backtest.FillPolicy: Fill at close(t), the decision bar's own close.
closesCopy() - Method in class com.quantfinlib.core.BarSeries: A fresh copy of the close column.
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
CMBS - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.AssetClass
cmf(BarSeries, int) - Static method in class com.quantfinlib.indicators.Indicators: Chaikin Money Flow.
coefficients(int) - Method in class com.quantfinlib.alpha.Ols.Fit: Element i of coefficients (fitted coefficients in design-matrix column order).
coefficientsCopy() - Method in class com.quantfinlib.alpha.Ols.Fit: A fresh copy of coefficients.
coefficientsLength() - Method in class com.quantfinlib.alpha.Ols.Fit: Length of coefficients.
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
collateralHeld() - Method in record class com.quantfinlib.risk.SaCcr.SubNettingSet: Returns the value of the collateralHeld record component.
collateralValue(double, double, boolean, double, boolean) - Static method in class com.quantfinlib.risk.SaCcrHaircuts: Haircut value of one collateral item from a 10-day haircut the caller already has (for example from SaCcrHaircuts.haircut10DayNoExternalRatings(SaCcrHaircuts.NoRatingsDebtClass, double)).
collateralValue(double, SaCcrHaircuts.CollateralKind, SaCcrHaircuts.DebtRating, double, boolean, double, boolean) - Static method in class com.quantfinlib.risk.SaCcrHaircuts: Haircut value of one collateral item for C or NICA, BCBS 128 para 151 table.
collateralValue(SaCcrHaircuts.Table, double, SaCcrHaircuts.CollateralKind, SaCcrHaircuts.DebtRating, double, boolean, double, boolean) - Static method in class com.quantfinlib.risk.SaCcrHaircuts: Haircut value of one collateral item for C or NICA, from the chosen table.
com.quantfinlib - module com.quantfinlib: Quant-Finance-Library, stable tier: pricing, rates, credit, market risk, alpha research, backtesting and execution analytics.
com.quantfinlib.alpha - package com.quantfinlib.alpha: Cross-sectional alpha research: signal generation, evaluation, validation, execution-aware backtesting, portfolio construction and reporting, each a separate step.
com.quantfinlib.backtest - package com.quantfinlib.backtest: Bar-based backtesting engines, execution models and performance analytics.
com.quantfinlib.backtest.portfolio - package com.quantfinlib.backtest.portfolio: Multi-asset portfolio backtesting with point-in-time universes and financing.
com.quantfinlib.backtest.validation - package com.quantfinlib.backtest.validation: Validation tools that test a backtest for overfitting.
com.quantfinlib.commodities - package com.quantfinlib.commodities: Commodity futures curves: roll yield, implied carry and curve shape.
com.quantfinlib.core - package com.quantfinlib.core: Core bar and bar-series types used by every analytics package.
com.quantfinlib.crb - package com.quantfinlib.crb: The central risk book: one netted view of the firm's risk across desks and products, with internalization, routing and hedging.
com.quantfinlib.credit - package com.quantfinlib.credit: Credit curves, CDS pricing and credit spreads.
com.quantfinlib.data - package com.quantfinlib.data: Loading, recording, replaying and aligning market data.
com.quantfinlib.execution - package com.quantfinlib.execution: Order routing, execution algorithms and the venue models they learn from.
com.quantfinlib.fx - package com.quantfinlib.fx: FX market conventions and instruments, from spot dates to NDFs.
com.quantfinlib.hedging - package com.quantfinlib.hedging: Hedging algorithms across asset classes.
com.quantfinlib.indicators - package com.quantfinlib.indicators: Technical indicators in batch and streaming form.
com.quantfinlib.internal - package com.quantfinlib.internal: Implementation helpers shared across packages: ValueArrays (defensive copies for result types) and the Immutable marker that SpotBugs reads.
com.quantfinlib.markets - package com.quantfinlib.markets: Index construction and private-market performance analytics.
com.quantfinlib.microstructure - package com.quantfinlib.microstructure: Market microstructure analytics: impact, liquidity, order-flow signals and intraday curves.
com.quantfinlib.ml - package com.quantfinlib.ml: Statistical learning models for market data, in plain Java.
com.quantfinlib.optimization - package com.quantfinlib.optimization: Portfolio optimisers and the solvers behind them.
com.quantfinlib.persist - package com.quantfinlib.persist: Persistence of learned intraday state across trading days.
com.quantfinlib.pricing - package com.quantfinlib.pricing: Option and derivatives pricing models, implied volatility and volatility surfaces.
com.quantfinlib.rates - package com.quantfinlib.rates: Fixed income: curves, bonds, swaps, day counts and calendars, with market conventions.
com.quantfinlib.regulatory - package com.quantfinlib.regulatory: Benchmark-fix and regulatory execution metrics.
com.quantfinlib.risk - package com.quantfinlib.risk: Risk measurement, decomposition, limits and model validation.
com.quantfinlib.screener - package com.quantfinlib.screener: Stock screening by technical and fundamental filters, with ranking and CSV export.
com.quantfinlib.simulation - package com.quantfinlib.simulation: Monte Carlo simulation of portfolio and multi-asset price paths.
com.quantfinlib.stats - package com.quantfinlib.stats: Canonical descriptive statistics: mean, sample and population variance, quantiles with a named Hyndman-Fan definition, median, covariance, Pearson correlation, skewness, kurtosis and midranks (Stats); and, since 2.4.0, the numerical routines that used to live in util.MathUtils (removed in 3.0): SpecialFunctions (normal, log-gamma, incomplete beta, Student-t), LinearAlgebra (dot products, Cholesky, solve, inverse) and Numerics (clamp, NaN arrays, decay factor, pair sort).
com.quantfinlib.volatility - package com.quantfinlib.volatility: Volatility models: EWMA, GARCH-family, HAR-RV, a model-free volatility index and a systematic/idiosyncratic decomposition.
combinations() - Method in class com.quantfinlib.backtest.validation.OverfitProbability.Result: combinations (number of symmetric splits evaluated, C(S, S/2)).
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 − z·SE) × valueᶜ).
commissionBps() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Config: Returns the value of the commissionBps record component.
commissionDrag() - Method in class com.quantfinlib.alpha.AlphaBacktester.Result: commissionDrag.
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.
commodity(SaCcr.CommoditySet, String, double, double, double, double) - Static method in record class com.quantfinlib.risk.SaCcrTrade: Commodity derivative.
COMMODITY - Enum constant in enum class com.quantfinlib.risk.SaCcr.AssetClass: Commodity derivatives.
CommodityCurve - Class in com.quantfinlib.commodities: Commodity futures curve.
commoditySet() - Method in record class com.quantfinlib.risk.SaCcrTrade: Returns the value of the commoditySet record component.
compare(double[], double[], int) - Static method in class com.quantfinlib.backtest.BenchmarkComparison: Compares strategy returns with benchmark returns.
completed() - Method in record class com.quantfinlib.backtest.ExecutionAlgoBacktester.Result: Returns the value of the completed record component.
Completion - Section in class com.quantfinlib.execution.BenchmarkExecutor
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(int) - Method in class com.quantfinlib.risk.ComponentVar.Allocation: Element i of components.
componentsCopy() - Method in class com.quantfinlib.risk.ComponentVar.Allocation: A fresh copy of components.
componentsLength() - Method in class com.quantfinlib.risk.ComponentVar.Allocation: Length of components.
ComponentVar - Class in com.quantfinlib.risk: Component VaR — the answer to the risk committee's actual question.
ComponentVar.Allocation - Class in com.quantfinlib.risk
compoundedRate(LocalDate, LocalDate, DiscountCurve) - Method in record class com.quantfinlib.rates.OvernightLeg: The compounded overnight rate (no spread) for an accrual period.
compute(double[], List, int) - Static method in class com.quantfinlib.backtest.PerformanceAnalytics
compute(AlphaContext, AlphaFactor, AlphaBacktester.Config, AlphaBacktester.RiskOptions, double[], double) - Static method in class com.quantfinlib.alpha.CapacityCurve: As CapacityCurve.compute(AlphaContext, AlphaFactor, AlphaBacktester.Config, AlphaBacktester.WeightBuilder, double[], double) with the risk-model construction.
compute(AlphaContext, AlphaFactor, AlphaBacktester.Config, AlphaBacktester.WeightBuilder, double[], double) - Static method in class com.quantfinlib.alpha.CapacityCurve: Runs the backtest at each capital (ascending, each > 0) with the given construction.
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 class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport: conditionalValueAtRisk.
conditionalValueAtRisk(double) - Method in class com.quantfinlib.hedging.HedgingErrorDistribution: Expected shortfall of −P&L (Acerbi-Tasche, TailRisk), positive.
conditionalValueAtRisk(double) - Method in class com.quantfinlib.simulation.SimulationResult: Expected shortfall (CVaR) as a positive loss fraction: the Acerbi-Tasche tail mean of TailRisk, which uses the same tail as SimulationResult.valueAtRisk(double) and is never below it.
conditionalVar(double[], double) - Static method in class com.quantfinlib.risk.RiskMetrics: Conditional VaR / expected shortfall of a return series as a positive loss fraction (0 if the tail is a gain): the Acerbi-Tasche tail mean of the losses −r over the worst (1−c)·n periods, with the fractional boundary weight described in TailRisk.
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 the sample variance of the demeaned returns (the same backcast the fit uses).
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, int, int, TradeCostModel) - Constructor for record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Config: Next-open fills, no financing.
Config(double, double, int, int, TradeCostModel, FillPolicy, PortfolioBacktester.Financing) - 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: No financing, no participation cap, next-open fills.
Config(int, int, double, double, double, double, int, int, FillPolicy, double, double, double, double) - 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, 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.
ConfigurationException - Exception Class in com.quantfinlib.core: A configuration that is syntactically wrong or names a value outside its allowed range: an unknown or repeated key in a limits file, a price collar above 100 %, a non-positive order-size cap.
ConfigurationException(String) - Constructor for exception class com.quantfinlib.core.ConfigurationException: Creates the exception.
ConfigurationException(String, Throwable) - Constructor for exception class com.quantfinlib.core.ConfigurationException: Creates the exception with the parse failure that caused it.
constant(int, double) - Static method in class com.quantfinlib.risk.FrtbSa: Matrix with constant off-diagonal value.
constantCorrelation(double[][]) - Static method in class com.quantfinlib.risk.CovarianceShrinkage: Ledoit-Wolf shrinkage toward the constant-correlation target F_ii = s_ii, F_ij = r̄·√(s_ii s_jj) with r̄ the average sample correlation.
ConstrainedPortfolioOptimizer - Class in com.quantfinlib.optimization: Constrained long-only optimiser: per-asset weight bounds (position caps and floors) and an optional turnover penalty against current holdings, adjusted return = μ'w − τ·Σ|w − w_current|, so the optimiser trades expected gain against the cost of getting there.
ConstrainedPortfolioOptimizer(double[], double[][]) - 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.risk.RiskMetricRegistry
Contract(LocalDate, LocalDate, LocalDate, LocalDate, LocalDate, double, double) - Constructor for record class com.quantfinlib.credit.IsdaCdsModel.Contract: Validates the terms.
contractRate() - Method in class com.quantfinlib.fx.Ndf
convention() - Method in record class com.quantfinlib.rates.FixedLeg: Returns the value of the convention record component.
convention() - Method in record class com.quantfinlib.rates.OvernightLeg: Returns the value of the convention record component.
convention() - Method in record class com.quantfinlib.rates.TermRateLeg: Returns the value of the convention record component.
Conventions - Section in class com.quantfinlib.fx.FxVolSurface
Conventions(BusinessCalendar, boolean) - Constructor for record class com.quantfinlib.credit.IsdaCdsModel.Conventions: Validates the calendar.
Conventions encoded - Section in class com.quantfinlib.fx.CurrencyPair
converged() - Method in class com.quantfinlib.alpha.TurnoverAwareOptimizer.Result: converged.
converged() - Method in record class com.quantfinlib.microstructure.HawkesIntensity.Fit: Returns the value of the converged record component.
converged() - Method in record class com.quantfinlib.pricing.HestonCalibrator.Result: Returns the value of the converged record component.
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).
convexityAdjustment(DiscountCurve) - Method in record class com.quantfinlib.rates.RateFuture: This future's adjustment on the curve's time axis.
convexityAnalytic(double, double, int, double, double) - Static method in class com.quantfinlib.rates.BondPricer: Analytic convexity on the same whole-period schedule as BondPricer.convexity(double, double, int, double, double): (1/P) d^2P/dy^2 with
convexityExact(double, double, int, double, double) - Static method in class com.quantfinlib.rates.BondPricer: Analytic convexity on the exact grid, (1/P) sum_k CF_k e_k (e_k + 1) / (f^2 (1 + y/f)^(e_k + 2)), e_k = k - 1 + w.
copy(double[][]) - Static method in class com.quantfinlib.internal.ValueArrays: Deep copy of a two-dimensional array.
copyClosesInto(double[], int, int) - Method in class com.quantfinlib.core.BarSeries: Copies closes [from, from + len) into dst[0, len) without allocating.
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: One corporate action, effective from its ex timestamp.
CorporateActions.Type - Enum Class in com.quantfinlib.data
CorporateEventPositions - Class in com.quantfinlib.data: Position-side treatment of CorporateEvents: what happens to a holding's share count, cost basis and cash.
CorporateEventPositions.Holding - Record Class in com.quantfinlib.data: One holding of an instrument.
CorporateEventPositions.Outcome - Record Class in com.quantfinlib.data: Result of applying an event: the resulting holdings (the original instrument first, possibly with zero shares) and cash received.
CorporateEvents - Class in com.quantfinlib.data: Extended corporate actions and the back-adjustment factors they imply.
CorporateEvents.CashStockMerger - Record Class in com.quantfinlib.data: Cash-and-stock merger with holder election and proration.
CorporateEvents.Dividend - Record Class in com.quantfinlib.data: Cash dividend tagged regular or special.
CorporateEvents.DividendKind - Enum Class in com.quantfinlib.data: Regular or special cash dividend.
CorporateEvents.DividendPolicy - Enum Class in com.quantfinlib.data: Which dividends enter the back-adjustment.
CorporateEvents.Event - Interface in com.quantfinlib.data: A corporate event effective from its ex timestamp.
CorporateEvents.ReverseSplit - Record Class in com.quantfinlib.data: Reverse split: oldPerNew old shares are consolidated into one.
CorporateEvents.RightsIssue - Record Class in com.quantfinlib.data: Rights issue: ratio new shares per old share at subscriptionPrice.
CorporateEvents.SpinOff - Record Class in com.quantfinlib.data: Spin-off of a new instrument.
CorporateEvents.StockDividend - Record Class in com.quantfinlib.data: Stock dividend or bonus issue: rate new shares per share held (0.05 = 5 %).
CorporateEvents.SymbolChange - Record Class in com.quantfinlib.data: Symbol and/or ISIN change; no economic effect.
corporates() - Static method in record class com.quantfinlib.risk.FrtbDrcSecuritisation.NonCtpBucket: Corporates bucket, all regions (MAR22.31(1)).
CORPORATES_EX_SME - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.AssetClass
correlation() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.BasisFactor: Defensive copy.
correlation() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Market: Defensive copy of the correlation matrix.
correlation() - Method in class com.quantfinlib.hedging.PairsHedger.PairsAnalysis: correlation (return correlation of the pair).
correlation(double[][]) - Static method in class com.quantfinlib.risk.CorrelationMatrix
correlation(double[], double[]) - Static method in class com.quantfinlib.risk.RiskMetrics
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(int, int) - Method in class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport: Element [i][j] of correlationMatrix.
CorrelationMatrix - Class in com.quantfinlib.risk: Correlation and covariance matrices from a returns matrix laid out as returns[asset][time].
correlationMatrixCopy() - Method in class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport: A deep copy of correlationMatrix.
correlationMatrixRows() - Method in class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport: Number of rows of correlationMatrix.
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.
cost(int) - Method in class com.quantfinlib.alpha.AlphaBacktester.Traced: Trading cost P&L of step s (≤ 0).
cost(int) - Method in class com.quantfinlib.alpha.BacktestAttribution
costBasis() - Method in record class com.quantfinlib.data.CorporateEventPositions.Holding: Returns the value of the costBasis record component.
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.
costBreakdown(AlphaBacktester.Result) - Static method in class com.quantfinlib.alpha.AlphaReport: Cost decomposition of a backtest: each drag as a fraction of equity and as a share of the total, with mean turnover and tracking gap.
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 class com.quantfinlib.microstructure.AlmgrenChriss.Trajectory: costVariance.
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(int) - Method in class com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile: Element i of count.
countCopy() - Method in class com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile: A fresh copy of count.
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 using the FX/gold factors of the Basel Current Exposure Method (1988 Accord Annex 3 as amended in 1995: <1y 1%, 1–5y 5%, >5y 7.5%), applied to every trade whatever its product.
CounterpartyExposureTracker() - Constructor for class com.quantfinlib.risk.CounterpartyExposureTracker: Creates an instance; the explicit form of the default constructor.
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.
countLength() - Method in class com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile: Length of count.
counts(int) - Method in class com.quantfinlib.alpha.SignalEvaluator.QuantileReport: Element i of counts.
countsCopy() - Method in class com.quantfinlib.alpha.SignalEvaluator.QuantileReport: A fresh copy of counts.
countsLength() - Method in class com.quantfinlib.alpha.SignalEvaluator.QuantileReport: Length of counts.
coupon() - Method in record class com.quantfinlib.credit.IsdaCdsModel.Contract: Returns the value of the coupon record component.
COUPON_100BP - Static variable in class com.quantfinlib.credit.IsdaCdsModel: Standard investment-grade coupon, 100bp.
COUPON_500BP - Static variable in class com.quantfinlib.credit.IsdaCdsModel: Standard high-yield coupon, 500bp.
couponRate(LegConvention.Period, DiscountCurve) - Method in interface com.quantfinlib.rates.FloatLeg: The coupon rate (index rate plus spread) of one period, from published fixings where they exist and the projection curve otherwise.
couponRate(LegConvention.Period, DiscountCurve) - Method in record class com.quantfinlib.rates.OvernightLeg
couponRate(LegConvention.Period, DiscountCurve) - Method in record class com.quantfinlib.rates.TermRateLeg
covariance() - Method in class com.quantfinlib.risk.FactorRiskModel: The full N × N name covariance X F Xᵀ + D.
covariance(double[][]) - Static method in class com.quantfinlib.risk.CorrelationMatrix
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.
CovarianceShrinkage.Result - Class in com.quantfinlib.risk
covers(int) - Method in class com.quantfinlib.risk.FactorRiskModel: Whether name i has a forecast (live at the forecast date).
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: Creates an instance; the explicit form of the default constructor.
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 at its expected all-in cost: 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 - 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.
CRE22 - Enum constant in enum class com.quantfinlib.risk.SaCcrHaircuts.Table: Basel Framework CRE22.49 (December 2017 revision, external-ratings jurisdictions).
CRE22_NO_EXTERNAL_RATINGS - Enum constant in enum class com.quantfinlib.risk.SaCcrHaircuts.Table: Basel Framework CRE22.50 (jurisdictions without external ratings).
create(Map) - Method in interface com.quantfinlib.backtest.validation.StrategyFactory
credit(String, SaCcr.CreditGrade, double, double, double, double, double, double) - Static method in record class com.quantfinlib.risk.SaCcrTrade: Credit derivative on a single name or an index.
CREDIT - Enum constant in enum class com.quantfinlib.risk.SaCcr.AssetClass: Credit derivatives.
CREDIT_CARDS - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.AssetClass
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.
creditGrade() - Method in record class com.quantfinlib.risk.SaCcrTrade: Returns the value of the creditGrade record component.
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
criticalValue(double, int) - Static method in class com.quantfinlib.hedging.CointegrationTest: MacKinnon (2010) finite-sample critical value for the two-variable Engle-Granger test with a constant.
CROSS_SECTIONAL - Enum constant in enum class com.quantfinlib.alpha.AlphaValidation.NullModel: Within each date, permute the symbol labels of the forward-return vector.
crossCost() - Method in record class com.quantfinlib.execution.OrderPlacementPolicy.Placement: Returns the value of the crossCost record component.
CrossOp - Enum Class in com.quantfinlib.fx: How two leg prices compose into a cross rate.
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: Momentum strategy settings.
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 class com.quantfinlib.alpha.AlphaValidation.CrossValidationResult: Creates the value; array and collection arguments are copied.
Csa(double, double, double) - Constructor for record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Csa: Validates the terms.
cscv(double[][], int, ToDoubleFunction) - 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).
CTP_RW - Static variable in class com.quantfinlib.risk.FrtbSa.Csr: CTP delta risk weights, buckets 1-16 (MAR21.59 Table 6).
ctpAggregate(List) - Static method in class com.quantfinlib.risk.FrtbDrcSecuritisation: CTP aggregation max(Σ_b (max(DRC_b, 0) + 0.5·min(DRC_b, 0)), 0) (MAR22.45).
ctpBucketCharge(List, double) - Static method in class com.quantfinlib.risk.FrtbDrcSecuritisation: CTP index-bucket charge with the portfolio-wide HBR_ctp and no floor (MAR22.44): Σ RW·long − HBR_ctp·Σ RW·|short|; may be negative.
ctpTotal(List) - Static method in class com.quantfinlib.risk.FrtbDrcSecuritisation: Total CTP DRC: one bucket per index, bespokes in the bucket of their index (MAR22.40, MAR22.41); HBR_ctp from all CTP positions together (MAR22.44(1)); aggregated by MAR22.45.
cumulativeCost() - Method in class com.quantfinlib.alpha.BacktestAttribution
cumulativeFactor(int) - Method in class com.quantfinlib.alpha.BacktestAttribution: Sum over steps of factor k's P&L.
cumulativeFinancing() - Method in class com.quantfinlib.alpha.BacktestAttribution
cumulativeLong() - Method in class com.quantfinlib.alpha.BacktestAttribution
cumulativeNet() - Method in class com.quantfinlib.alpha.BacktestAttribution
cumulativeProbability() - Method in record class com.quantfinlib.risk.VarBacktest.TrafficLight: Returns the value of the cumulativeProbability record component.
cumulativeSector(int) - Method in class com.quantfinlib.alpha.BacktestAttribution
cumulativeShort() - Method in class com.quantfinlib.alpha.BacktestAttribution
cumulativeSpecific() - Method in class com.quantfinlib.alpha.BacktestAttribution
cumulativeTrading() - Method in class com.quantfinlib.alpha.BacktestAttribution
curranPrice(BlackScholes.OptionType, double, double, double, double, double, double[], double, double, int) - Static method in class com.quantfinlib.pricing.AsianOption: Curran (1994) arithmetic-average price by conditioning on the geometric average, for arbitrary (possibly seasoned) fixing schedules.
currency() - Method in record class com.quantfinlib.hedging.FxHedger.FxExposure: Returns the value of the currency record component.
CURRENCY_MISMATCH - Static variable in class com.quantfinlib.risk.SaCcrHaircuts: Currency-mismatch add-on H_fx on a 10-day holding period (BCBS 128 para 152; CRE22.52).
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(int) - Method in class com.quantfinlib.ml.RegimeDetector.RegimeModel: Element i of currentProbabilities (filtered P(state | data up to T)).
currentProbabilitiesCopy() - Method in class com.quantfinlib.ml.RegimeDetector.RegimeModel: A fresh copy of currentProbabilities.
currentProbabilitiesLength() - Method in class com.quantfinlib.ml.RegimeDetector.RegimeModel: Length of currentProbabilities.
currentRegime() - Method in class com.quantfinlib.ml.RegimeDetector.RegimeModel: currentRegime.
curvature() - Method in record class com.quantfinlib.risk.FrtbSa.RiskClass: Returns the value of the curvature record component.
curvature(double) - Method in record class com.quantfinlib.pricing.SviSlice: Second derivative d²w/dk².
curvature(List, double[][], FrtbSa.Scenario) - Static method in class com.quantfinlib.risk.FrtbSa: Curvature capital of one risk class under one scenario.
curvature(List, List, double[][], FrtbSa.Scenario) - Static method in class com.quantfinlib.risk.FrtbSa: Curvature capital with both shock directions (MAR21.5(3) and (4)).
curvatureGamma() - Method in record class com.quantfinlib.risk.FrtbSa.RiskClass: Returns the value of the curvatureGamma record component.
curvatureRho(boolean, boolean) - Static method in class com.quantfinlib.risk.FrtbSa.Csr: Delta ρ to feed into curvature for CSR non-securitisation and CTP: only ρ_name applies (MAR21.100(1)); FrtbSa.curvature(List, double[][], FrtbSa.Scenario) squares it.
CurveInstrument - Interface in com.quantfinlib.rates: A quoted market instrument a MultiCurveBootstrap fits a curve to.
CurveInterpolation - Enum Class in com.quantfinlib.rates: How a DiscountCurve fills in between its pillars.
CurvePair - Record Class in com.quantfinlib.rates: A discount curve (OIS) and the projection curve of one index, as built by MultiCurveRisk.buildCurves(LocalDate, List, List, CurveInterpolation).
CurvePair(DiscountCurve, DiscountCurve) - Constructor for record class com.quantfinlib.rates.CurvePair: Creates an instance of a CurvePair record class.
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() - Method in record class com.quantfinlib.credit.CvaApproximator.Bilateral: Returns the value of the cva record component.
cva(double[], double[], CreditCurve, YieldCurve, double) - Static method in class com.quantfinlib.credit.CvaApproximator: Discrete unilateral CVA over the given exposure profile.
cva(ExposureProfile, CreditCurve, double) - Static method in class com.quantfinlib.credit.CvaApproximator: CVA from a simulated exposure profile, independent default: LGD * sum_i E[D(0,t_i) E(t_i)] * [Q(t_{i-1}) - Q(t_i)].
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.
CvaApproximator.Bilateral - Record Class in com.quantfinlib.credit: Bilateral CVA and DVA with first-to-default conditioning.
cvaBucketAverage(double, double[], double[], CreditCurve, YieldCurve, double) - Static method in class com.quantfinlib.credit.CvaApproximator: Discrete unilateral CVA with the discounted exposure averaged over each bucket (trapezoid rule), added in 3.1.
cvaWrongWay(ExposureProfile, CreditCurve, double, double, ExposureProfile.Factor) - Static method in class com.quantfinlib.credit.CvaApproximator: CVA with wrong-way risk through a Gaussian copula between default and a market factor, applied bucket by bucket (Li 2000; Gregory, The xVA Challenge, 3rd ed., 2015, ch. 17; the per-bucket conditioning follows Hull and White, "CVA and wrong-way risk", Financial Analysts Journal 68(5), 2012, where default is tied to the market variable that drives the exposure at each date).
cvr(double, double, double, double) - Static method in class com.quantfinlib.risk.FrtbSa: Curvature risk charge CVR_k = −min(V⁺ − V₀ − RW·s, V⁻ − V₀ + RW·s), where V± are values after an up/down shift of size RW (the curvature risk weight) and s is the delta sensitivity per unit of that shift, so RW·s is the delta-implied P&L of the up shift.

D

d(int) - Method in class com.quantfinlib.indicators.Indicators.StochRsi: Element i of d.
dailyVolatility() - Method in class com.quantfinlib.microstructure.MarketImpactModel: Daily return volatility (fraction).
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.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.
dark(int) - Method in class com.quantfinlib.crb.CrbRouter.Allocation: Element i of dark.
darkCopy() - Method in class com.quantfinlib.crb.CrbRouter.Allocation: A fresh copy of dark.
darkLength() - Method in class com.quantfinlib.crb.CrbRouter.Allocation: Length of dark.
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: Creates an instance; the explicit form of the default constructor.
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.
DATE_PERMUTATION - Enum constant in enum class com.quantfinlib.alpha.AlphaValidation.NullModel: Random permutation of score dates against return dates.
dates() - Method in class com.quantfinlib.alpha.AlphaCombiner.Combination: IC dates used in the fit.
dates() - Method in class com.quantfinlib.alpha.SignalEvaluator.QuantileReport: dates.
dayCount() - Method in record class com.quantfinlib.rates.Deposit: Returns the value of the dayCount record component.
dayCount() - Method in record class com.quantfinlib.rates.Fra: Returns the value of the dayCount record component.
dayCount() - Method in record class com.quantfinlib.rates.LegConvention: Returns the value of the dayCount record component.
dayCount() - Method in record class com.quantfinlib.rates.OisSwap: Returns the value of the dayCount record component.
dayCount() - Method in record class com.quantfinlib.rates.RateFuture: Returns the value of the dayCount 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: Mean return by day of the week.
DayOfWeekProfile(double[], double[], int[], double[], boolean[], int) - Constructor for class com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile: Creates the value; array and collection arguments are copied.
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) - Constructor for class com.quantfinlib.microstructure.DayTypeProfiles: Variant whose factory sees the day-type index it is building for.
DayTypeProfiles(int, Supplier) - Constructor for class com.quantfinlib.microstructure.DayTypeProfiles
dayTypes() - Method in class com.quantfinlib.microstructure.DayTypeProfiles
dCopy() - Method in class com.quantfinlib.indicators.Indicators.StochRsi: A fresh copy of d.
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 class com.quantfinlib.alpha.AlphaReport.Decay: Creates the value; array and collection arguments are copied.
decayFactor(long, long) - Static method in class com.quantfinlib.stats.Numerics: Exponential decay factor for a half-life over an elapsed interval: exp(-dt·ln2/halfLife); 1.0 for non-positive dt.
decayPerSec() - Method in record class com.quantfinlib.microstructure.HawkesIntensity.Fit: Returns the value of the decayPerSec record component.
decayProfile(AlphaContext, AlphaFactor, int, int[]) - Static method in class com.quantfinlib.alpha.AlphaReport: Mean IC against cumulative forward returns (t, t+h] at each horizon (non-overlapping grid per 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: Decides how to place the next child order.
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.
decompose(double[]) - Method in class com.quantfinlib.risk.FactorRiskModel: Risk decomposition of a portfolio (weights as fractions of capital, zero on names that are not covered).
decompose(double[], double[]) - Static method in class com.quantfinlib.volatility.VolatilityDecomposition: Decomposes an asset's variance against a market/benchmark series.
decomposeIndex(double, double[], double[]) - Static method in class com.quantfinlib.risk.FrtbDrcSecuritisation: Decomposes a non-tranched index position (or a basket of its names) into replicating tranches that span the whole structure, for offsetting against tranche positions (MAR22.28 non-CTP; MAR22.39(3) CTP).
Decomposition(double, double, double, double, double) - Constructor for record class com.quantfinlib.volatility.VolatilityDecomposition.Decomposition: Creates an instance of a Decomposition record class.
Decomposition(List, double[], double, double, double[], double[], double[], double) - Constructor for class com.quantfinlib.risk.FactorRiskModel.Decomposition: Creates the value; arrays are copied.
DEFAULT - Static variable in record class com.quantfinlib.credit.IsdaCdsModel.Conventions: The 2.1 behaviour: weekends only, no half-day adjustment.
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).
DEFAULT_TERMS - Static variable in class com.quantfinlib.pricing.HestonCos: Default number of cosine terms.
DEFAULT_TRUNCATION - Static variable in class com.quantfinlib.pricing.HestonCos: Default truncation width in standard deviations.
DEFAULT_Z - Static variable in class com.quantfinlib.microstructure.IcSignificance: Default one-sided gate, about the 97.7th percentile of N(0,1).
defaultBorrowBps() - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Financing: Returns the value of the defaultBorrowBps record component.
defaultDarkProbeShares() - Method in record class com.quantfinlib.execution.AdaptiveSor.Config: Returns the value of the defaultDarkProbeShares record component.
DEFAULTED - Enum constant in enum class com.quantfinlib.risk.FrtbDrc.CreditQuality
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).
defaults() - Static method in record class com.quantfinlib.alpha.AlphaBacktester.RiskOptions: Default spec, one sector, λ = 5, IC = 0.05, 10% cap, 10% of ADV, dollar neutral.
defaults() - Static method in record class com.quantfinlib.alpha.AlphaRiskModels.Spec: 120-period window, 60-bar momentum and volatility, 20-bar size proxy, default model.
defaults() - Static method in record class com.quantfinlib.backtest.BacktestConfig: Daily-bar defaults matching TradeCostModel.institutional(1, 2, 1, …) without impact: 1 bp commission, 3 bp slippage (2 bp half-spread plus 1 bp shortfall), next-open fills, 100,000 capital.
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.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 < 0.5, impact < 5 bps, 25% clips, floor from 70%.
defaults() - Static method in record class com.quantfinlib.microstructure.SignalEngine.Config
defaults() - Static method in record class com.quantfinlib.risk.FactorRiskModel.Settings: Daily defaults close to the USE4 short-horizon choices: factor half-life 90, two Newey-West lags, regime half-life 42, specific half-life 90, q = 0.1, ten size buckets, clip at 3.
defaults(int) - Static method in record class com.quantfinlib.alpha.AlphaBacktester.Config: Daily-bar defaults: monthly (21-bar) rebalance, 1 bp commission, 2 bp half-spread, 1 bp slippage, $100m book, 20-bar impact window, next-open fills, no financing, no participation cap.
deflatedInSampleIc() - Method in class com.quantfinlib.alpha.AlphaValidation.WalkForwardResult: In-sample IC net of the expected best-of-N luck.
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, 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 GridSearchOptimizer.effectiveTrials(List) zero-skill trials would have scored anyway (the deflated Sharpe of SharpeValidation.probabilisticSharpe(double, double, int, double, double) against E[max] with N̂ in place of the raw grid size).
delayCost() - Method in record class com.quantfinlib.regulatory.BestExecutionAnalyzer.ShortfallDecomposition: Returns the value of the delayCost record component.
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.
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() - Method in record class com.quantfinlib.risk.FrtbSa.RiskClass: Returns the value of the delta record component.
delta() - Method in record class com.quantfinlib.risk.SaCcrTrade: Returns the value of the delta record component.
delta(BlackScholes.OptionType, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.Bachelier: Sensitivity to the forward: df·Φ(d) for a call, −df·Φ(−d) for a put.
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, double, double, double, double, double, Heston.Params) - Static method in class com.quantfinlib.pricing.HestonCos: Delta dV/dS from the expansion (analytic in x = ln(S/K)).
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).
DELTA_NEUTRAL_STRADDLE - Enum constant in enum class com.quantfinlib.fx.FxVolSurface.AtmConvention: Delta-neutral straddle: call and put deltas cancel.
deltaBand() - Method in record class com.quantfinlib.hedging.DeltaHedger.Config: Returns the value of the deltaBand record component.
deltaConvention() - Method in class com.quantfinlib.fx.FxVolSurface
deltaConvention(FxVolSurface.DeltaConvention) - Method in class com.quantfinlib.fx.FxVolSurface.Builder
deltaGamma() - Method in record class com.quantfinlib.risk.FrtbSa.RiskClass: Returns the value of the deltaGamma record component.
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: Hedging settings.
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.
deltaVega(List, double[][], FrtbSa.Scenario) - Static method in class com.quantfinlib.risk.FrtbSa: Delta or vega capital of one risk class under one scenario.
deltaVega(List, double[][], FrtbSa.Scenario, Set) - Static method in class com.quantfinlib.risk.FrtbSa: Delta or vega capital where some buckets are "other sector" buckets (equity 11, CSR non-securitisation 16, securitisation non-CTP 25): their K_b is Σ|WS_k| with no correlation (MAR21.56(1), MAR21.69(1), MAR21.79(1)).
densityFactor(double) - Method in record class com.quantfinlib.pricing.SviSlice: Gatheral-Jacquier density factor g(k); negative means butterfly arbitrage.
Dependence - Class in com.quantfinlib.risk: Rank-based dependence measures — what Pearson correlation misses.
Deposit - Record Class in com.quantfinlib.rates: A cash deposit over [start, end] at simple rate rate: 1 at start grows to 1 + rate * tau at end, tau from dayCount.
Deposit(LocalDate, LocalDate, double, DayCount) - Constructor for record class com.quantfinlib.rates.Deposit: Creates an instance of a Deposit record class.
depth() - Method in record class com.quantfinlib.backtest.DrawdownAnalytics.Drawdown: Returns the value of the depth record component.
deskExposure(String, String) - Method in class com.quantfinlib.crb.CentralRiskBook: One desk's net contribution to a factor.
deskId(String) - Method in class com.quantfinlib.crb.CentralRiskBook: Dense id of a desk, registered on first sight.
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).
differentCurveCorrelation(double, double) - Static method in class com.quantfinlib.risk.FrtbSa.Girr: Different tenor and different curve: the Table 2 value times 99.9% (MAR21.47; footnote 14 gives 88.69%·0.999 = 88.60% for 1y against 5y).
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(int) - Method in class com.quantfinlib.indicators.Indicators.SuperTrend: Element i of direction.
directionCopy() - Method in class com.quantfinlib.indicators.Indicators.SuperTrend: A fresh copy of direction.
directionLength() - Method in class com.quantfinlib.indicators.Indicators.SuperTrend: Length of direction.
dirtyPrice(double, double, int, LocalDate, LocalDate, double, DayCount) - Static method in class com.quantfinlib.rates.BondPricer: BondPricer.dirtyPrice(double, double, int, java.time.LocalDate, java.time.LocalDate, double, DayCount, boolean) without the EOM rule.
dirtyPrice(double, double, int, LocalDate, LocalDate, double, DayCount, boolean) - Static method in class com.quantfinlib.rates.BondPricer: Dirty price per face from a yield, street convention (the formula behind the SIFMA/Bloomberg "street" yield and Excel's price):
dirtyUpfront(IsdaCdsModel.Contract, IsdaCurve, IsdaCurve) - Static method in class com.quantfinlib.credit.IsdaCdsModel: Cash settlement amount per unit notional paid by the buyer (dirty).
dirtyUpfront(IsdaCdsModel.Contract, IsdaCurve, IsdaCurve, IsdaCdsModel.Conventions) - Static method in class com.quantfinlib.credit.IsdaCdsModel: Dirty upfront under explicit conventions.
discount() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Domestic: Returns the value of the discount record component.
discount() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Foreign: Returns the value of the discount record component.
discount() - Method in record class com.quantfinlib.rates.CurvePair: Returns the value of the discount record component.
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.
DiscountCurve - Class in com.quantfinlib.rates: A dated discount curve P(t) built from pillar discount factors: the object both an OIS discount curve and a projection curve (for example a 3M forwarding curve, a pseudo-discount curve whose ratios give the index forwards) are made of.
discountedExpectedExposure(int) - Method in class com.quantfinlib.credit.ExposureProfile: E[D(0,t_i) E(t_i)].
discountedExpectedExposureStdError(int) - Method in class com.quantfinlib.credit.ExposureProfile: Monte Carlo standard error of ExposureProfile.discountedExpectedExposure(int).
discountedExpectedNegativeExposure(int) - Method in class com.quantfinlib.credit.ExposureProfile: E[D(0,t_i) N(t_i)], positive.
discountFactor(double) - Method in interface com.quantfinlib.credit.MultiCurrencyExposureSimulator.Curve: Discount factor to time t.
discountFactor(double) - Method in class com.quantfinlib.rates.DiscountCurve: P(t) for t >= 0.
discountFactor(double) - Method in class com.quantfinlib.rates.YieldCurve
discountFactor(LocalDate) - Method in class com.quantfinlib.rates.DiscountCurve: P at a date on or after the valuation date.
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.CrossOp: A/C ÷ B/C = A/B (shared quote currency).
Dividend(long, double, CorporateEvents.DividendKind) - Constructor for record class com.quantfinlib.data.CorporateEvents.Dividend: Creates an instance of a Dividend record class.
dividendCashCredited() - Method in class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Result: dividendCashCredited.
DividendSchedule - Class in com.quantfinlib.pricing: Discrete (cash) dividends for equity derivatives — the forward-looking counterpart to data.CorporateActions' historical back-adjustment.
DividendTree - Class in com.quantfinlib.pricing: European and American options on a stock paying discrete cash dividends, on a recombining Cox-Ross-Rubinstein tree, by the method of Vellekoop and Nieuwenhuis (2006, "Efficient pricing of derivatives on assets with discrete dividends", Applied Mathematical Finance 13(3), 265-284).
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
dLength() - Method in class com.quantfinlib.indicators.Indicators.StochRsi: Length of d.
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.
dollarNeutral() - Method in record class com.quantfinlib.alpha.AlphaBacktester.RiskOptions: Returns the value of the dollarNeutral record component.
domestic() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Market: Returns the value of the domestic record component.
Domestic(MultiCurrencyExposureSimulator.Curve, double, double) - Constructor for record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Domestic: Validates the parameters.
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 class com.quantfinlib.indicators.Indicators.Donchian: Creates the value; array and collection arguments are copied.
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.stats.LinearAlgebra: Dot product; rejects arrays of different length.
DOUBLE_TOUCH_SERIES_TERMS - Static variable in class com.quantfinlib.pricing.TouchOption: Number of image terms on each side used by TouchOption.doubleNoTouchProbability(double, double, double, double, double, double, double): the series runs over n = -N..N.
doubleNoTouch(double, double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.TouchOption: Double no-touch: pays payout at expiry if spot never touches lower or upper.
doubleNoTouchProbability(double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.TouchOption: Probability that spot stays strictly inside (lower, upper) until timeYears under GBM with continuous monitoring.
doubleOneTouch(double, double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.TouchOption: Double one-touch paying at expiry: pays payout if either barrier is touched before expiry.
DOWN - Enum constant in enum class com.quantfinlib.pricing.BarrierOption.Direction
downAndInCall(double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.BarrierOption: Down-and-in call, no rebate.
downAndOutCall(double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.BarrierOption: Down-and-out call, no rebate.
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.
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: Drawdown statistics of an equity curve.
drawdownCurve(double[]) - Static method in class com.quantfinlib.alpha.AlphaReport: Drawdown series: fraction below the running peak (0 at new highs).
drcRiskWeight(double) - Static method in class com.quantfinlib.risk.FrtbDrcSecuritisation: Converts a banking-book securitisation risk weight (a multiple, 12.5 = 1250%) to a DRC weight: ×8% (see class note).
driftPerSecond() - Method in class com.quantfinlib.pricing.FairValueEngine: Estimated mid drift in price units per second over the lookback window.
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.
DupireLocalVol - Class in com.quantfinlib.pricing: Dupire (1994) local volatility from an implied total-variance surface, in Gatheral's form (Gatheral 2006, The Volatility Surface, equation 1.10):
DupireLocalVol(TotalVarianceSurface) - Constructor for class com.quantfinlib.pricing.DupireLocalVol
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).
dva() - Method in record class com.quantfinlib.credit.CvaApproximator.Bilateral: Returns the value of the dva record component.
dva(ExposureProfile, CreditCurve, double) - Static method in class com.quantfinlib.credit.CvaApproximator: DVA from a simulated exposure profile: the same sum over the negative exposure and the bank's own credit curve.

E

ead() - Method in record class com.quantfinlib.risk.SaCcr.Result: Returns the value of the ead record component.
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.
easterSunday(int) - Static method in class com.quantfinlib.rates.HolidayCalendars: Gregorian Easter Sunday (the anonymous Gregorian algorithm, Meeus, Astronomical Algorithms, ch. 8).
effectivePositions(double[]) - Static method in class com.quantfinlib.risk.ConcentrationRisk: Effective number of equally-weighted positions: 1 / HHI.
effectiveSamples(double, long) - Static method in class com.quantfinlib.microstructure.IcSignificance: Kish effective sample size of an EWMA with weight alpha after samples.
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.
effectiveTrials(List) - Static method in class com.quantfinlib.backtest.validation.GridSearchOptimizer: Effective number of independent trials in a search, N̂ = ρ̄ + (1 − ρ̄)·M for M trials whose per-bar return streams have mean pairwise correlation ρ̄ (clamped to [0, 1]); the average-correlation approximation in Bailey and López de Prado (2014, J.
efficiency() - Method in class com.quantfinlib.alpha.AlphaValidation.WalkForwardResult: OOS/IS efficiency, NaN when the in-sample IC is not positive.
efficiency() - Method in class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.WalkForwardResult: efficiency (OOS objective over IS objective on the stitched curves).
efficientFrontier(int) - Method in class com.quantfinlib.optimization.PortfolioOptimizer: Minimum-variance frontier: for each of points target returns evenly spaced from the lowest to the highest asset expected return, the long-only portfolio of least variance that earns exactly that return.
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.Fit - Class in com.quantfinlib.volatility
Egarch11.Params - Record Class in com.quantfinlib.volatility
Eigen(double[], double[][]) - Constructor for class com.quantfinlib.risk.PsdMatrices.Eigen: Creates the value; array and collection arguments are copied.
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
empty() - Static method in class com.quantfinlib.rates.FixingHistory: A history with no fixings (a forward-starting or unseasoned trade).
end() - Method in record class com.quantfinlib.rates.Deposit: Returns the value of the end record component.
end() - Method in record class com.quantfinlib.rates.FixedLeg: Returns the value of the end record component.
end() - Method in record class com.quantfinlib.rates.Fra: Returns the value of the end record component.
end() - Method in record class com.quantfinlib.rates.InterestRateSwap: Returns the value of the end record component.
end() - Method in record class com.quantfinlib.rates.OisSwap: Returns the value of the end record component.
end() - Method in record class com.quantfinlib.rates.OvernightLeg: Returns the value of the end record component.
end() - Method in record class com.quantfinlib.rates.RateFuture: Returns the value of the end record component.
end() - Method in record class com.quantfinlib.rates.TermRateLeg: Returns the value of the end record component.
endOfMonth() - Method in record class com.quantfinlib.rates.LegConvention: Returns the value of the endOfMonth record component.
endState() - Method in record class com.quantfinlib.backtest.Backtester.Segment: Returns the value of the endState record component.
endYears() - Method in record class com.quantfinlib.risk.SaCcrTrade: Returns the value of the endYears record component.
ENERGY - Enum constant in enum class com.quantfinlib.risk.SaCcr.CommoditySet: Energy: oil, gas, coal, electricity.
engleGranger(double[], double[]) - Static method in class com.quantfinlib.hedging.CointegrationTest: Engle-Granger test with no augmentation lags and the asymptotic critical values (the original behaviour); see CointegrationTest.engleGranger(double[], double[], int).
engleGranger(double[], double[], int) - Static method in class com.quantfinlib.hedging.CointegrationTest: Engle-Granger test with lags augmentation lags in the ADF regression and MacKinnon finite-sample critical values.
EngleGrangerResult(double, double, double, boolean, boolean, boolean) - Constructor for record class com.quantfinlib.hedging.CointegrationTest.EngleGrangerResult: Creates an instance of a EngleGrangerResult record class.
entries(String) - Method in class com.quantfinlib.alpha.FundamentalsHistory: All records for a symbol in publication order (unmodifiable).
Entry(long, long, Fundamentals) - Constructor for record class com.quantfinlib.alpha.FundamentalsHistory.Entry: Creates an instance of a Entry record class.
entryCost() - Method in record class com.quantfinlib.backtest.Backtester.State: Returns the value of the entryCost record component.
entryIndex() - Method in record class com.quantfinlib.backtest.Backtester.State: Returns the value of the entryIndex record component.
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.Backtester.State: Returns the value of the entryPrice 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.Backtester.State: Returns the value of the entryTime record component.
entryTime() - Method in record class com.quantfinlib.backtest.Trade: Returns the value of the entryTime record component.
epe() - Method in class com.quantfinlib.credit.ExposureProfile: Time-weighted average of the forward-measure EE over (0, t_m].
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
equalityResidual() - Method in class com.quantfinlib.alpha.TurnoverAwareOptimizer.Result: equalityResidual.
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 class com.quantfinlib.alpha.AlphaBacktester.Result
equals(Object) - Method in record class com.quantfinlib.alpha.AlphaBacktester.RiskOptions: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.alpha.AlphaCombiner.Settings: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in class com.quantfinlib.alpha.AlphaReport.Attribution
equals(Object) - Method in class com.quantfinlib.alpha.AlphaReport.Decay
equals(Object) - Method in class com.quantfinlib.alpha.AlphaReport.LagDecay
equals(Object) - Method in record class com.quantfinlib.alpha.AlphaRiskModels.Spec: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in class com.quantfinlib.alpha.AlphaValidation.CrossValidationResult
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 class com.quantfinlib.alpha.AlphaValidation.SensitivityResult
equals(Object) - Method in class com.quantfinlib.alpha.AlphaValidation.WalkForwardResult
equals(Object) - Method in class com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile
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 class com.quantfinlib.alpha.FamaMacBeth.Result
equals(Object) - Method in record class com.quantfinlib.alpha.FundamentalsHistory.Entry: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in class com.quantfinlib.alpha.Ols.Fit
equals(Object) - Method in class com.quantfinlib.alpha.PortfolioConstruction.Book
equals(Object) - Method in class com.quantfinlib.alpha.SignalEvaluator.QuantileReport
equals(Object) - Method in class com.quantfinlib.alpha.SignalEvaluator.Report
equals(Object) - Method in class com.quantfinlib.alpha.TurnoverAwareOptimizer.Result
equals(Object) - Method in record class com.quantfinlib.alpha.TurnoverAwareOptimizer.Settings: 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.Backtester.Segment: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.backtest.Backtester.State: 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 class com.quantfinlib.backtest.ParentOrder
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.Financing: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Participation: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Result
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.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 class com.quantfinlib.backtest.validation.GridSearchOptimizer.Candidate
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 class com.quantfinlib.backtest.validation.OverfitProbability.Result
equals(Object) - Method in class com.quantfinlib.backtest.validation.PurgedKFold.Split
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 class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.WalkForwardResult
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 class com.quantfinlib.crb.CrbRouter.Allocation
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.credit.CvaApproximator.Bilateral: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.credit.IsdaCdsModel.Contract: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.credit.IsdaCdsModel.Conventions: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.credit.IsdaCdsModel.Period: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.credit.IsdaRateCurve.Swap: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.BasisFactor: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Csa: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Domestic: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Foreign: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.ForeignSwap: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.FxForward: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.FxForwardTerms: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Market: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Swap: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.SwapTerms: 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.CorporateEventPositions.Holding: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.data.CorporateEventPositions.Outcome: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.data.CorporateEvents.CashStockMerger: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.data.CorporateEvents.Dividend: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.data.CorporateEvents.ReverseSplit: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.data.CorporateEvents.RightsIssue: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.data.CorporateEvents.SpinOff: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.data.CorporateEvents.StockDividend: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.data.CorporateEvents.SymbolChange: 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 class com.quantfinlib.fx.FxVolSurface.SmilePillar
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 class com.quantfinlib.hedging.PairsHedger.PairsAnalysis
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 class com.quantfinlib.indicators.Indicators.Adx
equals(Object) - Method in class com.quantfinlib.indicators.Indicators.Bollinger
equals(Object) - Method in class com.quantfinlib.indicators.Indicators.Donchian
equals(Object) - Method in class com.quantfinlib.indicators.Indicators.Ichimoku
equals(Object) - Method in class com.quantfinlib.indicators.Indicators.Keltner
equals(Object) - Method in class com.quantfinlib.indicators.Indicators.Macd
equals(Object) - Method in class com.quantfinlib.indicators.Indicators.StochRsi
equals(Object) - Method in class com.quantfinlib.indicators.Indicators.SuperTrend
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 class com.quantfinlib.microstructure.AlmgrenChriss.Trajectory
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.HawkesIntensity.Fit: 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 class com.quantfinlib.ml.RegimeDetector.RegimeModel
equals(Object) - Method in record class com.quantfinlib.ml.VolatilityForecaster.Validation: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in class com.quantfinlib.optimization.BlackLitterman.Posterior
equals(Object) - Method in class com.quantfinlib.optimization.NelderMead.Result
equals(Object) - Method in class com.quantfinlib.optimization.PortfolioOptimizer.Allocation
equals(Object) - Method in class com.quantfinlib.optimization.QuadraticProgram.Solution
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.HestonCalibrator.Result: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.pricing.LocalVolMonteCarlo.Result: 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.SviSlice: 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.pricing.VolSurface.CalendarViolation: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.rates.CurvePair: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.rates.Deposit: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.rates.FixedLeg: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.rates.Fra: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.rates.InterestRateSwap: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.rates.LegConvention: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.rates.LegConvention.Period: 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.OisSwap: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.rates.OvernightConvention: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.rates.OvernightLeg: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.rates.RateFuture: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.rates.RatesOptions.VolModel: 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.rates.TermRateLeg: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.rates.VanillaSwap: 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.BestExecutionAnalyzer.ShortfallDecomposition: 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 class com.quantfinlib.risk.ComponentVar.Allocation
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 class com.quantfinlib.risk.CovarianceShrinkage.Result
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.ExtremeValueTheory.GpdMle: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in class com.quantfinlib.risk.FactorRiskModel.Decomposition
equals(Object) - Method in record class com.quantfinlib.risk.FactorRiskModel.Settings: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.risk.FrtbDrc.NetJtd: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.risk.FrtbDrcSecuritisation.NetJtd: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.risk.FrtbDrcSecuritisation.NonCtpBucket: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.risk.FrtbDrcSecuritisation.Position: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.risk.FrtbSa.Bucket: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.risk.FrtbSa.BucketResult: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.risk.FrtbSa.RiskClass: 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 class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport
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 class com.quantfinlib.risk.PsdMatrices.Eigen
equals(Object) - Method in record class com.quantfinlib.risk.SaCcr.Margin: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.risk.SaCcr.Result: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.risk.SaCcr.SubNettingSet: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.risk.SaCcrTrade: 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 class com.quantfinlib.risk.StressTester.ReverseStress
equals(Object) - Method in record class com.quantfinlib.risk.TailRisk.Tail: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in record class com.quantfinlib.risk.VarBacktest.TrafficLight: 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.simulation.MonteCarloSimulator.Estimate: Indicates whether some other object is "equal to" this one.
equals(Object) - Method in class com.quantfinlib.volatility.Egarch11.Fit
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 class com.quantfinlib.volatility.Garch11.Fit
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 class com.quantfinlib.volatility.GjrGarch11.Fit
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 class com.quantfinlib.volatility.HarRv.Fit
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(String, boolean, double, double, double, double) - Static method in record class com.quantfinlib.risk.SaCcrTrade: Equity derivative on a single name or an index.
EQUITY - Enum constant in enum class com.quantfinlib.risk.SaCcr.AssetClass: Equity derivatives.
equityCurve(int) - Method in class com.quantfinlib.backtest.BacktestResult: Equity at bar i.
equityCurve(int) - Method in class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Result: Element i of equityCurve.
equityCurve(int) - Method in class com.quantfinlib.backtest.validation.GridSearchOptimizer.Candidate: Element i of equityCurve.
equityCurveCopy() - Method in class com.quantfinlib.backtest.BacktestResult: A fresh copy of the equity curve.
equityCurveCopy() - Method in class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Result: A fresh copy of equityCurve.
equityCurveCopy() - Method in class com.quantfinlib.backtest.validation.GridSearchOptimizer.Candidate: A fresh copy of equityCurve.
equityCurveLength() - Method in class com.quantfinlib.backtest.BacktestResult: Number of points on the equity curve (one per bar).
equityCurveLength() - Method in class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Result: Length of equityCurve.
equityCurveLength() - Method in class com.quantfinlib.backtest.validation.GridSearchOptimizer.Candidate: Length of equityCurve.
equityHandle(String) - Method in class com.quantfinlib.crb.CentralRiskBook: Handle of an equity symbol for the int-keyed equity booking methods.
erbaRiskWeight(FrtbDrcSecuritisation.ErbaRating, boolean, double, boolean) - Static method in class com.quantfinlib.risk.FrtbDrcSecuritisation: SEC-ERBA banking-book risk weight as a multiple, one-year tranche maturity (MAR22.34(1), so the maturity interpolation of CRE42.5(1) is not needed).
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, using the Acerbi-Tasche estimator of TailRisk (floored at zero).
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(double[][], double[][][], List, int[], List, double[][], FactorRiskModel.Settings) - Static method in class com.quantfinlib.risk.FactorRiskModel: Estimates the model.
estimate(double[], Innovation) - Static method in class com.quantfinlib.volatility.Egarch11: Maximum-likelihood fit with standard errors (at least 100 finite returns).
estimate(double[], Innovation) - Static method in class com.quantfinlib.volatility.Garch11: Maximum-likelihood fit with standard errors.
estimate(double[], Innovation) - Static method in class com.quantfinlib.volatility.GjrGarch11: Maximum-likelihood fit with standard errors (at least 100 finite returns).
estimate(AlphaContext, int, String[], AlphaRiskModels.Spec) - Static method in class com.quantfinlib.alpha.AlphaRiskModels: Estimates the model on the spec.window() periods ending at index, forecasting the period after it.
estimate(BarSeries, int, int) - Static method in class com.quantfinlib.microstructure.MarketImpactModel: Estimates a model for a trade decided at bar index from the window bars strictly before it: ADV is the mean volume and daily volatility the population standard deviation of close-to-close returns over bars [index - window, index - 1].
Estimate(double, double, int) - Constructor for record class com.quantfinlib.simulation.MonteCarloSimulator.Estimate: Creates an instance of a Estimate record class.
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.
eta() - Method in class com.quantfinlib.pricing.SsviSurface
EUROPE - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.Region
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 at every bar in [startIndex, ctx.bars() − horizon) against overlapping horizon-bar forward returns (see the class doc for each metric).
evaluations() - Method in class com.quantfinlib.optimization.NelderMead.Result: evaluations.
events() - Method in class com.quantfinlib.microstructure.HawkesIntensity
events() - Method in record class com.quantfinlib.microstructure.HawkesIntensity.Fit: Returns the value of the events record component.
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 Technical Document, J.P.
EwmaVolatility(double) - Constructor for class com.quantfinlib.volatility.EwmaVolatility
exactWeights(double, double) - Method in class com.quantfinlib.pricing.VannaVolga: Exact vanna-volga hedge weights for a vanilla at strike: the solution x of the 3x3 system
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.TrafficLight: Returns the value of the exceptions 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).
excitation() - Method in record class com.quantfinlib.microstructure.HawkesIntensity.Fit: Returns the value of the excitation record component.
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
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
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.
ExecutionAlgoBacktester - Class in com.quantfinlib.backtest: Backtests the dynamic execution stack over bar data.
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: Execution simulation settings.
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.
executionCost() - Method in record class com.quantfinlib.regulatory.BestExecutionAnalyzer.ShortfallDecomposition: Returns the value of the executionCost record component.
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.
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.
EXOTIC_RW - Static variable in class com.quantfinlib.risk.FrtbRrao
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 class com.quantfinlib.microstructure.AlmgrenChriss.Trajectory: expectedCost.
expectedCostBps() - Method in class com.quantfinlib.crb.CrbRouter.Allocation: expectedCostBps.
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 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.
expectedExposure(int) - Method in class com.quantfinlib.credit.ExposureProfile: Forward-measure EE at date i: discounted EE over P(0, t_i).
expectedExposureCopy() - Method in class com.quantfinlib.credit.ExposureProfile: Copy of the forward-measure EE profile.
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).
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.
expectedNegativeExposure(int) - Method in class com.quantfinlib.credit.ExposureProfile: Forward-measure ENE at date i, positive.
expectedPostCost() - Method in record class com.quantfinlib.execution.OrderPlacementPolicy.Placement: Returns the value of the expectedPostCost record component.
expectedReturn() - Method in class com.quantfinlib.optimization.PortfolioOptimizer.Allocation: expectedReturn.
expectedShortfall() - Method in record class com.quantfinlib.risk.TailRisk.Tail: Returns the value of the expectedShortfall 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).
expectedShortfallSorted(double[], double) - Static method in class com.quantfinlib.risk.TailRisk: Acerbi-Tasche expected shortfall of an ascending sample.
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
expiry(int) - Method in class com.quantfinlib.pricing.SsviSurface
expiry(int) - Method in class com.quantfinlib.pricing.SviSurface
expiry1() - Method in record class com.quantfinlib.pricing.VolSurface.CalendarViolation: Returns the value of the expiry1 record component.
expiry2() - Method in record class com.quantfinlib.pricing.VolSurface.CalendarViolation: Returns the value of the expiry2 record component.
expiryLength() - Method in class com.quantfinlib.pricing.SsviSurface
expiryLength() - Method in class com.quantfinlib.pricing.SviSurface
expiryYears() - Method in class com.quantfinlib.fx.FxVolSurface.SmilePillar: expiryYears.
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.
exportCsv(Path, List) - Static method in class com.quantfinlib.screener.StockScreener: Exports ranked results (symbol, score, last close, fundamentals) to CSV.
exposure(int) - Method in class com.quantfinlib.risk.FactorRiskModel.Decomposition: Portfolio exposure to factor p.
exposure(int, int) - Method in class com.quantfinlib.risk.FactorRiskModel: Exposure of name i to factor p at the forecast date.
exposure(String) - Method in class com.quantfinlib.crb.CentralRiskBook: Net exposure on a factor (0 for a factor never booked).
exposureAt(int, int, int) - Method in class com.quantfinlib.risk.FactorRiskModel: Exposure of name i to factor p at the start of period t (the forecast row when t == periods() and a forecast row was supplied).
exposureLength() - Method in class com.quantfinlib.risk.FactorRiskModel.Decomposition
ExposureProfile - Class in com.quantfinlib.credit: Output of MultiCurrencyExposureSimulator: per exposure date, the profile statistics, and per path, the discounted exposures the wrong-way CVA in CvaApproximator needs.
ExposureProfile.Factor - Enum Class in com.quantfinlib.credit: Market factor used as the wrong-way driver.
exposures() - Method in class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport: exposures.
exposuresCopy() - Method in class com.quantfinlib.risk.FactorRiskModel.Decomposition
exposureSummary(AlphaBacktester.Traced) - Static method in class com.quantfinlib.alpha.AlphaReport: Mean book exposure over a traced run, per bar: [gross Σ|w|, net Σw, long Σw⁺, short Σw⁻, names held].
exTime(int) - Method in class com.quantfinlib.pricing.DividendSchedule: Ex-dividend time of dividend i, in years from valuation.
exTimestamp() - Method in record class com.quantfinlib.data.CorporateActions.CorporateAction: Returns the value of the exTimestamp record component.
exTimestamp() - Method in record class com.quantfinlib.data.CorporateEvents.CashStockMerger: Returns the value of the exTimestamp record component.
exTimestamp() - Method in record class com.quantfinlib.data.CorporateEvents.Dividend: Returns the value of the exTimestamp record component.
exTimestamp() - Method in interface com.quantfinlib.data.CorporateEvents.Event: First bar timestamp trading on the new basis.
exTimestamp() - Method in record class com.quantfinlib.data.CorporateEvents.ReverseSplit: Returns the value of the exTimestamp record component.
exTimestamp() - Method in record class com.quantfinlib.data.CorporateEvents.RightsIssue: Returns the value of the exTimestamp record component.
exTimestamp() - Method in record class com.quantfinlib.data.CorporateEvents.SpinOff: Returns the value of the exTimestamp record component.
exTimestamp() - Method in record class com.quantfinlib.data.CorporateEvents.StockDividend: Returns the value of the exTimestamp record component.
exTimestamp() - Method in record class com.quantfinlib.data.CorporateEvents.SymbolChange: Returns the value of the exTimestamp record component.
ExtremeValueTheory - Class in com.quantfinlib.risk: Extreme value theory via peaks-over-threshold — the statistically principled way to ask about quantiles beyond the sample.
ExtremeValueTheory.GpdFit - Record Class in com.quantfinlib.risk: A fitted POT tail model.
ExtremeValueTheory.GpdMle - Record Class in com.quantfinlib.risk: A maximum-likelihood GPD fit with asymptotic standard errors Var ξ̂ = (1+ξ)²/m, Var β̂ = 2β²(1+ξ)/m (Smith 1987).

F

factor(int, int) - Method in class com.quantfinlib.alpha.BacktestAttribution: P&L from factor k in step s.
factorContribution(int) - Method in class com.quantfinlib.risk.FactorRiskModel.Decomposition: Share of total variance from factor p.
factorContributionCopy() - Method in class com.quantfinlib.risk.FactorRiskModel.Decomposition
factorCount() - Method in class com.quantfinlib.alpha.AlphaCombiner.Combination
factorCount() - Method in class com.quantfinlib.risk.FactorRiskModel
factorCovariance(int, int) - Method in class com.quantfinlib.risk.FactorRiskModel: Element (a, b) of the factor covariance, per period.
factorCovarianceCopy() - Method in class com.quantfinlib.risk.FactorRiskModel: The factor covariance, a copy.
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.
factorHalfLife() - Method in record class com.quantfinlib.risk.FactorRiskModel.Settings: Returns the value of the factorHalfLife record component.
factorMultiplier() - Method in enum class com.quantfinlib.risk.SaCcr.HedgingSetType: Returns the multiplier applied to the supervisory factor.
factorName() - Method in class com.quantfinlib.alpha.SignalEvaluator.QuantileReport: factorName.
factorName() - Method in class com.quantfinlib.alpha.SignalEvaluator.Report: factorName.
factorNames() - Method in class com.quantfinlib.alpha.AlphaReport.Attribution: factorNames.
factorNames() - Method in class com.quantfinlib.alpha.BacktestAttribution
factorNames() - Method in class com.quantfinlib.risk.FactorRiskModel.Decomposition
factorNames() - Method in class com.quantfinlib.risk.FactorRiskModel: Factor names: MARKET, then the sectors, then the styles.
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: Creates an instance; the explicit form of the default constructor.
factorReturn(int, int) - Method in class com.quantfinlib.risk.FactorRiskModel: Factor return p in period t (NaN when the period was skipped).
FactorReturns - Class in com.quantfinlib.alpha: Factor return streams built from the library's own factors, the input AlphaReport.attribute(double[], double[][], List) regresses a portfolio on.
factorReturnsCopy(int) - Method in class com.quantfinlib.risk.FactorRiskModel: Factor returns of period t, a copy.
factorRisk() - Method in class com.quantfinlib.risk.FactorRiskModel.Decomposition
FactorRiskModel - Class in com.quantfinlib.risk: Fundamental equity factor risk model in the Barra USE4 style: a market factor, one dummy factor per sector and standardised style factors, estimated by weighted cross-sectional regression each period.
FactorRiskModel.Decomposition - Class in com.quantfinlib.risk: Ex-ante risk of one portfolio under the model.
FactorRiskModel.Settings - Record Class in com.quantfinlib.risk: Estimation settings.
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.
factorTotal(int) - Method in class com.quantfinlib.alpha.BacktestAttribution: P&L from all factors in step s.
factorVariance() - Method in class com.quantfinlib.risk.FactorRiskModel.Decomposition
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).
FamaMacBeth - Class in com.quantfinlib.alpha: Fama-MacBeth (1973, J.
FamaMacBeth.Result - Class in com.quantfinlib.alpha
FAMILY_WISE_ALPHA - Static variable in class com.quantfinlib.alpha.CalendarAnomalies: Family-wise error rate used for the Holm flags.
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.
feller() - Method in record class com.quantfinlib.pricing.Heston.Params: The Feller ratio 2κθ/σᵥ²; ≥ 1 keeps variance strictly positive.
Fill(long, long, double, long) - Constructor for record class com.quantfinlib.execution.DarkPoolSimulator.Fill: Creates an instance of a Fill record class.
fillBarIndices(int) - Method in class com.quantfinlib.backtest.ParentOrder: Element i of fillBarIndices.
fillBarIndicesCopy() - Method in class com.quantfinlib.backtest.ParentOrder: A fresh copy of fillBarIndices.
fillBarIndicesLength() - Method in class com.quantfinlib.backtest.ParentOrder: Length of fillBarIndices.
fillCount() - Method in class com.quantfinlib.backtest.LastLookExecution: Accepted fills (parent-bar attempts, not shares).
fillDurationBars() - Method in 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
filledQty() - Method in class com.quantfinlib.backtest.ParentOrder
fillPolicy() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Config: Returns the value of the fillPolicy record component.
fillPolicy() - Method in class com.quantfinlib.alpha.AlphaBacktester.Result: fillPolicy.
fillPolicy() - Method in record class com.quantfinlib.backtest.BacktestConfig: Returns the value of the fillPolicy record component.
fillPolicy() - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Config: Returns the value of the fillPolicy record component.
FillPolicy - Enum Class in com.quantfinlib.backtest: When an order decided on bar t is filled.
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 class com.quantfinlib.backtest.ParentOrder: fills.
fills(int) - Method in class com.quantfinlib.fx.LpScorecard
filteredHighVolProbability(int) - Method in class com.quantfinlib.ml.RegimeDetector.RegimeModel: Element i of filteredHighVolProbability (P(high vol at t | data up to t): causal).
filteredHighVolProbabilityCopy() - Method in class com.quantfinlib.ml.RegimeDetector.RegimeModel: A fresh copy of filteredHighVolProbability.
filteredHighVolProbabilityLength() - Method in class com.quantfinlib.ml.RegimeDetector.RegimeModel: Length of filteredHighVolProbability.
filteredHistoricalVar(double[], double[][], double, int, double) - Static method in class com.quantfinlib.risk.VarEngine: Filtered historical simulation (Hull and White 1998, J.
finalEquity() - Method in record class com.quantfinlib.backtest.PerformanceMetrics: 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 class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Result: finalPositions.
financing() - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Config: Returns the value of the financing record component.
financing(int) - Method in class com.quantfinlib.alpha.AlphaBacktester.Traced: Financing P&L of step s.
financing(int) - Method in class com.quantfinlib.alpha.BacktestAttribution
Financing(double, double, double, Map) - Constructor for record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Financing: Creates an instance of a Financing record class.
financingCost() - Method in class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Result: financingCost.
financingDrag() - Method in class com.quantfinlib.alpha.AlphaBacktester.Result: financingDrag (cumulative net financing paid (negative when the book earned interest)).
firstIndex() - Method in record class com.quantfinlib.alpha.AlphaRiskModels.Spec: First bar at which a model can be built.
fit() - Method in record class com.quantfinlib.risk.ExtremeValueTheory.GpdMle: Returns the value of the fit 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: Gaussian maximum-likelihood fit; see Egarch11.estimate(double[], Innovation).
fit(double[]) - Static method in class com.quantfinlib.volatility.Garch11: Gaussian maximum-likelihood fit; see Garch11.estimate(double[], Innovation).
fit(double[]) - Static method in class com.quantfinlib.volatility.GjrGarch11: Gaussian maximum-likelihood fit; see GjrGarch11.estimate(double[], Innovation).
fit(double[]) - Static method in class com.quantfinlib.volatility.HarRv: Fits by OLS.
fit(double[][][], double[][]) - Static method in class com.quantfinlib.alpha.FamaMacBeth: One-bar forward returns, raw exposures.
fit(double[][][], double[][], int, boolean) - Static method in class com.quantfinlib.alpha.FamaMacBeth: Fits the Fama-MacBeth (1973) two-pass cross-sectional regression.
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[], int) - Static method in class com.quantfinlib.alpha.Ols: Fits y = X b + e.
fit(double[], double) - Static method in class com.quantfinlib.microstructure.OrnsteinUhlenbeck: Fits OU to a series sampled every dt time units (e.g. dt = 1.0/252 for daily samples in years).
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: Fits with five starts (median split plus four seeded random starts).
fit(double[], int, int, long) - Static method in class com.quantfinlib.ml.RegimeDetector: Fits the regime model by EM from several starts.
fit(long[], long, long) - Static method in class com.quantfinlib.microstructure.HawkesIntensity: Maximum-likelihood fit of an exponential-kernel Hawkes process to event times observed over [startNanos, endNanos].
fit(AlphaContext, List, int, int, AlphaCombiner.Settings) - Static method in class com.quantfinlib.alpha.AlphaCombiner: Fits the combination on IC dates fromIndex, fromIndex + step, … up to toIndex − horizon.
Fit(double[], double[], double[], int, double[], double) - Constructor for class com.quantfinlib.alpha.Ols.Fit: Creates the value; array and collection arguments are copied.
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.
Fit(double, double, double, double, int, boolean) - Constructor for record class com.quantfinlib.microstructure.HawkesIntensity.Fit: Creates an instance of a Fit record class.
Fit(Egarch11.Params, Innovation, double, double[], double[]) - Constructor for class com.quantfinlib.volatility.Egarch11.Fit: Creates the value; array and collection arguments are copied.
Fit(Garch11.Params, Innovation, double, double[], double[]) - Constructor for class com.quantfinlib.volatility.Garch11.Fit: Creates the value; array and collection arguments are copied.
Fit(GjrGarch11.Params, Innovation, double, double[], double[]) - Constructor for class com.quantfinlib.volatility.GjrGarch11.Fit: Creates the value; array and collection arguments are copied.
Fit(HarRv.Params, double[], double, int, boolean) - Constructor for class com.quantfinlib.volatility.HarRv.Fit: Creates the value; array and collection arguments are copied.
fitLog(double[]) - Static method in class com.quantfinlib.volatility.HarRv: Log-HAR: the same regression on ln RV with regressors ln RV_t, ln(mean of 5) and ln(mean of 22).
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.
fitPotMle(double[], double) - Static method in class com.quantfinlib.risk.ExtremeValueTheory: Maximum-likelihood GPD fit to the exceedances over the thresholdQuantile of the sample.
fitWithErrors(double[]) - Static method in class com.quantfinlib.volatility.HarRv: OLS fit of the level HAR with Newey-West standard errors (5 lags).
FixAnalyzer - Class in com.quantfinlib.regulatory: WM/R-style 4pm fix analysis: computes a fix rate from samples inside the fixing window 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
fixed() - Method in record class com.quantfinlib.rates.VanillaSwap: Returns the value of the fixed record component.
fixedDayCount() - Method in record class com.quantfinlib.rates.InterestRateSwap: Returns the value of the fixedDayCount record component.
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.
FixedLeg - Record Class in com.quantfinlib.rates: The fixed leg of a VanillaSwap: coupons rate * tau_i paid on each period's payment date, with the schedule, day count, stub and payment lag from a LegConvention.
FixedLeg(LocalDate, LocalDate, double, LegConvention) - Constructor for record class com.quantfinlib.rates.FixedLeg: Validates the fields.
fixedPaymentDates() - Method in record class com.quantfinlib.rates.InterestRateSwap
fixedPerYear() - Method in record class com.quantfinlib.rates.InterestRateSwap: Returns the value of the fixedPerYear record component.
fixedRate() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.SwapTerms: Returns the value of the fixedRate record component.
fixedRate() - Method in record class com.quantfinlib.rates.InterestRateSwap: Returns the value of the fixedRate record component.
fixedRate() - Method in record class com.quantfinlib.rates.OisSwap: Returns the value of the fixedRate record component.
FixImpactReport(double, double, double, double, long, boolean) - Constructor for record class com.quantfinlib.regulatory.FixAnalyzer.FixImpactReport: Creates an instance of a FixImpactReport record class.
fixing(LocalDate) - Method in class com.quantfinlib.rates.FixingHistory: The fixing published for date, if any.
fixingDate() - Method in class com.quantfinlib.fx.Ndf
fixingDate(LegConvention.Period) - Method in record class com.quantfinlib.rates.TermRateLeg: The fixing date of a period: fixingLagDays business days before its accrual start.
FixingHistory - Class in com.quantfinlib.rates: Published fixings of one index (for example SOFR), by fixing date.
fixingLagDays() - Method in record class com.quantfinlib.rates.TermRateLeg: Returns the value of the fixingLagDays record component.
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).
fixings() - Method in record class com.quantfinlib.rates.OvernightLeg: Returns the value of the fixings record component.
fixings() - Method in record class com.quantfinlib.rates.TermRateLeg: Returns the value of the fixings record component.
fixRate() - Method in record class com.quantfinlib.regulatory.FixAnalyzer.FixImpactReport: Returns the value of the fixRate record component.
flagged() - Method in record class com.quantfinlib.regulatory.FixAnalyzer.FixImpactReport: Returns the value of the flagged record component.
flat(double) - Static method in record class com.quantfinlib.backtest.Backtester.State: Flat book with capital in cash.
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.credit.IsdaCurve: A flat curve: constant zero rate (or constant hazard).
flat(double) - Static method in class com.quantfinlib.microstructure.TickSizeSchedule: Single flat tick for every price (US-equity style).
flatHazardForParSpread(IsdaCdsModel.Contract, double, IsdaCurve) - Static method in class com.quantfinlib.credit.IsdaCdsModel: The flat hazard whose par spread equals parSpread.
flatHazardForParSpread(IsdaCdsModel.Contract, double, IsdaCurve, IsdaCdsModel.Conventions) - Static method in class com.quantfinlib.credit.IsdaCdsModel: Flat hazard for a par spread under explicit conventions.
floatDayCount() - Method in record class com.quantfinlib.rates.InterestRateSwap: Returns the value of the floatDayCount record component.
floating() - Method in record class com.quantfinlib.rates.VanillaSwap: Returns the value of the floating record component.
FloatLeg - Interface in com.quantfinlib.rates: The floating leg of a VanillaSwap: either a compounded overnight leg (OvernightLeg, SOFR-style) or a term-rate leg (TermRateLeg, IBOR-style).
floatLegPv(DiscountCurve, DiscountCurve) - Method in record class com.quantfinlib.rates.InterestRateSwap: PV of the floating leg per unit notional.
floatLegPv(DiscountCurve, DiscountCurve) - Method in record class com.quantfinlib.rates.VanillaSwap: Floating-leg PV per unit notional.
floatPaymentDates() - Method in record class com.quantfinlib.rates.InterestRateSwap
floatPerYear() - Method in record class com.quantfinlib.rates.InterestRateSwap: Returns the value of the floatPerYear record component.
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.
FlowSignals() - Constructor for class com.quantfinlib.microstructure.FlowSignals: 500 ms half-life.
FlowSignals(long) - Constructor for class com.quantfinlib.microstructure.FlowSignals
fold() - Method in class com.quantfinlib.backtest.validation.PurgedKFold.Split: fold.
Fold(int, int, int, int, Map, 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, int, int, double) - Constructor for record class com.quantfinlib.alpha.AlphaValidation.Fold: Creates an instance of a Fold record class.
folds() - Method in class com.quantfinlib.alpha.AlphaValidation.WalkForwardResult: folds.
folds() - Method in class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.WalkForwardResult: folds.
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.
forecastLog(double[], HarRv.Fit) - Static method in class com.quantfinlib.volatility.HarRv: One-step forecast of RV from a log-HAR fit: exp(ŷ + ½σ̂²), the lognormal mean given the residual variance.
forecasts() - Method in record class com.quantfinlib.ml.VolatilityForecaster.Validation: Returns the value of the forecasts record component.
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).
foreign() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Market: Returns the value of the foreign record component.
Foreign(MultiCurrencyExposureSimulator.Curve, double, double, double, double) - Constructor for record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Foreign: Validates the parameters.
foreignNotional() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.FxForwardTerms: Returns the value of the foreignNotional record component.
ForeignSwap(int, MultiCurrencyExposureSimulator.SwapTerms, MultiCurrencyExposureSimulator.Curve) - Constructor for record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.ForeignSwap: Validates.
format() - Method in class com.quantfinlib.alpha.AlphaReport.Attribution
format() - Method in class com.quantfinlib.alpha.AlphaReport.Decay
format() - Method in class com.quantfinlib.alpha.AlphaReport.LagDecay
format() - Method in class com.quantfinlib.alpha.BacktestAttribution: A plain-text table of the cumulative components.
format() - Method in class com.quantfinlib.alpha.CapacityCurve: A plain-text table.
format() - Method in class com.quantfinlib.alpha.SignalEvaluator.Report: One-line human summary in fixed order for report diffs.
formatIcTable(AlphaContext, List, int, int[]) - Static method in class com.quantfinlib.alpha.AlphaReport: AlphaReport.icTable(AlphaContext, List, int, int[]) as plain text, one row per factor.
forward() - Method in class com.quantfinlib.fx.FxVolSurface.SmilePillar: forward.
forward(double) - Method in class com.quantfinlib.pricing.ForwardCurve: Interpolated outright forward at the tenor: linear in forward points between pillars, extrapolated with the slope of the last two pillars beyond the last one (unbounded, so keep queries near the quoted range).
forward(double) - Method in interface com.quantfinlib.pricing.TotalVarianceSurface: Forward F(t) = S·e^{(r−q)t}.
forward(double, double) - Method in class com.quantfinlib.pricing.VolSurface.Builder: Forward for an expiry.
forward(double, double, double, double) - Method in class com.quantfinlib.pricing.DividendSchedule: Equity forward with discrete dividends and a continuous borrow fee.
FORWARD - Enum constant in enum class com.quantfinlib.fx.FxVolSurface.AtmConvention: At-the-money forward: K = F.
FORWARD - Enum constant in enum class com.quantfinlib.fx.FxVolSurface.DeltaConvention: Forward delta N(d1).
FORWARD_PREMIUM_ADJUSTED - Enum constant in enum class com.quantfinlib.fx.FxVolSurface.DeltaConvention: Premium-adjusted forward delta (K/F) N(d2).
forwardAt(double) - Method in class com.quantfinlib.fx.FxVolSurface: Log-linear interpolated forward at an expiry, flat outside pillars.
forwardAt(double) - Method in class com.quantfinlib.pricing.VolSurface: Forward at an expiry, log-linear between pillars and flat outside.
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 from market outright forwards, with interpolation, implied rate differentials, and covered-interest-parity 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.
forwardRate(LocalDate, LocalDate, DayCount) - Method in class com.quantfinlib.rates.DiscountCurve: Simple forward (P(s)/P(e) - 1)/tau with tau from dayCount.
forwardSwapRate(YieldCurve, double, double, int) - Static method in class com.quantfinlib.rates.RatesOptions: Forward par swap rate with fixed-leg frequency paymentsPerYear.
forwardSwapRate(YieldCurve, int, int) - Static method in class com.quantfinlib.rates.RatesOptions: Forward par swap rate for a swap starting at startYears.
forwardValue(BlackScholes.OptionType, double, double, double, double) - Method in record class com.quantfinlib.rates.RatesOptions.VolModel: Undiscounted option value on a forward under this model.
Fra - Record Class in com.quantfinlib.rates: A forward rate agreement on the index period [start, end] at fixed rate rate.
Fra(LocalDate, LocalDate, double, DayCount) - Constructor for record class com.quantfinlib.rates.Fra: Creates an instance of a Fra record class.
frictionless() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Config: The same config with every cost, financing rate and the cap set to zero.
frictionless() - Static method in record class com.quantfinlib.backtest.BacktestConfig: No commission, no slippage, next-open fills: for unit tests and attribution of costs.
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) - Static method in class com.quantfinlib.core.BarSeries
FrtbDrc - Class in com.quantfinlib.risk: FRTB standardised default risk charge (DRC) for non-securitisation positions, styled after BCBS d457 chapter MAR22.
FrtbDrc.CreditQuality - Enum Class in com.quantfinlib.risk: Default risk weights by credit quality (MAR22.24 Table 2, verified).
FrtbDrc.NetJtd - Record Class in com.quantfinlib.risk: A net JTD per obligor (signed) and its risk weight.
FrtbDrcSecuritisation - Class in com.quantfinlib.risk: FRTB standardised default risk charge (DRC) for securitisations, both outside the correlation trading portfolio (non-CTP, MAR22.27 to MAR22.35) and inside it (CTP, MAR22.36 to MAR22.45).
FrtbDrcSecuritisation.AssetClass - Enum Class in com.quantfinlib.risk: The 11 asset classes of MAR22.31(2)(a), plus the corporates bucket of MAR22.31(1).
FrtbDrcSecuritisation.ErbaRating - Enum Class in com.quantfinlib.risk: Long-term rating grades of SEC-ERBA Tables 2 and 4 (CRE42.4, CRE42.13).
FrtbDrcSecuritisation.ErbaShortTermRating - Enum Class in com.quantfinlib.risk: Short-term rating grades of SEC-ERBA Tables 1 and 3 (CRE42.2, CRE42.12).
FrtbDrcSecuritisation.NetJtd - Record Class in com.quantfinlib.risk: A net JTD of one tranche (signed, positive long) and its DRC risk weight per unit of JTD.
FrtbDrcSecuritisation.NonCtpBucket - Record Class in com.quantfinlib.risk: A non-CTP bucket (MAR22.31, MAR22.32).
FrtbDrcSecuritisation.Position<K> - Record Class in com.quantfinlib.risk: A net tranche JTD tagged with its bucket key (a FrtbDrcSecuritisation.NonCtpBucket, or an index name for the CTP).
FrtbDrcSecuritisation.Region - Enum Class in com.quantfinlib.risk: The four regions of MAR22.31(2)(b).
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).
FrtbNmrf - Class in com.quantfinlib.risk: Capital for non-modellable risk factors (NMRF) under the FRTB internal models approach, styled after BCBS d457 chapter MAR33.
FrtbRrao - Class in com.quantfinlib.risk: FRTB residual risk add-on, styled after BCBS d457 chapter MAR23.
FrtbSa - Class in com.quantfinlib.risk: FRTB standardised approach, sensitivities-based method (SBM), styled after BCBS d457 (January 2019) chapter MAR21.
FrtbSa.Bucket - Record Class in com.quantfinlib.risk: One bucket: weighted sensitivities and the medium-scenario intra-bucket correlation matrix (diagonal ignored).
FrtbSa.BucketResult - Record Class in com.quantfinlib.risk: Bucket-level result.
FrtbSa.Commodity - Class in com.quantfinlib.risk: Commodity parameters, buckets 1-11.
FrtbSa.Csr - Class in com.quantfinlib.risk: Credit spread risk, non-securitisation (MAR21.51 to MAR21.57).
FrtbSa.Equity - Class in com.quantfinlib.risk: Equity (spot) parameters, buckets 1-13.
FrtbSa.Fx - Class in com.quantfinlib.risk: FX parameters.
FrtbSa.Girr - Class in com.quantfinlib.risk: General interest rate risk parameters.
FrtbSa.RiskClass - Record Class in com.quantfinlib.risk: One risk class: delta, vega and curvature inputs (any may be empty).
FrtbSa.Scenario - Enum Class in com.quantfinlib.risk: Correlation scenarios of MAR21.
FrtbSa.SecNonCtp - Class in com.quantfinlib.risk: CSR securitisation (non-CTP), buckets 1-25 (MAR21.62 to MAR21.71).
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.
FundamentalFilters - Class in com.quantfinlib.screener: Fundamental screening filters.
fundamentals() - Method in record class com.quantfinlib.alpha.FundamentalsHistory.Entry: Returns the value of the fundamentals record component.
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: Static snapshot fundamentals for symbol i, or null.
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.
fundamentalsAsOf(int, int) - Method in class com.quantfinlib.alpha.AlphaContext: Fundamentals of symbol i as known at bar index.
FundamentalsHistory - Class in com.quantfinlib.alpha: Point-in-time fundamentals: every record is keyed by the time it became public, and FundamentalsHistory.asOf(String, long) returns only what was published by then.
FundamentalsHistory() - Constructor for class com.quantfinlib.alpha.FundamentalsHistory: Creates an instance; the explicit form of the default constructor.
FundamentalsHistory.Entry - Record Class in com.quantfinlib.alpha: One published record.
fundHaircut10DayLookThrough(double[], double[]) - Static method in class com.quantfinlib.risk.SaCcrHaircuts: 10-day haircut on fund units under the look-through approach: the weighted average of the haircuts of the instruments the fund holds, available only when the bank may apply the LTA for equity investments in funds (CRE22.49 and CRE22.50, row "UCITS/mutual funds"; published reference).
fundHaircut10DayMandate(double...) - Static method in class com.quantfinlib.risk.SaCcrHaircuts: 10-day haircut on units of a UCITS or mutual fund under the mandate rule: the highest haircut that applies to any security the fund can invest in (CRE22.49 and CRE22.50, row "UCITS/mutual funds"; published reference).
FuturesRollAlgo - Class in com.quantfinlib.execution: The futures roll: the trade every futures position must do and most do badly.
FuturesRollAlgo(long, double[]) - Constructor for class com.quantfinlib.execution.FuturesRollAlgo
fx(String, double, double, double, double) - Static method in record class com.quantfinlib.risk.SaCcrTrade: FX derivative.
FX - Enum constant in enum class com.quantfinlib.credit.ExposureProfile.Factor: FX Brownian; high values mean a strong foreign currency.
FX - Enum constant in enum class com.quantfinlib.risk.SaCcr.AssetClass: Foreign-exchange derivatives.
FxExposure(String, double) - Constructor for record class com.quantfinlib.hedging.FxHedger.FxExposure: Creates an instance of a FxExposure record class.
FxForward(int, MultiCurrencyExposureSimulator.FxForwardTerms) - Constructor for record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.FxForward: Validates.
FxForwardTerms(double, double, double) - Constructor for record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.FxForwardTerms: Validates the terms.
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.
fxPairHandle(String) - Method in class com.quantfinlib.crb.CentralRiskBook: Handle of an FX pair ("EURUSD") for the int-keyed FX booking methods.
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, or sell, base currency on the near date; sell, or buy, it back on the far date).
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
fxVol() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Foreign: Returns the value of the fxVol record component.
FxVolSurface - Class in com.quantfinlib.fx: FX volatility surface built from the market's delta-quoted smile: ATM, 25-delta risk reversal and butterfly, optionally 10-delta wings.
FxVolSurface.AtmConvention - Enum Class in com.quantfinlib.fx: Which strike the ATM vol refers to.
FxVolSurface.Builder - Class in com.quantfinlib.fx: Accumulates per-expiry delta quotes, then solves strikes once in FxVolSurface.Builder.build().
FxVolSurface.ButterflyQuote - Enum Class in com.quantfinlib.fx: What the quoted butterfly is.
FxVolSurface.DeltaConvention - Enum Class in com.quantfinlib.fx: How the quoted deltas are defined (Reiswich and Wystup 2010, table 1).
FxVolSurface.SmilePillar - 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.pricing.SsviSurface
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
gamma(double, double, double, double, double, Heston.Params) - Static method in class com.quantfinlib.pricing.HestonCos: Gamma d2V/dS2 (same for calls and puts).
gamma(int, int) - Static method in class com.quantfinlib.risk.FrtbSa.Commodity: Inter-bucket γ for buckets 1-11 (MAR21.85).
gamma(int, int) - Static method in class com.quantfinlib.risk.FrtbSa.Csr: Inter-bucket γ = γ_rating·γ_sector (MAR21.57). γ_rating is 50% when both buckets are in 1-15 and one is IG (1-8) while the other is HY/NR (9-15), else 1; γ_sector is Table 5.
gamma(int, int) - Static method in class com.quantfinlib.risk.FrtbSa.Equity: Inter-bucket γ: 15% among 1-10, 75% between 12 and 13, 45% otherwise, 0 with 11 (MAR21.80, verified).
GAMMA - Static variable in class com.quantfinlib.risk.FrtbSa.Commodity: Inter-bucket γ (buckets 1-10); bucket 11 takes 0 (MAR21.85, verified).
GAMMA - Static variable in class com.quantfinlib.risk.FrtbSa.Fx: FX inter-bucket correlation (MAR21.89, verified).
GAMMA - Static variable in class com.quantfinlib.risk.FrtbSa.Girr: Cross-currency inter-bucket correlation (MAR21.50, verified).
GAMMA - Static variable in class com.quantfinlib.risk.FrtbSa.SecNonCtp: Inter-bucket γ across buckets 1-24 is 0 (MAR21.70).
GAMMA_RATING - Static variable in class com.quantfinlib.risk.FrtbSa.Csr: Inter-bucket rating factor when IG meets HY/NR, buckets 1-15 (MAR21.57(1)).
gammaPnl() - Method in record class com.quantfinlib.hedging.OptionsBook.PnlExplain: Returns the value of the gammaPnl record component.
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 (Bollerslev 1986, J.
Garch11.Fit - Class in com.quantfinlib.volatility: A fitted model with its uncertainty.
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.
GAUSSIAN - Enum constant in enum class com.quantfinlib.volatility.Innovation: Standard normal.
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).
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
getMessage() - Method in interface com.quantfinlib.core.QuantFinException: The detail message, as Throwable.getMessage() returns it.
GjrGarch11 - Class in com.quantfinlib.volatility: GJR-GARCH(1,1,1) — GARCH with the leverage term equity markets demand:
GjrGarch11.Fit - Class in com.quantfinlib.volatility
GjrGarch11.Params - Record Class in com.quantfinlib.volatility
GOLD - Enum constant in enum class com.quantfinlib.risk.SaCcrHaircuts.CollateralKind: Gold (15%).
GpdFit(double, double, double, int, int) - Constructor for record class com.quantfinlib.risk.ExtremeValueTheory.GpdFit: Creates an instance of a GpdFit record class.
gpdLogLikelihood(double[], double, double) - Static method in class com.quantfinlib.risk.ExtremeValueTheory: GPD log-likelihood of exceedances y at (ξ, β); −∞ outside the support.
GpdMle(ExtremeValueTheory.GpdFit, double, double, double) - Constructor for record class com.quantfinlib.risk.ExtremeValueTheory.GpdMle: Creates an instance of a GpdMle 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
GREEN - Enum constant in enum class com.quantfinlib.risk.VarBacktest.Zone: No sign of a problem with the model: cumulative probability below 95 %.
GRID_POINTS - Static variable in class com.quantfinlib.pricing.LocalVolMonteCarlo: Local vol table size per time step.
GridSearchOptimizer - Class in com.quantfinlib.backtest.validation: Exhaustive strategy parameter search: backtests every grid combination and ranks by an objective (e.g.
GridSearchOptimizer.Candidate - Class in com.quantfinlib.backtest.validation: One grid point: its parameters, metrics, objective and equity curve.
gross() - Method in class com.quantfinlib.alpha.PortfolioConstruction.Book: gross.
grossEquity(int) - Method in class com.quantfinlib.alpha.AlphaBacktester.Result: Element i of grossEquity.
grossEquityCopy() - Method in class com.quantfinlib.alpha.AlphaBacktester.Result: A fresh copy of grossEquity.
grossEquityLength() - Method in class com.quantfinlib.alpha.AlphaBacktester.Result: Length of grossEquity.
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.
grossJtd(double) - Static method in class com.quantfinlib.risk.FrtbDrcSecuritisation: Gross JTD of a securitisation position or of a CTP single-name or index hedge: its signed market value, no LGD applied (MAR22.27, MAR22.36, MAR22.37).
grossMetrics() - Method in class com.quantfinlib.alpha.AlphaBacktester.Result: grossMetrics.
grossPerSide() - Method in record class com.quantfinlib.backtest.portfolio.CrossSectionalMomentum.Config: Returns the value of the grossPerSide record component.
grossSharpe(int) - Method in class com.quantfinlib.alpha.CapacityCurve
grossShortfall() - Method in class com.quantfinlib.alpha.PortfolioConstruction.Book: grossShortfall (true when gross fell below 90% of the target (too few names for the cap, or too few scored names)).

H

hacLag() - Method in class com.quantfinlib.alpha.AlphaReport.Attribution: hacLag.
hacLag() - Method in class com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile: hacLag.
hacLag() - Method in record class com.quantfinlib.alpha.CalendarAnomalies.TurnOfMonth: Returns the value of the hacLag record component.
hacLag() - Method in class com.quantfinlib.alpha.Ols.Fit: hacLag (Bartlett lag used for the HAC errors).
hacLag() - Method in class com.quantfinlib.alpha.SignalEvaluator.Report: hacLag.
hacLags(int) - Method in class com.quantfinlib.alpha.FamaMacBeth.Result: Element i of hacLags (Bartlett lag used per factor).
hacLagsCopy() - Method in class com.quantfinlib.alpha.FamaMacBeth.Result: A fresh copy of hacLags.
hacLagsLength() - Method in class com.quantfinlib.alpha.FamaMacBeth.Result: Length of hacLags.
hacStandardErrors(int) - Method in class com.quantfinlib.alpha.Ols.Fit: Element i of hacStandardErrors.
hacStandardErrors(int) - Method in class com.quantfinlib.volatility.HarRv.Fit: Element i of hacStandardErrors.
hacStandardErrorsCopy() - Method in class com.quantfinlib.alpha.Ols.Fit: A fresh copy of hacStandardErrors.
hacStandardErrorsCopy() - Method in class com.quantfinlib.volatility.HarRv.Fit: A fresh copy of hacStandardErrors.
hacStandardErrorsLength() - Method in class com.quantfinlib.alpha.Ols.Fit: Length of hacStandardErrors.
hacStandardErrorsLength() - Method in class com.quantfinlib.volatility.HarRv.Fit: Length of hacStandardErrors.
hacTStat(int) - Method in class com.quantfinlib.alpha.Ols.Fit: HAC t-statistic of coefficient j.
haircut10Day(SaCcrHaircuts.CollateralKind, SaCcrHaircuts.DebtRating, double) - Static method in class com.quantfinlib.risk.SaCcrHaircuts: Supervisory haircut on a 10-day holding period, BCBS 128 para 151 (the 2006 table, the default kept for 2.2 compatibility).
haircut10Day(SaCcrHaircuts.Table, SaCcrHaircuts.CollateralKind, SaCcrHaircuts.DebtRating, double) - Static method in class com.quantfinlib.risk.SaCcrHaircuts: Supervisory haircut on a 10-day holding period from the chosen table.
haircut10DayNoExternalRatings(SaCcrHaircuts.NoRatingsDebtClass, double) - Static method in class com.quantfinlib.risk.SaCcrHaircuts: Supervisory haircut on a 10-day holding period for debt under the CRE22.50 table (jurisdictions without external ratings).
halfDayAccrual() - Method in record class com.quantfinlib.credit.IsdaCdsModel.Conventions: Returns the value of the halfDayAccrual record component.
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 class com.quantfinlib.alpha.AlphaReport.Decay: halfLifeBars.
halfLifeBars() - Method in class com.quantfinlib.alpha.AlphaReport.LagDecay: τ·ln 2: bars until the fitted IC halves.
halfLifeBars() - Method in class com.quantfinlib.hedging.PairsHedger.PairsAnalysis: halfLifeBars (mean-reversion half-life (+INF if not mean-reverting)).
halfLifeNanos() - Method in record class com.quantfinlib.microstructure.HawkesIntensity.Fit: Excitation half-life ln 2 / β in nanoseconds.
halfSpreadBps() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Config: Returns the value of the halfSpreadBps record component.
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.Fit - Class in com.quantfinlib.volatility: Fitted coefficients with Newey-West standard errors (order: intercept, daily, weekly, monthly), residual variance and the regression size.
HarRv.Params - Record Class in com.quantfinlib.volatility: Fitted coefficients: rv⁺ = c + βd·d + βw·w + βm·m.
hasBuySurplus() - Method in record class com.quantfinlib.microstructure.Auction.Result: Positive imbalance = buy surplus, negative = sell surplus.
hasFundamentalsHistory() - Method in class com.quantfinlib.alpha.AlphaContext: Whether a point-in-time fundamentals history is attached.
hashCode() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Config: Returns a hash code value for this object.
hashCode() - Method in class com.quantfinlib.alpha.AlphaBacktester.Result
hashCode() - Method in record class com.quantfinlib.alpha.AlphaBacktester.RiskOptions: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.alpha.AlphaCombiner.Settings: Returns a hash code value for this object.
hashCode() - Method in class com.quantfinlib.alpha.AlphaReport.Attribution
hashCode() - Method in class com.quantfinlib.alpha.AlphaReport.Decay
hashCode() - Method in class com.quantfinlib.alpha.AlphaReport.LagDecay
hashCode() - Method in record class com.quantfinlib.alpha.AlphaRiskModels.Spec: Returns a hash code value for this object.
hashCode() - Method in class com.quantfinlib.alpha.AlphaValidation.CrossValidationResult
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 class com.quantfinlib.alpha.AlphaValidation.SensitivityResult
hashCode() - Method in class com.quantfinlib.alpha.AlphaValidation.WalkForwardResult
hashCode() - Method in class com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile
hashCode() - Method in record class com.quantfinlib.alpha.CalendarAnomalies.TurnOfMonth: Returns a hash code value for this object.
hashCode() - Method in class com.quantfinlib.alpha.FamaMacBeth.Result
hashCode() - Method in record class com.quantfinlib.alpha.FundamentalsHistory.Entry: Returns a hash code value for this object.
hashCode() - Method in class com.quantfinlib.alpha.Ols.Fit
hashCode() - Method in class com.quantfinlib.alpha.PortfolioConstruction.Book
hashCode() - Method in class com.quantfinlib.alpha.SignalEvaluator.QuantileReport
hashCode() - Method in class com.quantfinlib.alpha.SignalEvaluator.Report
hashCode() - Method in class com.quantfinlib.alpha.TurnoverAwareOptimizer.Result
hashCode() - Method in record class com.quantfinlib.alpha.TurnoverAwareOptimizer.Settings: 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.Backtester.Segment: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.backtest.Backtester.State: 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 class com.quantfinlib.backtest.ParentOrder
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.Financing: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Participation: Returns a hash code value for this object.
hashCode() - Method in class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Result
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.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 class com.quantfinlib.backtest.validation.GridSearchOptimizer.Candidate
hashCode() - Method in record class com.quantfinlib.backtest.validation.MonteCarloTradeShuffle.Result: Returns a hash code value for this object.
hashCode() - Method in class com.quantfinlib.backtest.validation.OverfitProbability.Result
hashCode() - Method in class com.quantfinlib.backtest.validation.PurgedKFold.Split
hashCode() - Method in record class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.Fold: Returns a hash code value for this object.
hashCode() - Method in class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.WalkForwardResult
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 class com.quantfinlib.crb.CrbRouter.Allocation
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.credit.CvaApproximator.Bilateral: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.credit.IsdaCdsModel.Contract: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.credit.IsdaCdsModel.Conventions: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.credit.IsdaCdsModel.Period: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.credit.IsdaRateCurve.Swap: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.BasisFactor: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Csa: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Domestic: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Foreign: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.ForeignSwap: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.FxForward: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.FxForwardTerms: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Market: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Swap: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.SwapTerms: 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.CorporateEventPositions.Holding: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.data.CorporateEventPositions.Outcome: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.data.CorporateEvents.CashStockMerger: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.data.CorporateEvents.Dividend: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.data.CorporateEvents.ReverseSplit: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.data.CorporateEvents.RightsIssue: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.data.CorporateEvents.SpinOff: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.data.CorporateEvents.StockDividend: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.data.CorporateEvents.SymbolChange: 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 class com.quantfinlib.fx.FxVolSurface.SmilePillar
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 class com.quantfinlib.hedging.PairsHedger.PairsAnalysis
hashCode() - Method in record class com.quantfinlib.hedging.WhalleyWilmott.Action: Returns a hash code value for this object.
hashCode() - Method in class com.quantfinlib.indicators.Indicators.Adx
hashCode() - Method in class com.quantfinlib.indicators.Indicators.Bollinger
hashCode() - Method in class com.quantfinlib.indicators.Indicators.Donchian
hashCode() - Method in class com.quantfinlib.indicators.Indicators.Ichimoku
hashCode() - Method in class com.quantfinlib.indicators.Indicators.Keltner
hashCode() - Method in class com.quantfinlib.indicators.Indicators.Macd
hashCode() - Method in class com.quantfinlib.indicators.Indicators.StochRsi
hashCode() - Method in class com.quantfinlib.indicators.Indicators.SuperTrend
hashCode() - Method in record class com.quantfinlib.microstructure.AlmgrenChriss.Params: Returns a hash code value for this object.
hashCode() - Method in class com.quantfinlib.microstructure.AlmgrenChriss.Trajectory
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.HawkesIntensity.Fit: 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 class com.quantfinlib.ml.RegimeDetector.RegimeModel
hashCode() - Method in record class com.quantfinlib.ml.VolatilityForecaster.Validation: Returns a hash code value for this object.
hashCode() - Method in class com.quantfinlib.optimization.BlackLitterman.Posterior
hashCode() - Method in class com.quantfinlib.optimization.NelderMead.Result
hashCode() - Method in class com.quantfinlib.optimization.PortfolioOptimizer.Allocation
hashCode() - Method in class com.quantfinlib.optimization.QuadraticProgram.Solution
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.HestonCalibrator.Result: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.pricing.LocalVolMonteCarlo.Result: 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.SviSlice: 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.pricing.VolSurface.CalendarViolation: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.rates.CurvePair: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.rates.Deposit: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.rates.FixedLeg: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.rates.Fra: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.rates.InterestRateSwap: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.rates.LegConvention: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.rates.LegConvention.Period: 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.OisSwap: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.rates.OvernightConvention: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.rates.OvernightLeg: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.rates.RateFuture: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.rates.RatesOptions.VolModel: 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.rates.TermRateLeg: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.rates.VanillaSwap: 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.BestExecutionAnalyzer.ShortfallDecomposition: 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 class com.quantfinlib.risk.ComponentVar.Allocation
hashCode() - Method in record class com.quantfinlib.risk.CounterpartyExposureTracker.CounterpartyTrade: Returns a hash code value for this object.
hashCode() - Method in class com.quantfinlib.risk.CovarianceShrinkage.Result
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.ExtremeValueTheory.GpdMle: Returns a hash code value for this object.
hashCode() - Method in class com.quantfinlib.risk.FactorRiskModel.Decomposition
hashCode() - Method in record class com.quantfinlib.risk.FactorRiskModel.Settings: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.risk.FrtbDrc.NetJtd: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.risk.FrtbDrcSecuritisation.NetJtd: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.risk.FrtbDrcSecuritisation.NonCtpBucket: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.risk.FrtbDrcSecuritisation.Position: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.risk.FrtbSa.Bucket: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.risk.FrtbSa.BucketResult: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.risk.FrtbSa.RiskClass: 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 class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport
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 class com.quantfinlib.risk.PsdMatrices.Eigen
hashCode() - Method in record class com.quantfinlib.risk.SaCcr.Margin: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.risk.SaCcr.Result: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.risk.SaCcr.SubNettingSet: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.risk.SaCcrTrade: 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 class com.quantfinlib.risk.StressTester.ReverseStress
hashCode() - Method in record class com.quantfinlib.risk.TailRisk.Tail: Returns a hash code value for this object.
hashCode() - Method in record class com.quantfinlib.risk.VarBacktest.TrafficLight: 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.simulation.MonteCarloSimulator.Estimate: Returns a hash code value for this object.
hashCode() - Method in class com.quantfinlib.volatility.Egarch11.Fit
hashCode() - Method in record class com.quantfinlib.volatility.Egarch11.Params: Returns a hash code value for this object.
hashCode() - Method in class com.quantfinlib.volatility.Garch11.Fit
hashCode() - Method in record class com.quantfinlib.volatility.Garch11.Params: Returns a hash code value for this object.
hashCode() - Method in class com.quantfinlib.volatility.GjrGarch11.Fit
hashCode() - Method in record class com.quantfinlib.volatility.GjrGarch11.Params: Returns a hash code value for this object.
hashCode() - Method in class com.quantfinlib.volatility.HarRv.Fit
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.
hasSyntheticBars() - Method in class com.quantfinlib.core.BarSeries: false guarantees that no bar is synthetic; true means some may be.
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
HawkesIntensity.Fit - Record Class in com.quantfinlib.microstructure: A maximum-likelihood calibration.
hazard(double) - Method in class com.quantfinlib.credit.CreditCurve: The hazard rate in force at time t (flat beyond the last pillar).
hedge(double[], double[][], double[][], double[], double) - Static method in class com.quantfinlib.crb.HedgeOptimizer: Computes hedge notionals for the given factor exposures.
hedgeBenefitRatio(List) - Static method in class com.quantfinlib.risk.FrtbDrc: Hedge benefit ratio HBR = Σ long / (Σ long + Σ|short|), not risk-weighted (MAR22.23, verified).
hedgeBenefitRatio(List) - Static method in class com.quantfinlib.risk.FrtbDrcSecuritisation: HBR = Σ long / (Σ long + Σ |short|), unweighted (MAR22.23); 0 for an empty set.
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 class com.quantfinlib.hedging.PairsHedger.PairsAnalysis: hedgeRatio (units of B per unit of A (OLS beta)).
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
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.
hedgingSet() - Method in record class com.quantfinlib.risk.SaCcrTrade: Returns the value of the hedgingSet record component.
hedgingSetType() - Method in record class com.quantfinlib.risk.SaCcrTrade: Returns the value of the hedgingSetType record component.
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
held(int, int) - Method in class com.quantfinlib.alpha.AlphaBacktester.Traced: Weight of name i held over step s, after any fill at the step's opening close.
heldCopy(int) - Method in class com.quantfinlib.alpha.AlphaBacktester.Traced
heLittermanOmega(double, double[][], double[][]) - Static method in class com.quantfinlib.optimization.BlackLitterman: He-Litterman default view variances ω_v = (P·τΣ·P')_vv: each view is as uncertain as the prior's estimate of the same portfolio.
herfindahlIndex(double[]) - Static method in class com.quantfinlib.risk.ConcentrationRisk: Herfindahl-Hirschman index of |exposure| shares; 1/N (diversified) .. 1 (single name).
herstattExposure(List) - 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.
HestonCalibrator - Class in com.quantfinlib.pricing: Calibrates the five Heston.Params to a grid of Black-Scholes implied volatilities by Levenberg-Marquardt (Levenberg 1944; Marquardt 1963, with Marquardt's diagonal scaling).
HestonCalibrator.Result - Record Class in com.quantfinlib.pricing: Calibration outcome.
HestonCos - Class in com.quantfinlib.pricing: Heston European options by the COS method of Fang and Oosterlee (2008, "A novel pricing method for European options based on Fourier-cosine series expansions", SIAM J.
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
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
HIGH - Enum constant in enum class com.quantfinlib.risk.FrtbSa.Scenario
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(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
highsCopy() - Method in class com.quantfinlib.core.BarSeries: A fresh copy of the high column.
histogram() - Method in class com.quantfinlib.indicators.StreamingIndicators.Macd
histogram(int) - Method in class com.quantfinlib.indicators.Indicators.Macd: Element i of histogram.
histogramCopy() - Method in class com.quantfinlib.indicators.Indicators.Macd: A fresh copy of histogram.
histogramLength() - Method in class com.quantfinlib.indicators.Indicators.Macd: Length of histogram.
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 class com.quantfinlib.alpha.SignalEvaluator.Report: hitRate.
HOLD - Enum constant in enum class com.quantfinlib.backtest.Signal
Holding(String, String, double, double) - Constructor for record class com.quantfinlib.data.CorporateEventPositions.Holding: Creates an instance of a Holding record class.
holdings() - Method in record class com.quantfinlib.data.CorporateEventPositions.Outcome: Returns the value of the holdings record component.
holdings(int) - Method in class com.quantfinlib.microstructure.AlmgrenChriss.Trajectory: Element i of holdings.
holdingsCopy() - Method in class com.quantfinlib.microstructure.AlmgrenChriss.Trajectory: A fresh copy of holdings.
holdingsLength() - Method in class com.quantfinlib.microstructure.AlmgrenChriss.Trajectory: Length of holdings.
HolidayCalendars - Class in com.quantfinlib.rates: Rule-based holiday calendars for four settlement centres, generated as BusinessCalendar objects for a range of years.
HolidayCalendars.Market - Enum Class in com.quantfinlib.rates: The settlement centres with rule-based calendars.
holidays(HolidayCalendars.Market, int) - Static method in class com.quantfinlib.rates.HolidayCalendars: The weekday holidays of one year (holidays falling on a weekend and not moved are left out, since the weekend already closes the day).
holmSignificant(int) - Method in class com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile: Element i of holmSignificant (day survives Holm's correction across the tested days).
holmSignificantCopy() - Method in class com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile: A fresh copy of holmSignificant.
holmSignificantLength() - Method in class com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile: Length of holmSignificant.
horizon() - Method in record class com.quantfinlib.alpha.AlphaCombiner.Settings: Returns the value of the horizon record component.
horizon() - Method in class com.quantfinlib.alpha.SignalEvaluator.Report: horizon (forward-return horizon in bars).
horizon() - Method in record class com.quantfinlib.microstructure.AlmgrenChriss.Params: Returns the value of the horizon record component.
horizons(int) - Method in class com.quantfinlib.alpha.AlphaReport.Decay: Element i of horizons.
horizonsCopy() - Method in class com.quantfinlib.alpha.AlphaReport.Decay: A fresh copy of horizons.
horizonsLength() - Method in class com.quantfinlib.alpha.AlphaReport.Decay: Length of horizons.
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.
hullWhiteConvexity(double, double, double, double) - Static method in record class com.quantfinlib.rates.RateFuture: Hull-White convexity adjustment (continuously compounded futures minus forward rate) for an index period from t1 to t2 years.

I

ic(int) - Method in class com.quantfinlib.alpha.AlphaCombiner.Combination: Horizon-matched, date-weighted mean IC of (orthogonalised) factor k.
ic0() - Method in class com.quantfinlib.alpha.AlphaReport.LagDecay: ic0 (fitted IC at lag 1).
icAutocorrelation() - Method in class com.quantfinlib.alpha.SignalEvaluator.Report: icAutocorrelation.
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
icHalfLife() - Method in record class com.quantfinlib.alpha.AlphaCombiner.Settings: Returns the value of the icHalfLife record component.
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 class com.quantfinlib.indicators.Indicators.Ichimoku: Creates the value; array and collection arguments are copied.
icsCopy() - Method in class com.quantfinlib.alpha.AlphaCombiner.Combination
icSeries(int) - Method in class com.quantfinlib.alpha.SignalEvaluator.Report: Element i of icSeries (per-date ICs, one per scored bar).
icSeriesCopy() - Method in class com.quantfinlib.alpha.SignalEvaluator.Report: A fresh copy of icSeries.
icSeriesLength() - Method in class com.quantfinlib.alpha.SignalEvaluator.Report: Length of icSeries.
IcSignificance - Class in com.quantfinlib.microstructure: Sampling error of an exponentially weighted correlation, used to gate learned signals on significance rather than on the sign of a noisy IC.
icStd() - Method in class com.quantfinlib.alpha.AlphaValidation.CrossValidationResult: icStd.
icStd() - Method in class com.quantfinlib.alpha.SignalEvaluator.Report: icStd.
icTable(AlphaContext, List, int, int[]) - Static method in class com.quantfinlib.alpha.AlphaReport: Mean IC of each factor at each forward horizon ([factor][horizon]), the same statistic as AlphaReport.decayProfile(AlphaContext, AlphaFactor, int, int[]) for one factor.
id(String) - Method in class com.quantfinlib.crb.FactorRegistry: Returns the id for name, registering it on first sight.
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.
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.
Immutable - Annotation Interface in com.quantfinlib.internal: Marks a class whose instances cannot change after construction: all fields are final, referenced arrays and collections are private copies that never escape, and every method that sounds like a mutator (add..., with...) returns a new value instead.
impactBps() - Method in record class com.quantfinlib.execution.BenchmarkExecutor.MarketState: 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 class com.quantfinlib.alpha.AlphaBacktester.Result: impactDrag.
impactDrag(int) - Method in class com.quantfinlib.alpha.CapacityCurve: Cumulative impact cost, fraction of equity.
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 trajectory (Almgren and Chriss, 2000, eq. 18): completed fraction 1 - sinh(kT (1 - f)) / sinh(kT) with urgency kT set by BenchmarkExecutor.withShortfallUrgency(double) (default 2); volatility raises the pace further.
implementationShortfall(Side, double, double, double[], double[], double, double) - Static method in class com.quantfinlib.regulatory.BestExecutionAnalyzer: Decomposes implementation shortfall into its components.
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.
impliedCarry(LocalDate, DayCount) - Method in class com.quantfinlib.fx.SwapPointsCurve: SwapPointsCurve.impliedCarry(LocalDate) with tau measured in the given day count.
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.
impliedQuote(DiscountCurve, DiscountCurve) - Method in interface com.quantfinlib.rates.CurveInstrument: The quote implied by the curves, in the units of CurveInstrument.quote().
impliedQuote(DiscountCurve, DiscountCurve) - Method in record class com.quantfinlib.rates.Deposit
impliedQuote(DiscountCurve, DiscountCurve) - Method in record class com.quantfinlib.rates.Fra
impliedQuote(DiscountCurve, DiscountCurve) - Method in record class com.quantfinlib.rates.InterestRateSwap
impliedQuote(DiscountCurve, DiscountCurve) - Method in record class com.quantfinlib.rates.OisSwap
impliedQuote(DiscountCurve, DiscountCurve) - Method in record class com.quantfinlib.rates.RateFuture
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}, for tenorYears > 0.
impliedVol() - Method in record class com.quantfinlib.hedging.OptionsBook.OptionPosition: Returns the value of the impliedVol record component.
impliedVol(double, double) - Method in record class com.quantfinlib.pricing.SviSlice: Implied volatility at log-moneyness k for expiry t years.
impliedVol(double, double) - Method in interface com.quantfinlib.pricing.TotalVarianceSurface: Black-Scholes implied volatility at expiry t and strike strike.
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) - Method in record class com.quantfinlib.rates.RatesOptions.VolModel: Implied vol of this model from an undiscounted value (NaN if unattainable).
impliedVol(BlackScholes.OptionType, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.Bachelier: Implied normal vol from a discounted price.
impliedVol(BlackScholes.OptionType, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.Black76: Black-76 implied vol from a discounted price, via ImpliedVolatility.black(BlackScholes.OptionType, double, double, double, double) (NaN if unattainable, 0 at intrinsic).
impliedVol(BlackScholes.OptionType, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.BlackScholes: Implied volatility from a market price, through ImpliedVolatility.black(BlackScholes.OptionType, double, double, double, double) on the forward F = S e^{(r-q)T} and the undiscounted price.
ImpliedVolatility - Class in com.quantfinlib.pricing: Black (lognormal) implied volatility by a safeguarded Newton iteration on the normalised Black function.
impliedVolRmse() - Method in record class com.quantfinlib.pricing.HestonCalibrator.Result: Returns the value of the impliedVolRmse record component.
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.
IN - Enum constant in enum class com.quantfinlib.pricing.BarrierOption.Knock
IN_ARREARS - Static variable in record class com.quantfinlib.rates.OvernightConvention: Plain compounding in arrears: no lookback, no shift, no lockout.
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: Creates an instance; the explicit form of the default constructor.
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() - Method in record class com.quantfinlib.risk.SaCcrTrade: Returns the value of the index record component.
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: implementations of the standard technical analysis toolkit.
Indicators.Adx - Class in com.quantfinlib.indicators
Indicators.Bollinger - Class in com.quantfinlib.indicators
Indicators.Donchian - Class in com.quantfinlib.indicators
Indicators.Ichimoku - Class in com.quantfinlib.indicators: Ichimoku lines.
Indicators.Keltner - Class in com.quantfinlib.indicators
Indicators.Macd - Class in com.quantfinlib.indicators
Indicators.StochRsi - Class in com.quantfinlib.indicators
Indicators.SuperTrend - Class in com.quantfinlib.indicators: direction: +1 = uptrend (value is support), -1 = downtrend (value is resistance).
INFLATION_RW - Static variable in class com.quantfinlib.risk.FrtbSa.Girr: Inflation and cross-currency basis risk weight (MAR21.43, verified).
In-flight children - Section in class com.quantfinlib.execution.BenchmarkExecutor
informationCoefficient() - Method in record class com.quantfinlib.alpha.AlphaBacktester.RiskOptions: Returns the value of the informationCoefficient record component.
InformationCriteria - Class in com.quantfinlib.volatility: AIC and BIC information criteria for model selection.
informationRatio() - Method in record class com.quantfinlib.backtest.BenchmarkComparison.Result: Returns the value of the informationRatio record component.
init(BarSeries) - Method in interface com.quantfinlib.backtest.TradingStrategy
init(Map) - Method in class com.quantfinlib.backtest.portfolio.CrossSectionalMomentum
init(Map) - Method in interface com.quantfinlib.backtest.portfolio.PortfolioStrategy
init(Map, Map) - Method in interface com.quantfinlib.backtest.portfolio.PortfolioStrategy: Price-pair initialisation used by the survivorship-aware engine: signalData is split and dividend adjusted and is what signals must be computed on; tradeData is the unadjusted series the engine trades on, available for strategies that need actual prices (share-count limits, price filters).
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.
initialValue() - Method in class com.quantfinlib.simulation.SimulationResult
innovation() - Method in class com.quantfinlib.volatility.Egarch11.Fit: innovation (the innovation distribution used).
innovation() - Method in class com.quantfinlib.volatility.Garch11.Fit: innovation (the innovation distribution used).
innovation() - Method in class com.quantfinlib.volatility.GjrGarch11.Fit: innovation (the innovation distribution used).
Innovation - Enum Class in com.quantfinlib.volatility: Distribution of the standardised innovation z_t = r_t / √h_t in the GARCH-family likelihoods.
Input contract (documented, not proven) - Section in class com.quantfinlib.microstructure.ClosingAuctionModel
inSampleEquity(int) - Method in class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.WalkForwardResult: Element i of inSampleEquity (chained in-sample equity of the fold winners).
inSampleEquityCopy() - Method in class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.WalkForwardResult: A fresh copy of inSampleEquity.
inSampleEquityLength() - Method in class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.WalkForwardResult: Length of inSampleEquity.
inSampleIc() - Method in record class com.quantfinlib.alpha.AlphaValidation.Fold: Returns the value of the inSampleIc record component.
inSampleMetrics() - Method in class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.WalkForwardResult: inSampleMetrics.
inSampleObjective() - Method in record class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.Fold: Returns the value of the inSampleObjective record component.
inSampleObservations() - Method in record class com.quantfinlib.alpha.AlphaValidation.Fold: Returns the value of the inSampleObservations record component.
inSampleTradeCount() - Method in class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.WalkForwardResult: inSampleTradeCount (trades the winners made in sample).
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(double) - Method in class com.quantfinlib.rates.DiscountCurve: Instantaneous forward f(t).
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 class com.quantfinlib.risk.CovarianceShrinkage.Result: intensity (delta in [0, 1] — how far toward the target).
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 class com.quantfinlib.hedging.PairsHedger.PairsAnalysis: intercept.
intercept() - Method in record class com.quantfinlib.volatility.HarRv.Params: Returns the value of the intercept record component.
interceptMean() - Method in class com.quantfinlib.alpha.FamaMacBeth.Result: interceptMean (mean per-period intercept (should be near 0)).
interceptTStat() - Method in class com.quantfinlib.alpha.FamaMacBeth.Result: interceptTStat (its Newey-West t-stat).
INTEREST_RATE - Enum constant in enum class com.quantfinlib.risk.SaCcr.AssetClass: Interest-rate derivatives.
interestRate(String, double, double, double, double, double, double) - Static method in record class com.quantfinlib.risk.SaCcrTrade: Interest-rate derivative.
InterestRateSwap - Record Class in com.quantfinlib.rates: A vanilla fixed-for-floating interest rate swap in the multi-curve framework: the floating coupons are projected off a projection curve (for example 3M) and both legs are discounted on the OIS curve (collateralised pricing; Bianchetti 2010, "Two curves, one price", Risk 23(8); Ametrano and Bianchetti 2013, "Everything you always wanted to know about multiple interest rate curve bootstrapping but were afraid to ask", SSRN 2219548).
InterestRateSwap(LocalDate, LocalDate, double, int, DayCount, int, DayCount, BusinessCalendar, BusinessCalendar.Roll) - Constructor for record class com.quantfinlib.rates.InterestRateSwap: Creates an instance of a InterestRateSwap record class.
internal() - Method in class com.quantfinlib.crb.CrbRouter.Allocation: internal.
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: Creates an engine with an empty warehouse.
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
internalize(double, double, double) - Method in class com.quantfinlib.crb.InternalizationEngine: The same decision as InternalizationEngine.decide(double, double, double) without the result object: returns the internalized notional and leaves the routed notional and the price improvement in InternalizationEngine.lastRouted() and InternalizationEngine.lastImprovementBps().
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() - Method in class com.quantfinlib.rates.DiscountCurve
Interpolation - Section in class com.quantfinlib.fx.FxVolSurface
intersect(Map) - 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.
intraBucket(boolean, boolean, boolean) - Static method in class com.quantfinlib.risk.FrtbSa.Csr: Intra-bucket ρ = ρ_name·ρ_tenor·ρ_basis for buckets 1-15 (MAR21.54).
intraBucket(boolean, boolean, boolean) - Static method in class com.quantfinlib.risk.FrtbSa.SecNonCtp: Intra-bucket ρ = ρ_tranche·ρ_tenor·ρ_basis (MAR21.68).
intraBucket(int) - Static method in class com.quantfinlib.risk.FrtbSa.Equity: Intra-bucket correlation between two different issuers' spot (MAR21.78(2), verified).
intraBucketCtp(boolean, boolean, boolean) - Static method in class com.quantfinlib.risk.FrtbSa.Csr: CTP intra-bucket ρ (MAR21.60); γ is FrtbSa.Csr.gamma(int, int) for buckets 1-16 (MAR21.61).
intraBucketIndex(boolean, boolean, boolean) - Static method in class com.quantfinlib.risk.FrtbSa.Csr: Intra-bucket ρ for index buckets 17-18 (MAR21.55).
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.stats.LinearAlgebra: 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.
INVESTMENT_GRADE_INDEX - Enum constant in enum class com.quantfinlib.risk.SaCcr.CreditGrade: Investment-grade index, 0.38%.
ir() - Method in class com.quantfinlib.alpha.SignalEvaluator.Report: ir.
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
isContango() - Method in class com.quantfinlib.commodities.CommodityCurve: Strictly upward at every adjacent pillar pair (deferred above near).
IsdaCdsModel - Class in com.quantfinlib.credit: The ISDA CDS Standard Model: the pricing conventions every post-2009 standard CDS is quoted and settled with, beside the textbook quarterly grid of CdsPricer.
IsdaCdsModel.Contract - Record Class in com.quantfinlib.credit: One CDS contract's dates and terms.
IsdaCdsModel.Conventions - Record Class in com.quantfinlib.credit: Model conventions beyond the contract terms.
IsdaCdsModel.Period - Record Class in com.quantfinlib.credit: One premium period of the coupon schedule.
IsdaCurve - Class in com.quantfinlib.credit: A curve of the kind the ISDA CDS Standard Model works on: continuously compounded zero rates r_i at node times t_i (years, ACT/365F from the curve's base date), interpolated linearly in r(t) * t.
IsdaRateCurve - Class in com.quantfinlib.credit: Builds the discount curve of the ISDA CDS Standard Model from par swap rates (the swap-only RFR curve used by the SOFR-era test grids).
IsdaRateCurve.Swap - Record Class in com.quantfinlib.credit: One par swap quote.
isEmpty() - Method in record class com.quantfinlib.execution.OrderPlacementPolicy.PostRegion
isIceberg(int) - Method in class com.quantfinlib.microstructure.HiddenLiquidityDetector: True once a level has shown iceberg behavior at least once.
isin() - Method in record class com.quantfinlib.data.CorporateEventPositions.Holding: Returns the value of the isin record component.
isIndex() - Method in enum class com.quantfinlib.risk.SaCcr.CreditGrade: Returns true for the two index grades.
isJointBusinessDay(LocalDate) - Method in class com.quantfinlib.fx.CurrencyPair: Business day in both currencies' calendars.
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
isSynthetic(int) - Method in class com.quantfinlib.core.BarSeries: Whether bar i is an alignment placeholder rather than a traded bar.
isWholePeriods(int, double) - Static method in class com.quantfinlib.rates.BondPricer: Whether yearsToMaturity * frequency is a whole number of coupon periods (to 1e-9).
isWin() - Method in record class com.quantfinlib.backtest.Trade
iterations() - Method in class com.quantfinlib.alpha.TurnoverAwareOptimizer.Result: iterations.
iterations() - Method in class com.quantfinlib.optimization.QuadraticProgram.Solution: iterations.
iterations() - Method in record class com.quantfinlib.pricing.HestonCalibrator.Result: Returns the value of the iterations record component.

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.
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).
jtd() - Method in record class com.quantfinlib.risk.FrtbDrc.NetJtd: Returns the value of the jtd record component.
jtd() - Method in record class com.quantfinlib.risk.FrtbDrcSecuritisation.NetJtd: Returns the value of the jtd record component.
jtd(double, double, double) - Static method in class com.quantfinlib.risk.FrtbDrc: Gross JTD of one position.
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
juniorUnratedFloor(double, double) - Static method in class com.quantfinlib.risk.FrtbDrcSecuritisation: Second sentence of CRE41.15: an unrated junior tranche in a deal whose more senior tranches are rated, where no rating can be inferred for the junior one, takes no less than the weight of the next more senior rated tranche.

K

k() - Method in record class com.quantfinlib.risk.FrtbSa.BucketResult: Returns the value of the k record component.
k(int) - Method in class com.quantfinlib.indicators.Indicators.StochRsi: Element i of k.
kA(double, double) - Static method in class com.quantfinlib.risk.FrtbDrcSecuritisation: K_A = (1 − W)·K_SA + 0.5·W (CRE41.8).
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
kAPartlyUnknownW(double, double, double) - Static method in class com.quantfinlib.risk.FrtbDrcSecuritisation: K_A when W is unknown for part of the pool (CRE41.9): K_A = (EAD_known / EAD_total) * K_A^known + EAD_unknown / EAD_total, so the unknown subpool is charged at 100%.
kappa() - Method in class com.quantfinlib.microstructure.AlmgrenChriss.Trajectory: kappa.
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.
kCopy() - Method in class com.quantfinlib.indicators.Indicators.StochRsi: A fresh copy of k.
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 class com.quantfinlib.indicators.Indicators.Keltner: Creates the value; array and collection arguments are copied.
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.
keyRateDv01(LocalDate, List, List, CurveInterpolation, ToDoubleBiFunction, double[]) - Static method in class com.quantfinlib.rates.MultiCurveRisk: Key-rate DV01s at keyTenorsYears (strictly increasing, ACT/365F years); one value per key.
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(int) - Method in class com.quantfinlib.indicators.Indicators.Ichimoku: Element i of kijun.
kijunCopy() - Method in class com.quantfinlib.indicators.Indicators.Ichimoku: A fresh copy of kijun.
kijunLength() - Method in class com.quantfinlib.indicators.Indicators.Ichimoku: Length of kijun.
kind() - Method in record class com.quantfinlib.data.CorporateEvents.Dividend: Returns the value of the kind record component.
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.
kLength() - Method in class com.quantfinlib.indicators.Indicators.StochRsi: Length of k.
ksPme(double[], double[], double, double[]) - Static method in class com.quantfinlib.markets.PrivateMarketAnalytics: Kaplan-Schoar PME.
kSsfa(double, double, double, double) - Static method in class com.quantfinlib.risk.FrtbDrcSecuritisation: K_SSFA = (e^{a·u} − e^{a·l}) / (a·(u − l)) with a = −1/(p·K_A), u = D − K_A, l = max(A − K_A, 0) (CRE41.11).
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.stats.Stats: Population kurtosis m4 / m2^2 (3 for a normal distribution, not excess); 0 when the data have no dispersion.
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

label() - Method in record class com.quantfinlib.hedging.OptionsBook.OptionPosition: Returns the value of the label record component.
lagBars() - Method in enum class com.quantfinlib.backtest.FillPolicy: Bars between the decision bar and the fill bar (0 or 1).
LagDecay(int[], double[], double[], double, double) - Constructor for class com.quantfinlib.alpha.AlphaReport.LagDecay: Creates the value; array and collection arguments are copied.
lagFor(double[], int) - Static method in class com.quantfinlib.alpha.NeweyWest: Lag for a series of statistics computed on overlapping overlap-bar windows: max(overlap − 1, automaticLag(x)).
lagIcProfile(AlphaContext, AlphaFactor, int, int) - Static method in class com.quantfinlib.alpha.AlphaReport: IC of the scores at t against the one-bar return over (t+h−1, t+h] for h = 1..maxLag, averaged over every bar t from startIndex with the whole window in sample, then fitted by least squares to IC(h) = IC₀·exp(−(h−1)/τ) (for fixed τ the optimal IC₀ is closed-form; τ is found by golden-section search on log τ over [0.05, 10⁵] bars, and reported as +∞ when the best fit sits at the upper bound).
lags(int) - Method in class com.quantfinlib.alpha.AlphaReport.LagDecay: Element i of lags (1..maxLag).
lagsCopy() - Method in class com.quantfinlib.alpha.AlphaReport.LagDecay: A fresh copy of lags.
lagsLength() - Method in class com.quantfinlib.alpha.AlphaReport.LagDecay: Length of lags.
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.
largestAdjacentJump() - Method in class com.quantfinlib.alpha.AlphaValidation.SensitivityResult: largestAdjacentJump (largest |IC difference| between any two adjacent candidates).
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.
lastImprovementBps() - Method in class com.quantfinlib.crb.InternalizationEngine: Price improvement of the last InternalizationEngine.internalize(double, double, double) or InternalizationEngine.decide(double, double, double) call.
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
lastQuotedPrice() - Method in class com.quantfinlib.fx.LpRouter: Raw quoted price behind the last successful LpRouter.route(boolean, double); NaN otherwise.
lastRouted() - Method in class com.quantfinlib.crb.InternalizationEngine: Routed notional of the last InternalizationEngine.internalize(double, double, double) or InternalizationEngine.decide(double, double, double) call.
lastUpdateNanos() - Method in record class com.quantfinlib.execution.VenueQuote: Returns the value of the lastUpdateNanos record component.
lastZScore() - Method in class com.quantfinlib.hedging.PairsHedger.PairsAnalysis: lastZScore (current spread z-score).
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.
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.
latestVol(double[]) - Method in class com.quantfinlib.volatility.EwmaVolatility: One-step-ahead volatility forecast (per period) for the period after the last return, with the same bias-corrected causal weights as EwmaVolatility.variances(double[]).
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.
ledoitWolf(double[][]) - Static method in class com.quantfinlib.risk.CovarianceShrinkage: Ledoit-Wolf shrinkage estimate of the covariance matrix.
LegConvention - Record Class in com.quantfinlib.rates: The schedule and accrual conventions of one swap leg: how often it pays, how a period's year fraction is measured, which calendar and roll adjust the dates, where a stub goes, and how many business days after the accrual end the payment is made.
LegConvention(int, DayCount, BusinessCalendar, BusinessCalendar.Roll, BusinessCalendar.StubType, boolean, int) - Constructor for record class com.quantfinlib.rates.LegConvention: Validates the fields.
LegConvention.Period - Record Class in com.quantfinlib.rates: One accrual period.
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.
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
levyPrice(BlackScholes.OptionType, double, double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.AsianOption: Levy (1992) continuous-average lognormal approximation with seasoning, as printed in Haug (2007, section 4.20.2).
LGD_COVERED_BOND - Static variable in class com.quantfinlib.risk.FrtbDrc
LGD_EQUITY - Static variable in class com.quantfinlib.risk.FrtbDrc
LGD_NON_SENIOR - Static variable in class com.quantfinlib.risk.FrtbDrc
LGD_SENIOR - Static variable in class com.quantfinlib.risk.FrtbDrc: LGD by seniority (MAR22.12, verified: equity and non-senior 100%, senior 75%, covered bonds 25%).
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 class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Result: lifecycleEventsApplied.
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, double) - Static method in class com.quantfinlib.risk.ConcentrationRisk: Group keys whose share exceeds the single-name concentration limit.
line() - Method in class com.quantfinlib.indicators.StreamingIndicators.Macd
line(int) - Method in class com.quantfinlib.indicators.Indicators.Macd: Element i of line.
LinearAlgebra - Class in com.quantfinlib.stats: Dense linear algebra on double[][] row-major matrices: dot and matrix-vector products, the quadratic form, Cholesky, a linear solve and the inverse.
lineCopy() - Method in class com.quantfinlib.indicators.Indicators.Macd: A fresh copy of line.
lineLength() - Method in class com.quantfinlib.indicators.Indicators.Macd: Length of line.
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 MAR33.4:
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, 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: Algorithm settings.
liquidityShare() - Method in record class com.quantfinlib.backtest.SorExecution.VenueConfig: Returns the value of the liquidityShare record component.
lit() - Method in class com.quantfinlib.crb.CrbRouter.Allocation: lit.
lit() - Method in record class com.quantfinlib.execution.AdaptiveSor.RoutingDecision: Returns the value of the lit record component.
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().
localVol(double, double) - Method in class com.quantfinlib.pricing.DupireLocalVol: Local volatility at calendar time t (years) and spot s.
localVolAtMoneyness(double, double) - Method in class com.quantfinlib.pricing.DupireLocalVol: Local volatility at time t > 0 and log-moneyness y = ln(S/F(t)).
LocalVolMonteCarlo - Class in com.quantfinlib.pricing: Monte Carlo under Dupire local volatility, log-Euler scheme:
LocalVolMonteCarlo(DupireLocalVol) - Constructor for class com.quantfinlib.pricing.LocalVolMonteCarlo
LocalVolMonteCarlo.Result - Record Class in com.quantfinlib.pricing: Price and its Monte Carlo standard error.
LocalVolPde - Class in com.quantfinlib.pricing: Finite-difference pricer for European options under Dupire local volatility.
LocalVolPde(DupireLocalVol) - Constructor for class com.quantfinlib.pricing.LocalVolPde
lockoutDays() - Method in record class com.quantfinlib.rates.OvernightConvention: Returns the value of the lockoutDays record component.
LOG_LINEAR_DISCOUNT - Enum constant in enum class com.quantfinlib.rates.CurveInterpolation: Linear in ln P(t): the instantaneous forward is constant on each pillar interval and jumps at the pillars.
logGamma(double) - Static method in class com.quantfinlib.stats.SpecialFunctions: Natural log of the gamma function (Lanczos, |relative error| < 2e-10).
logits(int) - Method in class com.quantfinlib.backtest.validation.OverfitProbability.Result: Element i of logits (one lambda per combination (enumeration order)).
logitsCopy() - Method in class com.quantfinlib.backtest.validation.OverfitProbability.Result: A fresh copy of logits.
logitsLength() - Method in class com.quantfinlib.backtest.validation.OverfitProbability.Result: Length of logits.
logLikelihood() - Method in record class com.quantfinlib.microstructure.HawkesIntensity.Fit: Returns the value of the logLikelihood record component.
logLikelihood() - Method in class com.quantfinlib.ml.RegimeDetector.RegimeModel: logLikelihood.
logLikelihood() - Method in record class com.quantfinlib.risk.ExtremeValueTheory.GpdMle: 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.
logModel() - Method in class com.quantfinlib.volatility.HarRv.Fit: logModel.
logMoneyness() - Method in record class com.quantfinlib.pricing.VolSurface.CalendarViolation: Returns the value of the logMoneyness record component.
lognormal() - Static method in record class com.quantfinlib.rates.RatesOptions.VolModel
LOGNORMAL - Enum constant in enum class com.quantfinlib.rates.RatesOptions.VolType
logNormPdf(double) - Static method in class com.quantfinlib.stats.SpecialFunctions: Natural log of the standard normal density, finite for any finite x.
logReturns() - Method in class com.quantfinlib.core.BarSeries: Log returns; length = size - 1.
LONDON - Enum constant in enum class com.quantfinlib.rates.HolidayCalendars.Market: England and Wales bank holidays (GBP, SONIA).
LONG_BACK - Enum constant in enum class com.quantfinlib.rates.BusinessCalendar.StubType: Last period longer than regular.
LONG_FRONT - Enum constant in enum class com.quantfinlib.rates.BusinessCalendar.StubType: First period longer than regular: the short stub merged into the next period.
longLeg(int) - Method in class com.quantfinlib.alpha.BacktestAttribution
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.
longRunVariance(double[], int) - Static method in class com.quantfinlib.alpha.NeweyWest: HAC long-run variance Ω of x with Bartlett lag lag.
longShort(AlphaContext, AlphaFactor, int, int, int) - Static method in class com.quantfinlib.alpha.FactorReturns: Per-bar long-short factor returns over (t, t+1] for t = startIndex .. bars−2, so the result has bars − 1 − startIndex entries.
lookbackBars() - Method in record class com.quantfinlib.backtest.portfolio.CrossSectionalMomentum.Config: Returns the value of the lookbackBars record component.
lookbackDays() - Method in record class com.quantfinlib.rates.OvernightConvention: Returns the value of the lookbackDays 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
LOW - Enum constant in enum class com.quantfinlib.risk.FrtbSa.Scenario
lower(int) - Method in class com.quantfinlib.indicators.Indicators.Bollinger: Element i of lower.
lower(int) - Method in class com.quantfinlib.indicators.Indicators.Donchian: Element i of lower.
lower(int) - Method in class com.quantfinlib.indicators.Indicators.Keltner: Element i of lower.
lowerBand() - Method in class com.quantfinlib.microstructure.CircuitBreakers.Luld
lowerCopy() - Method in class com.quantfinlib.indicators.Indicators.Bollinger: A fresh copy of lower.
lowerCopy() - Method in class com.quantfinlib.indicators.Indicators.Donchian: A fresh copy of lower.
lowerCopy() - Method in class com.quantfinlib.indicators.Indicators.Keltner: A fresh copy of lower.
lowerLength() - Method in class com.quantfinlib.indicators.Indicators.Bollinger: Length of lower.
lowerLength() - Method in class com.quantfinlib.indicators.Indicators.Donchian: Length of lower.
lowerLength() - Method in class com.quantfinlib.indicators.Indicators.Keltner: Length of lower.
lowest(double[], int) - Static method in class com.quantfinlib.indicators.Indicators
lowsCopy() - Method in class com.quantfinlib.core.BarSeries: A fresh copy of the low column.
lowVolatility(int) - Static method in class com.quantfinlib.alpha.Factors: Low-volatility anomaly: −σ(returns) over the lookback, calm names scoring 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 the LP holds the order, 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

m() - Method in record class com.quantfinlib.pricing.SviSlice: Returns the value of the m record component.
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.
macaulayDurationExact(double, double, int, double, double) - Static method in class com.quantfinlib.rates.BondPricer: Macaulay duration in years on the exact grid of BondPricer.priceFromYieldExact(double, double, int, double, double).
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 class com.quantfinlib.indicators.Indicators.Macd: Creates the value; array and collection arguments are copied.
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.
mahalanobisSigmas() - Method in class com.quantfinlib.risk.StressTester.ReverseStress: mahalanobisSigmas.
MAIN_INDEX_EQUITY - Enum constant in enum class com.quantfinlib.risk.SaCcrHaircuts.CollateralKind: Equities in a main index (15%).
MalformedDataException - Exception Class in com.quantfinlib.core: A data file or text record that does not follow its format: a CSV with no header or missing required columns, a universe file line with the wrong column count, an unparseable timestamp.
MalformedDataException(String) - Constructor for exception class com.quantfinlib.core.MalformedDataException: Creates the exception.
MalformedDataException(String, Throwable) - Constructor for exception class com.quantfinlib.core.MalformedDataException: Creates the exception with the parse failure that caused it.
MalformedFileException - Exception Class in com.quantfinlib.core: A file or saved state that this library cannot read because its contents are wrong, not because the read failed: a bad magic number, an unknown format version, a duplicate checkpoint section, a journal that is not a FIX journal.
MalformedFileException(String) - Constructor for exception class com.quantfinlib.core.MalformedFileException: Creates the exception.
MalformedFileException(String, Throwable) - Constructor for exception class com.quantfinlib.core.MalformedFileException: Creates the exception with the underlying cause.
margin() - Method in record class com.quantfinlib.risk.SaCcr.SubNettingSet: Returns the value of the margin record component.
Margin(double, double, double, double) - Constructor for record class com.quantfinlib.risk.SaCcr.Margin: Validates the terms.
marginal(int) - Method in class com.quantfinlib.risk.FactorRiskModel.Decomposition: Marginal contribution of name i to total risk.
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).
marginalCopy() - Method in class com.quantfinlib.risk.FactorRiskModel.Decomposition
marginals(int) - Method in class com.quantfinlib.risk.ComponentVar.Allocation: Element i of marginals (per-position marginal VaR (z · (Σw)_i / σ_p)).
marginalsCopy() - Method in class com.quantfinlib.risk.ComponentVar.Allocation: A fresh copy of marginals.
marginalsLength() - Method in class com.quantfinlib.risk.ComponentVar.Allocation: Length of marginals.
margined(List, double, SaCcr.Margin) - Static method in class com.quantfinlib.risk.SaCcr: EAD of a margined netting set.
marginPeriodYears() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Csa: Returns the value of the marginPeriodYears record component.
marginRate() - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Financing: Returns the value of the marginRate record component.
marginRatePerYear() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Config: Returns the value of the marginRatePerYear 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.
Market(MultiCurrencyExposureSimulator.Domestic, List, double[][]) - Constructor for record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Market: Validates and copies.
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
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.
marketValue() - Method in record class com.quantfinlib.risk.SaCcr.Result: Returns the value of the marketValue record component.
marketValue() - Method in record class com.quantfinlib.risk.SaCcrTrade: Returns the value of the marketValue record component.
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: Creates an instance; the explicit form of the default constructor.
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
matrix(int, int) - Method in class com.quantfinlib.risk.CovarianceShrinkage.Result: Element [i][j] of matrix (the shrunk covariance Sigma*).
matrixCopy() - Method in class com.quantfinlib.risk.CovarianceShrinkage.Result: A deep copy of matrix.
matrixRows() - Method in class com.quantfinlib.risk.CovarianceShrinkage.Result: Number of rows of matrix.
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.
maturityDate() - Method in record class com.quantfinlib.credit.IsdaCdsModel.Contract: Returns the value of the maturityDate record component.
maturityFactor(double, SaCcr.Margin) - Static method in class com.quantfinlib.risk.SaCcr: Maturity factor of paras 164 and 171.
maturityScale(double) - Static method in class com.quantfinlib.risk.FrtbDrc: Maturity scaling min(max(M, 0.25), 1); M in years (MAR22.15 and MAR22.18 floor, verified).
maturityYears() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.FxForwardTerms: Returns the value of the maturityYears record component.
maturityYears() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.SwapTerms: Returns the value of the maturityYears record component.
maturityYears() - Method in record class com.quantfinlib.risk.SaCcrTrade: Returns the value of the maturityYears record component.
matVec(double[][], double[]) - Static method in class com.quantfinlib.stats.LinearAlgebra: Matrix-vector product m v.
MAX_UNKNOWN_W_SHARE - Static variable in class com.quantfinlib.risk.FrtbDrcSecuritisation: Largest pool share, by EAD, with unknown delinquency status that still allows SEC-SA (CRE41.9, CRE41.10).
maxCashFraction() - Method in record class com.quantfinlib.data.CorporateEvents.CashStockMerger: Returns the value of the maxCashFraction record component.
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.
maxFractionOfAdv() - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Participation: Returns the value of the maxFractionOfAdv record component.
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.
maxIterations() - Method in record class com.quantfinlib.alpha.TurnoverAwareOptimizer.Settings: Returns the value of the maxIterations record component.
maxLag() - Method in class com.quantfinlib.microstructure.LeadLagEstimator
maxLatencyPenaltyBps(double) - Method in class com.quantfinlib.execution.AdaptiveSor: Caps the latency term of the expected cost at bps of price (default: no cap).
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
maxOrderQuantity(long) - Method in class com.quantfinlib.risk.PreTradeLimitChecker
maxParticipation() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Config: Returns the value of the maxParticipation record component.
maxPositionQuantity(long) - Method in class com.quantfinlib.risk.PreTradeLimitChecker: Cap on |position| after the order would fully fill.
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.
maxWeight() - Method in record class com.quantfinlib.alpha.AlphaBacktester.RiskOptions: Returns the value of the maxWeight 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 record class com.quantfinlib.simulation.MonteCarloSimulator.Estimate: Returns the value of the mean record component.
mean(double[]) - Static method in class com.quantfinlib.stats.Stats: Arithmetic mean; NaN for an empty array.
mean(double[], int, int) - Static method in class com.quantfinlib.stats.Stats: Arithmetic mean of v[from, to); NaN for an empty range.
mean(int) - Method in class com.quantfinlib.optimization.BlackLitterman.Posterior: Element i of mean.
meanCopy() - Method in class com.quantfinlib.optimization.BlackLitterman.Posterior: A fresh copy of mean.
meanCovariance(int, int) - Method in class com.quantfinlib.optimization.BlackLitterman.Posterior: Element [i][j] of meanCovariance.
meanCovarianceCopy() - Method in class com.quantfinlib.optimization.BlackLitterman.Posterior: A deep copy of meanCovariance.
meanCovarianceRows() - Method in class com.quantfinlib.optimization.BlackLitterman.Posterior: Number of rows of meanCovariance.
meanExcess(double[], double[]) - Static method in class com.quantfinlib.risk.ExtremeValueTheory: Empirical mean-excess function e(u) = mean(L − u | L > u) at each threshold (NaN where no loss exceeds u).
meanIc() - Method in class com.quantfinlib.alpha.AlphaValidation.CrossValidationResult: meanIc.
meanIc() - Method in class com.quantfinlib.alpha.SignalEvaluator.Report: meanIc.
meanIcs(int) - Method in class com.quantfinlib.alpha.AlphaReport.Decay: Element i of meanIcs.
meanIcs(int) - Method in class com.quantfinlib.alpha.AlphaReport.LagDecay: Element i of meanIcs (mean IC of scores(t) vs return over (t+h−1, t+h]).
meanIcs(int) - Method in class com.quantfinlib.alpha.AlphaValidation.SensitivityResult: Element i of meanIcs.
meanIcsCopy() - Method in class com.quantfinlib.alpha.AlphaReport.Decay: A fresh copy of meanIcs.
meanIcsCopy() - Method in class com.quantfinlib.alpha.AlphaReport.LagDecay: A fresh copy of meanIcs.
meanIcsCopy() - Method in class com.quantfinlib.alpha.AlphaValidation.SensitivityResult: A fresh copy of meanIcs.
meanIcsLength() - Method in class com.quantfinlib.alpha.AlphaReport.Decay: Length of meanIcs.
meanIcsLength() - Method in class com.quantfinlib.alpha.AlphaReport.LagDecay: Length of meanIcs.
meanIcsLength() - Method in class com.quantfinlib.alpha.AlphaValidation.SensitivityResult: Length of meanIcs.
meanInSampleIc() - Method in class com.quantfinlib.alpha.AlphaValidation.WalkForwardResult: meanInSampleIc (observation-weighted mean training IC of the winners).
meanLength() - Method in class com.quantfinlib.optimization.BlackLitterman.Posterior: Length of mean.
meanOutOfSampleIc() - Method in class com.quantfinlib.alpha.AlphaValidation.WalkForwardResult: meanOutOfSampleIc.
meanRebalances() - Method in class com.quantfinlib.hedging.HedgingErrorDistribution
meanReturn(int) - Method in class com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile: Element i of meanReturn.
meanReturnCopy() - Method in class com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile: A fresh copy of meanReturn.
meanReturnLength() - Method in class com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile: Length of meanReturn.
meanReturns(int) - Method in class com.quantfinlib.alpha.SignalEvaluator.QuantileReport: Element i of meanReturns.
meanReturnsCopy() - Method in class com.quantfinlib.alpha.SignalEvaluator.QuantileReport: A fresh copy of meanReturns.
meanReturnsLength() - Method in class com.quantfinlib.alpha.SignalEvaluator.QuantileReport: Length of meanReturns.
meanReversion() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.BasisFactor: Returns the value of the meanReversion record component.
meanReversion() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Domestic: Returns the value of the meanReversion record component.
meanReversion() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Foreign: Returns the value of the meanReversion record component.
meanReversion() - Method in record class com.quantfinlib.rates.RateFuture: Returns the value of the meanReversion 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(int) - Method in class com.quantfinlib.ml.RegimeDetector.RegimeModel: Element i of means (per-state mean return).
meansCopy() - Method in class com.quantfinlib.ml.RegimeDetector.RegimeModel: A fresh copy of means.
meanSelectionBias() - Method in class com.quantfinlib.alpha.AlphaValidation.WalkForwardResult: meanSelectionBias (observation-weighted mean of the folds' selection bias).
meansLength() - Method in class com.quantfinlib.ml.RegimeDetector.RegimeModel: Length of means.
meanTrackingGap() - Method in class com.quantfinlib.alpha.AlphaBacktester.Result: meanTrackingGap.
meanTradingCosts() - Method in class com.quantfinlib.hedging.HedgingErrorDistribution
meanTurnover() - Method in class com.quantfinlib.alpha.AlphaBacktester.Result: meanTurnover (mean one-way turnover per rebalance decision).
meanTurnover() - Method in class com.quantfinlib.alpha.SignalEvaluator.Report: meanTurnover.
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).
median(double[]) - Static method in class com.quantfinlib.stats.Stats: Median (type 7 quantile at 0.5); copies the input; NaN when empty.
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
MEDIUM - Enum constant in enum class com.quantfinlib.risk.FrtbSa.Scenario
membersAsOf(long) - Method in class com.quantfinlib.data.PointInTimeUniverse: All members as of a timestamp, sorted for determinism.
membersAsOf(List, 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(CorporateEventPositions.Holding, CorporateEvents.CashStockMerger, double, double) - Static method in class com.quantfinlib.data.CorporateEventPositions: Applies a cash-and-stock merger with election and proration.
MERGER - Enum constant in enum class com.quantfinlib.data.PointInTimeUniverse.EventType
METALS - Enum constant in enum class com.quantfinlib.risk.SaCcr.CommoditySet: Metals.
metrics() - Method in class com.quantfinlib.backtest.BacktestResult
metrics() - Method in class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Result: metrics.
metrics() - Method in class com.quantfinlib.backtest.validation.GridSearchOptimizer.Candidate: metrics.
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.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.
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 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(int) - Method in class com.quantfinlib.indicators.Indicators.Bollinger: Element i of middle.
middle(int) - Method in class com.quantfinlib.indicators.Indicators.Donchian: Element i of middle.
middle(int) - Method in class com.quantfinlib.indicators.Indicators.Keltner: Element i of middle.
middleCopy() - Method in class com.quantfinlib.indicators.Indicators.Bollinger: A fresh copy of middle.
middleCopy() - Method in class com.quantfinlib.indicators.Indicators.Donchian: A fresh copy of middle.
middleCopy() - Method in class com.quantfinlib.indicators.Indicators.Keltner: A fresh copy of middle.
middleLength() - Method in class com.quantfinlib.indicators.Indicators.Bollinger: Length of middle.
middleLength() - Method in class com.quantfinlib.indicators.Indicators.Donchian: Length of middle.
middleLength() - Method in class com.quantfinlib.indicators.Indicators.Keltner: Length of middle.
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
MIN_REDUCED_SET_COVERAGE - Static variable in class com.quantfinlib.risk.FrtbEs: Minimum share of full-set current ES the reduced set must explain (BCBS MAR33.5(2)).
MIN_TIME - Static variable in class com.quantfinlib.pricing.DupireLocalVol: Floor on t (years) when evaluating the surface derivatives.
minDensityFactor(double, double, double, int) - Method in interface com.quantfinlib.pricing.TotalVarianceSurface: Minimum Gatheral-Jacquier density factor g(k) at expiry t over nk points of [kMin, kMax], with w', w'' by central differences.
minDensityFactor(double, double, int) - Method in record class com.quantfinlib.pricing.SviSlice: Minimum of g over n equally spaced points of [kMin, kMax].
minFillRate() - Method in record class com.quantfinlib.execution.AdaptiveSor.Config: Returns the value of the minFillRate record component.
minimize(ToDoubleFunction, double[], double, double, int) - Static method in class com.quantfinlib.optimization.NelderMead: Minimises f from start.
minimumDensity(double, double, double, double, double, double, double, double, int) - Static method in class com.quantfinlib.pricing.SabrModel: Smallest risk-neutral density ∂²C/∂K² (undiscounted Black call on the SABR vol, central second difference) over n strikes evenly spaced on [kMin, kMax].
minimumDensity(double, double, int) - Method in class com.quantfinlib.pricing.VolSurface: Smallest butterfly density ∂²C/∂K² (undiscounted Black call on the interpolated smile, central second difference) over n strikes across the quoted range of pillar expiry expiryYears.
minimumTransfer() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Csa: Returns the value of the minimumTransfer record component.
minimumTransfer() - Method in record class com.quantfinlib.risk.SaCcr.Margin: Returns the value of the minimumTransfer 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.
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(int) - Method in class com.quantfinlib.indicators.Indicators.Adx: Element i of minusDi.
minusDiCopy() - Method in class com.quantfinlib.indicators.Indicators.Adx: A fresh copy of minusDi.
minusDiLength() - Method in class com.quantfinlib.indicators.Indicators.Adx: Length of minusDi.
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 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.
model() - Method in record class com.quantfinlib.alpha.AlphaRiskModels.Spec: Returns the value of the model record component.
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.
modifiedDurationExact(double, double, int, double, double) - Static method in class com.quantfinlib.rates.BondPricer: Modified duration on the exact grid: Macaulay / (1 + y/f).
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.
momentumLookback() - Method in record class com.quantfinlib.alpha.AlphaRiskModels.Spec: Returns the value of the momentumLookback record component.
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].
MONOTONE_CONVEX - Enum constant in enum class com.quantfinlib.rates.CurveInterpolation: Monotone-convex (Hagan and West 2006, "Interpolation Methods for Curve Construction", Applied Mathematical Finance 13(2), sections 4-5): a continuous instantaneous forward curve built from the discrete pillar-interval forwards, keeping each interval's average forward and preserving monotonicity of the discrete forwards.
monteCarloRobustness(AlphaContext, AlphaFactor, int, int, int, long) - Static method in class com.quantfinlib.alpha.AlphaValidation: AlphaValidation.monteCarloRobustness(AlphaContext, AlphaFactor, int, int, int, long, NullModel) with the cross-sectional null.
monteCarloRobustness(AlphaContext, AlphaFactor, int, int, int, long, AlphaValidation.NullModel) - Static method in class com.quantfinlib.alpha.AlphaValidation: Permutation test of the mean rank IC on the non-overlapping grid (startIndex, stepping by horizon).
MonteCarloSimulator - Class in com.quantfinlib.simulation: Monte Carlo simulation of geometric Brownian motion, single- and multi-asset, in parallel; results are deterministic for a given seed regardless of thread scheduling (each scenario has its own SplittableRandom stream derived from the seed).
MonteCarloSimulator() - Constructor for class com.quantfinlib.simulation.MonteCarloSimulator
MonteCarloSimulator(long) - Constructor for class com.quantfinlib.simulation.MonteCarloSimulator
MonteCarloSimulator.Estimate - Record Class in com.quantfinlib.simulation: Monte Carlo estimate: mean, its standard error, and the number of independent samples.
MonteCarloSimulator.PathPayoff - Interface in com.quantfinlib.simulation: Payoff of one simulated path.
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: Drawdown distribution across trade-order shuffles.
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.
mporBusinessDays() - Method in record class com.quantfinlib.risk.SaCcr.Margin: Returns the value of the mporBusinessDays record component.
MultiCurrencyExposureSimulator - Class in com.quantfinlib.credit: Monte Carlo exposure generator for a netting set of multi-curve swaps and FX forwards on several currency pairs, each foreign currency with its own stochastic short rate.
MultiCurrencyExposureSimulator.BasisFactor - Record Class in com.quantfinlib.credit: Stochastic projection-discount basis for domestic swaps that carry a projection curve (added in 2.3).
MultiCurrencyExposureSimulator.Csa - Record Class in com.quantfinlib.credit: Collateral agreement terms (two-way, symmetric).
MultiCurrencyExposureSimulator.Curve - Interface in com.quantfinlib.credit: A discount function t -> P(0,t), t in years, P(0,0) = 1.
MultiCurrencyExposureSimulator.Domestic - Record Class in com.quantfinlib.credit: Domestic Hull-White short rate.
MultiCurrencyExposureSimulator.Foreign - Record Class in com.quantfinlib.credit: One foreign currency: its Hull-White short rate and the spot against the domestic currency (domestic per foreign).
MultiCurrencyExposureSimulator.ForeignSwap - Record Class in com.quantfinlib.credit: A swap in a foreign currency (added in 2.3).
MultiCurrencyExposureSimulator.FxForward - Record Class in com.quantfinlib.credit: An FX forward on one pair.
MultiCurrencyExposureSimulator.FxForwardTerms - Record Class in com.quantfinlib.credit: FX forward: buy foreignNotional units of foreign currency at strike domestic per foreign at maturityYears; a negative notional sells.
MultiCurrencyExposureSimulator.Market - Record Class in com.quantfinlib.credit: The market: domestic rate, foreign currencies, and the correlation of the factors [W_d, W_1, W_S1, W_2, W_S2, ...].
MultiCurrencyExposureSimulator.Swap - Record Class in com.quantfinlib.credit: A domestic swap with an optional projection curve for its floating leg.
MultiCurrencyExposureSimulator.SwapTerms - Record Class in com.quantfinlib.credit: Vanilla fixed-for-floating swap.
MultiCurveBootstrap - Class in com.quantfinlib.rates: Multi-curve bootstrap: an OIS discount curve fitted to its own instruments, then projection curves (3M, 6M, ...) fitted with the OIS curve held fixed for discounting (Ametrano and Bianchetti 2013, SSRN 2219548, sections 3-4).
MultiCurveRisk - Class in com.quantfinlib.rates: Curve risk on a bootstrapped OIS + projection curve pair by bumping the market quotes and rebuilding: the sensitivities a desk hedges with, because they are expressed in the instruments it can trade.
multiplier() - Method in record class com.quantfinlib.risk.SaCcr.Result: Returns the value of the multiplier record component.
multiplier() - Method in record class com.quantfinlib.risk.VarBacktest.TrafficLight: Returns the value of the multiplier record component.
multiplier(double, double) - Static method in class com.quantfinlib.risk.SaCcr: The PFE multiplier of para 149.
MULTIPLIER_FLOOR - Static variable in class com.quantfinlib.risk.SaCcr: Multiplier floor, para 149.
MULTIPLY - Enum constant in enum class com.quantfinlib.fx.CrossOp: A/B × B/C = A/C (shared middle currency).

N

naiveTStat() - Method in class com.quantfinlib.alpha.SignalEvaluator.Report: naiveTStat.
naiveTStat(int) - Method in class com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile: Element i of naiveTStat (iid t-stat (mean over sample-sd/√n)).
naiveTStatCopy() - Method in class com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile: A fresh copy of naiveTStat.
naiveTStatLength() - Method in class com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile: Length of naiveTStat.
naiveTStats(int) - Method in class com.quantfinlib.alpha.FamaMacBeth.Result: Element i of naiveTStats (iid t-stats per factor, for comparison).
naiveTStatsCopy() - Method in class com.quantfinlib.alpha.FamaMacBeth.Result: A fresh copy of naiveTStats.
naiveTStatsLength() - Method in class com.quantfinlib.alpha.FamaMacBeth.Result: Length of naiveTStats.
name() - Method in class com.quantfinlib.alpha.AlphaCombiner.Combination
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 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 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
nameCount() - Method in class com.quantfinlib.risk.FactorRiskModel
namePnl(int, int) - Method in class com.quantfinlib.alpha.AlphaBacktester.Traced: P&L of name i over step s, fraction of equity at the step start.
namePnlCopy(int) - Method in class com.quantfinlib.alpha.AlphaBacktester.Traced
names() - Method in class com.quantfinlib.persist.Checkpoint.Reader: The section names present, in file order.
names(int) - Method in class com.quantfinlib.alpha.AlphaValidation.SensitivityResult: Element i of names.
namesCopy() - Method in class com.quantfinlib.alpha.AlphaValidation.SensitivityResult: A fresh copy of names.
namesLength() - Method in class com.quantfinlib.alpha.AlphaValidation.SensitivityResult: Length of names.
nanArray(int) - Static method in class com.quantfinlib.stats.Numerics: A new array of length n filled with NaN.
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
nearestCorrelation(double[][]) - Static method in class com.quantfinlib.risk.PsdMatrices: Nearest correlation matrix with tolerance 1e-12 and at most 10 000 iterations.
nearestCorrelation(double[][], double, int) - Static method in class com.quantfinlib.risk.PsdMatrices: Higham (2002) alternating projections with Dykstra's correction: R = Y − ΔS; X = P_S(R); ΔS = X − R; Y = P_U(X), where P_S clips eigenvalues at zero and P_U sets the diagonal to one.
nearestPsd(double[][]) - Static method in class com.quantfinlib.risk.PsdMatrices: Frobenius-nearest PSD matrix: eigenvalues below zero set to zero.
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(BlackScholes.OptionType, double, double, double, double, double, double).
negate() - Method in interface com.quantfinlib.screener.ScreenFilter
NelderMead - Class in com.quantfinlib.optimization: Derivative-free minimisation by the Nelder-Mead simplex method with the standard coefficients (reflection 1, expansion 2, contraction 1/2, shrink 1/2), following Lagarias, Reeds, Wright and Wright, "Convergence properties of the Nelder-Mead simplex method in low dimensions", SIAM J.
NelderMead.Result - Class in com.quantfinlib.optimization: Result: argmin, minimum, objective evaluations used.
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.
net() - Method in class com.quantfinlib.alpha.PortfolioConstruction.Book: net.
net(int) - Method in class com.quantfinlib.alpha.BacktestAttribution: Net return of step s.
netEconomics() - Method in class com.quantfinlib.crb.CrbPnlLedger: The desk's realized economics: captured spread minus hedging and routing costs.
netEquity(int) - Method in class com.quantfinlib.alpha.AlphaBacktester.Result: Element i of netEquity.
netEquityCopy() - Method in class com.quantfinlib.alpha.AlphaBacktester.Result: A fresh copy of netEquity.
netEquityLength() - Method in class com.quantfinlib.alpha.AlphaBacktester.Result: Length of netEquity.
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) - 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.
netJtd() - Method in record class com.quantfinlib.risk.FrtbDrcSecuritisation.Position: Returns the value of the netJtd record component.
NetJtd(double, double) - Constructor for record class com.quantfinlib.risk.FrtbDrc.NetJtd: Creates an instance of a NetJtd record class.
NetJtd(double, double) - Constructor for record class com.quantfinlib.risk.FrtbDrcSecuritisation.NetJtd: Creates an instance of a NetJtd record class.
netMetrics() - Method in class com.quantfinlib.alpha.AlphaBacktester.Result: netMetrics.
netNotional() - Method in class com.quantfinlib.execution.PortfolioExecutor: Signed net filled notional: buys − sells.
netObligor(double[], double[]) - Static method in class com.quantfinlib.risk.FrtbDrc: Net JTD of one obligor from its gross JTDs (signed) and maturities in years: Σ JTD_i·min(max(M_i, 0.25), 1) (MAR22.15, MAR22.19(3)).
netReturn(int) - Method in class com.quantfinlib.alpha.AlphaBacktester.Traced: Net return of step s from the equity curve.
netSharpe(int) - Method in class com.quantfinlib.alpha.CapacityCurve
netSharpeCopy() - Method in class com.quantfinlib.alpha.CapacityCurve
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.
netTranche(double[], double[]) - Static method in class com.quantfinlib.risk.FrtbDrcSecuritisation: Net JTD of one specific tranche (same pool or index series and the same attachment and detachment points) across maturities, with the one-year scaling and three-month floor of MAR22.15 to MAR22.18 (MAR22.30, MAR22.39).
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[], double[][]) - Static method in class com.quantfinlib.alpha.PortfolioConstruction: Joint neutralisation: projects w onto the null space of all constraint rows at once, so that Σ_i a_ki w_i = 0 for every row k simultaneously.
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_YORK_FED - Enum constant in enum class com.quantfinlib.rates.HolidayCalendars.Market: US federal holidays as observed by the Federal Reserve (USD, SOFR).
NeweyWest - Class in com.quantfinlib.alpha: Heteroskedasticity and autocorrelation consistent (HAC) standard errors with Bartlett weights (Newey and West 1987, Econometrica 55(3), eq. 2).
neweyWestLags() - Method in record class com.quantfinlib.risk.FactorRiskModel.Settings: Returns the value of the neweyWestLags record component.
newIsin() - Method in record class com.quantfinlib.data.CorporateEvents.SymbolChange: Returns the value of the newIsin record component.
newSymbol() - Method in record class com.quantfinlib.data.CorporateEvents.SymbolChange: Returns the value of the newSymbol record component.
NEXT_CLOSE - Enum constant in enum class com.quantfinlib.backtest.FillPolicy: Fill at close(t + 1): a market-on-close order submitted one bar after the decision, the usual convention in daily cross-sectional research.
NEXT_OPEN - Enum constant in enum class com.quantfinlib.backtest.FillPolicy: Fill at open(t + 1).
nextImmDate(LocalDate) - Static method in class com.quantfinlib.credit.IsdaCdsModel: The first IMM date (20 Mar/Jun/Sep/Dec) strictly after date.
nextVariance(double[], Egarch11.Params) - Static method in class com.quantfinlib.volatility.Egarch11: One-step-ahead variance — exact (tomorrow's ln h is deterministic today).
nica() - Method in record class com.quantfinlib.risk.SaCcr.Margin: Returns the value of the nica record component.
NonCtpBucket(FrtbDrcSecuritisation.AssetClass, FrtbDrcSecuritisation.Region) - Constructor for record class com.quantfinlib.risk.FrtbDrcSecuritisation.NonCtpBucket: Creates an instance of a NonCtpBucket record class.
nonCtpBucketCharge(List) - Static method in class com.quantfinlib.risk.FrtbDrcSecuritisation: Non-CTP bucket charge, max(Σ RW·long − HBR_b·Σ RW·|short|, 0) (MAR22.33).
nonCtpTotal(List) - Static method in class com.quantfinlib.risk.FrtbDrcSecuritisation: Non-CTP total: simple sum of bucket charges (MAR22.35).
none() - Static method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Financing: No financing: cash, leverage and shorts are free.
NONE - Enum constant in enum class com.quantfinlib.data.CorporateEvents.DividendPolicy: No dividend adjusts (price-return series).
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() - Static method in record class com.quantfinlib.rates.RatesOptions.VolModel
NORMAL - Enum constant in enum class com.quantfinlib.microstructure.CircuitBreakers.LuldState: Trading normally inside the bands.
NORMAL - Enum constant in enum class com.quantfinlib.rates.RatesOptions.VolType
normalisedBlack(double, double, int) - Static method in class com.quantfinlib.pricing.ImpliedVolatility: Normalised Black price b(x, s, θ) as defined in the class comment.
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.stats.SpecialFunctions: Standard normal CDF to full double precision.
normInv(double) - Static method in class com.quantfinlib.stats.SpecialFunctions: Inverse standard normal CDF: Acklam's rational seed (|error| < 1.15e-9) refined by one Halley step on SpecialFunctions.normCdf(double), which brings it to double precision apart from the last few bits.
normPdf(double) - Static method in class com.quantfinlib.stats.SpecialFunctions: Standard normal density.
NORTH_AMERICA - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.Region
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.credit.MultiCurrencyExposureSimulator.SwapTerms: 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.
notional() - Method in record class com.quantfinlib.risk.SaCcrTrade: 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.
nthToDefaultAttachment(int, int) - Static method in class com.quantfinlib.risk.FrtbDrcSecuritisation: Attachment point (N − 1) / names of an nth-to-default product (MAR22.38(1)).
nthToDefaultDetachment(int, int) - Static method in class com.quantfinlib.risk.FrtbDrcSecuritisation: Detachment point N / names of an nth-to-default product (MAR22.38(2)).
nu() - Method in record class com.quantfinlib.pricing.SabrModel.Params: Returns the value of the nu record component.
nu() - Method in class com.quantfinlib.volatility.Egarch11.Fit: nu (Student-t degrees of freedom, NaN for Gaussian).
nu() - Method in class com.quantfinlib.volatility.Garch11.Fit: nu (Student-t degrees of freedom, NaN for Gaussian).
nu() - Method in class com.quantfinlib.volatility.GjrGarch11.Fit: nu (Student-t degrees of freedom, NaN for Gaussian).
nullMean() - Method in record class com.quantfinlib.alpha.AlphaValidation.RobustnessResult: Returns the value of the nullMean record component.
nullModel() - Method in record class com.quantfinlib.alpha.AlphaValidation.RobustnessResult: Returns the value of the nullModel record component.
nullStd() - Method in record class com.quantfinlib.alpha.AlphaValidation.RobustnessResult: Returns the value of the nullStd record component.
Numerics - Class in com.quantfinlib.stats: Small array and scalar helpers: clamping, NaN-filled arrays, the half-life decay factor and an allocation-free paired sort.

O

objective() - Method in class com.quantfinlib.alpha.TurnoverAwareOptimizer.Result: objective.
objective() - Method in class com.quantfinlib.backtest.validation.GridSearchOptimizer.Candidate: objective.
objective() - Method in class com.quantfinlib.optimization.QuadraticProgram.Solution: objective.
observations() - Method in class com.quantfinlib.alpha.SignalEvaluator.Report: observations.
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.TrafficLight: Returns the value of the observations record component.
observations() - Method in record class com.quantfinlib.risk.VarBacktest.VarBacktestResult: Returns the value of the observations record component.
observations() - Method in class com.quantfinlib.volatility.HarRv.Fit: observations.
observationShift() - Method in record class com.quantfinlib.rates.OvernightConvention: Returns the value of the observationShift 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.risk.TailRisk: VaR and ES of an unsorted loss sample.
of(double[], double[]) - Static method in class com.quantfinlib.pricing.DividendSchedule: Builds a schedule of discrete cash dividends.
of(double[], double[], double[][]) - Static method in record class com.quantfinlib.risk.FrtbSa.Bucket: Bucket with risk weights applied: WS_k = rw[k]·s[k].
of(double, double) - Static method in record class com.quantfinlib.alpha.TurnoverAwareOptimizer.Settings
of(double, double[], double[]) - Static method in class com.quantfinlib.commodities.CommodityCurve: Builds a curve from the spot and futures prices.
of(int) - Static method in record class com.quantfinlib.alpha.AlphaCombiner.Settings: Orthogonalised, no shrinkage, flat date weights, one IC date per bar.
of(int) - Static method in enum class com.quantfinlib.risk.FrtbEs.TrafficLight
of(int, DayCount, BusinessCalendar, BusinessCalendar.Roll) - Static method in record class com.quantfinlib.rates.LegConvention: A convention with a short front stub, no end-of-month rule and no payment lag.
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, smoothly and never rail-pinned), child capped at 25% of displayed depth.
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(CurrencyPair, LocalDate, String, double, double, int) - Static method in class com.quantfinlib.fx.Ndf: As Ndf.of(CurrencyPair, LocalDate, String, double, double) with an explicit fixing lag.
of(BusinessCalendar) - Static method in record class com.quantfinlib.credit.IsdaCdsModel.Conventions: Conventions with a holiday calendar and no half-day adjustment.
of(DiscountCurve) - Static method in interface com.quantfinlib.credit.MultiCurrencyExposureSimulator.Curve: Adapter for a 2.1 multi-curve DiscountCurve (time in ACT/365F years).
of(YieldCurve) - Static method in interface com.quantfinlib.credit.MultiCurrencyExposureSimulator.Curve: Adapter for a YieldCurve.
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(LocalDate, double[], double[], CurveInterpolation) - Static method in class com.quantfinlib.rates.DiscountCurve: A curve from pillar times (ACT/365F years after valuationDate, strictly increasing, positive) and their discount factors (positive).
of(Map) - Static method in class com.quantfinlib.alpha.AlphaContext: Panel without fundamentals (technical factors only).
of(Map, Map) - Static method in class com.quantfinlib.alpha.AlphaContext: Panel with a static fundamentals snapshot.
of(Map) - Static method in class com.quantfinlib.rates.FixingHistory: A history from a date-to-rate map (decimal rates, finite).
offsetByReplication(double, double, double, double[], double[], double[]) - Static method in class com.quantfinlib.risk.FrtbDrcSecuritisation: Offset by replication within one index series or pool (MAR22.30(1), MAR22.39(3)).
offsetMillis() - Method in record class com.quantfinlib.execution.Slice: Returns the value of the offsetMillis record component.
ofHazardRates(double[], double[]) - Static method in class com.quantfinlib.credit.IsdaCurve: Survival curve from piecewise-constant hazards: hazards[i] applies on (t_{i-1}, t_i] with t_{-1} = 0, and the last hazard continues beyond the last node.
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).
ofPrice(LocalDate, LocalDate, double, DayCount, double, double) - Static method in record class com.quantfinlib.rates.RateFuture: From an exchange price, rate = (100 - price)/100.
ofSorted(double[], double) - Static method in class com.quantfinlib.risk.TailRisk: VaR and ES of a loss sample already sorted ascending.
ofZeroRates(double[], double[]) - Static method in class com.quantfinlib.credit.IsdaCurve: Curve from zero rates.
ofZeroRates(double[], double[]) - Static method in class com.quantfinlib.rates.YieldCurve: Curve from parallel arrays of tenors (years) and continuous zero rates.
OisSwap - Record Class in com.quantfinlib.rates: An overnight indexed swap: fixed rate against the daily-compounded overnight rate (SOFR, ESTR, SONIA), same schedule on both legs, payment on the accrual end date (no payment lag).
OisSwap(LocalDate, LocalDate, double, int, DayCount, BusinessCalendar, BusinessCalendar.Roll) - Constructor for record class com.quantfinlib.rates.OisSwap: Creates an instance of a OisSwap record class.
oldPerNew() - Method in record class com.quantfinlib.data.CorporateEvents.ReverseSplit: Returns the value of the oldPerNew record component.
Ols - Class in com.quantfinlib.alpha: Ordinary least squares by Householder QR, with classical and Newey-West HAC standard errors.
Ols.Fit - Class in com.quantfinlib.alpha
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.
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 interface com.quantfinlib.backtest.TradingStrategy
onBar(int, double) - Method in interface com.quantfinlib.backtest.TradingStrategy: Position-aware variant, called by Backtester with the quantity currently held (0 when flat, positive when long).
onChildDone(long) - Method in class com.quantfinlib.execution.BenchmarkExecutor: A child finished (cancelled, expired or IOC remainder) with unfilledQty never executed; that quantity stops counting as open.
onChildDone(long) - Method in class com.quantfinlib.execution.LiquiditySeekingAlgo: A child ended with unfilledQty never executed.
onChildDone(long) - Method in class com.quantfinlib.execution.PovTracker: A child ended with unfilledQty never executed.
onChildSent(long) - Method in class com.quantfinlib.execution.BenchmarkExecutor: A child order of qty was sent and is now working.
onChildSent(long) - Method in class com.quantfinlib.execution.LiquiditySeekingAlgo: A child of qty was sent and is working.
onChildSent(long) - Method in class com.quantfinlib.execution.PovTracker: A child of qty was sent and is working.
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: The market-wide halt an index decline triggers, if any.
onDisplayed(int, long) - Method in class com.quantfinlib.microstructure.HiddenLiquidityDetector: The displayed size now standing at level.
oneMarginAgreementManyNettingSets(List, double) - Static method in class com.quantfinlib.risk.SaCcr: One margin agreement covering several netting sets (RC from BCBS 279 para 186, PFE from para 187, both checked against the March 2014 text).
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.
oneTouch(VannaVolga, double, double, double) - Static method in class com.quantfinlib.fx.VannaVolgaTouch: Vanna-volga one-touch price with survival-probability weighting.
oneTouchPayAtHit(double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.TouchOption: One-touch paying payout at the moment the barrier is first touched (American digital, "rebate at hit").
onEvent(long) - Method in class com.quantfinlib.microstructure.HawkesIntensity: One event arrival.
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.
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(long) - Method in class com.quantfinlib.execution.BenchmarkExecutor: Our own child fill; reduces the open quantity by the same amount.
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; reduces the open quantity by the same amount.
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
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.
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.
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.
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, 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).
onReject(int, boolean, double, long, long) - Method in class com.quantfinlib.fx.LpScorecard: A last-look reject.
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.
onSpread(int, double, long) - Method in class com.quantfinlib.microstructure.SpreadForecaster: Observed spread at bucket.
onTick(double) - Method in class com.quantfinlib.pricing.IncrementalGreeks: The hot path with no time elapsed since the anchor: delta-gamma update only.
onTick(double, double) - Method in class com.quantfinlib.pricing.IncrementalGreeks: The hot path: delta-gamma-theta update from the anchor,
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, 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.
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() - Method in class com.quantfinlib.execution.BenchmarkExecutor: Sent child quantity not yet filled or reported done.
openQuantity() - Method in class com.quantfinlib.execution.LiquiditySeekingAlgo: Sent child quantity not yet filled or reported done.
openQuantity() - Method in class com.quantfinlib.execution.PovTracker: Sent child quantity not yet filled or reported done.
opensCopy() - Method in class com.quantfinlib.core.BarSeries: A fresh copy of the open column.
opportunityCost() - Method in record class com.quantfinlib.regulatory.BestExecutionAnalyzer.ShortfallDecomposition: Returns the value of the opportunityCost record component.
opposite() - Method in enum class com.quantfinlib.core.Side: The other side: SELL for BUY, BUY for SELL.
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
optimize(double[], double[][], double[], double[][], double[], double[], TurnoverAwareOptimizer.Settings) - Static method in class com.quantfinlib.alpha.TurnoverAwareOptimizer: Solves the turnover-penalised mean-variance problem.
OPTION_VOL_COMMODITY_OTHER - Static variable in class com.quantfinlib.risk.SaCcr: Supervisory option volatility, other commodities (Table 2).
OPTION_VOL_CREDIT_INDEX - Static variable in class com.quantfinlib.risk.SaCcr: Supervisory option volatility, credit index (Table 2).
OPTION_VOL_CREDIT_SINGLE - Static variable in class com.quantfinlib.risk.SaCcr: Supervisory option volatility, single-name credit (Table 2).
OPTION_VOL_ELECTRICITY - Static variable in class com.quantfinlib.risk.SaCcr: Supervisory option volatility, electricity (Table 2).
OPTION_VOL_EQUITY_INDEX - Static variable in class com.quantfinlib.risk.SaCcr: Supervisory option volatility, equity index (Table 2).
OPTION_VOL_EQUITY_SINGLE - Static variable in class com.quantfinlib.risk.SaCcr: Supervisory option volatility, single-name equity (Table 2).
OPTION_VOL_FX - Static variable in class com.quantfinlib.risk.SaCcr: Supervisory option volatility, FX (Table 2).
OPTION_VOL_INTEREST_RATE - Static variable in class com.quantfinlib.risk.SaCcr: Supervisory option volatility, interest rates (Table 2).
optionDelta(boolean, boolean, double, double, double, double) - Static method in class com.quantfinlib.risk.SaCcr: Supervisory option delta of para 159 (Black-Scholes delta with the supervisory volatility, zero rates).
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 P&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: Taylor attribution of a P&L move: delta, gamma, vega, vanna (∂²V/∂S∂σ · dS·dσ), volga (½·∂²V/∂σ² · dσ²) and theta, with the remainder in unexplained.
or(ScreenFilter) - Method in interface com.quantfinlib.screener.ScreenFilter
orderId() - Method in record class com.quantfinlib.regulatory.BestExecutionAnalyzer.OrderOutcome: Returns the value of the orderId record component.
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.
OrderRequest(String, Side, long, double, String) - Constructor for record class com.quantfinlib.risk.PreTradeLimitChecker.OrderRequest: Creates an instance of a OrderRequest record class.
orderToTradeRatio(long, long) - Static method in class com.quantfinlib.regulatory.MarketQualityMetrics: Messages (orders + cancels + replaces) per executed trade.
ORDINARY - Enum constant in enum class com.quantfinlib.risk.SaCcr.HedgingSetType: Ordinary hedging set, factor 1.
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: Fitted process parameters.
orthogonalize() - Method in record class com.quantfinlib.alpha.AlphaCombiner.Settings: Returns the value of the orthogonalize record component.
other() - Static method in record class com.quantfinlib.risk.FrtbDrcSecuritisation.NonCtpBucket: The other bucket for unassignable exposures (MAR22.32(2)).
OTHER - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.ErbaShortTermRating
OTHER - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.Region
OTHER - Enum constant in enum class com.quantfinlib.risk.SaCcr.CommoditySet: Everything else.
OTHER_DEBT - Enum constant in enum class com.quantfinlib.risk.SaCcrHaircuts.CollateralKind: Debt of other issuers (banks, corporates).
OTHER_EXPOSURE - Enum constant in enum class com.quantfinlib.risk.SaCcrHaircuts.CollateralKind: Other exposure types, 30% (CRE22.50 only).
OTHER_INVESTMENT_GRADE - Enum constant in enum class com.quantfinlib.risk.SaCcrHaircuts.NoRatingsDebtClass: Other investment-grade securities (CRE22.34(4)(c)), non-securitisation.
OTHER_LISTED_EQUITY - Enum constant in enum class com.quantfinlib.risk.SaCcrHaircuts.CollateralKind: Other equities listed on a recognised exchange (25%).
OTHER_RETAIL - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.AssetClass
OTHER_RW - Static variable in class com.quantfinlib.risk.FrtbRrao
OTHER_RW - Static variable in class com.quantfinlib.risk.FrtbSa.SecNonCtp: Bucket 25 risk weight (MAR21.67).
OTHER_WHOLESALE - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.AssetClass
otherSectorCurvatureK(double[], double[]) - Static method in class com.quantfinlib.risk.FrtbSa: Other-sector bucket curvature K_b = max(Σ max(CVR⁺, 0), Σ max(CVR⁻, 0)) (MAR21.56(2), MAR21.79(2)).
otherSectorK(double[]) - Static method in class com.quantfinlib.risk.FrtbSa: Other-sector bucket delta or vega K_b = Σ|WS_k| (MAR21.56(1), MAR21.79(1)).
OUT - Enum constant in enum class com.quantfinlib.pricing.BarrierOption.Knock
Outcome(List, double) - Constructor for record class com.quantfinlib.data.CorporateEventPositions.Outcome: Creates an instance of a Outcome record class.
outOfSampleEquity(int) - Method in class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.WalkForwardResult: Element i of outOfSampleEquity.
outOfSampleEquityCopy() - Method in class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.WalkForwardResult: A fresh copy of outOfSampleEquity.
outOfSampleEquityLength() - Method in class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.WalkForwardResult: Length of outOfSampleEquity.
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.
outOfSampleIcSeries(int) - Method in class com.quantfinlib.alpha.AlphaValidation.WalkForwardResult: Element i of outOfSampleIcSeries (every test-window IC of the chosen candidates, in order).
outOfSampleIcSeriesCopy() - Method in class com.quantfinlib.alpha.AlphaValidation.WalkForwardResult: A fresh copy of outOfSampleIcSeries.
outOfSampleIcSeriesLength() - Method in class com.quantfinlib.alpha.AlphaValidation.WalkForwardResult: Length of outOfSampleIcSeries.
outOfSampleMetrics() - Method in class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.WalkForwardResult: outOfSampleMetrics.
outOfSampleObjective() - Method in record class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.Fold: Returns the value of the outOfSampleObjective record component.
outOfSampleObservations() - Method in record class com.quantfinlib.alpha.AlphaValidation.Fold: Returns the value of the outOfSampleObservations record component.
outOfSampleTrades() - Method in class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.WalkForwardResult: outOfSampleTrades.
outOfSampleTStat() - Method in class com.quantfinlib.alpha.AlphaValidation.WalkForwardResult: outOfSampleTStat (Newey-West t-stat of that series (automatic lag)).
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 - Class in com.quantfinlib.backtest.validation
overnight() - Method in record class com.quantfinlib.rates.OvernightLeg: Returns the value of the overnight record component.
OvernightConvention - Record Class in com.quantfinlib.rates: How a compounded-in-arrears overnight coupon (SOFR, ESTR, SONIA) reads its daily fixings: lookback, observation shift and lockout, as described in the ISDA 2021 Interest Rate Derivatives Definitions (section 6.9, overnight rate compounding) and the ARRC SOFR conventions.
OvernightConvention(int, boolean, int) - Constructor for record class com.quantfinlib.rates.OvernightConvention: Validates the fields.
OvernightLeg - Record Class in com.quantfinlib.rates: A compounded-in-arrears overnight floating leg (SOFR, ESTR, SONIA) with payment lag, lookback, observation shift, lockout, stubs and realised fixings for seasoned trades.
OvernightLeg(LocalDate, LocalDate, double, LegConvention, OvernightConvention, FixingHistory) - Constructor for record class com.quantfinlib.rates.OvernightLeg: Validates the fields.
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.
pair() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.ForeignSwap: Returns the value of the pair record component.
pair() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.FxForward: Returns the value of the pair record component.
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 class com.quantfinlib.hedging.PairsHedger.PairsAnalysis: Creates the value; array and collection arguments are copied.
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 - Class in com.quantfinlib.hedging
pairSort(double[], int[]) - Static method in class com.quantfinlib.stats.Numerics: 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).
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.
parallelDv01(LocalDate, List, List, CurveInterpolation, ToDoubleBiFunction) - Static method in class com.quantfinlib.rates.MultiCurveRisk: DV01 for a +1bp move in every quote.
parallelShift(double) - Method in class com.quantfinlib.rates.DiscountCurve: A copy with every pillar's continuously compounded zero rate shifted by shift (a parallel shift of the pillar zero curve).
parameterGradient(double, double, double, double, double, Heston.Params) - Static method in class com.quantfinlib.pricing.HestonCos: Gradient of the price with respect to (kappa, theta, sigmaV, rho, v0), identical for calls and puts since parity does not involve the model.
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: Creates an instance; the explicit form of the default constructor.
parameterSensitivity(AlphaContext, List, int, int) - Static method in class com.quantfinlib.alpha.AlphaValidation: Evaluates each candidate of an ordered sweep (neighbours in the list are neighbours in parameter space) and reports how far the IC falls when the chosen parameter moves one step.
parametricVar(double[], double) - Static method in class com.quantfinlib.risk.RiskMetrics: Parametric (Gaussian) VaR at the given confidence level.
parametricVaR() - Method in class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport: parametricVaR.
params() - Method in class com.quantfinlib.backtest.validation.GridSearchOptimizer.Candidate: params.
params() - Method in record class com.quantfinlib.pricing.HestonCalibrator.Result: Returns the value of the params record component.
params() - Method in class com.quantfinlib.volatility.Egarch11.Fit: params (ω, α, γ, β and the maximised log-likelihood).
params() - Method in class com.quantfinlib.volatility.Garch11.Fit: params (ω, α, β and the maximised log-likelihood).
params() - Method in class com.quantfinlib.volatility.GjrGarch11.Fit: params (ω, α, γ, β and the maximised log-likelihood).
params() - Method in class com.quantfinlib.volatility.HarRv.Fit: params.
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 - 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, int[]) - Constructor for class com.quantfinlib.backtest.ParentOrder: Creates the value; array and collection arguments are copied.
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(DiscountCurve) - Method in record class com.quantfinlib.rates.OisSwap: The par fixed rate on discount.
parRate(DiscountCurve, DiscountCurve) - Method in record class com.quantfinlib.rates.InterestRateSwap: Par fixed rate.
parRate(DiscountCurve, DiscountCurve) - Method in record class com.quantfinlib.rates.VanillaSwap: Par fixed rate.
parSpread(CreditCurve, YieldCurve, double) - Static method in class com.quantfinlib.credit.CdsPricer: The zero-upfront (par) spread for this maturity.
parSpread(IsdaCdsModel.Contract, IsdaCurve, IsdaCurve) - Static method in class com.quantfinlib.credit.IsdaCdsModel: Par spread: protection over clean risky annuity.
parSpread(IsdaCdsModel.Contract, IsdaCurve, IsdaCurve, IsdaCdsModel.Conventions) - Static method in class com.quantfinlib.credit.IsdaCdsModel: Par spread under explicit conventions.
parSwapValue(IsdaCurve, LocalDate, IsdaRateCurve.Swap, BusinessCalendar) - Static method in class com.quantfinlib.credit.IsdaRateCurve: Value per unit notional of a receive-fixed swap on curve under the conventions above, including the notional exchange: zero for a quote the curve was bootstrapped from.
Participation - Section in class com.quantfinlib.execution.BenchmarkExecutor
Participation(double, int) - Constructor for record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Participation: Creates an instance of a Participation record class.
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.
paths() - Method in class com.quantfinlib.credit.ExposureProfile: Number of simulated paths.
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(DiscountCurve) - Method in record class com.quantfinlib.rates.OisSwap: PV per unit notional of paying fixed, receiving the compounded overnight rate.
payerPv(DiscountCurve, DiscountCurve) - Method in record class com.quantfinlib.rates.InterestRateSwap: PV per unit notional of paying InterestRateSwap.fixedRate() and receiving floating.
payerPv(DiscountCurve, DiscountCurve) - Method in record class com.quantfinlib.rates.VanillaSwap: PV per unit notional of paying fixed and receiving floating.
payFixed() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.SwapTerms: Returns the value of the payFixed record component.
paymentDate() - Method in record class com.quantfinlib.credit.IsdaCdsModel.Period: Returns the value of the paymentDate record component.
paymentDate() - Method in record class com.quantfinlib.rates.LegConvention.Period: Returns the value of the paymentDate record component.
paymentDates() - Method in record class com.quantfinlib.rates.OisSwap: Adjusted payment dates.
paymentLagDays() - Method in record class com.quantfinlib.rates.LegConvention: Returns the value of the paymentLagDays record component.
paymentsPerYear() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.SwapTerms: Returns the value of the paymentsPerYear record component.
paymentsPerYear() - Method in record class com.quantfinlib.rates.LegConvention: Returns the value of the paymentsPerYear record component.
paymentsPerYear() - Method in record class com.quantfinlib.rates.OisSwap: Returns the value of the paymentsPerYear record component.
payoff() - Method in record class com.quantfinlib.hedging.DeltaHedger.HedgeReport: Returns the value of the payoff record component.
payoff(double[][]) - Method in interface com.quantfinlib.simulation.MonteCarloSimulator.PathPayoff: Payoff of one simulated path.
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 class com.quantfinlib.backtest.validation.OverfitProbability.Result: pbo (fraction of IS/OOS splits whose in-sample winner ranked at or below the out-of-sample median).
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).
peakBucket() - Method in class com.quantfinlib.ml.IntradayLiquidityForecaster: Bucket with the highest expected liquidity.
peakExposure(List, 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.
pearson(double[], double[]) - Static method in class com.quantfinlib.stats.Stats: Pearson product-moment correlation: the sample covariance over the product of the sample standard deviations (the n - 1 factors cancel).
pearsonFromKendall(double) - Static method in class com.quantfinlib.risk.Dependence: The elliptical-copula bridge: Pearson ρ implied by a Kendall τ.
pearsonOrZero(double[], double[]) - Static method in class com.quantfinlib.stats.Stats: Pearson correlation with a zero convention.
peBelow(double) - Static method in class com.quantfinlib.screener.FundamentalFilters
peBetween(double, double) - Static method in class com.quantfinlib.screener.FundamentalFilters
pending() - Method in record class com.quantfinlib.backtest.Backtester.State: Returns the value of the pending record component.
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.
percent(int) - Method in class com.quantfinlib.risk.FactorRiskModel.Decomposition: Share of total variance from name i.
percentCopy() - Method in class com.quantfinlib.risk.FactorRiskModel.Decomposition
percentile(double) - Method in class com.quantfinlib.hedging.HedgingErrorDistribution
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.
Period(LocalDate, LocalDate, LocalDate) - Constructor for record class com.quantfinlib.credit.IsdaCdsModel.Period: Creates an instance of a Period record class.
Period(LocalDate, LocalDate, LocalDate, double) - Constructor for record class com.quantfinlib.rates.LegConvention.Period: Creates an instance of a Period record class.
periodEnd() - Method in record class com.quantfinlib.alpha.FundamentalsHistory.Entry: Returns the value of the periodEnd record component.
periods() - Method in record class com.quantfinlib.rates.FixedLeg: The leg's accrual periods.
periods() - Method in interface com.quantfinlib.rates.FloatLeg: The leg's accrual periods.
periods() - Method in record class com.quantfinlib.rates.OvernightLeg
periods() - Method in record class com.quantfinlib.rates.TermRateLeg
periods() - Method in class com.quantfinlib.risk.FactorRiskModel: Number of estimation periods.
periods(LocalDate, LocalDate) - Method in record class com.quantfinlib.rates.LegConvention: The accrual periods of a leg from start to end (unadjusted dates), ascending, with adjusted accrual dates and payment dates.
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 class com.quantfinlib.alpha.FamaMacBeth.Result: periodsUsed (cross-sections that had enough assets).
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.
pfe() - Method in record class com.quantfinlib.risk.SaCcr.Result: Returns the value of the pfe record component.
pfe(int, double) - Method in class com.quantfinlib.credit.ExposureProfile: Potential future exposure: the lower empirical q-quantile of E(t_i).
phi(double) - Method in class com.quantfinlib.pricing.SsviSurface: Power-law φ(θ) = η / (θ^γ (1+θ)^{1−γ}).
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
pillarCount() - Method in class com.quantfinlib.rates.DiscountCurve
pillarDate() - Method in interface com.quantfinlib.rates.CurveInstrument: The last date the instrument depends on; the bootstrap places a pillar there.
pillarDate() - Method in record class com.quantfinlib.rates.Deposit
pillarDate() - Method in record class com.quantfinlib.rates.Fra
pillarDate() - Method in record class com.quantfinlib.rates.InterestRateSwap
pillarDate() - Method in record class com.quantfinlib.rates.OisSwap
pillarDate() - Method in record class com.quantfinlib.rates.RateFuture
pillarDiscountFactor(int) - Method in class com.quantfinlib.rates.DiscountCurve: Discount factor of pillar i (0-based).
pillarSmileCost(double, int) - Method in class com.quantfinlib.pricing.VannaVolga: Market cost of the smile on each pillar: BS(Kᵢ; σᵢ) − BS(Kᵢ; σ_atm), calls (put-call parity makes the put value identical).
pillarTenors() - Method in class com.quantfinlib.fx.SwapPointsCurve: Pillar tenors in date order (diagnostics/reporting).
pillarTime(int) - Method in class com.quantfinlib.rates.DiscountCurve: Time of pillar i (0-based).
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.
plain() - Method in record class com.quantfinlib.risk.FactorRiskModel.Settings: The same settings without Newey-West, regime adjustment or shrinkage.
plusDi(int) - Method in class com.quantfinlib.indicators.Indicators.Adx: Element i of plusDi.
plusDiCopy() - Method in class com.quantfinlib.indicators.Indicators.Adx: A fresh copy of plusDi.
plusDiLength() - Method in class com.quantfinlib.indicators.Indicators.Adx: Length of plusDi.
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: Returns the book's P&L under these factor moves (finite).
PnlAttribution - Class in com.quantfinlib.risk: FRTB P&L attribution test (PLAT), the exam a risk model must pass to keep internal-model approval.
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: Second-order P&L explain versus full revaluation:
PnlExplain(double, double, 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: Creates an instance; the explicit form of the default constructor.
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.
populationStdDev(double[]) - Static method in class com.quantfinlib.stats.Stats: Square root of Stats.populationVariance(double[]).
populationStdDev(double[], int, int) - Static method in class com.quantfinlib.stats.Stats: Square root of Stats.populationVariance(double[], int, int).
populationVariance(double[]) - Static method in class com.quantfinlib.stats.Stats: Population variance, n denominator; NaN for an empty array.
populationVariance(double[], int, int) - Static method in class com.quantfinlib.stats.Stats: Population variance of v[from, to); NaN for an empty range.
Portfolio - Class in com.quantfinlib.risk: Multi-asset portfolio of positions with live price updates.
Portfolio() - Constructor for class com.quantfinlib.risk.Portfolio: Creates an instance; the explicit form of the default constructor.
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 survivorship-aware and execution-aware at once.
PortfolioBacktester.Financing - Record Class in com.quantfinlib.backtest.portfolio: Financing terms, all annual.
PortfolioBacktester.Participation - Record Class in com.quantfinlib.backtest.portfolio: Participation cap: each symbol trades at most maxFractionOfAdv × ADV shares per bar, with ADV the mean volume of the advWindow bars before the fill bar (fewer at the start of the data; none on bar 0, so nothing trades there).
PortfolioBacktester.Result - 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, as a chain of small, composable, pure functions so a construction pipeline reads as what it does:
PortfolioConstruction.Book - Class in com.quantfinlib.alpha: A constructed book with what it actually achieved.
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: Execution limits for the portfolio.
PortfolioOptimizer - Class in com.quantfinlib.optimization: Long-only, fully invested mean-variance optimisation (Markowitz 1952), solved exactly as convex quadratic programs by QuadraticProgram: minimum variance: min w'Σw s.t.
PortfolioOptimizer(double[], double[][]) - Constructor for class com.quantfinlib.optimization.PortfolioOptimizer
PortfolioOptimizer.Allocation - 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 - 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 class com.quantfinlib.risk.ComponentVar.Allocation: portfolioVar (total delta-normal VaR (positive)).
portfolioVariance(double[]) - Method in class com.quantfinlib.microstructure.EwmaCovariance: w'Σw: portfolio variance of the (signed) weight vector.
position(String) - Method in class com.quantfinlib.risk.Portfolio
Position(String, double, double) - Constructor for record class com.quantfinlib.risk.Portfolio.Position: Creates an instance of a Position record class.
Position(K, FrtbDrcSecuritisation.NetJtd) - Constructor for record class com.quantfinlib.risk.FrtbDrcSecuritisation.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
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.
post() - Method in record class com.quantfinlib.execution.OrderPlacementPolicy.Placement: Returns the value of the post record component.
posterior(double, double[][], double[], double[][], double[], double[]) - Static method in class com.quantfinlib.optimization.BlackLitterman: Full posterior: mean, covariance of the mean and covariance of returns.
Posterior(double[], double[][], double[][]) - Constructor for class com.quantfinlib.optimization.BlackLitterman.Posterior: Creates the value; array and collection arguments are copied.
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(int) - Method in class com.quantfinlib.alpha.FamaMacBeth.Result: Element i of premia (mean per-period premium per factor).
premiaCopy() - Method in class com.quantfinlib.alpha.FamaMacBeth.Result: A fresh copy of premia.
premiaLength() - Method in class com.quantfinlib.alpha.FamaMacBeth.Result: Length of premia.
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() - Method in enum class com.quantfinlib.fx.FxVolSurface.DeltaConvention
premiumAdjusted(boolean) - Method in class com.quantfinlib.fx.FxVolSurface.Builder: Shortcut: forward delta, premium-adjusted or not.
premiumLegPv(CreditCurve, YieldCurve, double, double) - Static method in class com.quantfinlib.credit.CdsPricer: PV of the premium leg at the given running spread.
prepared(AlphaFactor, double, Map) - Static method in class com.quantfinlib.alpha.Factors: The standard preparation chain: Factors.winsorized(AlphaFactor, double) at p, then Factors.standardized(AlphaFactor), then Factors.sectorNeutralized(AlphaFactor, Map) (skipped when sectorBySymbol is null).
presentValue(double, double) - Method in class com.quantfinlib.pricing.DividendSchedule: Present value of all dividends with ex-dates on or before horizonYears.
preSpot(LocalDate, double) - Method in class com.quantfinlib.fx.SwapPointsCurve.Builder: Pre-spot value date (today or tomorrow) with the cumulative swap points, in pips, from that date to spot: the outright for that date is spot − points.
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: Creates an instance; the explicit form of the default constructor.
PreTradeLimitChecker.CheckResult - Record Class in com.quantfinlib.risk
PreTradeLimitChecker.OrderRequest - Record Class in com.quantfinlib.risk
previousImmDate(LocalDate) - Static method in class com.quantfinlib.credit.IsdaCdsModel: The last IMM date on or before date (unadjusted).
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.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 record class com.quantfinlib.pricing.BlackScholes.Greeks: Returns the value of the price record component.
price() - Method in record class com.quantfinlib.pricing.LocalVolMonteCarlo.Result: 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(double) - Method in class com.quantfinlib.commodities.CommodityCurve: Interpolated futures price; throws beyond the pillars (no extrapolation).
price(double[], double[], double[], double[][], double, int, int, boolean, double, MonteCarloSimulator.PathPayoff) - Method in class com.quantfinlib.simulation.MonteCarloSimulator: Discounted Monte Carlo price e^{−rT}·E[payoff] with its standard error.
price(double, double, double, double, double, int, long) - Method in class com.quantfinlib.pricing.Autocallable: Monte Carlo present value under GBM.
price(int, boolean, int) - Method in class com.quantfinlib.fx.FxTierBook
price(BlackScholes.OptionType, double, double) - Method in interface com.quantfinlib.pricing.TotalVarianceSurface: Black-Scholes price of a European option off the surface.
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.Bachelier: Discounted normal-model price.
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, double) - Static method in class com.quantfinlib.pricing.QuantoOption: Quanto vanilla price in domestic currency per unit of the fixed conversion rate.
price(BlackScholes.OptionType, double, double, double, double, double, Heston.Params) - Static method in class com.quantfinlib.pricing.HestonCos: European price with the default number of terms and truncation.
price(BlackScholes.OptionType, double, double, double, double, double, Heston.Params, int, double) - Static method in class com.quantfinlib.pricing.HestonCos: European price.
price(BlackScholes.OptionType, double, double, int, int) - Method in class com.quantfinlib.pricing.LocalVolPde: European option price.
price(BlackScholes.OptionType, double, double, int, int, long) - Method in class com.quantfinlib.pricing.LocalVolMonteCarlo: European option price.
price(BlackScholes.OptionType, BarrierOption.Direction, BarrierOption.Knock, double, double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.BarrierOption: Price of a single-barrier option with a cash rebate.
price(BlackScholes.OptionType, BinomialTree.ExerciseStyle, double, double, double, double, double, double, int) - Static method in class com.quantfinlib.pricing.BinomialTree
price(BlackScholes.OptionType, BinomialTree.ExerciseStyle, double, double, double, double, double, double, DividendSchedule, int) - Static method in class com.quantfinlib.pricing.DividendTree: Option price.
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: TechnicalFilters.priceAboveVwap(int) over the last 20 bars.
priceAboveVwap(int) - Static method in class com.quantfinlib.screener.TechnicalFilters: Last close above the volume-weighted average typical price (H+L+C)/3 of the last window bars.
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).
priceExact(BlackScholes.OptionType, double, double) - Method in class com.quantfinlib.pricing.VannaVolga: Vanilla price with weights from the exact 3x3 solve (VannaVolga.exactWeights(double, double)): BS(K; σ_atm) + Σ xᵢ · pillar smile cost.
priceFactor(CorporateEvents.Event, double, CorporateEvents.DividendPolicy) - Static method in class com.quantfinlib.data.CorporateEvents: Price factor for one event given the last cum close prevClose; returns 1 for events that do not adjust under policy.
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).
priceFromYieldExact(double, double, int, double, double) - Static method in class com.quantfinlib.rates.BondPricer: Dirty price from a yield for any (also non-integral) time to maturity, by the street convention: coupons sit on the regular quasi-coupon grid counted back from maturity, the first one w periods away, and a full coupon is paid on it.
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).
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.
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.
projection() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.ForeignSwap: Returns the value of the projection record component.
projection() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Swap: Returns the value of the projection record component.
projection() - Method in record class com.quantfinlib.rates.CurvePair: Returns the value of the projection record component.
protectionLeg(IsdaCdsModel.Contract, IsdaCurve, IsdaCurve) - Static method in class com.quantfinlib.credit.IsdaCdsModel: Protection leg value per unit notional, paid at cash settlement: (1 - R) integral_0^tM h Q P dt / P(t_cs).
protectionLegPv(CreditCurve, YieldCurve, double) - Static method in class com.quantfinlib.credit.CdsPricer: PV of the protection leg: (1-R) paid at default.
PsdMatrices - Class in com.quantfinlib.risk: Factorisation and repair of symmetric positive semi-definite matrices: the one place in the risk, simulation and copula code that decides what a "valid covariance" is.
PsdMatrices.Eigen - Class in com.quantfinlib.risk: Eigenvalues (descending) and matching unit eigenvectors vectors[k].
publishedAt() - Method in record class com.quantfinlib.alpha.FundamentalsHistory.Entry: Returns the value of the publishedAt record component.
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 - 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
pv(DiscountCurve) - Method in record class com.quantfinlib.rates.FixedLeg: PV per unit notional of the unpaid fixed coupons.
pv(DiscountCurve, DiscountCurve) - Method in interface com.quantfinlib.rates.FloatLeg: PV per unit notional of the coupons not yet paid (payment date after the discount curve's valuation date).
pValue() - Method in record class com.quantfinlib.alpha.AlphaValidation.RobustnessResult: Returns the value of the pValue record component.

Q

quadraticForm(double[], double[][]) - Static method in class com.quantfinlib.stats.LinearAlgebra: w' * M * w (quadratic form).
QuadraticProgram - Class in com.quantfinlib.optimization: Convex quadratic programming by the primal active-set method (Nocedal and Wright, Numerical Optimization, 2nd ed., Algorithm 16.3):
QuadraticProgram.Solution - Class in com.quantfinlib.optimization: Solution, its objective value, and the active-set iterations used.
quality() - Static method in class com.quantfinlib.alpha.Factors: Quality composite: profitability minus leverage — ROE − 0.1 × debt/equity.
QuantFinException - Interface in com.quantfinlib.core: Marks an exception raised by this library for a fault in what it was given: a broken wire frame, a malformed data file or an invalid configuration.
quantile(double[], double) - Static method in class com.quantfinlib.stats.Stats: Hyndman-Fan type 7 quantile of an unsorted sample; copies and sorts the input, which is not modified.
QuantileReport(String, double[], int[], int, int, double[], double) - Constructor for class com.quantfinlib.alpha.SignalEvaluator.QuantileReport: Creates the value; array and collection arguments are copied.
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 forward returns per group.
quantiles() - Method in class com.quantfinlib.alpha.SignalEvaluator.QuantileReport: quantiles.
quantileSorted(double[], double) - Static method in class com.quantfinlib.stats.Stats: Hyndman-Fan type 7 quantile of a sample already sorted ascending (linear interpolation between order statistics at h = (n - 1) p).
quantileType1Sorted(double[], double) - Static method in class com.quantfinlib.stats.Stats: Hyndman-Fan type 1 quantile (inverse empirical CDF, no interpolation) of a sample already sorted ascending: the smallest order statistic x with F_n(x) >= p.
quantity() - Method in record class com.quantfinlib.backtest.Backtester.State: Returns the value of the quantity 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.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 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.
quantityWeightedSlippageBps() - Method in record class com.quantfinlib.regulatory.BestExecutionAnalyzer.BestExecutionReport: Returns the value of the quantityWeightedSlippageBps record component.
quantoForward(double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.QuantoOption: Quanto forward of the foreign asset under the domestic measure, in foreign-currency units of S.
QuantoOption - Class in com.quantfinlib.pricing: Quanto vanilla: a payoff on a foreign asset S (quoted in foreign currency) paid in domestic currency at a fixed conversion rate, for example a Nikkei call paying max(S_T - K, 0) US dollars per index point.
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) translates into fill probability.
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: Creates an instance; the explicit form of the default constructor.
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.
quote() - Method in class com.quantfinlib.fx.CurrencyPair
quote() - Method in interface com.quantfinlib.rates.CurveInstrument: The market quote as a decimal rate (0.03 = 3%).
quote() - Method in record class com.quantfinlib.rates.Deposit
quote() - Method in record class com.quantfinlib.rates.Fra
quote() - Method in record class com.quantfinlib.rates.InterestRateSwap
quote() - Method in record class com.quantfinlib.rates.OisSwap
quote() - Method in record class com.quantfinlib.rates.RateFuture
quote(double, double, double, double, double) - Static method in class com.quantfinlib.crb.SkewedQuoter: Quotes a bid and an ask skewed by inventory.
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
quotedSpreadBps(double, double) - Static method in class com.quantfinlib.regulatory.MarketQualityMetrics
quotedSpreadToUpfront(IsdaCdsModel.Contract, double, IsdaCurve) - Static method in class com.quantfinlib.credit.IsdaCdsModel: Converts a quoted (conventional) spread to clean points upfront at the contract's coupon: flat hazard calibrated so the par spread is the quote, using the contract's recovery.
quotedSpreadToUpfront(IsdaCdsModel.Contract, double, IsdaCurve, IsdaCdsModel.Conventions) - Static method in class com.quantfinlib.credit.IsdaCdsModel: Quoted spread to clean upfront under explicit conventions.
quoteIntensityPerSecond(int) - Method in class com.quantfinlib.microstructure.SignalEngine: Quote arrival intensity, per second (0 until two quotes).
quoteJacobian(CurvePair, List, List) - Static method in class com.quantfinlib.rates.BootstrapJacobian: dI_k/dY_j: rows are the OIS instruments then the projection instruments (input order), columns the OIS curve pillars then the projection curve pillars (pillar order).

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) - 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: Creates an instance; the explicit form of the default constructor.
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; delegates to Stats.ranks(double[]).
ranks(double[]) - Static method in class com.quantfinlib.stats.Stats: 1-based midranks: tied values share the average of their positions.
rate() - Method in record class com.quantfinlib.credit.IsdaRateCurve.Swap: Returns the value of the rate record component.
rate() - Method in record class com.quantfinlib.data.CorporateEvents.StockDividend: Returns the value of the rate record component.
rate() - Method in class com.quantfinlib.pricing.SsviSurface
rate() - Method in class com.quantfinlib.pricing.SviSurface
rate() - Method in interface com.quantfinlib.pricing.TotalVarianceSurface: Continuously compounded risk-free rate.
rate() - Method in class com.quantfinlib.pricing.VannaVolga
rate() - Method in record class com.quantfinlib.rates.Deposit: Returns the value of the rate record component.
rate() - Method in record class com.quantfinlib.rates.FixedLeg: Returns the value of the rate record component.
rate() - Method in record class com.quantfinlib.rates.Fra: Returns the value of the rate record component.
rate() - Method in record class com.quantfinlib.rates.RateFuture: Returns the value of the rate record component.
RateFuture - Record Class in com.quantfinlib.rates: A short-term interest rate future (3M SOFR/Euribor style) on the index period [start, end], quoted by its futures rate rate = (100 - price)/100.
RateFuture(LocalDate, LocalDate, double, DayCount, double, double) - Constructor for record class com.quantfinlib.rates.RateFuture: Creates an instance of a RateFuture record class.
RATES - Enum constant in enum class com.quantfinlib.credit.ExposureProfile.Factor: Hull-White rate Brownian; high values mean high rates.
RatesOptions - Class in com.quantfinlib.rates: Rates volatility products priced off the curve: the bridge between YieldCurve (where forwards and discount factors live) and the option models on a forward rate, pricing.Black76 (lognormal and shifted lognormal) and pricing.Bachelier (normal).
RatesOptions.VolModel - Record Class in com.quantfinlib.rates: A vol type together with its displacement (0 unless shifted lognormal).
RatesOptions.VolType - Enum Class in com.quantfinlib.rates: Which vol a quote is: lognormal (Black-76), shifted lognormal (Black-76 on forward + shift and strike + shift) or normal (Bachelier).
rateTimesTime(double) - Method in class com.quantfinlib.credit.IsdaCurve: r(t) * t, the integrated forward from 0 to t.
rateVol() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Domestic: Returns the value of the rateVol record component.
rateVol() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Foreign: Returns the value of the rateVol record component.
ratio() - Method in record class com.quantfinlib.data.CorporateEvents.RightsIssue: Returns the value of the ratio record component.
ratio() - Method in record class com.quantfinlib.data.CorporateEvents.SpinOff: Returns the value of the ratio record component.
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(DataInput, double[]).
readState(DataInput) - Method in class com.quantfinlib.crb.CentralRiskBook: Restores state written by CentralRiskBook.writeState(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(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).
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: Realised share of total volume, executed / (executed + others); NaN before any volume.
realizedParticipation() - Method in class com.quantfinlib.execution.PovTracker: Realised share of total volume, executed / (executed + V); NaN before any volume.
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 class com.quantfinlib.backtest.ParentOrder: reason.
REASON_END_OF_DATA - Static variable in record class com.quantfinlib.backtest.Trade
REASON_ENTRY - Static variable in 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
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.
receiverPv(DiscountCurve, DiscountCurve) - Method in record class com.quantfinlib.rates.VanillaSwap: PV per unit notional of receiving fixed and paying floating.
receiveTimeMillis() - Method in record class com.quantfinlib.risk.SettlementRiskAnalyzer.SettlementLeg: Returns the value of the receiveTimeMillis record component.
record(int, double) - Method in class com.quantfinlib.execution.Ucb1Selector: Records the observed reward for an arm.
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).
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
recovery() - Method in record class com.quantfinlib.credit.IsdaCdsModel.Contract: Returns the value of the recovery record component.
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
RED - Enum constant in enum class com.quantfinlib.risk.VarBacktest.Zone: Almost certainly a problem: 99.99 % or more.
reducedRw() - Static method in class com.quantfinlib.risk.FrtbSa.Fx: RW / √2 for the specified currency pairs and their first-order crosses (MAR21.88).
reducedRw(double) - Static method in class com.quantfinlib.risk.FrtbSa.Girr: Risk weight divided by √2 for EUR, USD, GBP, AUD, JPY, SEK, CAD and the domestic currency (MAR21.44).
reference(double, boolean) - Method in class com.quantfinlib.microstructure.CircuitBreakers.Luld: New reference price (the plan recomputes it as a 5-minute average).
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 scaled forward-backward recursions (Rabiner 1989, Proc.
RegimeDetector.RegimeModel - Class in com.quantfinlib.ml
RegimeModel(double[], double[], double[][], double, double[], double[], double[], int) - Constructor for class com.quantfinlib.ml.RegimeDetector.RegimeModel: Creates the value; array and collection arguments are copied.
regimeMultiplier() - Method in class com.quantfinlib.risk.FactorRiskModel: The volatility regime multiplier λ_F applied to factor volatilities (1 when off).
region() - Method in record class com.quantfinlib.risk.FrtbDrcSecuritisation.NonCtpBucket: Returns the value of the region record component.
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
REGULAR - Enum constant in enum class com.quantfinlib.data.CorporateEvents.DividendKind
regularizedIncompleteBeta(double, double, double) - Static method in class com.quantfinlib.stats.SpecialFunctions: 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.
rejectCount() - Method in class com.quantfinlib.backtest.LastLookExecution: Last-look rejections — the number a real desk tracks per LP.
rejectRate() - Method in class com.quantfinlib.backtest.LastLookExecution: Reject rate across all attempts, 0 when nothing was attempted.
rejectRate(int) - Method in class com.quantfinlib.fx.LpScorecard: EWMA reject probability in [0, 1]; 0 before any events.
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
repaired() - Method in class com.quantfinlib.risk.FactorRiskModel: Whether the factor covariance needed a nearest-PSD repair.
replacementCost() - Method in record class com.quantfinlib.risk.SaCcr.Result: Returns the value of the replacementCost record component.
REPO_RW - Static variable in class com.quantfinlib.risk.FrtbSa.Equity: Repo-rate delta risk weights, index = bucket − 1 (MAR21.77 Table 10).
report() - Method in class com.quantfinlib.regulatory.BestExecutionAnalyzer
report(double[][], double) - Method in class com.quantfinlib.crb.CentralRiskBook: The book-level risk report.
Report(String, double, double, double, double, double, int, double, double, double, int, int, double[]) - Constructor for class com.quantfinlib.alpha.SignalEvaluator.Report: Creates the value; array and collection arguments are copied.
reprice(BlackScholes.OptionType, double, double, double, double, double, double) - Method in class com.quantfinlib.pricing.IncrementalGreeks: Full reprice: re-anchors the expansion.
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).
reserveFraction(boolean) - Method in class com.quantfinlib.microstructure.ClosingAuctionModel: The fraction of the remaining parent to hold back for the auction.
residual(double[], double[][], double[]) - Static method in class com.quantfinlib.crb.HedgeOptimizer: Post-hedge factor exposures e + L·h.
residual(int, int) - Method in class com.quantfinlib.risk.FactorRiskModel: Specific return of name i in period t (NaN when it took no part).
residualGreeks(double[], GreekHedger.Instrument[], double[]) - Static method in class com.quantfinlib.hedging.GreekHedger: Residual portfolio Greeks after applying the hedge quantities (for verification).
residuals(int) - Method in class com.quantfinlib.alpha.Ols.Fit: Element i of residuals.
residualsCopy() - Method in class com.quantfinlib.alpha.Ols.Fit: A fresh copy of residuals.
residualsLength() - Method in class com.quantfinlib.alpha.Ols.Fit: Length of residuals.
residualVariance() - Method in class com.quantfinlib.volatility.HarRv.Fit: residualVariance.
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() - Method in class com.quantfinlib.alpha.AlphaBacktester.Traced
result() - Method in record class com.quantfinlib.backtest.Backtester.Segment: Returns the value of the result record component.
Result(double[][], double, double) - Constructor for class com.quantfinlib.risk.CovarianceShrinkage.Result: Creates the value; array and collection arguments are copied.
Result(double[], double[], double, double, int, double[], int[]) - Constructor for class com.quantfinlib.alpha.FamaMacBeth.Result: Creates the value; array and collection arguments are copied.
Result(double[], double[], PerformanceMetrics, PerformanceMetrics, double, double, double, double, double, double, double, FillPolicy) - Constructor for class com.quantfinlib.alpha.AlphaBacktester.Result: Creates the value; array and collection arguments are copied.
Result(double[], double, double, double, int, boolean) - Constructor for class com.quantfinlib.alpha.TurnoverAwareOptimizer.Result: Creates the value; array and collection arguments are copied.
Result(double[], double, int) - Constructor for class com.quantfinlib.optimization.NelderMead.Result: Creates the value; array and collection arguments are copied.
Result(double[], PerformanceMetrics, double, double, Map, double, int, double) - Constructor for class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Result: Creates the value; array and collection arguments are copied.
Result(double, double) - Constructor for record class com.quantfinlib.microstructure.VarianceRatio.Result: Creates an instance of a Result record class.
Result(double, double) - Constructor for record class com.quantfinlib.pricing.LocalVolMonteCarlo.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, double, double, double, double, double, double, double, double, double) - Constructor for record class com.quantfinlib.risk.SaCcr.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 class com.quantfinlib.backtest.validation.OverfitProbability.Result: Creates the value; array and collection arguments are copied.
Result(double, int, double, List) - 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.
Result(Heston.Params, double, int, boolean) - Constructor for record class com.quantfinlib.pricing.HestonCalibrator.Result: Creates an instance of a Result record class.
returnBetween(int, int, boolean, int, boolean) - Method in class com.quantfinlib.alpha.AlphaContext: Simple return between two price points, each the open or the close of a bar: the building block for fill-lagged backtests.
returnCovariance(int, int) - Method in class com.quantfinlib.optimization.BlackLitterman.Posterior: Element [i][j] of returnCovariance.
returnCovarianceCopy() - Method in class com.quantfinlib.optimization.BlackLitterman.Posterior: A deep copy of returnCovariance.
returnCovarianceRows() - Method in class com.quantfinlib.optimization.BlackLitterman.Posterior: Number of rows of returnCovariance.
returnOver(int, int, int) - Method in class com.quantfinlib.alpha.AlphaContext: Simple return of symbol i over (fromIndex, toIndex], close to close, terminal-event aware (see the class doc).
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.
ReverseSplit(long, double) - Constructor for record class com.quantfinlib.data.CorporateEvents.ReverseSplit: Creates an instance of a ReverseSplit record class.
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 class com.quantfinlib.risk.StressTester.ReverseStress: Creates the value; array and collection arguments are copied.
reversionBps() - Method in record class com.quantfinlib.regulatory.FixAnalyzer.FixImpactReport: Returns the value of the reversionBps record component.
rho() - Method in record class com.quantfinlib.alpha.TurnoverAwareOptimizer.Settings: Returns the value of the rho record component.
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() - Method in class com.quantfinlib.pricing.SsviSurface
rho() - Method in record class com.quantfinlib.pricing.SviSlice: Returns the value of the rho record component.
rho() - Method in record class com.quantfinlib.risk.FrtbSa.Bucket: 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.
RHO - Static variable in class com.quantfinlib.risk.FrtbNmrf: Correlation for non-idiosyncratic NMRFs (MAR33.17(4), verified).
RHO_BASIS - Static variable in class com.quantfinlib.risk.FrtbSa.Commodity: Different delivery location (MAR21.83(3), verified).
RHO_BASIS - Static variable in class com.quantfinlib.risk.FrtbSa.Csr: Different curve (bond against CDS) (MAR21.54(3), verified).
RHO_BASIS - Static variable in class com.quantfinlib.risk.FrtbSa.SecNonCtp
RHO_BASIS_CTP - Static variable in class com.quantfinlib.risk.FrtbSa.Csr: CTP different-curve correlation (MAR21.60(1)).
RHO_CTY - Static variable in class com.quantfinlib.risk.FrtbSa.Commodity: Intra-bucket commodity correlation ρ_cty, index = bucket − 1 (MAR21.83 Table 12, verified).
RHO_DIFFERENT_CURVE - Static variable in class com.quantfinlib.risk.FrtbSa.Girr: Same tenor, different curve, same currency (MAR21.45).
RHO_INFLATION - Static variable in class com.quantfinlib.risk.FrtbSa.Girr: Inflation curve against any tenor of the yield curve (MAR21.48).
RHO_NAME - Static variable in class com.quantfinlib.risk.FrtbSa.Csr: Different names, buckets 1-15 (MAR21.54(1), verified).
RHO_NAME_INDEX - Static variable in class com.quantfinlib.risk.FrtbSa.Csr: Different names, index buckets 17-18 (MAR21.55(1)).
RHO_SPOT_REPO_SAME_ISSUER - Static variable in class com.quantfinlib.risk.FrtbSa.Equity: Spot against repo of the same issuer (MAR21.78(1)).
RHO_TENOR - Static variable in class com.quantfinlib.risk.FrtbSa.Commodity: Different tenor (MAR21.83(2), verified).
RHO_TENOR - Static variable in class com.quantfinlib.risk.FrtbSa.Csr: Different tenor (MAR21.54(2), verified).
RHO_TENOR - Static variable in class com.quantfinlib.risk.FrtbSa.SecNonCtp
RHO_TRANCHE - Static variable in class com.quantfinlib.risk.FrtbSa.SecNonCtp
RHO_XCCY_BASIS - Static variable in class com.quantfinlib.risk.FrtbSa.Girr: Cross-currency basis against yield curve, inflation or another basis curve (MAR21.49).
RightsIssue(long, double, double) - Constructor for record class com.quantfinlib.data.CorporateEvents.RightsIssue: Creates an instance of a RightsIssue record class.
risk(double[], double[][]) - Static method in class com.quantfinlib.crb.HedgeOptimizer: Portfolio stdev of an exposure vector under Σ — the risk being cut.
RISK_WEIGHT - Static variable in class com.quantfinlib.risk.FrtbSa.Fx: FX delta risk weight (MAR21.87, verified).
RISK_WEIGHTS - Static variable in class com.quantfinlib.risk.FrtbSa.Girr: Delta risk weights per tenor (MAR21.42 Table 1, verified).
riskAversion() - Method in record class com.quantfinlib.alpha.AlphaBacktester.RiskOptions: Returns the value of the riskAversion record component.
riskAversion() - Method in record class com.quantfinlib.alpha.TurnoverAwareOptimizer.Settings: Returns the value of the riskAversion record component.
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.
riskBudget(double[], double[][], double[]) - Static method in class com.quantfinlib.optimization.RiskParityOptimizer: Risk-budgeting weights: asset i carries the fraction budgets[i] of portfolio variance.
RiskClass(List, double[][], List, double[][], List, double[][]) - Constructor for record class com.quantfinlib.risk.FrtbSa.RiskClass: Creates an instance of a RiskClass record class.
riskContributions() - Method in class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport: riskContributions.
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.
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: Creates an instance; the explicit form of the default constructor.
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.
RiskOptions(AlphaRiskModels.Spec, List, double, double, double, double, boolean) - Constructor for record class com.quantfinlib.alpha.AlphaBacktester.RiskOptions: Creates an instance of a RiskOptions record class.
RiskParityOptimizer - Class in com.quantfinlib.optimization: Risk parity: the portfolio where every asset contributes a set share of total risk (w_i (Σw)_i / w'Σw = b_i; equal shares by default).
RiskReport(double, double, double, double, double, Map, Map, Map, Map, double[][]) - Constructor for class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport: Creates the value; array and collection arguments are copied.
riskScore(double[]) - Method in class com.quantfinlib.ml.VolatilityForecaster: Risk score in [0, 100]: the percentile of the forecast within the realised volatilities of the training sample (an in-sample reference distribution).
riskWeight() - Method in enum class com.quantfinlib.risk.FrtbDrc.CreditQuality
riskWeight() - Method in record class com.quantfinlib.risk.FrtbDrc.NetJtd: Returns the value of the riskWeight record component.
riskWeight() - Method in record class com.quantfinlib.risk.FrtbDrcSecuritisation.NetJtd: Returns the value of the riskWeight record component.
riskWeight(boolean) - Method in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.ErbaShortTermRating: Banking-book risk weight as a multiple (Table 1, or Table 3 for STC).
riskWeight(int) - Static method in class com.quantfinlib.risk.FrtbSa.SecNonCtp: Risk weight of bucket 1-25 (MAR21.64 to MAR21.67).
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).
riskyAnnuityClean(IsdaCdsModel.Contract, IsdaCurve, IsdaCurve) - Static method in class com.quantfinlib.credit.IsdaCdsModel: Clean risky annuity: dirty minus the accrued fraction.
riskyAnnuityClean(IsdaCdsModel.Contract, IsdaCurve, IsdaCurve, IsdaCdsModel.Conventions) - Static method in class com.quantfinlib.credit.IsdaCdsModel: Clean risky annuity under explicit conventions.
riskyAnnuityDirty(IsdaCdsModel.Contract, IsdaCurve, IsdaCurve) - Static method in class com.quantfinlib.credit.IsdaCdsModel: Dirty risky annuity: the premium leg per unit coupon, including the full current coupon and accrual on default, paid at cash settlement.
riskyAnnuityDirty(IsdaCdsModel.Contract, IsdaCurve, IsdaCurve, IsdaCdsModel.Conventions) - Static method in class com.quantfinlib.credit.IsdaCdsModel: Dirty risky annuity under explicit conventions (holiday calendar, half-day accrual on default).
RMBS - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.AssetClass
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.
rmse(double[], double[]) - Method in record class com.quantfinlib.pricing.SviSlice: Root-mean-square total-variance error against quotes (unweighted).
rmseEwma() - Method in record class com.quantfinlib.ml.VolatilityForecaster.Validation: Returns the value of the rmseEwma record component.
rmseHar() - Method in record class com.quantfinlib.ml.VolatilityForecaster.Validation: Returns the value of the rmseHar record component.
rmseModel() - Method in record class com.quantfinlib.ml.VolatilityForecaster.Validation: Returns the value of the rmseModel record component.
RobustnessResult(double, double, double, double, int, AlphaValidation.NullModel) - Constructor for record class com.quantfinlib.alpha.AlphaValidation.RobustnessResult: Creates an instance of a RobustnessResult record class.
robustStandardErrors(int) - Method in class com.quantfinlib.volatility.Egarch11.Fit: Element i of robustStandardErrors (Bollerslev-Wooldridge QMLE SEs, same order).
robustStandardErrors(int) - Method in class com.quantfinlib.volatility.Garch11.Fit: Element i of robustStandardErrors (Bollerslev-Wooldridge QMLE SEs, same order).
robustStandardErrors(int) - Method in class com.quantfinlib.volatility.GjrGarch11.Fit: Element i of robustStandardErrors (Bollerslev-Wooldridge QMLE SEs, same order).
robustStandardErrorsCopy() - Method in class com.quantfinlib.volatility.Egarch11.Fit: A fresh copy of robustStandardErrors.
robustStandardErrorsCopy() - Method in class com.quantfinlib.volatility.Garch11.Fit: A fresh copy of robustStandardErrors.
robustStandardErrorsCopy() - Method in class com.quantfinlib.volatility.GjrGarch11.Fit: A fresh copy of robustStandardErrors.
robustStandardErrorsLength() - Method in class com.quantfinlib.volatility.Egarch11.Fit: Length of robustStandardErrors.
robustStandardErrorsLength() - Method in class com.quantfinlib.volatility.Garch11.Fit: Length of robustStandardErrors.
robustStandardErrorsLength() - Method in class com.quantfinlib.volatility.GjrGarch11.Fit: Length of robustStandardErrors.
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() - Method in record class com.quantfinlib.rates.InterestRateSwap: Returns the value of the roll record component.
roll() - Method in record class com.quantfinlib.rates.LegConvention: Returns the value of the roll record component.
roll() - Method in record class com.quantfinlib.rates.OisSwap: Returns the value of the roll record component.
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) - Method in class com.quantfinlib.execution.AdaptiveSor: Routes a marketable parent of quantity.
route(Side, long, List, boolean) - Static method in class com.quantfinlib.execution.SmartOrderRouter
route(Side, long, List, boolean, double) - Static method in class com.quantfinlib.execution.SmartOrderRouter: As SmartOrderRouter.route(Side, long, List, boolean), but skips any venue whose price would violate limitPrice (through-the-limit on the relevant side) — the double-price analogue of HftSor.route(Side, long, int, long[])'s limitTick.
route(Side, long, List, boolean, double, long, long) - Static method in class com.quantfinlib.execution.SmartOrderRouter: As SmartOrderRouter.route(Side, long, List, boolean, double), additionally excluding any venue whose quote is stale — the same treatment a NaN or zero-size venue already gets, mirroring HftSor.venueDown(int) as the way a dead/frozen feed is kept from receiving child orders.
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, List, long, long) - Constructor for record class com.quantfinlib.execution.AdaptiveSor.RoutingDecision: Creates an instance of a RoutingDecision record class.
RoutingPlan(List, long, long, double) - Constructor for record class com.quantfinlib.execution.SmartOrderRouter.RoutingPlan: Creates an instance of a RoutingPlan record class.
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
rSquared() - Method in class com.quantfinlib.alpha.AlphaReport.Attribution: rSquared.
rSquared() - Method in class com.quantfinlib.alpha.Ols.Fit: rSquared.
rSquared() - Method in record class com.quantfinlib.volatility.VolatilityDecomposition.Decomposition: Returns the value of the rSquared record component.
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.RiskOptions) - Static method in class com.quantfinlib.alpha.AlphaBacktester: Runs with the risk-model-driven turnover-aware optimiser as the construction (see AlphaBacktester.RiskOptions).
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, PortfolioBacktester.Config) - Static method in class com.quantfinlib.backtest.portfolio.PortfolioBacktester: Classic run: every supplied symbol is tradeable on every bar.
run(PortfolioStrategy, Map, PortfolioBacktester.Config, PointInTimeUniverse, Map) - Static method in class com.quantfinlib.backtest.portfolio.PortfolioBacktester: Survivorship-aware run (see the class doc for semantics).
run(PortfolioStrategy, Map, Map, PortfolioBacktester.Config, PointInTimeUniverse, Map) - Static method in class com.quantfinlib.backtest.portfolio.PortfolioBacktester: Survivorship-aware run on a price pair: signalData (split and dividend adjusted, for example via CorporateActions.adjust(BarSeries, List)) is what the strategy sees for its signals; data (unadjusted) is what the engine trades, values and pays dividends on.
run(PortfolioStrategy, Map, Map, PortfolioBacktester.Config, PointInTimeUniverse, Map, PortfolioBacktester.Participation) - Static method in class com.quantfinlib.backtest.portfolio.PortfolioBacktester: The price-pair run with a participation cap (null = none).
run(PortfolioStrategy, Map, Map, PortfolioBacktester.Config, PointInTimeUniverse, Map, PortfolioBacktester.Participation, Map) - Static method in class com.quantfinlib.backtest.portfolio.PortfolioBacktester: The participation-capped run plus extended CorporateEvents, booked on the position book on their ex-date (after the 2.1 cash dividends, before terminal events).
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 initialised 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(BarSeries, Side, long, 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.
runSegment(TradingStrategy, BarSeries, BacktestConfig, int, Backtester.State, int, boolean) - Static method in class com.quantfinlib.backtest.Backtester: Runs bars [tradeFrom, n) of series starting from start.
runTraced(AlphaContext, AlphaFactor, AlphaBacktester.Config, AlphaBacktester.RiskOptions) - Static method in class com.quantfinlib.alpha.AlphaBacktester: AlphaBacktester.run(AlphaContext, AlphaFactor, Config, RiskOptions) with the per-bar trace.
runTraced(AlphaContext, AlphaFactor, AlphaBacktester.Config, AlphaBacktester.WeightBuilder) - Static method in class com.quantfinlib.alpha.AlphaBacktester: AlphaBacktester.run(AlphaContext, AlphaFactor, Config, WeightBuilder) with the per-bar trace.
runUpBps() - Method in record class com.quantfinlib.regulatory.FixAnalyzer.FixImpactReport: Returns the value of the runUpBps record component.
runWholeLots(TradingStrategy, BarSeries, BacktestConfig, double) - Static method in class com.quantfinlib.backtest.Backtester: As Backtester.run(TradingStrategy, BarSeries, BacktestConfig) but entries buy a whole number of lots instead of investing all cash.
rvpi(double, double, double) - Static method in class com.quantfinlib.markets.PrivateMarketAnalytics: RVPI: remaining (appraised) value to paid-in.
RW - Static variable in class com.quantfinlib.risk.FrtbSa.Commodity: Delta risk weights, index = bucket − 1 (MAR21.82 Table 11, verified).
RW - Static variable in class com.quantfinlib.risk.FrtbSa.Csr: Delta risk weights for buckets 1-18, index = bucket − 1 (MAR21.53 Table 4, verified against d457).
RW_1250 - Static variable in class com.quantfinlib.risk.FrtbDrcSecuritisation: The 1250% banking-book risk weight (deduction), as a multiple.

S

s() - Method in record class com.quantfinlib.risk.FrtbSa.BucketResult: Returns the value of the s record component.
SabrModel - Class in com.quantfinlib.pricing: SABR stochastic volatility model: the Hagan, Kumar, Lesniewski and Woodward (2002) lognormal implied-vol expansion ("Managing smile risk", Wilmott, eq. 2.17a), and calibration of (α, ρ, ν) with β fixed.
SabrModel.Params - Record Class in com.quantfinlib.pricing: Calibrated SABR parameters.
SaCcr - Class in com.quantfinlib.risk: Standardised approach for counterparty credit risk, SA-CCR (Basel Committee, "The standardised approach for measuring counterparty credit risk exposures", BCBS 279, March 2014, Annex 4).
SaCcr.AssetClass - Enum Class in com.quantfinlib.risk: The five SA-CCR asset classes.
SaCcr.CommoditySet - Enum Class in com.quantfinlib.risk: The four commodity hedging sets (para 161).
SaCcr.CreditGrade - Enum Class in com.quantfinlib.risk: Credit rating buckets and their supervisory factors (Table 2).
SaCcr.HedgingSetType - Enum Class in com.quantfinlib.risk: Hedging-set kind of a trade (paras 162-163) and its multiplier on the supervisory factor.
SaCcr.Margin - Record Class in com.quantfinlib.risk: Margin agreement terms for a margined netting set.
SaCcr.Result - Record Class in com.quantfinlib.risk: SA-CCR outputs for one netting set.
SaCcr.SubNettingSet - Record Class in com.quantfinlib.risk: One part of a netting set for SaCcr.subNettingSets(List): the trades under one margin agreement (or the unmargined trades when margin is null) and the haircut collateral that belongs to them.
SaCcrHaircuts - Class in com.quantfinlib.risk: Supervisory haircuts for the collateral C and the NICA that enter SA-CCR.
SaCcrHaircuts.CollateralKind - Enum Class in com.quantfinlib.risk: Collateral kinds of the supervisory haircut table.
SaCcrHaircuts.DebtRating - Enum Class in com.quantfinlib.risk: Issue rating buckets for debt collateral.
SaCcrHaircuts.NoRatingsDebtClass - Enum Class in com.quantfinlib.risk: Debt classes of the CRE22.50 table (jurisdictions without external ratings).
SaCcrHaircuts.Table - Enum Class in com.quantfinlib.risk: Which supervisory haircut table to use.
SaCcrTrade - Record Class in com.quantfinlib.risk: One derivative as the SA-CCR sees it (BCBS 279, March 2014, Annex 4): the asset class, the hedging-set key, the inputs to the trade-level adjusted notional and the supervisory delta.
SaCcrTrade(SaCcr.AssetClass, String, SaCcr.CreditGrade, boolean, SaCcr.CommoditySet, double, double, double, double, double, double) - Constructor for record class com.quantfinlib.risk.SaCcrTrade: The 2.1 constructor: an ordinary (non-basis, non-volatility) trade.
SaCcrTrade(SaCcr.AssetClass, String, SaCcr.CreditGrade, boolean, SaCcr.CommoditySet, double, double, double, double, double, double, SaCcr.HedgingSetType) - Constructor for record class com.quantfinlib.risk.SaCcrTrade: Validates every field.
sample(RandomGenerator, 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.
sampleCovariance(double[], double[]) - Static method in class com.quantfinlib.stats.Stats: Sample covariance of two equal-length series, n - 1 denominator.
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 record class com.quantfinlib.simulation.MonteCarloSimulator.Estimate: Returns the value of the samples record component.
sampleSize() - Method in record class com.quantfinlib.risk.ExtremeValueTheory.GpdFit: Returns the value of the sampleSize record component.
sampleStdDev(double[]) - Static method in class com.quantfinlib.stats.Stats: Square root of Stats.sampleVariance(double[]).
sampleStdDev(double[], int, int) - Static method in class com.quantfinlib.stats.Stats: Square root of Stats.sampleVariance(double[], int, int).
sampleT(RandomGenerator, 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).
sampleVariance(double[]) - Static method in class com.quantfinlib.stats.Stats: Sample variance, n - 1 denominator; NaN for fewer than two points.
sampleVariance(double[], int, int) - Static method in class com.quantfinlib.stats.Stats: Sample variance of v[from, to); NaN for fewer than two points.
sbmCapital(List) - Static method in class com.quantfinlib.risk.FrtbSa: SBM capital: the maximum of the three scenario totals.
scale() - Method in record class com.quantfinlib.risk.ExtremeValueTheory.GpdFit: Returns the value of the scale record component.
scale(double, double) - Static method in class com.quantfinlib.risk.SaCcrHaircuts: Scales a 10-day haircut to N business days by the square-root-of-time rule, H_N = H_10 sqrt(N / 10) (BCBS 128 paras 168-169; CRE22.56-59).
scaleStdError() - Method in record class com.quantfinlib.risk.ExtremeValueTheory.GpdMle: Returns the value of the scaleStdError record component.
scenarioGrid(double[], double[]) - Method in class com.quantfinlib.hedging.OptionsBook: Spot×vol scenario P&L grid (full revaluation, no time decay): grid[i][j] = P&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: Splits a parent order across the volume profile.
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(IsdaCdsModel.Contract) - Static method in class com.quantfinlib.credit.IsdaCdsModel: The coupon schedule from the accrual start to maturity.
schedule(IsdaCdsModel.Contract, BusinessCalendar) - Static method in class com.quantfinlib.credit.IsdaCdsModel: The coupon schedule with accrual and payment dates adjusted following on a holiday calendar.
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 (short front stub, no end-of-month rule), then rolled.
schedule(LocalDate, LocalDate, int, BusinessCalendar.Roll, BusinessCalendar.StubType, boolean) - Method in class com.quantfinlib.rates.BusinessCalendar: As BusinessCalendar.schedule(LocalDate, LocalDate, int, Roll) with a stub type and EOM rule.
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 class com.quantfinlib.alpha.AlphaCombiner.Combination: Combined score: Σ w_k z'_k with the same per-date orthogonalisation as the fit; NaN where any factor has no score.
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) - Static method in class com.quantfinlib.backtest.validation.GridSearchOptimizer
secSaPermittedWithUnknownW(double, double) - Static method in class com.quantfinlib.risk.FrtbDrcSecuritisation: Whether SEC-SA may be used when the delinquency status is unknown for part of the pool: true when unknown EAD / total EAD is at most 5% (CRE41.9).
secSaRiskWeight(double, double, double, boolean, boolean, boolean) - Static method in class com.quantfinlib.risk.FrtbDrcSecuritisation: SEC-SA banking-book risk weight as a multiple (CRE41.11 to CRE41.22). p = 1 (CRE41.12), 1.5 for a resecuritisation (CRE41.16(3)), 0.5 for STC (CRE41.21).
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.
sector(int) - Method in class com.quantfinlib.risk.FactorRiskModel: Sector index of name i.
sector(int, int) - Method in class com.quantfinlib.alpha.BacktestAttribution: P&L of sector j (index into BacktestAttribution.sectorNames()) in step s.
sectorCount() - Method in class com.quantfinlib.risk.FactorRiskModel
sectorNames() - Method in class com.quantfinlib.alpha.BacktestAttribution
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) - 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!)
sectorNeutralized(AlphaFactor, Map) - Static method in class com.quantfinlib.alpha.Factors: Demeans scores within each sector per date, so the factor ranks names against their sector peers.
sectorRows(String[]) - Static method in class com.quantfinlib.alpha.PortfolioConstruction: Sector dummy rows (one per distinct label) for PortfolioConstruction.neutralize(double[], double[][]).
sectors() - Method in record class com.quantfinlib.alpha.AlphaBacktester.RiskOptions: Returns the value of the sectors record component.
SECURITISATION - Enum constant in enum class com.quantfinlib.risk.SaCcrHaircuts.CollateralKind: Securitisation exposures (CRE22.49 securitisation column; CRE22.51(3)).
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.
Segment(BacktestResult, Backtester.State) - Constructor for record class com.quantfinlib.backtest.Backtester.Segment: Creates an instance of a Segment record class.
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.
selectionBias() - Method in record class com.quantfinlib.alpha.AlphaValidation.Fold: Returns the value of the selectionBias record component.
SELL - Enum constant in enum class com.quantfinlib.backtest.Signal
SELL - Enum constant in enum class com.quantfinlib.core.Side
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, CrossOp, 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, CrossOp, 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).
SENIOR_SECURITISATION_SA_RW_BELOW_100 - Enum constant in enum class com.quantfinlib.risk.SaCcrHaircuts.NoRatingsDebtClass: Senior securitisation exposure with an SA risk weight below 100% (CRE22.34(4)(c)).
senkouA(int) - Method in class com.quantfinlib.indicators.Indicators.Ichimoku: Element i of senkouA.
senkouACopy() - Method in class com.quantfinlib.indicators.Indicators.Ichimoku: A fresh copy of senkouA.
senkouALength() - Method in class com.quantfinlib.indicators.Indicators.Ichimoku: Length of senkouA.
senkouB(int) - Method in class com.quantfinlib.indicators.Indicators.Ichimoku: Element i of senkouB.
senkouBCopy() - Method in class com.quantfinlib.indicators.Indicators.Ichimoku: A fresh copy of senkouB.
senkouBLength() - Method in class com.quantfinlib.indicators.Indicators.Ichimoku: Length of senkouB.
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, double) - Constructor for class com.quantfinlib.alpha.AlphaValidation.SensitivityResult: Creates the value; array and collection arguments are copied.
sent(int) - Method in class com.quantfinlib.execution.VenueScorecard
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).
SeriesAligner - Class in com.quantfinlib.data: Aligns multi-asset bar series onto one shared timeline — the bridge from raw vendor files (io.CsvBarLoader) to the index-aligned input the PortfolioBacktester requires.
ses(double[], double[], double[]) - Static method in class com.quantfinlib.risk.FrtbNmrf: Aggregated stress-scenario capital.
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.
Settings(double, double, double, int, double) - Constructor for record class com.quantfinlib.alpha.TurnoverAwareOptimizer.Settings: Creates an instance of a Settings record class.
Settings(int, double, double, int, boolean) - Constructor for record class com.quantfinlib.alpha.AlphaCombiner.Settings: Creates an instance of a Settings record class.
Settings(int, int, int, int, double, int, double) - Constructor for record class com.quantfinlib.risk.FactorRiskModel.Settings: Creates an instance of a Settings record class.
settleFixing(String, double) - Method in class com.quantfinlib.crb.CentralRiskBook: Releases notional (positive, gross) of pending fixing after the fixing occurs.
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.
shapeStdError() - Method in record class com.quantfinlib.risk.ExtremeValueTheory.GpdMle: Returns the value of the shapeStdError record component.
shares() - Method in record class com.quantfinlib.data.CorporateEventPositions.Holding: Returns the value of the shares record component.
shares(Map) - 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.
sharpe() - Method in class com.quantfinlib.optimization.PortfolioOptimizer.Allocation: sharpe.
sharpeRatio() - Method in record class com.quantfinlib.backtest.PerformanceMetrics: Returns the value of the sharpeRatio record component.
sharpeRatio() - Method in class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport: sharpeRatio.
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 Stats.quantileSorted.
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.
shift() - Method in record class com.quantfinlib.rates.RatesOptions.VolModel: Returns the value of the shift record component.
SHIFTED_LOGNORMAL - Enum constant in enum class com.quantfinlib.rates.RatesOptions.VolType
shiftedLognormal(double) - Static method in record class com.quantfinlib.rates.RatesOptions.VolModel
shiftMonths(LocalDate, long, boolean) - Static method in class com.quantfinlib.rates.BusinessCalendar: anchor shifted by months; with endOfMonth and an anchor on its month's last day, the result is the last day of its month.
shocks(int) - Method in class com.quantfinlib.risk.StressTester.ReverseStress: Element i of shocks.
shocksCopy() - Method in class com.quantfinlib.risk.StressTester.ReverseStress: A fresh copy of shocks.
shocksLength() - Method in class com.quantfinlib.risk.StressTester.ReverseStress: Length of shocks.
SHORT_BACK - Enum constant in enum class com.quantfinlib.rates.BusinessCalendar.StubType: Short last period; dates rolled forward from the effective date.
SHORT_FRONT - Enum constant in enum class com.quantfinlib.rates.BusinessCalendar.StubType: Short first period; dates rolled back from maturity (bond default).
shortfallBps() - Method in record class com.quantfinlib.backtest.ExecutionAlgoBacktester.Result: Returns the value of the shortfallBps record component.
ShortfallDecomposition(double, double, double, double) - Constructor for record class com.quantfinlib.regulatory.BestExecutionAnalyzer.ShortfallDecomposition: Creates an instance of a ShortfallDecomposition record class.
shortLeg(int) - Method in class com.quantfinlib.alpha.BacktestAttribution
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.
shrinkage() - Method in record class com.quantfinlib.risk.FactorRiskModel.Settings: Returns the value of the shrinkage record component.
shrinkToEqual() - Method in record class com.quantfinlib.alpha.AlphaCombiner.Settings: Returns the value of the shrinkToEqual record component.
shrunkWeight(double, double, long, double) - Static method in class com.quantfinlib.microstructure.IcSignificance: The IC shrunk toward zero by z standard errors: max(0, IC − z·SE).
side() - Method in class com.quantfinlib.backtest.ParentOrder: side.
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.microstructure.Execution: Returns the value of the side record component.
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 - Enum Class in com.quantfinlib.core: Order side.
sigma() - Method in record class com.quantfinlib.microstructure.OrnsteinUhlenbeck.Params: Returns the value of the sigma record component.
sigma() - Method in record class com.quantfinlib.pricing.SviSlice: Returns the value of the sigma record component.
sigma() - Method in record class com.quantfinlib.rates.RateFuture: 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.core.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 class com.quantfinlib.indicators.StreamingIndicators.Macd
signal(int) - Method in class com.quantfinlib.indicators.Indicators.Macd: Element i of signal.
Signal - Enum Class in com.quantfinlib.backtest: Trading signal emitted by a strategy for a single bar.
signalAutocorrelation(int) - Method in class com.quantfinlib.alpha.AlphaReport.LagDecay: Element i of signalAutocorrelation (mean cross-sectional rank correlation of scores(t) with scores(t+h)).
signalAutocorrelationCopy() - Method in class com.quantfinlib.alpha.AlphaReport.LagDecay: A fresh copy of signalAutocorrelation.
signalAutocorrelationLength() - Method in class com.quantfinlib.alpha.AlphaReport.LagDecay: Length of signalAutocorrelation.
signalCopy() - Method in class com.quantfinlib.indicators.Indicators.Macd: A fresh copy of signal.
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.
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 building a portfolio from, computed before any backtest so weak signals die cheaply.
SignalEvaluator.QuantileReport - Class in com.quantfinlib.alpha: Mean forward return per score quantile: meanReturns()[0] is the lowest-scored names' average forward return, the last entry the highest-scored.
SignalEvaluator.Report - Class in com.quantfinlib.alpha: The evaluation scorecard; SignalEvaluator.Report.format() renders it.
signalIndex() - Method in class com.quantfinlib.backtest.ParentOrder: signalIndex.
signalLength() - Method in class com.quantfinlib.indicators.Indicators.Macd: Length of signal.
signConsistency() - Method in 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 GBM terminal values after horizonDays trading days (T = horizonDays/252): V_T = V_0·exp((μ − σ²/2)T + σ√T·Z).
simulate(MultiCurrencyExposureSimulator.Market, List, List, List, MultiCurrencyExposureSimulator.BasisFactor, MultiCurrencyExposureSimulator.Csa, double[], int, long, int) - Static method in class com.quantfinlib.credit.MultiCurrencyExposureSimulator: Simulates a netting set with foreign-currency swaps and an optional stochastic basis (added in 2.3).
simulate(MultiCurrencyExposureSimulator.Market, List, List, MultiCurrencyExposureSimulator.Csa, double[], int, long) - Static method in class com.quantfinlib.credit.MultiCurrencyExposureSimulator: Simulates the netting set with the FX wrong-way driver taken from pair 0.
simulate(MultiCurrencyExposureSimulator.Market, List, List, MultiCurrencyExposureSimulator.Csa, double[], int, long, int) - Static method in class com.quantfinlib.credit.MultiCurrencyExposureSimulator: Simulates the netting set.
simulate(BlackScholes.OptionType, double, double, double, double, double, double, double, int, int, DeltaHedger.Config) - Method in class com.quantfinlib.hedging.HedgingSimulator: Simulates the hedging error distribution over Monte Carlo paths.
simulatePaths(double[], double[], double[], double[][], double, int, int, boolean, MonteCarloSimulator.PathPayoff) - Method in class com.quantfinlib.simulation.MonteCarloSimulator: Simulates paths correlated GBM paths and returns the payoff of each.
simulatePortfolio(double, double[], double[], double[][], int, int) - Method in class com.quantfinlib.simulation.MonteCarloSimulator: Buy-and-hold multi-asset portfolio.
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.alpha.CapacityCurve
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 class com.quantfinlib.rates.FixingHistory: Number of fixings held.
size() - Method in class com.quantfinlib.risk.Pca
size() - Method in class com.quantfinlib.risk.Portfolio
size(int, boolean, int) - Method in class com.quantfinlib.fx.FxTierBook
sizeBuckets() - Method in record class com.quantfinlib.risk.FactorRiskModel.Settings: Returns the value of the sizeBuckets record component.
skew(double, double, double) - Method in class com.quantfinlib.pricing.VolSurface: Chord slope of the smile between two strikes, in decimal vol 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.stats.Stats: Population skewness m3 / m2^1.5; 0 when the data have no dispersion.
skipBars() - Method in record class com.quantfinlib.backtest.portfolio.CrossSectionalMomentum.Config: Returns the value of the skipBars record component.
slice(double) - Method in class com.quantfinlib.pricing.SsviSurface: The raw SVI slice equal to this surface at expiry t (Gatheral-Jacquier 2014, section 4): a = θ(1−ρ²)/2, b = θφ/2, m = −ρ/φ, σ = √(1−ρ²)/φ.
slice(int) - Method in class com.quantfinlib.pricing.SviSurface
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 class com.quantfinlib.alpha.AlphaBacktester.Result: slippageDrag.
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.
slope(double) - Method in record class com.quantfinlib.pricing.SviSlice: First derivative dw/dk.
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
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
SME - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.AssetClass
SMILE_STRANGLE - Enum constant in enum class com.quantfinlib.fx.FxVolSurface.ButterflyQuote: Smile strangle: (σ_call + σ_put)/2 − σ_ATM.
smileButterfly10(int) - Method in class com.quantfinlib.fx.FxVolSurface: Smile-strangle 10Δ butterfly at pillar i, NaN without 10Δ wings.
smileButterfly25(int) - Method in class com.quantfinlib.fx.FxVolSurface: Smile-strangle 25Δ butterfly solved (or taken as given) at pillar i.
smileCost(VannaVolga, double, double, double) - Static method in class com.quantfinlib.fx.VannaVolgaTouch: The unweighted vanna-volga smile cost Σ xᵢ · pillar cost for the one-touch (the adjustment before the survival weight).
SmilePillar(double, double, double[], double[]) - Constructor for class com.quantfinlib.fx.FxVolSurface.SmilePillar: Creates the value; array and collection arguments are copied.
smoothedHighVolProbability(int) - Method in class com.quantfinlib.ml.RegimeDetector.RegimeModel: Element i of smoothedHighVolProbability (P(high vol at t | all data): ex post only).
smoothedHighVolProbabilityCopy() - Method in class com.quantfinlib.ml.RegimeDetector.RegimeModel: A fresh copy of smoothedHighVolProbability.
smoothedHighVolProbabilityLength() - Method in class com.quantfinlib.ml.RegimeDetector.RegimeModel: Length of smoothedHighVolProbability.
Solution(double[], double, int) - Constructor for class com.quantfinlib.optimization.QuadraticProgram.Solution: Creates the value; array and collection arguments are copied.
solve(double[][], double[], double[][], double[], double[][], double[], double[]) - Static method in class com.quantfinlib.optimization.QuadraticProgram: Solves the quadratic program.
solveLinear(double[][], double[]) - Static method in class com.quantfinlib.stats.LinearAlgebra: 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, double, boolean) - Constructor for class com.quantfinlib.backtest.SorExecution
SorExecution.VenueConfig - Record Class in com.quantfinlib.backtest: One venue's fee, liquidity share and lit or dark status.
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.
SOVEREIGN_DEBT - Enum constant in enum class com.quantfinlib.risk.SaCcrHaircuts.CollateralKind: Debt issued by sovereigns.
SOVEREIGN_RW_0 - Enum constant in enum class com.quantfinlib.risk.SaCcrHaircuts.NoRatingsDebtClass: Sovereign issuer with a 0% risk weight.
SOVEREIGN_RW_100 - Enum constant in enum class com.quantfinlib.risk.SaCcrHaircuts.NoRatingsDebtClass: Sovereign issuer with a 100% risk weight.
SOVEREIGN_RW_20_OR_50 - Enum constant in enum class com.quantfinlib.risk.SaCcrHaircuts.NoRatingsDebtClass: Sovereign issuer with a 20% or 50% risk weight.
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.
spec() - Method in record class com.quantfinlib.alpha.AlphaBacktester.RiskOptions: Returns the value of the spec record component.
Spec(int, int, int, int, FactorRiskModel.Settings) - Constructor for record class com.quantfinlib.alpha.AlphaRiskModels.Spec: Creates an instance of a Spec record class.
SPECIAL - Enum constant in enum class com.quantfinlib.data.CorporateEvents.DividendKind
SPECIAL_ONLY - Enum constant in enum class com.quantfinlib.data.CorporateEvents.DividendPolicy: Only special dividends adjust; regular ones stay in the price series.
SpecialFunctions - Class in com.quantfinlib.stats: Normal density, distribution and quantile, log-gamma, the regularized incomplete beta function and the Student-t distribution function.
specific(int) - Method in class com.quantfinlib.alpha.BacktestAttribution
specificContribution() - Method in class com.quantfinlib.risk.FactorRiskModel.Decomposition: Share of total variance that is specific.
specificHalfLife() - Method in record class com.quantfinlib.risk.FactorRiskModel.Settings: Returns the value of the specificHalfLife record component.
specificRisk() - Method in class com.quantfinlib.risk.FactorRiskModel.Decomposition
specificVariance() - Method in class com.quantfinlib.risk.FactorRiskModel.Decomposition
specificVariance(int) - Method in class com.quantfinlib.risk.FactorRiskModel: Specific variance of name i, per period (NaN when not covered).
SPECULATIVE_GRADE_INDEX - Enum constant in enum class com.quantfinlib.risk.SaCcr.CreditGrade: Speculative-grade index, 1.06%.
SpinOff(long, String, String, double, double) - Constructor for record class com.quantfinlib.data.CorporateEvents.SpinOff: Creates an instance of a SpinOff record class.
Split(int, int, int, int[]) - Constructor for class com.quantfinlib.backtest.validation.PurgedKFold.Split: Creates the value; array and collection arguments are copied.
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: Builds purged and embargoed k-fold splits.
spot() - Method in class com.quantfinlib.commodities.CommodityCurve
spot() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Foreign: Returns the value of the spot record component.
spot() - Method in enum class com.quantfinlib.fx.FxVolSurface.DeltaConvention
spot() - Method in class com.quantfinlib.hedging.OptionsBook
spot() - Method in class com.quantfinlib.pricing.ForwardCurve
spot() - Method in class com.quantfinlib.pricing.SsviSurface
spot() - Method in class com.quantfinlib.pricing.SviSurface
spot() - Method in interface com.quantfinlib.pricing.TotalVarianceSurface: Spot price.
SPOT - Enum constant in enum class com.quantfinlib.fx.FxVolSurface.DeltaConvention: Spot delta e^{−r_f T} N(d1).
SPOT_PREMIUM_ADJUSTED - Enum constant in enum class com.quantfinlib.fx.FxVolSurface.DeltaConvention: Premium-adjusted spot delta e^{−r_f T} (K/F) N(d2).
SPOT_RW - Static variable in class com.quantfinlib.risk.FrtbSa.Equity: Spot delta risk weights, index = bucket − 1 (MAR21.77 Table 10, verified).
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
spotRepoDifferentIssuer(int) - Static method in class com.quantfinlib.risk.FrtbSa.Equity: Spot against repo of different issuers in the same bucket: the spot-spot value times 99.9% (MAR21.78(4)).
spread() - Method in 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 record class com.quantfinlib.rates.OvernightLeg: Returns the value of the spread record component.
spread() - Method in record class com.quantfinlib.rates.TermRateLeg: Returns the value of the spread record component.
spread(int) - Method in class com.quantfinlib.hedging.PairsHedger.PairsAnalysis: Element i of spread.
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(int) - Method in class com.quantfinlib.microstructure.SignalEngine: Decayed spread as basis points of the current mid; NaN before a mid.
spreadCaptured() - Method in class com.quantfinlib.crb.CrbPnlLedger: Spread captured by internalizing, net of improvement given back.
spreadCopy() - Method in class com.quantfinlib.hedging.PairsHedger.PairsAnalysis: A fresh copy of spread.
spreadDrag() - Method in class com.quantfinlib.alpha.AlphaBacktester.Result: spreadDrag.
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
spreadLength() - Method in class com.quantfinlib.hedging.PairsHedger.PairsAnalysis: Length of spread.
spreadSeries(int) - Method in class com.quantfinlib.alpha.SignalEvaluator.QuantileReport: Element i of spreadSeries (per-date top-minus-bottom return).
spreadSeriesCopy() - Method in class com.quantfinlib.alpha.SignalEvaluator.QuantileReport: A fresh copy of spreadSeries.
spreadSeriesLength() - Method in class com.quantfinlib.alpha.SignalEvaluator.QuantileReport: Length of spreadSeries.
spreadTolerance() - Method in record class com.quantfinlib.execution.LiquiditySeekingAlgo.Config: Returns the value of the spreadTolerance record component.
spreadTStat() - Method in class com.quantfinlib.alpha.SignalEvaluator.QuantileReport: spreadTStat (Newey-West t-stat of the mean spread (automatic lag; the date grid does not overlap)).
squareRootImpactBps(double) - Method in class com.quantfinlib.microstructure.MarketImpactModel: Square-root-law total impact for an order of quantity.
SsviSurface - Class in com.quantfinlib.pricing: Surface SVI (Gatheral and Jacquier 2014, "Arbitrage-free SVI volatility surfaces", Quantitative Finance 14(1), definition 4.1):
SsviSurface(double, double, double, double[], double[], double, double, double) - Constructor for class com.quantfinlib.pricing.SsviSurface
standaloneDeskVar() - Method in record class com.quantfinlib.crb.CentralRiskBook.CrbReport: Returns the value of the standaloneDeskVar record component.
STANDARD_RECOVERY - Static variable in class com.quantfinlib.credit.IsdaCdsModel: Standard recovery rate for senior unsecured quoting.
standardContract(LocalDate, int, double, double) - Static method in class com.quantfinlib.credit.IsdaCdsModel: A standard contract: rolled maturity, IMM accrual start, T+1 step-in and T+3 business-day settlement.
standardContract(LocalDate, int, double, double, BusinessCalendar) - Static method in class com.quantfinlib.credit.IsdaCdsModel: A standard contract with settlement and accrual start adjusted on a holiday calendar.
standardError() - Method in record class com.quantfinlib.pricing.LocalVolMonteCarlo.Result: Returns the value of the standardError record component.
standardError() - Method in record class com.quantfinlib.simulation.MonteCarloSimulator.Estimate: Returns the value of the standardError record component.
standardError(double, long) - Static method in class com.quantfinlib.microstructure.IcSignificance: Null standard error of the EWMA correlation, 1/√n_eff; +∞ before any sample.
standardErrorOfMean(double[], int) - Static method in class com.quantfinlib.alpha.NeweyWest: HAC standard error of the sample mean of x.
standardErrors(int) - Method in class com.quantfinlib.alpha.Ols.Fit: Element i of standardErrors (classical standard errors).
standardErrors(int) - Method in class com.quantfinlib.volatility.Egarch11.Fit: Element i of standardErrors (SEs of (ω, α, γ, β[, ν]) from the observed information).
standardErrors(int) - Method in class com.quantfinlib.volatility.Garch11.Fit: Element i of standardErrors (SEs of (ω, α, β[, ν]) from the observed information).
standardErrors(int) - Method in class com.quantfinlib.volatility.GjrGarch11.Fit: Element i of standardErrors (SEs of (ω, α, γ, β[, ν]) from the observed information).
standardErrorsCopy() - Method in class com.quantfinlib.alpha.Ols.Fit: A fresh copy of standardErrors.
standardErrorsCopy() - Method in class com.quantfinlib.volatility.Egarch11.Fit: A fresh copy of standardErrors.
standardErrorsCopy() - Method in class com.quantfinlib.volatility.Garch11.Fit: A fresh copy of standardErrors.
standardErrorsCopy() - Method in class com.quantfinlib.volatility.GjrGarch11.Fit: A fresh copy of standardErrors.
standardErrorsLength() - Method in class com.quantfinlib.alpha.Ols.Fit: Length of standardErrors.
standardErrorsLength() - Method in class com.quantfinlib.volatility.Egarch11.Fit: Length of standardErrors.
standardErrorsLength() - Method in class com.quantfinlib.volatility.Garch11.Fit: Length of standardErrors.
standardErrorsLength() - Method in class com.quantfinlib.volatility.GjrGarch11.Fit: Length of standardErrors.
standardize(double[], double[], boolean[], double) - Static method in class com.quantfinlib.risk.FactorRiskModel: Cap-weighted-mean-zero, equal-weighted-unit-sd z-scores over the live names, clipped at ±limit and re-standardised once.
standardized(AlphaFactor) - Static method in class com.quantfinlib.alpha.Factors: Cross-sectional z-score per date: (s − mean)/sd over the scored names (population sd); all-zero when the scores have no dispersion.
standardMaturity(LocalDate, int) - Static method in class com.quantfinlib.credit.IsdaCdsModel: Standard maturity under the semi-annual roll (20 Jun / 20 Dec).
start() - Method in record class com.quantfinlib.rates.Deposit: Returns the value of the start record component.
start() - Method in record class com.quantfinlib.rates.FixedLeg: Returns the value of the start record component.
start() - Method in record class com.quantfinlib.rates.Fra: Returns the value of the start record component.
start() - Method in record class com.quantfinlib.rates.InterestRateSwap: Returns the value of the start record component.
start() - Method in record class com.quantfinlib.rates.OisSwap: Returns the value of the start record component.
start() - Method in record class com.quantfinlib.rates.OvernightLeg: Returns the value of the start record component.
start() - Method in record class com.quantfinlib.rates.RateFuture: Returns the value of the start record component.
start() - Method in record class com.quantfinlib.rates.TermRateLeg: Returns the value of the start record component.
startIndex() - Method in record class com.quantfinlib.alpha.AlphaBacktester.Config: Returns the value of the startIndex record component.
startIndex() - Method in class com.quantfinlib.alpha.AlphaBacktester.Traced: Context bar index of trace step 0; step s covers close(start + s) → close(start + s + 1).
startYears() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.SwapTerms: Returns the value of the startYears record component.
startYears() - Method in record class com.quantfinlib.risk.SaCcrTrade: Returns the value of the startYears 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.
State(double, double, double, double, int, long, Signal) - Constructor for record class com.quantfinlib.backtest.Backtester.State: Creates an instance of a State record class.
stationaryStdev() - Method in record class com.quantfinlib.microstructure.OrnsteinUhlenbeck.Params: Stationary standard deviation σ/√(2κ) — the z-score's yardstick.
Stats - Class in com.quantfinlib.stats: Descriptive statistics on primitive arrays, with every convention named.
stdDev() - Method in class com.quantfinlib.hedging.HedgingErrorDistribution
stdDevs(int) - Method in class com.quantfinlib.ml.RegimeDetector.RegimeModel: Element i of stdDevs (per-state volatility (state 1 = high vol)).
stdDevsCopy() - Method in class com.quantfinlib.ml.RegimeDetector.RegimeModel: A fresh copy of stdDevs.
stdDevsLength() - Method in class com.quantfinlib.ml.RegimeDetector.RegimeModel: Length of stdDevs.
step() - Method in record class com.quantfinlib.alpha.AlphaCombiner.Settings: Returns the value of the step record component.
stepInDate() - Method in record class com.quantfinlib.credit.IsdaCdsModel.Contract: Returns the value of the stepInDate record component.
steps() - Method in class com.quantfinlib.alpha.AlphaBacktester.Traced: Number of traced bars.
steps() - Method in class com.quantfinlib.alpha.BacktestAttribution
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 class com.quantfinlib.indicators.Indicators.StochRsi: Creates the value; array and collection arguments are copied.
stock() - Method in record class com.quantfinlib.screener.RankingEngine.ScoredStock: Returns the value of the stock record component.
StockDividend(long, double) - Constructor for record class com.quantfinlib.data.CorporateEvents.StockDividend: Creates an instance of a StockDividend record class.
stockPerShare() - Method in record class com.quantfinlib.data.CorporateEvents.CashStockMerger: Returns the value of the stockPerShare record component.
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) - 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.
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).
StrategyFactory - Interface in com.quantfinlib.backtest.validation: Builds a strategy instance from one parameter combination.
strategyName() - Method in class com.quantfinlib.backtest.BacktestResult
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.
stressCalibratedEs(double, double, double) - Static method in class com.quantfinlib.risk.FrtbEs: Stressed calibration of the IMA expected shortfall (BCBS MAR33.5-33.6):
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 is not.
StressTester.ReverseStress - Class in com.quantfinlib.risk: The reverse-stress answer: the most-probable shock vector and its distance.
strike() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.FxForwardTerms: Returns the value of the strike record component.
strike() - Method in record class com.quantfinlib.hedging.OptionsBook.OptionPosition: Returns the value of the strike record component.
strike(int) - Method in class com.quantfinlib.pricing.VannaVolga: Pillar strike i (0 put wing, 1 ATM, 2 call wing).
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)).
strikeForDelta(double, double, double, double, boolean, FxVolSurface.DeltaConvention, double) - Static method in class com.quantfinlib.fx.FxVolSurface: Strike for a target delta under any FxVolSurface.DeltaConvention.
strikes(double) - Method in class com.quantfinlib.pricing.VolSurface
strikes(int) - Method in class com.quantfinlib.fx.FxVolSurface.SmilePillar: Element i of strikes.
strikesCopy() - Method in class com.quantfinlib.fx.FxVolSurface.SmilePillar: A fresh copy of strikes.
strikesLength() - Method in class com.quantfinlib.fx.FxVolSurface.SmilePillar: Length of strikes.
StructuredNotes - Class in com.quantfinlib.pricing: Structured notes — the retail shelf, priced by decomposition into the vanilla pieces this library already prices.
stub() - Method in record class com.quantfinlib.rates.LegConvention: Returns the value of the stub record component.
STUDENT_LOANS - Enum constant in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.AssetClass
STUDENT_T - Enum constant in enum class com.quantfinlib.volatility.Innovation: Student-t rescaled to unit variance, with ν > 2 degrees of freedom estimated with the other parameters (Bollerslev 1987, Rev.
styleCount() - Method in class com.quantfinlib.risk.FactorRiskModel
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.
SubNettingSet(List, double, SaCcr.Margin) - Constructor for record class com.quantfinlib.risk.SaCcr.SubNettingSet: Validates and copies the trade list.
subNettingSets(List) - Static method in class com.quantfinlib.risk.SaCcr: One netting set under several margin agreements, or mixing margined and unmargined trades (BCBS 279 para 185).
subscriptionPrice() - Method in record class com.quantfinlib.data.CorporateEvents.RightsIssue: Returns the value of the subscriptionPrice record component.
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.
superTrend(BarSeries, int, double) - Static method in class com.quantfinlib.indicators.Indicators: SuperTrend with ATR bands.
SuperTrend(double[], int[]) - Constructor for class com.quantfinlib.indicators.Indicators.SuperTrend: Creates the value; array and collection arguments are copied.
superTrendBullish(int, double) - Static method in class com.quantfinlib.screener.TechnicalFilters
supervisoryDuration(double, double) - Static method in class com.quantfinlib.risk.SaCcr: Supervisory duration of para 157, with S and E in years.
supervisoryFactor() - Method in enum class com.quantfinlib.risk.SaCcr.CreditGrade: Returns the supervisory factor as a decimal.
surface() - Method in class com.quantfinlib.pricing.DupireLocalVol
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.
SviSlice - Record Class in com.quantfinlib.pricing: One expiry of the raw SVI parametrisation (Gatheral 2004, "A parsimonious arbitrage-free implied volatility parameterization", Global Derivatives; Gatheral and Jacquier 2014, "Arbitrage-free SVI volatility surfaces", Quantitative Finance 14(1), equation 3.1):
SviSlice(double, double, double, double, double) - Constructor for record class com.quantfinlib.pricing.SviSlice: Creates an instance of a SviSlice record class.
SviSurface - Class in com.quantfinlib.pricing: A surface of raw SVI slices (SviSlice), one per pillar expiry, interpolated linearly in total variance at fixed log-moneyness k = ln(K/F(t)).
SviSurface(double[], SviSlice[], double, double, double) - Constructor for class com.quantfinlib.pricing.SviSurface
Swap(MultiCurrencyExposureSimulator.SwapTerms, MultiCurrencyExposureSimulator.Curve) - Constructor for record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Swap: Validates.
Swap(String, double) - Constructor for record class com.quantfinlib.credit.IsdaRateCurve.Swap: Validates the tenor format and that the rate is finite.
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.
SwapTerms(double, double, boolean, double, double, int) - Constructor for record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.SwapTerms: Validates the terms.
swaption(DiscountCurve, DiscountCurve, InterestRateSwap, double, double, boolean, RatesOptions.VolModel) - Static method in class com.quantfinlib.rates.RatesOptions: Swaption on underlying (its fixed rate is ignored; strike is used), expiring at the swap start: A_d * model(F, K) with F the multi-curve par rate and A_d the OIS annuity.
swaption(YieldCurve, double, double, int, double, double, boolean, RatesOptions.VolModel) - Static method in class com.quantfinlib.rates.RatesOptions: Swaption price per unit notional under any RatesOptions.VolModel: annuity × model value on the forward swap rate, expiry = start.
swaption(YieldCurve, int, int, double, double, boolean) - Static method in class com.quantfinlib.rates.RatesOptions: Black-76 swaption price per unit notional.
swaptionImpliedVol(YieldCurve, double, double, int, double, double, boolean, RatesOptions.VolModel) - Static method in class com.quantfinlib.rates.RatesOptions: Implied vol (of the given model) of a swaption price per unit notional.
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.
sweepProbability(long, long, double) - Static method in class com.quantfinlib.ml.MarketImpactPredictor: As MarketImpactPredictor.sweepProbability(long, long) with an explicit logistic slope > 0.
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.data.CorporateEventPositions.Holding: 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.microstructure.Execution: Returns the value of the symbol record component.
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.
SymbolChange(long, String, String) - Constructor for record class com.quantfinlib.data.CorporateEvents.SymbolChange: Creates an instance of a SymbolChange record class.
symbolCount() - Method in class com.quantfinlib.alpha.AlphaContext
symbolCount() - Method in class com.quantfinlib.microstructure.SignalEngine
symbols() - Method in class com.quantfinlib.alpha.AlphaContext: The frozen symbol order every score/weight array aligns with.
symbols() - Method in class com.quantfinlib.microstructure.EwmaCovariance
symmetricEigen(double[][]) - Static method in class com.quantfinlib.risk.PsdMatrices: Cyclic Jacobi eigen-decomposition of a symmetric matrix.
syntheticAsk(CrossOp, 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(CrossOp, 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(CrossOp, 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.
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

Tail(double, double) - Constructor for record class com.quantfinlib.risk.TailRisk.Tail: Creates an instance of a Tail record class.
TailRisk - Class in com.quantfinlib.risk: Empirical value-at-risk and expected shortfall of a loss sample, with one tail definition shared by every class in the library that reports them.
TailRisk.Tail - Record Class in com.quantfinlib.risk: VaR and ES of one sample, both in loss units.
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).
takeUpRights(CorporateEventPositions.Holding, CorporateEvents.RightsIssue) - Static method in class com.quantfinlib.data.CorporateEventPositions: Takes up rights in full: pays ratio * S per share for ratio new shares.
target() - Method in class com.quantfinlib.risk.CovarianceShrinkage.Result: target (identity target: mu, the average sample variance (the target's diagonal); constant-correlation target: the average sample correlation r̄).
TARGET - Enum constant in enum class com.quantfinlib.rates.HolidayCalendars.Market: TARGET2 closing days (EUR, ESTR).
targetBand(int) - Method in class com.quantfinlib.crb.CrbAutoHedger: The band the book hedges back into for a factor.
targetHedge() - Method in record class com.quantfinlib.hedging.WhalleyWilmott.Action: Returns the value of the targetHedge record component.
targetQuantity() - Method in class com.quantfinlib.execution.PovTracker: Target executed quantity for the volume seen so far: p / (1 - p) * V.
targetWeights(int) - Method in class com.quantfinlib.backtest.portfolio.CrossSectionalMomentum
targetWeights(int) - Method in interface com.quantfinlib.backtest.portfolio.PortfolioStrategy: Target weights by symbol decided at bar index's close; when they fill is the engine's fillPolicy (next open by default).
tauBars() - Method in class com.quantfinlib.alpha.AlphaReport.LagDecay: tauBars.
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.stats.SpecialFunctions: 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(int) - Method in class com.quantfinlib.indicators.Indicators.Ichimoku: Element i of tenkan.
tenkanCopy() - Method in class com.quantfinlib.indicators.Indicators.Ichimoku: A fresh copy of tenkan.
tenkanLength() - Method in class com.quantfinlib.indicators.Indicators.Ichimoku: Length of tenkan.
tenor() - Method in record class com.quantfinlib.credit.IsdaRateCurve.Swap: Returns the value of the tenor record component.
tenorCorrelation(double, double) - Static method in class com.quantfinlib.risk.FrtbSa.Girr: Same-curve tenor correlation max(exp(−3%·|ΔT|/min T), 40%) (MAR21.46 footnote 13, verified).
tenorDate(LocalDate, String) - Method in class com.quantfinlib.fx.CurrencyPair: Forward settlement date for a market tenor, measured from the pair's spot date.
tenorMatrix(double[]) - Static method in class com.quantfinlib.risk.FrtbSa.Girr: Tenor correlation matrix for the given tenors on one curve.
tenors() - Method in class com.quantfinlib.rates.YieldCurve
TENORS - Static variable in class com.quantfinlib.risk.FrtbSa.Girr: The ten GIRR delta tenors, years.
tenorYears() - Method in record class com.quantfinlib.risk.CounterpartyExposureTracker.CounterpartyTrade: Returns the value of the tenorYears record component.
terminalAcquirerShares(int) - Method in class com.quantfinlib.alpha.AlphaContext: Acquirer shares paid per share of symbol i at its terminal event (0 if none).
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.
terminalIndex(int) - Method in class com.quantfinlib.alpha.AlphaContext: First bar at or after symbol i's terminal event, or −1 when there is no universe, no event, or the event falls after the panel.
TermRateLeg - Record Class in com.quantfinlib.rates: A term-rate floating leg (IBOR-style, or a term SOFR leg): each coupon is the index rate fixed fixingLagDays business days before the accrual start, plus a spread, paid with the leg's payment lag.
TermRateLeg(LocalDate, LocalDate, double, LegConvention, int, FixingHistory) - Constructor for record class com.quantfinlib.rates.TermRateLeg: Validates the fields.
terms() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.ForeignSwap: Returns the value of the terms record component.
terms() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.FxForward: Returns the value of the terms record component.
terms() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Swap: Returns the value of the terms record component.
terp(double, CorporateEvents.RightsIssue) - Static method in class com.quantfinlib.data.CorporateEvents: Theoretical ex-rights price (P + rS) / (1 + r).
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: Backtests a VaR forecast series.
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: Runs the Lo-MacKinlay (1988) variance ratio test.
testEnd() - Method in record class com.quantfinlib.alpha.AlphaValidation.Fold: Returns the value of the testEnd record component.
testFrom() - Method in class com.quantfinlib.backtest.validation.PurgedKFold.Split: testFrom.
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 class com.quantfinlib.backtest.validation.PurgedKFold.Split: testTo.
testTo() - Method in record class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.Fold: Returns the value of the testTo record component.
theoreticalForward(double, double, double, double) - Static method in class com.quantfinlib.pricing.ForwardCurve: CIP-theoretical forward from simple deposit rates.
The safeguard: prequential out-of-sample IC - Section in class com.quantfinlib.microstructure.OnlineAlphaLearner
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(int) - Method in class com.quantfinlib.pricing.SsviSurface: ATM total variance at pillar i.
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).
thetaAt(double) - Method in class com.quantfinlib.pricing.SsviSurface: ATM total variance θ_t at any t > 0, interpolated as described in the class note.
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.
THIRTY_E_360 - Enum constant in enum class com.quantfinlib.rates.DayCount: 30E/360 (Eurobond Basis): both day numbers capped at 30, with no condition on the other date.
THIRTY_E_360_ISDA - Enum constant in enum class com.quantfinlib.rates.DayCount: 30E/360 (ISDA): a date on the last day of its month counts as the 30th, except that the termination date is left alone when it is the last day of February.
threshold() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Csa: Returns the value of the threshold record component.
threshold() - Method in record class com.quantfinlib.risk.ExtremeValueTheory.GpdFit: Returns the value of the threshold record component.
threshold() - Method in record class com.quantfinlib.risk.SaCcr.Margin: Returns the value of the threshold record component.
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.
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.
tier(int, boolean, int, double, double) - Method in class com.quantfinlib.fx.FxTierBook: Replaces one tier of one LP's ladder (tier < 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).
time(int) - Method in class com.quantfinlib.credit.ExposureProfile: Exposure date i in years.
time(int) - Method in class com.quantfinlib.credit.IsdaCurve: Node time i.
time(LocalDate) - Method in class com.quantfinlib.rates.DiscountCurve: Curve time of a date: ACT/365F years from the valuation date.
timesCopy() - Method in class com.quantfinlib.credit.ExposureProfile: Copy of the exposure dates.
timesCopy() - Method in class com.quantfinlib.credit.IsdaCurve: Copy of the node times.
timesLength() - Method in class com.quantfinlib.credit.ExposureProfile: Number of exposure dates.
timesLength() - Method in class com.quantfinlib.credit.IsdaCurve: Number of nodes (a hazard curve carries one extra node 1000 years out).
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 (all series share it).
timestamp(int) - Method in class com.quantfinlib.core.BarSeries
timestampNanos() - Method in record class com.quantfinlib.microstructure.Execution: Returns the value of the timestampNanos record component.
timestampsCopy() - Method in class com.quantfinlib.core.BarSeries: A fresh copy of the timestamp column.
timeUnderWater() - Method in record class com.quantfinlib.backtest.DrawdownAnalytics.Result: Returns the value of the timeUnderWater record component.
timeYears() - Method in class com.quantfinlib.pricing.VannaVolga
to() - Method in record class com.quantfinlib.execution.OrderPlacementPolicy.PostRegion: Returns the value of the to record component.
TOKYO - Enum constant in enum class com.quantfinlib.rates.HolidayCalendars.Market: Japanese national holidays plus bank closing days (JPY, TONA).
tolerance() - Method in record class com.quantfinlib.alpha.TurnoverAwareOptimizer.Settings: Returns the value of the tolerance record component.
TOLERANCE - Static variable in class com.quantfinlib.rates.MultiCurveBootstrap: Maximum absolute repricing error accepted, in rate units.
toModel() - Method in record class com.quantfinlib.microstructure.HawkesIntensity.Fit: A streaming model with the fitted parameters.
topDepth(int) - Method in class com.quantfinlib.microstructure.SignalEngine: Time-decayed displayed depth (bid + ask size at the inside).
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 class com.quantfinlib.alpha.AlphaBacktester.Result
toString() - Method in record class com.quantfinlib.alpha.AlphaBacktester.RiskOptions: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.alpha.AlphaCombiner.Settings: Returns a string representation of this record class.
toString() - Method in class com.quantfinlib.alpha.AlphaReport.Attribution
toString() - Method in class com.quantfinlib.alpha.AlphaReport.Decay
toString() - Method in class com.quantfinlib.alpha.AlphaReport.LagDecay
toString() - Method in record class com.quantfinlib.alpha.AlphaRiskModels.Spec: Returns a string representation of this record class.
toString() - Method in class com.quantfinlib.alpha.AlphaValidation.CrossValidationResult
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 class com.quantfinlib.alpha.AlphaValidation.SensitivityResult
toString() - Method in class com.quantfinlib.alpha.AlphaValidation.WalkForwardResult
toString() - Method in class com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile
toString() - Method in record class com.quantfinlib.alpha.CalendarAnomalies.TurnOfMonth: Returns a string representation of this record class.
toString() - Method in class com.quantfinlib.alpha.CapacityCurve
toString() - Method in class com.quantfinlib.alpha.FamaMacBeth.Result
toString() - Method in record class com.quantfinlib.alpha.FundamentalsHistory.Entry: Returns a string representation of this record class.
toString() - Method in class com.quantfinlib.alpha.Ols.Fit
toString() - Method in class com.quantfinlib.alpha.PortfolioConstruction.Book
toString() - Method in class com.quantfinlib.alpha.SignalEvaluator.QuantileReport
toString() - Method in class com.quantfinlib.alpha.SignalEvaluator.Report
toString() - Method in class com.quantfinlib.alpha.TurnoverAwareOptimizer.Result
toString() - Method in record class com.quantfinlib.alpha.TurnoverAwareOptimizer.Settings: 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 record class com.quantfinlib.backtest.Backtester.Segment: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.backtest.Backtester.State: 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 class com.quantfinlib.backtest.ParentOrder
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.Financing: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Participation: Returns a string representation of this record class.
toString() - Method in class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Result
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.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 class com.quantfinlib.backtest.validation.GridSearchOptimizer.Candidate
toString() - Method in record class com.quantfinlib.backtest.validation.MonteCarloTradeShuffle.Result: Returns a string representation of this record class.
toString() - Method in class com.quantfinlib.backtest.validation.OverfitProbability.Result
toString() - Method in class com.quantfinlib.backtest.validation.PurgedKFold.Split
toString() - Method in record class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.Fold: Returns a string representation of this record class.
toString() - Method in class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.WalkForwardResult
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 class com.quantfinlib.crb.CrbRouter.Allocation
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.credit.CvaApproximator.Bilateral: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.credit.IsdaCdsModel.Contract: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.credit.IsdaCdsModel.Conventions: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.credit.IsdaCdsModel.Period: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.credit.IsdaRateCurve.Swap: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.BasisFactor: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Csa: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Domestic: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Foreign: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.ForeignSwap: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.FxForward: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.FxForwardTerms: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Market: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.Swap: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.SwapTerms: 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.CorporateEventPositions.Holding: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.data.CorporateEventPositions.Outcome: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.data.CorporateEvents.CashStockMerger: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.data.CorporateEvents.Dividend: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.data.CorporateEvents.ReverseSplit: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.data.CorporateEvents.RightsIssue: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.data.CorporateEvents.SpinOff: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.data.CorporateEvents.StockDividend: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.data.CorporateEvents.SymbolChange: 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 class com.quantfinlib.fx.CurrencyPair
toString() - Method in class com.quantfinlib.fx.FxSwap
toString() - Method in class com.quantfinlib.fx.FxVolSurface.SmilePillar
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 class com.quantfinlib.hedging.PairsHedger.PairsAnalysis
toString() - Method in record class com.quantfinlib.hedging.WhalleyWilmott.Action: Returns a string representation of this record class.
toString() - Method in class com.quantfinlib.indicators.Indicators.Adx
toString() - Method in class com.quantfinlib.indicators.Indicators.Bollinger
toString() - Method in class com.quantfinlib.indicators.Indicators.Donchian
toString() - Method in class com.quantfinlib.indicators.Indicators.Ichimoku
toString() - Method in class com.quantfinlib.indicators.Indicators.Keltner
toString() - Method in class com.quantfinlib.indicators.Indicators.Macd
toString() - Method in class com.quantfinlib.indicators.Indicators.StochRsi
toString() - Method in class com.quantfinlib.indicators.Indicators.SuperTrend
toString() - Method in record class com.quantfinlib.microstructure.AlmgrenChriss.Params: Returns a string representation of this record class.
toString() - Method in class com.quantfinlib.microstructure.AlmgrenChriss.Trajectory
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.HawkesIntensity.Fit: 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 class com.quantfinlib.ml.RegimeDetector.RegimeModel
toString() - Method in record class com.quantfinlib.ml.VolatilityForecaster.Validation: Returns a string representation of this record class.
toString() - Method in class com.quantfinlib.optimization.BlackLitterman.Posterior
toString() - Method in class com.quantfinlib.optimization.NelderMead.Result
toString() - Method in class com.quantfinlib.optimization.PortfolioOptimizer.Allocation
toString() - Method in class com.quantfinlib.optimization.QuadraticProgram.Solution
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.HestonCalibrator.Result: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.pricing.LocalVolMonteCarlo.Result: 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.SviSlice: 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.pricing.VolSurface.CalendarViolation: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.rates.CurvePair: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.rates.Deposit: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.rates.FixedLeg: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.rates.Fra: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.rates.InterestRateSwap: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.rates.LegConvention.Period: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.rates.LegConvention: 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.OisSwap: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.rates.OvernightConvention: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.rates.OvernightLeg: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.rates.RateFuture: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.rates.RatesOptions.VolModel: 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.rates.TermRateLeg: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.rates.VanillaSwap: 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.BestExecutionAnalyzer.ShortfallDecomposition: 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 class com.quantfinlib.risk.ComponentVar.Allocation
toString() - Method in record class com.quantfinlib.risk.CounterpartyExposureTracker.CounterpartyTrade: Returns a string representation of this record class.
toString() - Method in class com.quantfinlib.risk.CovarianceShrinkage.Result
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.ExtremeValueTheory.GpdMle: Returns a string representation of this record class.
toString() - Method in class com.quantfinlib.risk.FactorRiskModel.Decomposition
toString() - Method in record class com.quantfinlib.risk.FactorRiskModel.Settings: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.risk.FrtbDrc.NetJtd: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.risk.FrtbDrcSecuritisation.NetJtd: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.risk.FrtbDrcSecuritisation.NonCtpBucket: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.risk.FrtbDrcSecuritisation.Position: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.risk.FrtbSa.Bucket: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.risk.FrtbSa.BucketResult: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.risk.FrtbSa.RiskClass: 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 class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport
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 class com.quantfinlib.risk.PsdMatrices.Eigen
toString() - Method in record class com.quantfinlib.risk.SaCcr.Margin: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.risk.SaCcr.Result: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.risk.SaCcr.SubNettingSet: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.risk.SaCcrTrade: 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 class com.quantfinlib.risk.StressTester.ReverseStress
toString() - Method in record class com.quantfinlib.risk.TailRisk.Tail: Returns a string representation of this record class.
toString() - Method in record class com.quantfinlib.risk.VarBacktest.TrafficLight: 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 record class com.quantfinlib.simulation.MonteCarloSimulator.Estimate: Returns a string representation of this record class.
toString() - Method in class com.quantfinlib.simulation.SimulationResult
toString() - Method in class com.quantfinlib.volatility.Egarch11.Fit
toString() - Method in record class com.quantfinlib.volatility.Egarch11.Params: Returns a string representation of this record class.
toString() - Method in class com.quantfinlib.volatility.Garch11.Fit
toString() - Method in record class com.quantfinlib.volatility.Garch11.Params: Returns a string representation of this record class.
toString() - Method in class com.quantfinlib.volatility.GjrGarch11.Fit
toString() - Method in record class com.quantfinlib.volatility.GjrGarch11.Params: Returns a string representation of this record class.
toString() - Method in class com.quantfinlib.volatility.HarRv.Fit
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.
total() - Method in record class com.quantfinlib.credit.CvaApproximator.Bilateral: Bilateral adjustment, a charge when positive.
total() - Method in record class com.quantfinlib.regulatory.BestExecutionAnalyzer.ShortfallDecomposition: Returns the value of the total record component.
total(List, FrtbSa.Scenario) - Static method in class com.quantfinlib.risk.FrtbSa: Total SBM charge of a set of risk classes under one scenario.
total(List) - Static method in class com.quantfinlib.risk.FrtbDrc: Total non-securitisation DRC: simple sum of bucket charges (MAR22.26, verified).
totalCostDrag() - Method in class com.quantfinlib.alpha.AlphaBacktester.Result: Total trading-cost drag (financing excluded).
totalCostDrag(int) - Method in class com.quantfinlib.alpha.CapacityCurve: Cumulative cost of every kind, fraction of equity.
totalCosts() - Method in class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Result: totalCosts.
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.
totalReturnError(BarSeries, BarSeries, List) - Static method in class com.quantfinlib.data.CorporateEvents: Total-return consistency check.
totalRisk() - Method in class com.quantfinlib.risk.FactorRiskModel.Decomposition: Total risk σ, per period.
totalShares() - Method in record class com.quantfinlib.microstructure.AlmgrenChriss.Params: Returns the value of the totalShares record component.
totalTurnoverNotional() - Method in class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Result: totalTurnoverNotional.
totalValue() - Method in class com.quantfinlib.risk.Portfolio
totalVariance() - Method in class com.quantfinlib.risk.FactorRiskModel.Decomposition
totalVariance() - Method in record class com.quantfinlib.volatility.VolatilityDecomposition.Decomposition: Returns the value of the totalVariance record component.
totalVariance(double) - Method in record class com.quantfinlib.pricing.SviSlice: Total implied variance at log-moneyness k.
totalVariance(double, double) - Method in class com.quantfinlib.pricing.SsviSurface
totalVariance(double, double) - Method in class com.quantfinlib.pricing.SviSurface
totalVariance(double, double) - Method in interface com.quantfinlib.pricing.TotalVarianceSurface: Total implied variance at expiry t (years, > 0) and log-moneyness k.
totalVariance1() - Method in record class com.quantfinlib.pricing.VolSurface.CalendarViolation: Returns the value of the totalVariance1 record component.
totalVariance2() - Method in record class com.quantfinlib.pricing.VolSurface.CalendarViolation: Returns the value of the totalVariance2 record component.
TotalVarianceSurface - Interface in com.quantfinlib.pricing: An implied volatility surface expressed as total implied variance w(T, k) = σ_BS(T, K)²·T against log-moneyness k = ln(K/F(T)), on a market with flat continuously compounded rate r and carry (dividend or foreign) yield q, so F(T) = S·e^{(r−q)T}.
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).
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.
trackingGap(int) - Method in class com.quantfinlib.alpha.CapacityCurve: Mean distance from target while working trades under the cap.
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.
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: Trade-level statistics.
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: Creates an instance; the explicit form of the default constructor.
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(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.microstructure.FlowSignals
tradeCount() - Method in class com.quantfinlib.microstructure.SignalEngine
tradeDate() - Method in record class com.quantfinlib.credit.IsdaCdsModel.Contract: Returns the value of the tradeDate record component.
tradeDateForSpot(LocalDate) - Method in class com.quantfinlib.fx.CurrencyPair: The inverse of CurrencyPair.spotDate(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.
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.risk.SaCcr.SubNettingSet: Returns the value of the trades record component.
trades(int) - Method in class com.quantfinlib.microstructure.AlmgrenChriss.Trajectory: Element i of trades.
tradesCopy() - Method in class com.quantfinlib.microstructure.AlmgrenChriss.Trajectory: A fresh copy of trades.
tradesLength() - Method in class com.quantfinlib.microstructure.AlmgrenChriss.Trajectory: Length of trades.
trading(int) - Method in class com.quantfinlib.alpha.BacktestAttribution
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.
TradingStrategy - Interface in com.quantfinlib.backtest: A bar-driven trading strategy.
trafficLight(int, int) - Static method in class com.quantfinlib.risk.VarBacktest: Basel traffic light for 99 % VaR, the supervisory backtest of the bank-wide model (Basel Framework MAR32.8-32.9 and MAR99.17, Table 2).
trafficLight(int, int, double) - Static method in class com.quantfinlib.risk.VarBacktest: Traffic light at another VaR coverage, with the same 95 % / 99.99 % zone boundaries (the Basel text fixes 99 %; other levels are an extension for internal desk monitoring).
TrafficLight(VarBacktest.Zone, int, int, double, double) - Constructor for record class com.quantfinlib.risk.VarBacktest.TrafficLight: Creates an instance of a TrafficLight record class.
trailingBetas(AlphaContext, int, int) - Static method in class com.quantfinlib.alpha.PortfolioConstruction: Trailing OLS betas against a leave-one-out equal-weight market: for symbol i the market return is the mean of the other names' returns.
trailingBetas(AlphaContext, int, int, BarSeries) - Static method in class com.quantfinlib.alpha.PortfolioConstruction: Trailing OLS betas against an external market series aligned with the panel (same bar count and timestamps), for example an index.
trailingVols(AlphaContext, int, int) - Static method in class com.quantfinlib.alpha.PortfolioConstruction: Trailing return volatilities per symbol at index (sample sd of the close-to-close returns ending at bars index−lookback+1 .. index), the standard input to PortfolioConstruction.inverseVolBudget(double[], double[], double).
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() out of sample), 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(int) - Method in class com.quantfinlib.backtest.validation.PurgedKFold.Split: Element i of trainIndices.
trainIndicesCopy() - Method in class com.quantfinlib.backtest.validation.PurgedKFold.Split: A fresh copy of trainIndices.
trainIndicesLength() - Method in class com.quantfinlib.backtest.validation.PurgedKFold.Split: Length of trainIndices.
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 class com.quantfinlib.microstructure.AlmgrenChriss.Trajectory: Creates the value; array and collection arguments are copied.
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(int, int) - Method in class com.quantfinlib.ml.RegimeDetector.RegimeModel: Element [i][j] of transition (transition[i][j] = P(next=j | now=i)).
transitionCopy() - Method in class com.quantfinlib.ml.RegimeDetector.RegimeModel: A deep copy of transition.
transitionRows() - Method in class com.quantfinlib.ml.RegimeDetector.RegimeModel: Number of rows of transition.
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
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.
tStat() - Method in record class com.quantfinlib.alpha.CalendarAnomalies.TurnOfMonth: Returns the value of the tStat record component.
tStat() - Method in class com.quantfinlib.alpha.SignalEvaluator.Report: tStat (HAC (Newey-West) t-stat of the mean IC).
tStat(double[], int) - Static method in class com.quantfinlib.alpha.NeweyWest: HAC t-statistic of the mean against zero: mean / SE_HAC.
tStat(int) - Method in class com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile: Element i of tStat (Newey-West t-stat of each day's mean).
tStat(int) - Method in class com.quantfinlib.alpha.Ols.Fit: Classical t-statistic of coefficient j.
tStatCopy() - Method in class com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile: A fresh copy of tStat.
tStatLength() - Method in class com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile: Length of tStat.
tStats(int) - Method in class com.quantfinlib.alpha.FamaMacBeth.Result: Element i of tStats (Newey-West t-stat per factor).
tStatsCopy() - Method in class com.quantfinlib.alpha.FamaMacBeth.Result: A fresh copy of tStats.
tStatsLength() - Method in class com.quantfinlib.alpha.FamaMacBeth.Result: Length of tStats.
turnbullWakemanSeasoned(BlackScholes.OptionType, double, double, double, double, double, double[], double, double, int) - Static method in class com.quantfinlib.pricing.AsianOption: Turnbull-Wakeman two-moment price for an arithmetic average over arbitrary fixing times, some of which may already be struck.
turnOfMonth(double[], long[], int, int) - Static method in class com.quantfinlib.alpha.CalendarAnomalies: Turn-of-month effect: returns inside against outside the month-end window.
TurnOfMonth(double, double, double, int, int, double, int) - Constructor for record class com.quantfinlib.alpha.CalendarAnomalies.TurnOfMonth: Creates an instance of a TurnOfMonth record class.
turnover() - Method in class com.quantfinlib.alpha.TurnoverAwareOptimizer.Result: turnover.
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|.
TurnoverAwareOptimizer - Class in com.quantfinlib.alpha: Turnover-penalised, constrained mean-variance optimiser solved by ADMM.
TurnoverAwareOptimizer.Result - Class in com.quantfinlib.alpha
TurnoverAwareOptimizer.Settings - Record Class in com.quantfinlib.alpha: Optimiser settings.
turnoverPenalty() - Method in record class com.quantfinlib.alpha.TurnoverAwareOptimizer.Settings: Returns the value of the turnoverPenalty record component.
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 - Section in class com.quantfinlib.execution.BenchmarkExecutor
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 record class com.quantfinlib.ml.AnomalyDetector.Anomaly: Returns the value of the type record component.
type() - Method in record class com.quantfinlib.rates.RatesOptions.VolModel: Returns the value of the type record component.
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: Unadjusted coupon dates strictly after effectiveDate: short front stub, no EOM rule.
unadjustedSchedule(LocalDate, LocalDate, int, BusinessCalendar.StubType, boolean) - Static method in class com.quantfinlib.rates.BusinessCalendar: Unadjusted (theoretical) period end dates strictly after effectiveDate, ascending, the last one being maturity (or, for back stubs, also maturity).
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) - 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.
unknown() - Static method in record class com.quantfinlib.screener.Fundamentals
UNKNOWN - Static variable in class com.quantfinlib.microstructure.TradeClassifier
unmargined(List, double) - Static method in class com.quantfinlib.risk.SaCcr: EAD of an unmargined netting set.
UNRATED - Enum constant in enum class com.quantfinlib.risk.FrtbDrc.CreditQuality
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.
UP - Enum constant in enum class com.quantfinlib.pricing.BarrierOption.Direction
upAndInPut(double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.BarrierOption: Up-and-in put, no rebate.
upAndOutPut(double, double, double, double, double, double, double) - Static method in class com.quantfinlib.pricing.BarrierOption: Up-and-out put, no rebate.
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.FxTierBook
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.
upfrontToQuotedSpread(IsdaCdsModel.Contract, double, IsdaCurve) - Static method in class com.quantfinlib.credit.IsdaCdsModel: Converts clean points upfront to the quoted spread: flat hazard that reprices the upfront, then its par spread.
upfrontToQuotedSpread(IsdaCdsModel.Contract, double, IsdaCurve, IsdaCdsModel.Conventions) - Static method in class com.quantfinlib.credit.IsdaCdsModel: Clean upfront to quoted spread under explicit conventions.
upper(int) - Method in class com.quantfinlib.indicators.Indicators.Bollinger: Element i of upper.
upper(int) - Method in class com.quantfinlib.indicators.Indicators.Donchian: Element i of upper.
upper(int) - Method in class com.quantfinlib.indicators.Indicators.Keltner: Element i of upper.
upperBand() - Method in class com.quantfinlib.microstructure.CircuitBreakers.Luld
upperCopy() - Method in class com.quantfinlib.indicators.Indicators.Bollinger: A fresh copy of upper.
upperCopy() - Method in class com.quantfinlib.indicators.Indicators.Donchian: A fresh copy of upper.
upperCopy() - Method in class com.quantfinlib.indicators.Indicators.Keltner: A fresh copy of upper.
upperLength() - Method in class com.quantfinlib.indicators.Indicators.Bollinger: Length of upper.
upperLength() - Method in class com.quantfinlib.indicators.Indicators.Donchian: Length of upper.
upperLength() - Method in class com.quantfinlib.indicators.Indicators.Keltner: Length of upper.
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.

V

v0() - Method in record class com.quantfinlib.pricing.Heston.Params: Returns the value of the v0 record component.
validate(double[], double) - Method in class com.quantfinlib.ml.VolatilityForecaster: Time-split validation.
Validation(int, double, double, double) - Constructor for record class com.quantfinlib.ml.VolatilityForecaster.Validation: Creates an instance of a Validation record class.
valuationDate() - Method in class com.quantfinlib.rates.DiscountCurve
value() - Static method in class com.quantfinlib.alpha.Factors: Value composite: the average of earnings yield and book yield (1/PB).
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 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 class com.quantfinlib.optimization.NelderMead.Result: value.
value() - Method in record class com.quantfinlib.risk.Portfolio.Position
value(double) - Method in class com.quantfinlib.credit.IsdaCurve: exp(-r(t) t): the discount factor, or the survival probability.
value(int) - Method in class com.quantfinlib.indicators.Indicators.SuperTrend: Element i of value.
ValueArrays - Class in com.quantfinlib.internal: Defensive-copy helpers for immutable result types.
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 class com.quantfinlib.risk.PortfolioRiskAnalyzer.RiskReport: valueAtRisk.
valueAtRisk(double) - Method in class com.quantfinlib.hedging.HedgingErrorDistribution: Hedging VaR: loss at the given confidence as a positive number (0 if a gain), the lower empirical quantile of −P&L (TailRisk).
valueAtRisk(double) - Method in class com.quantfinlib.simulation.SimulationResult: VaR at the given confidence as a positive loss fraction of the initial value (0 if the quantile is a gain): the lower empirical quantile of the loss fractions (V0 − V_T)/V0, as defined in TailRisk.
valueCopy() - Method in class com.quantfinlib.indicators.Indicators.SuperTrend: A fresh copy of value.
valueLength() - Method in class com.quantfinlib.indicators.Indicators.SuperTrend: Length of value.
valueOf(String) - Static method in enum class com.quantfinlib.alpha.AlphaValidation.NullModel: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.backtest.FillPolicy: Returns the enum constant of this class with the specified name.
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.core.Side: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.credit.ExposureProfile.Factor: 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.CorporateEvents.DividendKind: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.data.CorporateEvents.DividendPolicy: 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.CrossOp: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.fx.FxVolSurface.AtmConvention: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.fx.FxVolSurface.ButterflyQuote: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.fx.FxVolSurface.DeltaConvention: 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.pricing.BarrierOption.Direction: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.pricing.BarrierOption.Knock: 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.BusinessCalendar.StubType: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.rates.CurveInterpolation: 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.rates.HolidayCalendars.Market: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.rates.RatesOptions.VolType: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.risk.FrtbDrc.CreditQuality: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.AssetClass: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.ErbaRating: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.ErbaShortTermRating: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.risk.FrtbDrcSecuritisation.Region: 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.FrtbSa.Scenario: 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.risk.SaCcr.AssetClass: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.risk.SaCcr.CommoditySet: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.risk.SaCcr.CreditGrade: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.risk.SaCcr.HedgingSetType: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.risk.SaCcrHaircuts.CollateralKind: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.risk.SaCcrHaircuts.DebtRating: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.risk.SaCcrHaircuts.NoRatingsDebtClass: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.risk.SaCcrHaircuts.Table: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.risk.VarBacktest.Zone: Returns the enum constant of this class with the specified name.
valueOf(String) - Static method in enum class com.quantfinlib.volatility.Innovation: Returns the enum constant of this class with the specified name.
values() - Static method in enum class com.quantfinlib.alpha.AlphaValidation.NullModel: Returns an array containing the constants of this enum class, in the order they are declared.
values() - Static method in enum class com.quantfinlib.backtest.FillPolicy: Returns an array containing the constants of this enum class, in the order they are declared.
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.core.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.credit.ExposureProfile.Factor: 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.CorporateEvents.DividendKind: 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.CorporateEvents.DividendPolicy: 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.CrossOp: 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.FxVolSurface.AtmConvention: 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.FxVolSurface.ButterflyQuote: 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.FxVolSurface.DeltaConvention: 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.pricing.BarrierOption.Direction: 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.BarrierOption.Knock: 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.BusinessCalendar.StubType: 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.CurveInterpolation: 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.rates.HolidayCalendars.Market: 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.RatesOptions.VolType: 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.FrtbDrc.CreditQuality: 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.FrtbDrcSecuritisation.AssetClass: 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.FrtbDrcSecuritisation.ErbaRating: 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.FrtbDrcSecuritisation.ErbaShortTermRating: 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.FrtbDrcSecuritisation.Region: 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.FrtbSa.Scenario: 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.risk.SaCcr.AssetClass: 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.SaCcr.CommoditySet: 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.SaCcr.CreditGrade: 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.SaCcr.HedgingSetType: 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.SaCcrHaircuts.CollateralKind: 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.SaCcrHaircuts.DebtRating: 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.SaCcrHaircuts.NoRatingsDebtClass: 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.SaCcrHaircuts.Table: 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.VarBacktest.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.volatility.Innovation: Returns an array containing the constants of this enum class, in the order they are declared.
values(int) - Method in class com.quantfinlib.risk.PsdMatrices.Eigen: Element i of values.
valuesCopy() - Method in class com.quantfinlib.risk.PsdMatrices.Eigen: A fresh copy of values.
valuesLength() - Method in class com.quantfinlib.risk.PsdMatrices.Eigen: Length of values.
VanillaSwap - Record Class in com.quantfinlib.rates: A fixed-for-floating swap built from two convention-driven legs: the replacement for the single-curve, annual, tau = 1 methods of the SwapPricer (removed in 4.0).
VanillaSwap(FixedLeg, FloatLeg) - Constructor for record class com.quantfinlib.rates.VanillaSwap: Validates the fields.
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.
vannaPnl() - Method in record class com.quantfinlib.hedging.OptionsBook.PnlExplain: Returns the value of the vannaPnl record component.
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
VannaVolgaTouch - Class in com.quantfinlib.fx: Vanna-volga adjusted one-touch (pays at expiry), the FX market convention for smile-consistent touch prices (Wystup 2006, FX Options and Structured Products, section 1.5 on vanna-volga pricing; Bossens, Rayée, Skantzos and Deelstra 2010, "Vanna-volga methods applied to FX derivatives", IJTAF 13(8)).
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.TailRisk.Tail: 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.TrafficLight - Record Class in com.quantfinlib.risk: Result of the Basel traffic-light test.
VarBacktest.VarBacktestResult - Record Class in com.quantfinlib.risk
VarBacktest.Zone - Enum Class in com.quantfinlib.risk: Backtesting zones of the Basel internal models approach (MAR32.8).
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(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: Variance ratio and its z statistic.
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.
variances(double[], double) - Method in class com.quantfinlib.volatility.EwmaVolatility: Conditional variances from an explicit prior: h_0 = seedVariance, then the plain recursion.
VarianceSwap - Class in com.quantfinlib.pricing: Variance swap analytics: the cleanest pure-volatility trade there is.
VarResult(double, double) - Constructor for record class com.quantfinlib.risk.VarEngine.VarResult: Creates an instance of a VarResult record class.
varSorted(double[], double) - Static method in class com.quantfinlib.risk.TailRisk: Lower empirical quantile L(ceil(c·n)) of an ascending sample.
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).
vectors(int, int) - Method in class com.quantfinlib.risk.PsdMatrices.Eigen: Element [i][j] of vectors.
vectorsCopy() - Method in class com.quantfinlib.risk.PsdMatrices.Eigen: A deep copy of vectors.
vectorsRows() - Method in class com.quantfinlib.risk.PsdMatrices.Eigen: Number of rows of vectors.
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() - Method in record class com.quantfinlib.risk.FrtbSa.RiskClass: Returns the value of the vega record component.
vega(double, double, double, double, double) - Static method in class com.quantfinlib.pricing.Bachelier: Vega per 1.00 of normal vol: df·√T·φ(d).
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).
VEGA_LH_COMMODITY - Static variable in class com.quantfinlib.risk.FrtbSa
VEGA_LH_CSR - Static variable in class com.quantfinlib.risk.FrtbSa
VEGA_LH_EQUITY_LARGE_CAP - Static variable in class com.quantfinlib.risk.FrtbSa
VEGA_LH_EQUITY_SMALL_CAP - Static variable in class com.quantfinlib.risk.FrtbSa
VEGA_LH_FX - Static variable in class com.quantfinlib.risk.FrtbSa
VEGA_LH_GIRR - Static variable in class com.quantfinlib.risk.FrtbSa: Vega liquidity horizons, days (MAR21.92 Table 13, verified; CSR securitisation also 120).
vegaGamma() - Method in record class com.quantfinlib.risk.FrtbSa.RiskClass: Returns the value of the vegaGamma record component.
vegaMaturityCorrelation(double, double) - Static method in class com.quantfinlib.risk.FrtbSa: Vega option-maturity correlation exp(−1%·|T_k − T_l|/min(T_k, T_l)) (MAR21.93(1), verified).
vegaPnl() - Method in record class com.quantfinlib.hedging.OptionsBook.PnlExplain: Returns the value of the vegaPnl record component.
vegaRiskWeight(int) - Static method in class com.quantfinlib.risk.FrtbSa: Vega risk weight min(RW_σ·√(LH/10), 1) with RW_σ = 0.55 (MAR21.92 footnote 24).
vegaV0(double, double, double, double, double, Heston.Params) - Static method in class com.quantfinlib.pricing.HestonCos: Sensitivity to the initial variance, dV/dv0 (same for calls and puts).
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: Creates an instance; the explicit form of the default constructor.
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
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, long) - 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.
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
viterbi(double[], RegimeDetector.RegimeModel) - Static method in class com.quantfinlib.ml.RegimeDetector: Most likely state sequence (Viterbi, in log space) under a fitted model; uses the whole sample, so it is an ex-post labelling.
vol() - Method in record class com.quantfinlib.credit.MultiCurrencyExposureSimulator.BasisFactor: Returns the value of the vol record component.
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).
vol(int) - Method in class com.quantfinlib.pricing.VannaVolga: Market vol at pillar i.
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 class com.quantfinlib.optimization.PortfolioOptimizer.Allocation: volatility.
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.
VOLATILITY - Enum constant in enum class com.quantfinlib.risk.SaCcr.HedgingSetType: Volatility transaction, own hedging set, factor 5.
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: Systematic and idiosyncratic split of an asset's variance.
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 a 0-100 risk score.
VolatilityForecaster(int) - Constructor for class com.quantfinlib.ml.VolatilityForecaster
VolatilityForecaster.Validation - Record Class in com.quantfinlib.ml: Out-of-sample comparison: RMSE (per-period vol units) of the model and of the two baselines over the same forecast dates.
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.
volatilityRegimeHalfLife() - Method in record class com.quantfinlib.risk.FactorRiskModel.Settings: Returns the value of the volatilityRegimeHalfLife record component.
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.
volgaPnl() - Method in record class com.quantfinlib.hedging.OptionsBook.PnlExplain: Returns the value of the volgaPnl record component.
volHalfLifeNanos() - Method in record class com.quantfinlib.microstructure.SignalEngine.Config: Returns the value of the volHalfLifeNanos record component.
volLookback() - Method in record class com.quantfinlib.alpha.AlphaRiskModels.Spec: Returns the value of the volLookback record component.
VolModel(RatesOptions.VolType, double) - Constructor for record class com.quantfinlib.rates.RatesOptions.VolModel: Creates an instance of a VolModel record class.
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(int) - Method in class com.quantfinlib.fx.FxVolSurface.SmilePillar: Element i of vols.
volsCopy() - Method in class com.quantfinlib.fx.FxVolSurface.SmilePillar: A fresh copy of vols.
volsLength() - Method in class com.quantfinlib.fx.FxVolSurface.SmilePillar: Length of vols.
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
VolSurface.CalendarViolation - Record Class in com.quantfinlib.pricing: Total variance falls between two expiries at this log-moneyness.
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.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
volumeFactor(CorporateEvents.Event) - Static method in class com.quantfinlib.data.CorporateEvents: Volume factor applied to bars before the ex-date (share-count changes only).
volumesCopy() - Method in class com.quantfinlib.core.BarSeries: A fresh copy of the volume column.
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: Creates an instance; the explicit form of the default constructor.
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, 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 bars.
WalkForwardAnalyzer - Class in com.quantfinlib.backtest.validation: Walk-forward analysis.
WalkForwardAnalyzer.Fold - Record Class in com.quantfinlib.backtest.validation
WalkForwardAnalyzer.WalkForwardResult - Class in com.quantfinlib.backtest.validation
WalkForwardResult(List, double, double, double[], double, double) - Constructor for class com.quantfinlib.alpha.AlphaValidation.WalkForwardResult: Creates the value; array and collection arguments are copied.
WalkForwardResult(List, double[], PerformanceMetrics, List, double, double[], PerformanceMetrics, int) - Constructor for class com.quantfinlib.backtest.validation.WalkForwardAnalyzer.WalkForwardResult: Creates the value; array and collection arguments are copied.
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.alpha.AlphaCombiner.Combination: Weight of factor k.
weight(int) - Method in class com.quantfinlib.microstructure.OnlineAlphaLearner: The learned weight for feature i (0=queueImb, 1=tradeImb, 2=OFI, 3=momZ).
weighted() - Method in record class com.quantfinlib.risk.FrtbSa.Bucket: Returns the value of the weighted record component.
weights() - Method in class com.quantfinlib.risk.Portfolio: Current weights by symbol (insertion order not guaranteed).
weights(int) - Method in class com.quantfinlib.alpha.PortfolioConstruction.Book: Element i of weights.
weights(int) - Method in class com.quantfinlib.alpha.TurnoverAwareOptimizer.Result: Element i of weights (optimal book).
weights(int) - Method in class com.quantfinlib.optimization.PortfolioOptimizer.Allocation: Element i of weights.
weights(AlphaContext, double[], int) - Method in interface com.quantfinlib.alpha.AlphaBacktester.WeightBuilder
weightsCopy() - Method in class com.quantfinlib.alpha.AlphaCombiner.Combination
weightsCopy() - Method in class com.quantfinlib.alpha.PortfolioConstruction.Book: A fresh copy of weights.
weightsCopy() - Method in class com.quantfinlib.alpha.TurnoverAwareOptimizer.Result: A fresh copy of weights.
weightsCopy() - Method in class com.quantfinlib.optimization.PortfolioOptimizer.Allocation: A fresh copy of weights.
weightsFor(double, double, double, double) - Method in class com.quantfinlib.pricing.VannaVolga: Pillar weights that replicate a target's vega, vanna and volga (all at the ATM vol): the general form of the vanna-volga system, used for exotics such as one-touches.
weightsLength() - Method in class com.quantfinlib.alpha.PortfolioConstruction.Book: Length of weights.
weightsLength() - Method in class com.quantfinlib.alpha.TurnoverAwareOptimizer.Result: Length of weights.
weightsLength() - Method in class com.quantfinlib.optimization.PortfolioOptimizer.Allocation: Length of weights.
welchTStat() - Method in record class com.quantfinlib.alpha.CalendarAnomalies.TurnOfMonth: Returns the value of the welchTStat record component.
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() - Method in record class com.quantfinlib.alpha.AlphaRiskModels.Spec: Returns the value of the window record component.
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.
WING_DELTA - Static variable in class com.quantfinlib.pricing.VannaVolga: Forward delta of the strikes beyond which VannaVolga.impliedVol(double, double) stops using the raw formula.
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.
winsorized(AlphaFactor, double) - Static method in class com.quantfinlib.alpha.Factors: Clips each date's scores to the cross-sectional p and 1 − p quantiles (linear interpolation between order statistics), NaN entries untouched.
winsorLimit() - Method in record class com.quantfinlib.risk.FactorRiskModel.Settings: Returns the value of the winsorLimit record component.
WireProtocolException - Exception Class in com.quantfinlib.core: A byte stream that breaks its wire protocol's framing: a FIX BodyLength that is missing or not a number, an SBE header with an unknown schema or template.
WireProtocolException(String) - Constructor for exception class com.quantfinlib.core.WireProtocolException: Creates the exception.
withAdvTradeFraction(double) - Method in record class com.quantfinlib.alpha.AlphaBacktester.RiskOptions
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.
withChildBounds(long, long) - Method in class com.quantfinlib.execution.BenchmarkExecutor: Child-size bounds: below min nothing is sent (except to finish the parent), above max the child is capped.
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
withCompletionRamp(double) - Method in class com.quantfinlib.execution.BenchmarkExecutor: Schedule fraction in [0, 1) from which the depth cap is relaxed linearly towards the full remainder at the horizon (default 0.9).
withCostModel(TradeCostModel) - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Config: Pluggable per-trade costs (e.g.
withCoupon(double) - Method in record class com.quantfinlib.credit.IsdaCdsModel.Contract: The same contract with another coupon.
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.
withFillPolicy(FillPolicy) - Method in record class com.quantfinlib.alpha.AlphaBacktester.Config
withFillPolicy(FillPolicy) - Method in record class com.quantfinlib.backtest.BacktestConfig
withFillPolicy(FillPolicy) - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Config
withFinancing(double, double, double) - Method in record class com.quantfinlib.alpha.AlphaBacktester.Config: Annual borrow fee (bps of short notional), cash rate and margin rate.
withFinancing(PortfolioBacktester.Financing) - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Config
withFundamentalsHistory(FundamentalsHistory) - Method in class com.quantfinlib.alpha.AlphaContext: The same panel with point-in-time fundamentals attached.
withHalfDayAccrual(boolean) - Method in record class com.quantfinlib.credit.IsdaCdsModel.Conventions: The same calendar with the half-day option set.
withHolidays(LocalDate...) - Static method in class com.quantfinlib.rates.BusinessCalendar
withHolidays(Set) - Static method in class com.quantfinlib.rates.BusinessCalendar
withIcHalfLife(double) - Method in record class com.quantfinlib.alpha.AlphaCombiner.Settings
withInitialCapital(double) - Method in record class com.quantfinlib.backtest.BacktestConfig
withMaxParticipation(double) - Method in record class com.quantfinlib.alpha.AlphaBacktester.Config
withOrthogonalize(boolean) - Method in record class com.quantfinlib.alpha.AlphaCombiner.Settings
withPaymentLag(int) - Method in record class com.quantfinlib.rates.LegConvention: The same convention with a different payment lag.
withQuote(double) - Method in interface com.quantfinlib.rates.CurveInstrument: The same instrument with a different quote (used for bump-and-rebuild risk).
withQuote(double) - Method in record class com.quantfinlib.rates.Deposit
withQuote(double) - Method in record class com.quantfinlib.rates.Fra
withQuote(double) - Method in record class com.quantfinlib.rates.InterestRateSwap
withQuote(double) - Method in record class com.quantfinlib.rates.OisSwap
withQuote(double) - Method in record class com.quantfinlib.rates.RateFuture
withRate(double) - Method in record class com.quantfinlib.rates.FixedLeg: The same leg with a different fixed rate.
withRebalanceEvery(int) - Method in record class com.quantfinlib.alpha.AlphaBacktester.Config
withRebalanceEvery(int) - Method in record class com.quantfinlib.backtest.portfolio.PortfolioBacktester.Config
withRiskAversion(double) - Method in record class com.quantfinlib.alpha.AlphaBacktester.RiskOptions
withRiskAversion(double) - Method in record class com.quantfinlib.microstructure.AlmgrenChriss.Params
withSectors(List) - Method in record class com.quantfinlib.alpha.AlphaBacktester.RiskOptions
withShortfallUrgency(double) - Method in class com.quantfinlib.execution.BenchmarkExecutor: Urgency kT of the IMPLEMENTATION_SHORTFALL trajectory (Almgren-Chriss kappa times horizon, kappa = sqrt(lambda sigma^2 / eta)); must be finite and positive.
withShrinkToEqual(double) - Method in record class com.quantfinlib.alpha.AlphaCombiner.Settings
withSlippage(double) - Method in record class com.quantfinlib.backtest.BacktestConfig
withSpec(AlphaRiskModels.Spec) - Method in record class com.quantfinlib.alpha.AlphaBacktester.RiskOptions
withStopLoss(double) - Method in record class com.quantfinlib.backtest.BacktestConfig
withStub(BusinessCalendar.StubType) - Method in record class com.quantfinlib.rates.LegConvention: The same convention with a different stub type.
withTakeProfit(double) - Method in record class com.quantfinlib.backtest.BacktestConfig
withTurnoverPenalty(double[], double) - Method in class com.quantfinlib.optimization.ConstrainedPortfolioOptimizer: Adds a turnover penalty relative to the current weights.
withUniverse(PointInTimeUniverse) - Method in class com.quantfinlib.alpha.AlphaContext: The same panel with a point-in-time universe attached (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(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 class com.quantfinlib.alpha.AlphaValidation.SensitivityResult: worstNeighborDrop (best mean IC minus the lower of its immediate neighbours' mean ICs (0 when the best is flanked by equal values)).
wQueueImbalance() - Method in record class com.quantfinlib.microstructure.SignalEngine.Config: Returns the value of the wQueueImbalance record component.
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.
wTradeImbalance() - Method in record class com.quantfinlib.microstructure.SignalEngine.Config: Returns the value of the wTradeImbalance record component.

X

x(int) - Method in class com.quantfinlib.optimization.NelderMead.Result: Element i of x.
x(int) - Method in class com.quantfinlib.optimization.QuadraticProgram.Solution: Element i of x.
XCCY_BASIS_RW - Static variable in class com.quantfinlib.risk.FrtbSa.Girr
xCopy() - Method in class com.quantfinlib.optimization.NelderMead.Result: A fresh copy of x.
xCopy() - Method in class com.quantfinlib.optimization.QuadraticProgram.Solution: A fresh copy of x.
xLength() - Method in class com.quantfinlib.optimization.NelderMead.Result: Length of x.
xLength() - Method in class com.quantfinlib.optimization.QuadraticProgram.Solution: Length of x.

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() - Method in record class com.quantfinlib.credit.IsdaCdsModel.Period: ACT/360 accrual fraction.
yearFraction() - Method in record class com.quantfinlib.rates.LegConvention.Period: Returns the value of the yearFraction record component.
yearFraction(LocalDate, LocalDate) - Method in enum class com.quantfinlib.rates.DayCount: Year fraction from start (inclusive) to end (exclusive).
yearFraction(LocalDate, LocalDate, LocalDate) - Method in enum class com.quantfinlib.rates.DayCount: Year fraction when the convention depends on whether end is the termination (maturity) date.
YieldCurve - Class in com.quantfinlib.rates: Zero-coupon yield curve.
yieldFromCleanPrice(double, double, double, int, LocalDate, LocalDate, DayCount, boolean) - Static method in class com.quantfinlib.rates.BondPricer: Street-convention yield from a clean price (inverse of BondPricer.cleanPrice(double, double, int, java.time.LocalDate, java.time.LocalDate, double, DayCount, boolean)), by bisection on [−90%, 1000%] to full double precision.
yieldToMaturity(double, double, double, int, double) - Static method in class com.quantfinlib.rates.BondPricer: Yield to maturity by bisection (price must be positive).
yieldToMaturityExact(double, double, double, int, double) - Static method in class com.quantfinlib.rates.BondPricer: Yield from a dirty price on the exact grid, by bisection on [-90%, 1000%].

Z

Z2_THRESHOLD_001PCT - Static variable in class com.quantfinlib.risk.VarBacktest: Acerbi-Szekely (2014) Z2 at the 0.01% level, T = 250, 97.5% ES.
Z2_THRESHOLD_5PCT - Static variable in class com.quantfinlib.risk.VarBacktest: Acerbi-Szekely (2014) Z2 at the 5% level, T = 250, 97.5% ES.
zeroRate(double) - Method in class com.quantfinlib.credit.IsdaCurve: Continuously compounded zero rate at t > 0.
zeroRate(double) - Method in class com.quantfinlib.rates.DiscountCurve: Continuously compounded zero rate y(t)/t; at t = 0 the short forward.
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.
zone() - Method in record class com.quantfinlib.risk.VarBacktest.TrafficLight: 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.
zScoreBook(double[], double, double) - Static method in class com.quantfinlib.alpha.PortfolioConstruction: Z-score sizing: demean scores cross-sectionally, scale by their dispersion, clamp at ±3σ, then size the long and short sides separately to grossTarget/2 each with an iterative water-filling cap at maxWeight.
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: The weights of PortfolioConstruction.zScoreBook(double[], double, double).
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.

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