Index A | B | C | D | E | F | G | H | I | J | K | L | M | N | O | P | Q | R | S | T | U | V | W | X | Y | Z A a (financialkit.market_microstructure.BertsimasLoResult attribute) A (financialkit.portfolio.FrontierConstants attribute) a (financialkit.stochastic_volatility.SVIFit attribute) accrued_interest() (in module financialkit.fixed_income) (in module financialkit.time_value) accrued_on_default (financialkit.credit.CDSResult attribute) active_returns (financialkit.portfolio.ActiveManagementResult attribute) ActiveManagementResult (class in financialkit.portfolio) adf (financialkit.time_series.CointegrationResult attribute) adf_test() (in module financialkit.time_series) ADIResult (class in financialkit.pde_methods) admits() (financialkit.asset_pricing.HJBound method) AffineModel (class in financialkit.interest_rate_models) aic (financialkit.time_series.ARMAResult property) (financialkit.time_series.OrderSelectionResult attribute) (financialkit.time_series.VolatilityFit property) align_quotes() (in module financialkit.market_microstructure) allocation (financialkit.monte_carlo.StratifiedResult attribute) AllocationResult (class in financialkit.risk) almgren_chriss() (in module financialkit.market_microstructure) alpha (financialkit.market_microstructure.PINResult attribute) (financialkit.pde_methods.HeatEquationResult attribute) (financialkit.portfolio.CVaRResult attribute) (financialkit.risk.VaRResult attribute) (financialkit.stochastic_volatility.FFTResult attribute) (financialkit.stochastic_volatility.SABRFit attribute) (financialkit.time_series.ARCH attribute) (financialkit.time_series.EGARCH attribute) (financialkit.time_series.GARCH attribute) (financialkit.time_series.GJRGARCH attribute) (financialkit.time_series.TailIndexResult attribute) alpha_se (financialkit.asset_pricing.FactorRegressionResult attribute) alpha_t (financialkit.asset_pricing.FactorRegressionResult property) alphas (financialkit.asset_pricing.FactorPanel attribute) (financialkit.asset_pricing.FactorRegressionResult attribute) (financialkit.asset_pricing.GRSResult attribute) altman_ratios() (in module financialkit.credit) altman_z_score() (in module financialkit.credit) altman_zone() (in module financialkit.credit) AmericanApproximationResult (class in financialkit.options) amihud_illiquidity() (in module financialkit.market_microstructure) amortization_schedule() (in module financialkit.time_value) AmortizationSchedule (class in financialkit.time_value) amount (financialkit.time_value.CompoundingTable attribute) amounts (financialkit.fixed_income.CashFlows attribute) anis_lloyd_expected_rs() (in module financialkit.time_series) annual_percentage_rate() (in module financialkit.time_value) annuity_factor() (in module financialkit.time_value) annuity_future (financialkit.time_value.CompoundingTable attribute) annuity_future_value() (in module financialkit.time_value) annuity_payment() (in module financialkit.time_value) annuity_present (financialkit.time_value.CompoundingTable attribute) annuity_present_value() (in module financialkit.time_value) antithetic_estimate() (in module financialkit.monte_carlo) antithetic_increments() (in module financialkit.integrators) apply_marginals() (in module financialkit.risk) apt_arbitrage_portfolio() (in module financialkit.asset_pricing) apt_expected_returns() (in module financialkit.asset_pricing) ar (financialkit.time_series.ARMAResult attribute) ar1_dividend_price() (in module financialkit.asset_pricing) ar_cycle_period() (in module financialkit.time_series) arbitrage_portfolio() (financialkit.asset_pricing.FiniteStateMarket method) ARCH (class in financialkit.time_series) arch_lm_test() (in module financialkit.time_series) arithmetic_asian_mc() (in module financialkit.exotic_options) arma_acf() (in module financialkit.time_series) arma_psi_weights() (in module financialkit.time_series) ARMAResult (class in financialkit.time_series) arrow_debreu (financialkit.interest_rate_models.RateTree attribute) as_curve() (in module financialkit.fixed_income) ask (financialkit.market_microstructure.GlostenMilgromResult attribute) (financialkit.market_microstructure.MarketMakingResult attribute) asset_or_nothing_price() (in module financialkit.exotic_options) asset_value (financialkit.credit.MertonResult attribute) asset_values (financialkit.credit.KMVResult attribute) asset_volatilities (financialkit.portfolio.FrontierResult property) asset_volatility (financialkit.credit.KMVResult attribute) (financialkit.credit.MertonResult attribute) assets (financialkit.fixed_income.ImmunizationResult attribute) asymptote_slope() (financialkit.portfolio.FrontierConstants method) attachment (financialkit.credit.TrancheResult attribute) autocorrelation() (in module financialkit.time_series) autocovariance() (in module financialkit.time_series) avellaneda_stoikov_spread() (in module financialkit.market_microstructure) AvellanedaStoikov (class in financialkit.market_microstructure) B b (financialkit.market_microstructure.BertsimasLoResult attribute) B (financialkit.portfolio.FrontierConstants attribute) b (financialkit.stochastic_volatility.SVIFit attribute) bachelier_price() (in module financialkit.options) BacktestResult (class in financialkit.risk) balance (financialkit.time_value.AmortizationSchedule attribute) (financialkit.time_value.SinkingFundSchedule attribute) barone_adesi_whaley() (in module financialkit.options) barrier_crossing_probability() (in module financialkit.exotic_options) barrier_option_mc() (in module financialkit.exotic_options) barrier_price() (in module financialkit.exotic_options) bartlett_band() (in module financialkit.time_series) basel_correlation() (in module financialkit.credit) basel_irb_capital() (in module financialkit.credit) basel_maturity_adjustment() (in module financialkit.credit) basel_risk_weight() (in module financialkit.credit) basel_traffic_light() (in module financialkit.risk) basis() (financialkit.fixed_income.SplineDiscountCurve static method) BatesModel (class in financialkit.stochastic_volatility) belief (financialkit.market_microstructure.GlostenMilgromResult attribute) bertsimas_lo() (in module financialkit.market_microstructure) BertsimasLoResult (class in financialkit.market_microstructure) best() (financialkit.time_series.OrderSelectionResult method) beta (financialkit.market_microstructure.KyleResult attribute) (financialkit.monte_carlo.ControlVariateResult attribute) (financialkit.pde_methods.HeatEquationResult attribute) (financialkit.risk.GPDResult attribute) (financialkit.stochastic_volatility.SABRFit attribute) (financialkit.time_series.CointegrationResult attribute) (financialkit.time_series.EGARCH attribute) (financialkit.time_series.GARCH attribute) (financialkit.time_series.GJRGARCH attribute) betas (financialkit.asset_pricing.CAPMEquilibrium attribute) (financialkit.asset_pricing.FactorPanel attribute) (financialkit.asset_pricing.FactorRegressionResult attribute) (financialkit.asset_pricing.FamaMacBethResult attribute) (financialkit.asset_pricing.ZeroBetaResult attribute) (financialkit.portfolio.CovarianceResult attribute) bic (financialkit.time_series.ARMAResult property) (financialkit.time_series.OrderSelectionResult attribute) (financialkit.time_series.VolatilityFit property) bid (financialkit.market_microstructure.GlostenMilgromResult attribute) (financialkit.market_microstructure.MarketMakingResult attribute) BinomialTree (class in financialkit.options) bivariate_normal_cdf() (in module financialkit.exotic_options) black76_price() (in module financialkit.options) black_cox_default_probability() (in module financialkit.credit) black_cox_survival() (in module financialkit.credit) black_d1_d2() (in module financialkit.options) black_derman_toy_tree() (in module financialkit.interest_rate_models) black_litterman() (in module financialkit.portfolio) black_scholes_greeks() (in module financialkit.options) black_scholes_operator() (in module financialkit.pde_methods) black_scholes_price() (in module financialkit.options) black_swaption_price() (in module financialkit.interest_rate_models) BlackLittermanResult (class in financialkit.portfolio) BlackScholesModel (class in financialkit.stochastic_volatility) block_maxima() (in module financialkit.risk) block_size (financialkit.risk.GEVResult attribute) bond_cash_flows() (in module financialkit.fixed_income) bond_option() (financialkit.interest_rate_models.RateTree method) bond_option_volatility() (financialkit.interest_rate_models.G2PlusPlusModel method) (financialkit.interest_rate_models.GaussianShortRateModel method) (financialkit.interest_rate_models.MertonShortRateModel method) (financialkit.interest_rate_models.VasicekModel method) bond_price() (in module financialkit.fixed_income) bond_prices() (financialkit.interest_rate_models.HJMResult method) bond_risk() (in module financialkit.fixed_income) bond_values() (financialkit.interest_rate_models.RateTree method) BondMonteCarloResult (class in financialkit.interest_rate_models) BondRisk (class in financialkit.fixed_income) bootstrap_hazard_curve() (in module financialkit.credit) bootstrap_par_curve() (in module financialkit.fixed_income) bootstrap_zero_curve() (in module financialkit.fixed_income) box_muller() (in module financialkit.monte_carlo) box_muller_normals() (in module financialkit.monte_carlo) box_pierce() (in module financialkit.time_series) breached (financialkit.portfolio.CPPIResult property) breadth (financialkit.portfolio.ActiveManagementResult attribute) breeden_litzenberger_density() (in module financialkit.options) brennan_schwartz() (in module financialkit.pde_methods) brenner_subrahmanyam_vol() (in module financialkit.options) bridge_extremum() (in module financialkit.exotic_options) brownian_bridge() (in module financialkit.integrators) brownian_increments() (in module financialkit.integrators) bucket_end (financialkit.market_microstructure.VPINResult attribute) bulk_volume_classification() (in module financialkit.market_microstructure) buy_volume (financialkit.market_microstructure.VPINResult attribute) C c (financialkit.market_microstructure.BertsimasLoResult attribute) C (financialkit.portfolio.FrontierConstants attribute) calls (financialkit.stochastic_volatility.FFTResult attribute) calmar_ratio() (in module financialkit.risk) cap_floor_price() (in module financialkit.interest_rate_models) CapFloorResult (class in financialkit.interest_rate_models) caplets (financialkit.interest_rate_models.CapFloorResult attribute) capm_equilibrium() (in module financialkit.asset_pricing) capm_expected_return() (in module financialkit.asset_pricing) CAPMEquilibrium (class in financialkit.asset_pricing) carleton_cooper_discount_factors() (in module financialkit.fixed_income) carr_madan_fft() (in module financialkit.stochastic_volatility) carr_madan_price() (in module financialkit.stochastic_volatility) cash (financialkit.market_microstructure.GarmanResult attribute) (financialkit.market_microstructure.MarketMakingResult attribute) cash_flows (financialkit.interest_rate_models.JamshidianResult attribute) cash_or_nothing_price() (in module financialkit.exotic_options) CashFlows (class in financialkit.fixed_income) ccapm_expected_excess_return() (in module financialkit.asset_pricing) cds_legs() (in module financialkit.credit) cds_par_spread() (in module financialkit.credit) cds_upfront() (in module financialkit.credit) CDSResult (class in financialkit.credit) cev_local_vol() (in module financialkit.stochastic_volatility) cev_price() (in module financialkit.stochastic_volatility) char_func() (financialkit.stochastic_volatility.BatesModel method) (financialkit.stochastic_volatility.BlackScholesModel method) (financialkit.stochastic_volatility.CharacteristicFunctionModel method) (financialkit.stochastic_volatility.HestonModel method) (financialkit.stochastic_volatility.KouModel method) (financialkit.stochastic_volatility.MertonJumpModel method) (financialkit.stochastic_volatility.VarianceGammaModel method) CharacteristicFunctionModel (class in financialkit.stochastic_volatility) check_coherence() (in module financialkit.risk) check_transition_matrix() (in module financialkit.credit) chooser_price() (in module financialkit.exotic_options) christoffersen_independence() (in module financialkit.risk) christoffersen_test() (in module financialkit.risk) ci (financialkit.monte_carlo.MonteCarloResult property) (financialkit.risk.VaRResult attribute) cir() (financialkit.interest_rate_models.AffineModel class method) CIRModel (class in financialkit.interest_rate_models) clean_price() (in module financialkit.fixed_income) close (financialkit.time_series.OHLC attribute) close_to_close_variance() (in module financialkit.time_series) coef (financialkit.time_series.OLSResult attribute) coef_r (financialkit.market_microstructure.TradeImpactResult attribute) coef_x (financialkit.market_microstructure.TradeImpactResult attribute) CoherenceResult (class in financialkit.risk) coherent (financialkit.risk.CoherenceResult property) CointegrationResult (class in financialkit.time_series) components (financialkit.interest_rate_models.JamshidianResult attribute) compound_interest_table() (in module financialkit.time_value) compound_option_price() (in module financialkit.exotic_options) compounding (financialkit.fixed_income.BondRisk attribute) CompoundingTable (class in financialkit.time_value) condition_number (financialkit.portfolio.CovarianceResult property) conditional_default_probability() (in module financialkit.credit) confidence (financialkit.monte_carlo.MonteCarloResult attribute) ConsumptionEconomy (class in financialkit.asset_pricing) ConsumptionMoments (class in financialkit.asset_pricing) continuous_rate() (in module financialkit.time_value) contributions (financialkit.exotic_options.VarianceSwapResult property) (financialkit.risk.AllocationResult attribute) control_variate_estimate() (in module financialkit.monte_carlo) ControlVariateResult (class in financialkit.monte_carlo) converged (financialkit.time_series.VolatilityFit attribute) ConvergenceResult (class in financialkit.integrators) convexity (financialkit.fixed_income.BondRisk attribute) convexity() (in module financialkit.fixed_income) convexity_assets (financialkit.fixed_income.ImmunizationResult attribute) convexity_liabilities (financialkit.fixed_income.ImmunizationResult attribute) copula_default_times() (in module financialkit.credit) copula_kendall_tau() (in module financialkit.risk) cornish_fisher_var() (in module financialkit.risk) corr (financialkit.portfolio.CovarianceResult property) correlated_increments() (in module financialkit.integrators) corwin_schultz_spread() (in module financialkit.market_microstructure) cos_density() (in module financialkit.stochastic_volatility) cos_price() (in module financialkit.stochastic_volatility) cos_terms() (in module financialkit.stochastic_volatility) cost (financialkit.monte_carlo.MLMCResult attribute) coupon_bond_option() (in module financialkit.interest_rate_models) coupon_times() (in module financialkit.fixed_income) cov (financialkit.portfolio.CovarianceResult attribute) (financialkit.portfolio.FrontierResult attribute) CovarianceResult (class in financialkit.portfolio) covers() (financialkit.monte_carlo.MonteCarloResult method) cppi() (in module financialkit.portfolio) cppi_continuous() (in module financialkit.portfolio) CPPIResult (class in financialkit.portfolio) CrankNicolson (class in financialkit.pde_methods) credit_spread (financialkit.credit.LelandResult attribute) (financialkit.credit.MertonResult attribute) credit_var() (financialkit.credit.CreditMetricsResult method) creditmetrics_bbb_values() (in module financialkit.credit) creditmetrics_bond() (in module financialkit.credit) creditmetrics_matrix() (in module financialkit.credit) creditmetrics_portfolio() (in module financialkit.credit) CreditMetricsResult (class in financialkit.credit) creditrisk_plus() (in module financialkit.credit) critical_moments() (financialkit.stochastic_volatility.KouModel method) (financialkit.stochastic_volatility.VarianceGammaModel method) critical_price (financialkit.options.AmericanApproximationResult attribute) critical_price() (in module financialkit.exotic_options) critical_rate (financialkit.interest_rate_models.JamshidianResult attribute) critical_values (financialkit.time_series.CointegrationResult attribute) (financialkit.time_series.UnitRootResult attribute) CRRTree (class in financialkit.options) crude_estimate (financialkit.monte_carlo.ControlVariateResult attribute) crude_std_error (financialkit.monte_carlo.ControlVariateResult attribute) cumulants() (financialkit.stochastic_volatility.CharacteristicFunctionModel method) cumulative_hazard() (financialkit.credit.HazardCurve method) (financialkit.credit.SurvivalCurve method) cumulative_probability (financialkit.risk.TrafficLightResult attribute) currency_swap_value() (in module financialkit.fixed_income) curve (financialkit.fixed_income.CurveFitResult attribute) (financialkit.fixed_income.ImmunizationResult attribute) curve() (financialkit.interest_rate_models.G2PlusPlusModel method) (financialkit.interest_rate_models.HoLeeModel method) (financialkit.interest_rate_models.HullWhiteModel method) (financialkit.interest_rate_models.ShortRateModel method) CurveFitResult (class in financialkit.fixed_income) CurvePCAResult (class in financialkit.fixed_income) cushion (financialkit.portfolio.CPPIResult property) cvar (financialkit.portfolio.CVaRResult attribute) cvar_optimization() (in module financialkit.portfolio) CVaRResult (class in financialkit.portfolio) D d (financialkit.market_microstructure.BertsimasLoResult attribute) D (financialkit.portfolio.FrontierConstants attribute) data (financialkit.time_series.ARMAResult attribute) day_count() (in module financialkit.time_value) days_in_year() (in module financialkit.time_value) de_witt_survival() (in module financialkit.time_value) debt (financialkit.credit.LelandResult attribute) (financialkit.credit.MertonResult attribute) default_barrier (financialkit.credit.LelandResult attribute) default_correlation() (in module financialkit.credit) default_density() (financialkit.credit.SurvivalCurve method) default_probability (financialkit.credit.MertonResult attribute) default_probability() (financialkit.credit.SurvivalCurve method) default_probability_weight (financialkit.credit.LelandResult attribute) default_s_max() (in module financialkit.pde_methods) delta (financialkit.market_microstructure.PINResult attribute) (financialkit.monte_carlo.MonteCarloGreeks attribute) (financialkit.options.Greeks attribute) (financialkit.options.TreeResult attribute) (financialkit.pde_methods.FDResult attribute) (financialkit.portfolio.BlackLittermanResult attribute) delta_hedge() (in module financialkit.options) delta_normal_var() (in module financialkit.risk) delta_se (financialkit.monte_carlo.MonteCarloGreeks attribute) delta_w (financialkit.market_microstructure.BertsimasLoResult attribute) delta_x (financialkit.market_microstructure.BertsimasLoResult attribute) density (financialkit.options.DensityResult attribute) DensityResult (class in financialkit.options) deposit (financialkit.time_value.SinkingFundSchedule attribute) detachment (financialkit.credit.TrancheResult attribute) df (financialkit.risk.BacktestResult attribute) (financialkit.time_series.TestResult attribute) df1 (financialkit.asset_pricing.GRSResult attribute) df2 (financialkit.asset_pricing.GRSResult attribute) diffusion_number() (in module financialkit.pde_methods) discount (financialkit.pde_methods.TrinomialProbabilities attribute) (financialkit.time_value.CompoundingTable attribute) discount() (financialkit.fixed_income.SplineDiscountCurve method) (financialkit.fixed_income.YieldCurve method) (financialkit.interest_rate_models.ModelCurve method) discount_factor() (in module financialkit.time_value) discounted_intrinsic() (in module financialkit.pde_methods) discrete_barrier_price() (in module financialkit.exotic_options) distance_to_default (financialkit.credit.KMVResult attribute) (financialkit.credit.MertonResult attribute) distance_to_default() (in module financialkit.credit) diversification_ratio() (in module financialkit.portfolio) dividend_discount_value() (in module financialkit.asset_pricing) dollar_duration (financialkit.fixed_income.BondRisk property) double_barrier_price() (in module financialkit.exotic_options) doubling_time() (in module financialkit.time_value) downside_deviation() (in module financialkit.portfolio) drawdown (financialkit.risk.DrawdownResult attribute) DrawdownResult (class in financialkit.risk) drawdowns() (in module financialkit.risk) drift (financialkit.credit.KMVResult attribute) drift_condition (financialkit.interest_rate_models.HJMResult attribute) dt (financialkit.interest_rate_models.RateTree attribute) dts (financialkit.integrators.ConvergenceResult attribute) duffie_singleton_cir_zero() (in module financialkit.credit) dupire_local_vol() (in module financialkit.stochastic_volatility) duration_assets (financialkit.fixed_income.ImmunizationResult attribute) duration_liabilities (financialkit.fixed_income.ImmunizationResult attribute) durations (financialkit.fixed_income.KeyRateDurationResult attribute) durrleman_g() (in module financialkit.stochastic_volatility) dv01 (financialkit.fixed_income.BondRisk property) E EconomyPath (class in financialkit.asset_pricing) effective_annual_rate() (in module financialkit.time_value) effective_duration() (in module financialkit.fixed_income) effective_spread() (in module financialkit.market_microstructure) efficient_frontier() (in module financialkit.portfolio) efficient_portfolio() (in module financialkit.portfolio) EGARCH (class in financialkit.time_series) eigenvalues (financialkit.fixed_income.CurvePCAResult attribute) empirical_tail_dependence() (in module financialkit.risk) engle_granger() (in module financialkit.time_series) eps_b (financialkit.market_microstructure.PINResult attribute) eps_s (financialkit.market_microstructure.PINResult attribute) epsilon (financialkit.options.Greeks attribute) equal_weight() (in module financialkit.portfolio) equity (financialkit.credit.LelandResult attribute) (financialkit.credit.MertonResult attribute) equity_premium (financialkit.asset_pricing.ConsumptionMoments property) equity_return (financialkit.asset_pricing.ConsumptionMoments attribute) (financialkit.asset_pricing.EconomyPath attribute) equity_vol (financialkit.asset_pricing.ConsumptionMoments attribute) equity_volatility (financialkit.credit.MertonResult attribute) equivalent_rate() (in module financialkit.time_value) errors (financialkit.integrators.ConvergenceResult attribute) (financialkit.interest_rate_models.BondMonteCarloResult property) es (financialkit.risk.VaRResult attribute) estimate (financialkit.monte_carlo.MonteCarloResult attribute) estimate_beta() (in module financialkit.asset_pricing) eta (financialkit.stochastic_volatility.FFTResult attribute) euler_allocation() (in module financialkit.risk) euler_maruyama() (in module financialkit.integrators) european_option_mc() (in module financialkit.monte_carlo) european_price (financialkit.options.AmericanApproximationResult attribute) EWMA (class in financialkit.time_series) ex_post_rational_price() (in module financialkit.asset_pricing) exact (financialkit.interest_rate_models.BondMonteCarloResult attribute) excess_kurtosis (financialkit.time_series.ReturnStatistics attribute) excess_returns (financialkit.asset_pricing.FactorPanel attribute) excesses (financialkit.risk.GPDResult attribute) ExcessVolatilityResult (class in financialkit.asset_pricing) execution_cost() (in module financialkit.market_microstructure) ExecutionResult (class in financialkit.market_microstructure) exercise_boundary (financialkit.exotic_options.LongstaffSchwartzResult attribute) (financialkit.options.TreeResult attribute) (financialkit.pde_methods.FDResult attribute) exercise_probability (financialkit.exotic_options.LongstaffSchwartzResult attribute) expected (financialkit.risk.BacktestResult attribute) expected_cost (financialkit.market_microstructure.BertsimasLoResult attribute) (financialkit.market_microstructure.ExecutionResult attribute) expected_default_frequency (financialkit.credit.KMVResult attribute) expected_loss (financialkit.credit.TrancheResult attribute) expected_return (financialkit.portfolio.CVaRResult attribute) (financialkit.portfolio.PortfolioResult attribute) expected_returns (financialkit.asset_pricing.CAPMEquilibrium attribute) (financialkit.asset_pricing.ZeroBetaResult attribute) expected_rs (financialkit.time_series.HurstResult attribute) expected_shortfall() (in module financialkit.risk) expected_tranche_loss() (in module financialkit.credit) ExpectedShortfall (class in financialkit.risk) explained_variance_ratio (financialkit.fixed_income.CurvePCAResult property) explicit_stability() (in module financialkit.pde_methods) explicit_trinomial_probabilities() (in module financialkit.pde_methods) ExplicitScheme (class in financialkit.pde_methods) exposure (financialkit.portfolio.CPPIResult attribute) extra (financialkit.fixed_income.ImmunizationResult attribute) extrapolated (financialkit.pde_methods.RichardsonResult attribute) F F (financialkit.stochastic_volatility.SABRFit attribute) FactorPanel (class in financialkit.asset_pricing) FactorRegressionResult (class in financialkit.asset_pricing) factors (financialkit.asset_pricing.FactorPanel attribute) failed (financialkit.market_microstructure.GarmanResult attribute) failure_time (financialkit.market_microstructure.GarmanResult attribute) fair_variance (financialkit.exotic_options.VarianceSwapResult attribute) fama_macbeth() (in module financialkit.asset_pricing) FamaMacBethResult (class in financialkit.asset_pricing) FDResult (class in financialkit.pde_methods) feller_condition() (in module financialkit.interest_rate_models) feller_ratio (financialkit.interest_rate_models.CIRModel property) feller_satisfied (financialkit.stochastic_volatility.HestonModel property) FFTResult (class in financialkit.stochastic_volatility) fgn_autocovariance() (in module financialkit.time_series) filtered_historical_var() (in module financialkit.risk) financialkit.asset_pricing module financialkit.credit module financialkit.exotic_options module financialkit.fixed_income module financialkit.integrators module financialkit.interest_rate_models module financialkit.market_microstructure module financialkit.monte_carlo module financialkit.options module financialkit.pde_methods module financialkit.portfolio module financialkit.risk module financialkit.stochastic_volatility module financialkit.time_series module financialkit.time_value module finite_difference_greeks() (in module financialkit.options) FiniteDifferencePricer (class in financialkit.pde_methods) FiniteStateMarket (class in financialkit.asset_pricing) firm_value (financialkit.credit.LelandResult attribute) first_passage_crossing_probability() (in module financialkit.credit) fisher_nominal_rate() (in module financialkit.time_value) fisher_real_rate() (in module financialkit.time_value) fisher_weil_convexity() (in module financialkit.fixed_income) fisher_weil_duration() (in module financialkit.fixed_income) fit() (financialkit.time_series.VolatilityModel class method) fit_arma() (in module financialkit.time_series) fit_gev() (in module financialkit.risk) fit_impact_law() (in module financialkit.market_microstructure) fit_mcculloch_spline() (in module financialkit.fixed_income) fit_nelson_siegel() (in module financialkit.fixed_income) fit_pin() (in module financialkit.market_microstructure) fit_pot() (in module financialkit.risk) fit_svensson() (in module financialkit.fixed_income) fixed_lookback_price() (in module financialkit.exotic_options) flat() (financialkit.credit.HazardCurve class method) FlatCurve (class in financialkit.fixed_income) floating_lookback_price() (in module financialkit.exotic_options) floor (financialkit.portfolio.CPPIResult attribute) fong_vasicek_bound() (in module financialkit.fixed_income) forecast() (financialkit.time_series.ARMAResult method) (financialkit.time_series.EWMA method) (financialkit.time_series.GARCH method) (financialkit.time_series.GJRGARCH method) forward (financialkit.exotic_options.VarianceSwapResult attribute) (financialkit.options.SmileResult attribute) forward_price() (in module financialkit.options) forward_rate() (financialkit.fixed_income.YieldCurve method) forward_rates() (in module financialkit.fixed_income) forward_start_price() (in module financialkit.exotic_options) forward_swap_annuity() (in module financialkit.interest_rate_models) forward_swap_rate() (in module financialkit.interest_rate_models) forwards (financialkit.interest_rate_models.CapFloorResult attribute) (financialkit.interest_rate_models.HJMResult attribute) frontier (financialkit.portfolio.ResampledFrontierResult attribute) frontier_constants() (in module financialkit.portfolio) FrontierConstants (class in financialkit.portfolio) FrontierResult (class in financialkit.portfolio) fundamental_law() (in module financialkit.portfolio) future_value() (in module financialkit.time_value) futures_convexity_adjustment() (in module financialkit.interest_rate_models) G g (financialkit.pde_methods.VonNeumannResult attribute) G2PlusPlusModel (class in financialkit.interest_rate_models) gamma (financialkit.interest_rate_models.CIRModel property) (financialkit.monte_carlo.MonteCarloGreeks attribute) (financialkit.options.Greeks attribute) (financialkit.options.TreeResult attribute) (financialkit.pde_methods.FDResult attribute) (financialkit.time_series.EGARCH attribute) (financialkit.time_series.GJRGARCH attribute) (financialkit.time_series.UnitRootResult attribute) gamma_se (financialkit.monte_carlo.MonteCarloGreeks attribute) gammas (financialkit.asset_pricing.FamaMacBethResult attribute) gap_option_price() (in module financialkit.exotic_options) GARCH (class in financialkit.time_series) garman_kohlhagen_price() (in module financialkit.options) garman_ruin_probability() (in module financialkit.market_microstructure) GarmanResult (class in financialkit.market_microstructure) gaussian_copula_sample() (in module financialkit.risk) GaussianShortRateModel (class in financialkit.interest_rate_models) gbm_path_estimate() (in module financialkit.monte_carlo) gbm_paths() (in module financialkit.integrators) generator_from_transition() (in module financialkit.credit) geometric_asian_price() (in module financialkit.exotic_options) gev_return_level() (in module financialkit.risk) GEVResult (class in financialkit.risk) GJRGARCH (class in financialkit.time_series) glosten_milgrom_quotes() (in module financialkit.market_microstructure) GlostenMilgromResult (class in financialkit.market_microstructure) gmv_return (financialkit.portfolio.FrontierConstants property) gmv_volatility (financialkit.portfolio.FrontierConstants property) gordon_growth_price() (in module financialkit.asset_pricing) GPDResult (class in financialkit.risk) Greeks (class in financialkit.options) growth (financialkit.asset_pricing.EconomyPath attribute) growth_autocorr (financialkit.asset_pricing.MehraPrescott property) grs_test() (in module financialkit.asset_pricing) GRSResult (class in financialkit.asset_pricing) H half_life (financialkit.time_series.GARCH property) half_width (financialkit.monte_carlo.MonteCarloResult property) halton() (in module financialkit.monte_carlo) hansen_jagannathan_bound() (in module financialkit.asset_pricing) hasbrouck_var() (in module financialkit.market_microstructure) hazard() (financialkit.credit.HazardCurve method) (financialkit.credit.SurvivalCurve method) hazard_from_spread() (in module financialkit.credit) HazardCurve (class in financialkit.credit) heat_equation_exponents() (in module financialkit.pde_methods) heat_equation_price() (in module financialkit.pde_methods) HeatEquationResult (class in financialkit.pde_methods) HedgeResult (class in financialkit.options) heston_mc_price() (in module financialkit.stochastic_volatility) heston_paths() (in module financialkit.stochastic_volatility) heston_price() (in module financialkit.stochastic_volatility) HestonModel (class in financialkit.stochastic_volatility) HestonPaths (class in financialkit.stochastic_volatility) hierarchical_risk_parity() (in module financialkit.portfolio) high (financialkit.time_series.OHLC attribute) hill_estimator() (in module financialkit.time_series) historical_var() (in module financialkit.risk) HJBound (class in financialkit.asset_pricing) hjm_drift() (in module financialkit.interest_rate_models) HJMResult (class in financialkit.interest_rate_models) ho_stoll_quotes() (in module financialkit.market_microstructure) holdings (financialkit.fixed_income.ImmunizationResult attribute) (financialkit.market_microstructure.ExecutionResult attribute) HoLeeModel (class in financialkit.interest_rate_models) horizon_value() (in module financialkit.fixed_income) HRPResult (class in financialkit.portfolio) hull_white_mixing_mc() (in module financialkit.stochastic_volatility) hull_white_price() (in module financialkit.stochastic_volatility) HullWhiteModel (class in financialkit.interest_rate_models) hurst (financialkit.time_series.HurstResult attribute) hurst_corrected (financialkit.time_series.HurstResult attribute) hurst_exponent() (in module financialkit.time_series) HurstResult (class in financialkit.time_series) hybrid_var() (in module financialkit.risk) I imbalance (financialkit.market_microstructure.VPINResult property) ImmunizationResult (class in financialkit.fixed_income) ImplicitScheme (class in financialkit.pde_methods) implied_cost_of_equity() (in module financialkit.asset_pricing) implied_equilibrium_returns() (in module financialkit.portfolio) implied_risk_aversion() (in module financialkit.asset_pricing) implied_vol() (financialkit.stochastic_volatility.CharacteristicFunctionModel method) (financialkit.stochastic_volatility.SABRFit method) (financialkit.stochastic_volatility.SVIFit method) implied_vol_smile() (in module financialkit.options) implied_volatility() (in module financialkit.options) importance_sampling_normal() (in module financialkit.monte_carlo) impulse (financialkit.market_microstructure.TradeImpactResult attribute) information_ratio() (in module financialkit.portfolio) informed (financialkit.market_microstructure.GlostenMilgromResult attribute) initial_curve (financialkit.interest_rate_models.HJMResult attribute) innovation_cov (financialkit.market_microstructure.TradeImpactResult attribute) insider_profit (financialkit.market_microstructure.KyleResult attribute) instantaneous_forward() (financialkit.fixed_income.NelsonSiegelCurve method) (financialkit.fixed_income.SvenssonCurve method) (financialkit.fixed_income.YieldCurve method) intercept (financialkit.time_series.CointegrationResult attribute) interest (financialkit.time_value.AmortizationSchedule attribute) (financialkit.time_value.SinkingFundSchedule attribute) interest_rate_swap_value() (in module financialkit.fixed_income) interpolate_at() (in module financialkit.pde_methods) inventory (financialkit.market_microstructure.MarketMakingResult attribute) inverse_cumulative_hazard() (financialkit.credit.HazardCurve method) (financialkit.credit.SurvivalCurve method) inverse_volatility_portfolio() (in module financialkit.portfolio) ir (financialkit.portfolio.ActiveManagementResult attribute) ir_se (financialkit.portfolio.ActiveManagementResult attribute) irr() (in module financialkit.time_value) irr_all() (in module financialkit.time_value) irrs (financialkit.time_value.NPVProfile attribute) is_arbitrage_free() (financialkit.asset_pricing.FiniteStateMarket method) is_complete (financialkit.asset_pricing.FiniteStateMarket property) is_leap_year() (in module financialkit.time_value) is_probability (financialkit.pde_methods.TrinomialProbabilities property) is_valid_generator() (in module financialkit.credit) iterations (financialkit.pde_methods.LCPSolution attribute) J jamshidian_swaption() (in module financialkit.interest_rate_models) JamshidianResult (class in financialkit.interest_rate_models) jarque_bera (financialkit.time_series.ReturnStatistics attribute) jarque_bera_pvalue (financialkit.time_series.ReturnStatistics attribute) jarrow_turnbull_zero() (in module financialkit.credit) jensen_alpha() (in module financialkit.asset_pricing) jlt_risky_zero() (in module financialkit.credit) joint_default_probability() (in module financialkit.credit) joint_migration_probabilities() (in module financialkit.credit) K k (financialkit.time_series.TailIndexResult attribute) K0 (financialkit.exotic_options.VarianceSwapResult attribute) kappa (financialkit.asset_pricing.LucasTree property) kelly_fraction() (in module financialkit.portfolio) kelly_growth_rate() (in module financialkit.portfolio) kelly_portfolio() (in module financialkit.portfolio) kelly_wealth_paths() (in module financialkit.portfolio) key_rate_durations() (in module financialkit.fixed_income) key_rate_weights() (in module financialkit.fixed_income) key_tenors (financialkit.fixed_income.KeyRateDurationResult attribute) KeyRateDurationResult (class in financialkit.fixed_income) kind (financialkit.fixed_income.SwapValuation attribute) (financialkit.interest_rate_models.CapFloorResult attribute) kmv_default_point() (in module financialkit.credit) kmv_iterate() (in module financialkit.credit) KMVResult (class in financialkit.credit) koksma_hlawka_bound() (in module financialkit.monte_carlo) KouModel (class in financialkit.stochastic_volatility) kupiec_test() (in module financialkit.risk) kurtosis (financialkit.time_series.ARCH property) kyle_equilibrium() (in module financialkit.market_microstructure) kyle_lambda() (in module financialkit.market_microstructure) KyleResult (class in financialkit.market_microstructure) L l2_star_discrepancy() (in module financialkit.monte_carlo) lag_matrix() (in module financialkit.time_series) lags (financialkit.time_series.UnitRootResult attribute) lam (financialkit.market_microstructure.KyleResult attribute) (financialkit.time_series.EWMA attribute) latin_hypercube_estimate() (in module financialkit.monte_carlo) LatticePricer (class in financialkit.options) lcp_iterations (financialkit.pde_methods.FDResult attribute) LCPSolution (class in financialkit.pde_methods) ledoit_wolf() (in module financialkit.portfolio) lee_ready() (in module financialkit.market_microstructure) lee_wing_slope() (in module financialkit.stochastic_volatility) LeisenReimerTree (class in financialkit.options) leland_model() (in module financialkit.credit) leland_optimal_coupon() (in module financialkit.credit) LelandResult (class in financialkit.credit) level_costs (financialkit.monte_carlo.MLMCResult attribute) level_means (financialkit.monte_carlo.MLMCResult attribute) level_samples (financialkit.monte_carlo.MLMCResult attribute) level_variances (financialkit.monte_carlo.MLMCResult attribute) levels (financialkit.monte_carlo.MLMCResult property) leverage (financialkit.credit.LelandResult attribute) levered_cost_of_equity() (in module financialkit.asset_pricing) levered_firm_value() (in module financialkit.asset_pricing) lewis_price() (in module financialkit.stochastic_volatility) liabilities (financialkit.fixed_income.ImmunizationResult attribute) life_annuity_value() (in module financialkit.time_value) likelihood_ratio_greeks() (in module financialkit.monte_carlo) limit (financialkit.pde_methods.StabilityResult attribute) linear_discriminant() (in module financialkit.credit) linear_forward_shock() (in module financialkit.fixed_income) linkage (financialkit.portfolio.HRPResult attribute) ljung_box() (in module financialkit.time_series) loadings (financialkit.fixed_income.CurvePCAResult attribute) loan_payment() (in module financialkit.time_value) local_vol_paths() (in module financialkit.stochastic_volatility) LocalVolSurface (class in financialkit.stochastic_volatility) log_explicit_price() (in module financialkit.pde_methods) log_moneyness (financialkit.options.SmileResult property) log_returns() (in module financialkit.time_series) loglik (financialkit.market_microstructure.PINResult attribute) (financialkit.time_series.ARMAResult attribute) (financialkit.time_series.VolatilityFit attribute) loglikelihood() (financialkit.time_series.VolatilityModel method) long_only (financialkit.portfolio.FrontierResult attribute) long_short_factor() (in module financialkit.asset_pricing) long_yield (financialkit.interest_rate_models.VasicekModel property) longest_duration (financialkit.risk.DrawdownResult property) longstaff_schwartz() (in module financialkit.exotic_options) LongstaffSchwartzResult (class in financialkit.exotic_options) lookback_option_mc() (in module financialkit.exotic_options) LossDistribution (class in financialkit.credit) losses (financialkit.credit.LossDistribution attribute) low (financialkit.time_series.OHLC attribute) LucasTree (class in financialkit.asset_pricing) M M (financialkit.monte_carlo.MLMCResult attribute) m (financialkit.stochastic_volatility.SVIFit attribute) m_squared() (in module financialkit.fixed_income) ma (financialkit.time_series.ARMAResult attribute) macaulay_duration (financialkit.fixed_income.BondRisk attribute) macaulay_duration() (in module financialkit.fixed_income) mackinnon_critical_values() (in module financialkit.time_series) margrabe_price() (in module financialkit.exotic_options) market_premium (financialkit.asset_pricing.CAPMEquilibrium property) market_return (financialkit.asset_pricing.CAPMEquilibrium attribute) (financialkit.asset_pricing.ZeroBetaResult attribute) market_vol (financialkit.asset_pricing.CAPMEquilibrium attribute) market_weights (financialkit.asset_pricing.CAPMEquilibrium attribute) (financialkit.asset_pricing.ZeroBetaResult attribute) (financialkit.portfolio.BlackLittermanResult attribute) MarketMakingResult (class in financialkit.market_microstructure) maturities (financialkit.interest_rate_models.BondMonteCarloResult attribute) (financialkit.stochastic_volatility.LocalVolSurface attribute) max_drawdown (financialkit.risk.DrawdownResult attribute) max_modulus (financialkit.pde_methods.VonNeumannResult property) max_sharpe_ratio() (in module financialkit.asset_pricing) maxima (financialkit.risk.GEVResult attribute) mean (financialkit.credit.CreditMetricsResult property) (financialkit.credit.LossDistribution property) (financialkit.portfolio.OutOfSampleResult property) (financialkit.time_series.ARMAResult attribute) (financialkit.time_series.ReturnStatistics attribute) (financialkit.time_series.VolatilityModel property) mean_excess() (in module financialkit.risk) mean_jump (financialkit.stochastic_volatility.KouModel property) (financialkit.stochastic_volatility.MertonJumpModel property) measure (financialkit.risk.AllocationResult attribute) MehraPrescott (class in financialkit.asset_pricing) merton_calibrate() (in module financialkit.credit) merton_certainty_equivalent() (in module financialkit.portfolio) merton_consumption_rate() (in module financialkit.portfolio) merton_down_and_out_call() (in module financialkit.exotic_options) merton_fraction() (in module financialkit.portfolio) merton_jump_price() (in module financialkit.stochastic_volatility) merton_model() (in module financialkit.credit) merton_wealth_paths() (in module financialkit.portfolio) MertonJumpModel (class in financialkit.stochastic_volatility) MertonResult (class in financialkit.credit) MertonShortRateModel (class in financialkit.interest_rate_models) method (financialkit.credit.LossDistribution attribute) (financialkit.monte_carlo.MonteCarloGreeks attribute) (financialkit.monte_carlo.MonteCarloResult attribute) (financialkit.options.CRRTree attribute) (financialkit.options.LatticePricer attribute) (financialkit.options.LeisenReimerTree attribute) (financialkit.options.RendlemanBartterTree attribute) (financialkit.options.TreeResult attribute) (financialkit.options.TrinomialTree attribute) (financialkit.pde_methods.ADIResult attribute) (financialkit.pde_methods.FDResult attribute) (financialkit.pde_methods.FiniteDifferencePricer attribute) (financialkit.pde_methods.LCPSolution attribute) (financialkit.portfolio.CovarianceResult attribute) (financialkit.portfolio.PortfolioResult attribute) (financialkit.risk.VaRResult attribute) mid (financialkit.market_microstructure.MarketMakingResult attribute) midquote() (in module financialkit.market_microstructure) migration_thresholds() (in module financialkit.credit) milstein() (in module financialkit.integrators) min_variance_portfolio() (in module financialkit.portfolio) mincer_zarnowitz() (in module financialkit.time_series) mirr() (in module financialkit.time_value) mlmc_level() (in module financialkit.monte_carlo) MLMCResult (class in financialkit.monte_carlo) model (financialkit.fixed_income.CurveFitResult attribute) (financialkit.time_series.VolatilityFit attribute) model_cap_floor_price() (in module financialkit.interest_rate_models) ModelCurve (class in financialkit.interest_rate_models) modified_duration (financialkit.fixed_income.BondRisk attribute) modified_duration() (in module financialkit.fixed_income) module financialkit.asset_pricing financialkit.credit financialkit.exotic_options financialkit.fixed_income financialkit.integrators financialkit.interest_rate_models financialkit.market_microstructure financialkit.monte_carlo financialkit.options financialkit.pde_methods financialkit.portfolio financialkit.risk financialkit.stochastic_volatility financialkit.time_series financialkit.time_value moment_match() (in module financialkit.monte_carlo) moment_matching_estimate() (in module financialkit.monte_carlo) moments() (financialkit.asset_pricing.ConsumptionEconomy method) (financialkit.asset_pricing.LucasTree method) (financialkit.asset_pricing.MehraPrescott method) momentum_signal() (in module financialkit.asset_pricing) monotonicity (financialkit.risk.CoherenceResult attribute) monte_carlo_bond_prices() (in module financialkit.interest_rate_models) monte_carlo_integrate() (in module financialkit.monte_carlo) monte_carlo_var() (in module financialkit.risk) MonteCarloGreeks (class in financialkit.monte_carlo) MonteCarloResult (class in financialkit.monte_carlo) most_diversified_portfolio() (in module financialkit.portfolio) mtm() (financialkit.credit.CDSResult method) mu (financialkit.market_microstructure.PINResult attribute) (financialkit.portfolio.FrontierResult attribute) (financialkit.risk.GEVResult attribute) (financialkit.time_series.ARCH attribute) (financialkit.time_series.EGARCH attribute) (financialkit.time_series.GARCH attribute) (financialkit.time_series.GJRGARCH attribute) multilevel_monte_carlo() (in module financialkit.monte_carlo) MultipleIRRWarning multiplier (financialkit.portfolio.CPPIResult attribute) (financialkit.risk.TrafficLightResult attribute) N n_exceed (financialkit.risk.GPDResult attribute) n_exceptions (financialkit.risk.BacktestResult attribute) (financialkit.risk.TrafficLightResult attribute) n_factors (financialkit.interest_rate_models.G2PlusPlusModel attribute) (financialkit.interest_rate_models.ShortRateModel attribute) n_iter (financialkit.credit.KMVResult attribute) n_obs (financialkit.risk.BacktestResult attribute) (financialkit.risk.GPDResult attribute) n_params (financialkit.portfolio.CovarianceResult attribute) (financialkit.time_series.ARMAResult attribute) (financialkit.time_series.VolatilityFit property) n_paths (financialkit.interest_rate_models.BondMonteCarloResult attribute) (financialkit.monte_carlo.MonteCarloGreeks attribute) n_samples (financialkit.monte_carlo.MonteCarloResult attribute) n_steps (financialkit.interest_rate_models.RateTree property) (financialkit.options.TreeResult attribute) n_time (financialkit.pde_methods.ADIResult attribute) name (financialkit.portfolio.OutOfSampleResult attribute) (financialkit.risk.ExpectedShortfall attribute) (financialkit.risk.RiskMeasure attribute) (financialkit.risk.ValueAtRisk attribute) (financialkit.stochastic_volatility.BatesModel attribute) (financialkit.stochastic_volatility.BlackScholesModel attribute) (financialkit.stochastic_volatility.CharacteristicFunctionModel attribute) (financialkit.stochastic_volatility.HestonModel attribute) (financialkit.stochastic_volatility.KouModel attribute) (financialkit.stochastic_volatility.MertonJumpModel attribute) (financialkit.stochastic_volatility.VarianceGammaModel attribute) (financialkit.time_series.TestResult attribute) NelsonSiegelCurve (class in financialkit.fixed_income) news_impact() (financialkit.time_series.ARCH method) (financialkit.time_series.EGARCH method) (financialkit.time_series.EWMA method) (financialkit.time_series.GARCH method) (financialkit.time_series.GJRGARCH method) (financialkit.time_series.VolatilityModel method) neyman_allocation() (in module financialkit.monte_carlo) njit() (in module financialkit.integrators) no_arbitrage_bounds() (in module financialkit.options) nobs (financialkit.time_series.ARMAResult attribute) (financialkit.time_series.ReturnStatistics attribute) (financialkit.time_series.TestResult attribute) (financialkit.time_series.UnitRootResult attribute) (financialkit.time_series.VarianceRatioResult attribute) (financialkit.time_series.VolatilityFit attribute) normal_factor_quadrature() (in module financialkit.credit) npv (financialkit.time_value.NPVProfile attribute) npv() (in module financialkit.time_value) npv_profile() (in module financialkit.time_value) NPVProfile (class in financialkit.time_value) nth_to_default_probability() (in module financialkit.credit) nu (financialkit.stochastic_volatility.SABRFit attribute) number (financialkit.pde_methods.StabilityResult attribute) numerical_hessian() (in module financialkit.time_series) O observed_order (financialkit.pde_methods.RichardsonResult attribute) OHLC (class in financialkit.time_series) ols() (in module financialkit.time_series) OLSResult (class in financialkit.time_series) omega (financialkit.stochastic_volatility.VarianceGammaModel property) (financialkit.time_series.ARCH attribute) (financialkit.time_series.EGARCH attribute) (financialkit.time_series.GARCH attribute) (financialkit.time_series.GJRGARCH attribute) one_factor_loss_distribution() (in module financialkit.credit) one_touch_price() (in module financialkit.exotic_options) open (financialkit.time_series.OHLC attribute) option_price (financialkit.options.HedgeResult attribute) option_prices (financialkit.exotic_options.VarianceSwapResult attribute) order (financialkit.integrators.ConvergenceResult attribute) (financialkit.pde_methods.RichardsonResult attribute) (financialkit.portfolio.HRPResult attribute) OrderSelectionResult (class in financialkit.time_series) ou_paths() (in module financialkit.integrators) out_of_sample_returns() (in module financialkit.portfolio) OutOfSampleResult (class in financialkit.portfolio) P p0 (financialkit.market_microstructure.KyleResult attribute) p_down (financialkit.pde_methods.TrinomialProbabilities attribute) p_mid (financialkit.pde_methods.TrinomialProbabilities attribute) p_up (financialkit.pde_methods.TrinomialProbabilities attribute) p_value (financialkit.asset_pricing.GRSResult attribute) (financialkit.risk.BacktestResult attribute) panjer_recursion() (in module financialkit.credit) par_spread (financialkit.credit.CDSResult attribute) (financialkit.credit.TrancheResult attribute) par_yield() (financialkit.fixed_income.YieldCurve method) parallel_duration (financialkit.fixed_income.KeyRateDurationResult attribute) param_names (financialkit.time_series.ARCH attribute) (financialkit.time_series.EGARCH attribute) (financialkit.time_series.EWMA attribute) (financialkit.time_series.GARCH attribute) (financialkit.time_series.GJRGARCH attribute) (financialkit.time_series.VolatilityModel attribute) parametric_es() (in module financialkit.risk) parametric_var() (in module financialkit.risk) params (financialkit.fixed_income.CurveFitResult attribute) (financialkit.fixed_income.NelsonSiegelCurve property) (financialkit.fixed_income.SvenssonCurve property) (financialkit.time_series.VolatilityFit property) (financialkit.time_series.VolatilityModel property) parity_residual() (in module financialkit.options) parkinson_variance() (in module financialkit.time_series) parse_barrier_type() (in module financialkit.exotic_options) partial_autocorrelation() (in module financialkit.time_series) path_discount_factors() (in module financialkit.interest_rate_models) pathwise_greeks() (in module financialkit.monte_carlo) pay_leg (financialkit.fixed_income.SwapValuation attribute) payment (financialkit.time_value.AmortizationSchedule attribute) payment_times (financialkit.credit.CDSResult attribute) (financialkit.interest_rate_models.CapFloorResult attribute) (financialkit.interest_rate_models.JamshidianResult attribute) payoff() (in module financialkit.options) pdf() (financialkit.stochastic_volatility.VarianceGammaModel method) PeacemanRachfordADI (class in financialkit.pde_methods) peak (financialkit.risk.DrawdownResult attribute) peak_index (financialkit.risk.DrawdownResult attribute) penalty_solve() (in module financialkit.pde_methods) percentile() (financialkit.credit.CreditMetricsResult method) periods (financialkit.time_value.AmortizationSchedule attribute) (financialkit.time_value.CompoundingTable attribute) (financialkit.time_value.SinkingFundSchedule attribute) periods_per_year (financialkit.time_value.AmortizationSchedule attribute) permanent_impact (financialkit.market_microstructure.TradeImpactResult attribute) perpetuity_present_value() (in module financialkit.time_value) persistence (financialkit.time_series.GARCH property) (financialkit.time_series.GJRGARCH property) pin (financialkit.market_microstructure.PINResult attribute) pin_loglik() (in module financialkit.market_microstructure) pin_se (financialkit.market_microstructure.PINResult attribute) PINResult (class in financialkit.market_microstructure) plot_acf() (in module financialkit.time_series) plot_allocation() (in module financialkit.monte_carlo) plot_amortization() (in module financialkit.time_value) plot_barrier_paths() (in module financialkit.exotic_options) plot_bond_monte_carlo() (in module financialkit.interest_rate_models) plot_caplets() (in module financialkit.interest_rate_models) plot_cash_flows() (in module financialkit.fixed_income) (in module financialkit.time_value) plot_compounding_growth() (in module financialkit.time_value) plot_conditional_volatility() (in module financialkit.time_series) plot_confidence_intervals() (in module financialkit.monte_carlo) plot_error_convergence() (in module financialkit.monte_carlo) plot_estimator_comparison() (in module financialkit.monte_carlo) plot_exercise_boundary() (in module financialkit.exotic_options) plot_forward_curves() (in module financialkit.interest_rate_models) plot_hill() (in module financialkit.time_series) plot_jamshidian() (in module financialkit.interest_rate_models) plot_key_rate_durations() (in module financialkit.fixed_income) plot_mlmc() (in module financialkit.monte_carlo) plot_model_yields() (in module financialkit.interest_rate_models) plot_news_impact() (in module financialkit.time_series) plot_npv_profile() (in module financialkit.time_value) plot_pca_loadings() (in module financialkit.fixed_income) plot_point_set() (in module financialkit.monte_carlo) plot_price_profile() (in module financialkit.exotic_options) plot_price_yield() (in module financialkit.fixed_income) plot_rate_tree() (in module financialkit.interest_rate_models) plot_rescaled_range() (in module financialkit.time_series) plot_short_rate_paths() (in module financialkit.interest_rate_models) plot_surplus() (in module financialkit.fixed_income) plot_tail() (in module financialkit.time_series) plot_variance_ratio() (in module financialkit.time_series) plot_variance_strip() (in module financialkit.exotic_options) plot_yield_curve() (in module financialkit.fixed_income) pmf (financialkit.credit.LossDistribution attribute) pnl (financialkit.market_microstructure.MarketMakingResult property) (financialkit.options.HedgeResult attribute) portfolio (financialkit.fixed_income.ImmunizationResult property) portfolio_moments() (in module financialkit.portfolio) PortfolioResult (class in financialkit.portfolio) positive_homogeneity (financialkit.risk.CoherenceResult attribute) posterior_cov (financialkit.portfolio.BlackLittermanResult attribute) posterior_returns (financialkit.portfolio.BlackLittermanResult attribute) posterior_variance (financialkit.market_microstructure.KyleResult attribute) pot_es() (in module financialkit.risk) pot_var() (in module financialkit.risk) predicted_ir (financialkit.portfolio.ActiveManagementResult attribute) premia (financialkit.asset_pricing.FamaMacBethResult attribute) present_value() (financialkit.fixed_income.CashFlows method) (in module financialkit.time_value) price (financialkit.asset_pricing.ExcessVolatilityResult attribute) (financialkit.fixed_income.BondRisk attribute) (financialkit.fixed_income.KeyRateDurationResult attribute) (financialkit.interest_rate_models.CapFloorResult attribute) (financialkit.interest_rate_models.JamshidianResult attribute) (financialkit.monte_carlo.MonteCarloGreeks attribute) (financialkit.options.AmericanApproximationResult attribute) (financialkit.options.TreeResult attribute) (financialkit.pde_methods.ADIResult attribute) (financialkit.pde_methods.FDResult attribute) price() (financialkit.options.BinomialTree method) (financialkit.options.LatticePricer method) (financialkit.options.TrinomialTree method) (financialkit.pde_methods.FiniteDifferencePricer method) (financialkit.pde_methods.PeacemanRachfordADI method) (financialkit.pde_methods.ThetaScheme method) (financialkit.stochastic_volatility.CharacteristicFunctionModel method) price_barrier() (financialkit.pde_methods.ThetaScheme method) price_bounds() (financialkit.asset_pricing.FiniteStateMarket method) price_change() (financialkit.fixed_income.BondRisk method) price_dividend (financialkit.asset_pricing.ConsumptionMoments attribute) (financialkit.asset_pricing.MehraPrescott attribute) price_from_yield() (in module financialkit.fixed_income) price_impact() (in module financialkit.market_microstructure) price_se (financialkit.monte_carlo.MonteCarloGreeks attribute) prices (financialkit.interest_rate_models.BondMonteCarloResult attribute) (financialkit.portfolio.CPPIResult attribute) principal (financialkit.time_value.AmortizationSchedule attribute) prior_returns (financialkit.portfolio.BlackLittermanResult attribute) probabilities (financialkit.credit.CreditMetricsResult attribute) probabilities() (financialkit.options.TrinomialTree method) protection_leg (financialkit.credit.CDSResult attribute) (financialkit.credit.TrancheResult attribute) pseudo_observations() (in module financialkit.risk) psi_weights() (financialkit.time_series.ARMAResult method) psor() (in module financialkit.pde_methods) put_call_parity() (in module financialkit.options) pv_assets (financialkit.fixed_income.ImmunizationResult attribute) pv_liabilities (financialkit.fixed_income.ImmunizationResult attribute) pvalue (financialkit.time_series.TestResult attribute) (financialkit.time_series.VarianceRatioResult property) pvalue_robust (financialkit.time_series.VarianceRatioResult property) Q q (financialkit.time_series.VarianceRatioResult attribute) quantile() (financialkit.credit.LossDistribution method) quantity (financialkit.pde_methods.StabilityResult attribute) quanto_price() (in module financialkit.exotic_options) quote_rule() (in module financialkit.market_microstructure) quoted_spread() (in module financialkit.market_microstructure) quotes() (financialkit.market_microstructure.AvellanedaStoikov method) (financialkit.market_microstructure.QuotingStrategy method) (financialkit.market_microstructure.SymmetricQuotes method) QuotingStrategy (class in financialkit.market_microstructure) R r0 (financialkit.interest_rate_models.ShortRateModel attribute) r_squared (financialkit.asset_pricing.FactorRegressionResult attribute) (financialkit.monte_carlo.ControlVariateResult attribute) (financialkit.time_series.CointegrationResult attribute) (financialkit.time_series.OLSResult attribute) randomized_qmc_estimate() (in module financialkit.monte_carlo) rate (financialkit.time_value.CompoundingTable attribute) rates (financialkit.interest_rate_models.RateTree attribute) (financialkit.time_value.NPVProfile attribute) RateTree (class in financialkit.interest_rate_models) ratio (financialkit.asset_pricing.ExcessVolatilityResult property) (financialkit.pde_methods.RichardsonResult attribute) (financialkit.time_series.VarianceRatioResult attribute) rational_price (financialkit.asset_pricing.ExcessVolatilityResult attribute) realized_ic (financialkit.portfolio.ActiveManagementResult attribute) realized_spread() (in module financialkit.market_microstructure) realized_variance() (in module financialkit.exotic_options) (in module financialkit.time_series) receive_leg (financialkit.fixed_income.SwapValuation attribute) recovery_index (financialkit.risk.DrawdownResult attribute) recovery_rate (financialkit.credit.MertonResult attribute) redington_immunize() (in module financialkit.fixed_income) redington_satisfied (financialkit.fixed_income.ImmunizationResult property) regression (financialkit.time_series.UnitRootResult attribute) regression_basis() (in module financialkit.exotic_options) regularize_generator() (in module financialkit.credit) reject() (financialkit.asset_pricing.GRSResult method) (financialkit.risk.BacktestResult method) rejects() (financialkit.time_series.CointegrationResult method) (financialkit.time_series.TestResult method) (financialkit.time_series.UnitRootResult method) RendlemanBartterTree (class in financialkit.options) resampled_frontier() (in module financialkit.portfolio) ResampledFrontierResult (class in financialkit.portfolio) rescaled_range() (in module financialkit.time_series) reservation_price() (in module financialkit.market_microstructure) reset_times (financialkit.interest_rate_models.CapFloorResult attribute) residuals (financialkit.asset_pricing.FactorRegressionResult attribute) (financialkit.fixed_income.CurveFitResult attribute) (financialkit.time_series.ARMAResult attribute) (financialkit.time_series.CointegrationResult attribute) (financialkit.time_series.OLSResult attribute) return_statistics() (in module financialkit.time_series) returns (financialkit.portfolio.FrontierResult attribute) (financialkit.portfolio.OutOfSampleResult attribute) (financialkit.portfolio.ResampledFrontierResult attribute) (financialkit.time_series.VolatilityPath attribute) ReturnStatistics (class in financialkit.time_series) rho (financialkit.options.Greeks attribute) (financialkit.stochastic_volatility.SABRFit attribute) (financialkit.stochastic_volatility.SVIFit attribute) rho_sum (financialkit.risk.CoherenceResult attribute) rho_x (financialkit.risk.CoherenceResult attribute) rho_y (financialkit.risk.CoherenceResult attribute) riccati() (financialkit.interest_rate_models.AffineModel method) richardson_extrapolation() (in module financialkit.pde_methods) RichardsonResult (class in financialkit.pde_methods) risk_free (financialkit.asset_pricing.CAPMEquilibrium attribute) (financialkit.asset_pricing.ConsumptionMoments attribute) (financialkit.asset_pricing.EconomyPath attribute) (financialkit.asset_pricing.MehraPrescott attribute) risk_free_return() (financialkit.asset_pricing.FiniteStateMarket method) risk_neutral_probabilities() (financialkit.asset_pricing.FiniteStateMarket method) risk_parity() (in module financialkit.portfolio) RiskMeasure (class in financialkit.risk) risky_zero_coupon() (in module financialkit.credit) rmse (financialkit.fixed_income.CurveFitResult property) (financialkit.stochastic_volatility.SABRFit attribute) (financialkit.stochastic_volatility.SVIFit attribute) roll_spread() (in module financialkit.market_microstructure) rolling_historical_var() (in module financialkit.risk) rpv01 (financialkit.credit.CDSResult attribute) (financialkit.credit.TrancheResult attribute) rs (financialkit.time_series.HurstResult attribute) rule_of_72() (in module financialkit.time_value) runs_test() (in module financialkit.time_series) S S (financialkit.pde_methods.FDResult attribute) S1 (financialkit.pde_methods.ADIResult attribute) S2 (financialkit.pde_methods.ADIResult attribute) sabr_calibrate() (in module financialkit.stochastic_volatility) sabr_implied_vol() (in module financialkit.stochastic_volatility) SABRFit (class in financialkit.stochastic_volatility) safety_first_portfolio() (in module financialkit.risk) safety_first_ratio() (in module financialkit.risk) sample_covariance() (in module financialkit.portfolio) sample_default_times() (financialkit.credit.SurvivalCurve method) sample_mean() (in module financialkit.monte_carlo) sample_terminal() (financialkit.stochastic_volatility.KouModel method) (financialkit.stochastic_volatility.MertonJumpModel method) (financialkit.stochastic_volatility.VarianceGammaModel method) sample_weights (financialkit.portfolio.ResampledFrontierResult attribute) scaled() (financialkit.fixed_income.CashFlows method) scenario_es_allocation() (in module financialkit.risk) scenarios (financialkit.risk.VaRResult attribute) scheme (financialkit.pde_methods.StabilityResult attribute) (financialkit.stochastic_volatility.HestonPaths attribute) scores (financialkit.fixed_income.CurvePCAResult attribute) sdf (financialkit.asset_pricing.EconomyPath attribute) sdf() (financialkit.asset_pricing.FiniteStateMarket method) sdf_mean (financialkit.asset_pricing.ConsumptionMoments attribute) sdf_means (financialkit.asset_pricing.HJBound attribute) sdf_stds (financialkit.asset_pricing.HJBound attribute) sdf_vol (financialkit.asset_pricing.ConsumptionMoments attribute) select_arma_order() (in module financialkit.time_series) sell_volume (financialkit.market_microstructure.VPINResult attribute) shares (financialkit.risk.AllocationResult property) sharpe (financialkit.portfolio.OutOfSampleResult property) sharpe_ratio (financialkit.asset_pricing.ConsumptionMoments property) sharpe_ratio() (financialkit.portfolio.PortfolioResult method) (in module financialkit.portfolio) sharpe_ratio_se() (in module financialkit.portfolio) shift() (financialkit.interest_rate_models.G2PlusPlusModel method) shifted() (financialkit.fixed_income.YieldCurve method) ShiftedCurve (class in financialkit.fixed_income) short_rates (financialkit.interest_rate_models.HJMResult property) shortfall_probability() (in module financialkit.risk) ShortRateModel (class in financialkit.interest_rate_models) shrinkage (financialkit.portfolio.CovarianceResult attribute) sigma (financialkit.interest_rate_models.RateTree attribute) (financialkit.risk.GEVResult attribute) (financialkit.stochastic_volatility.SVIFit attribute) sigma2 (financialkit.time_series.ARMAResult attribute) (financialkit.time_series.OLSResult attribute) sigma_u (financialkit.market_microstructure.KyleResult attribute) sigma_v (financialkit.market_microstructure.KyleResult attribute) sign_changes() (in module financialkit.time_value) simple_returns() (in module financialkit.time_series) simulate() (financialkit.asset_pricing.ConsumptionEconomy method) (financialkit.asset_pricing.LucasTree method) (financialkit.asset_pricing.MehraPrescott method) (financialkit.interest_rate_models.AffineModel method) (financialkit.interest_rate_models.CIRModel method) (financialkit.interest_rate_models.G2PlusPlusModel method) (financialkit.interest_rate_models.MertonShortRateModel method) (financialkit.interest_rate_models.ShortRateModel method) (financialkit.interest_rate_models.VasicekModel method) (financialkit.time_series.VolatilityModel method) simulate_active_management() (in module financialkit.portfolio) simulate_arma() (in module financialkit.time_series) simulate_cointegrated_pair() (in module financialkit.time_series) simulate_dickey_fuller() (in module financialkit.time_series) simulate_factor_model() (in module financialkit.asset_pricing) simulate_factors() (financialkit.interest_rate_models.AffineModel method) (financialkit.interest_rate_models.G2PlusPlusModel method) simulate_fgn() (in module financialkit.time_series) simulate_garman() (in module financialkit.market_microstructure) simulate_glosten_milgrom() (in module financialkit.market_microstructure) simulate_hjm() (in module financialkit.interest_rate_models) simulate_intraday_returns() (in module financialkit.time_series) simulate_kyle() (in module financialkit.market_microstructure) simulate_market_making() (in module financialkit.market_microstructure) simulate_migrations() (in module financialkit.credit) simulate_ohlc() (in module financialkit.time_series) simulate_one_factor_defaults() (in module financialkit.credit) simulate_pin() (in module financialkit.market_microstructure) simulate_yield_changes() (in module financialkit.fixed_income) single_index_covariance() (in module financialkit.portfolio) sinking_fund_payment() (in module financialkit.time_value) sinking_fund_schedule() (in module financialkit.time_value) SinkingFundSchedule (class in financialkit.time_value) skewness (financialkit.time_series.ReturnStatistics attribute) SmileResult (class in financialkit.options) sml_errors (financialkit.asset_pricing.CAPMEquilibrium property) sobol() (in module financialkit.monte_carlo) sobol_increments() (in module financialkit.integrators) solve_tridiagonal() (in module financialkit.pde_methods) sort_portfolios() (in module financialkit.asset_pricing) sortino_ratio() (in module financialkit.portfolio) SplineDiscountCurve (class in financialkit.fixed_income) spot (financialkit.options.HedgeResult attribute) (financialkit.stochastic_volatility.HestonPaths attribute) spot_grid() (financialkit.pde_methods.ThetaScheme method) spread_from_hazard() (in module financialkit.credit) square_root_impact() (in module financialkit.market_microstructure) stability (financialkit.pde_methods.FDResult attribute) StabilityResult (class in financialkit.pde_methods) stable (financialkit.pde_methods.StabilityResult attribute) (financialkit.pde_methods.VonNeumannResult property) standard_errors (financialkit.integrators.ConvergenceResult attribute) standard_mc_cost (financialkit.monte_carlo.MLMCResult property) standardized_residuals() (financialkit.time_series.VolatilityModel method) star_discrepancy() (in module financialkit.monte_carlo) state_prices() (financialkit.asset_pricing.FiniteStateMarket method) stationary_shape_scale() (financialkit.interest_rate_models.CIRModel method) statistic (financialkit.asset_pricing.GRSResult attribute) (financialkit.risk.BacktestResult attribute) (financialkit.time_series.CointegrationResult attribute) (financialkit.time_series.TestResult attribute) (financialkit.time_series.UnitRootResult attribute) std (financialkit.credit.CreditMetricsResult property) (financialkit.credit.LossDistribution property) (financialkit.time_series.ReturnStatistics attribute) std_error (financialkit.monte_carlo.MonteCarloResult attribute) (financialkit.time_series.TailIndexResult attribute) std_errors (financialkit.asset_pricing.FamaMacBethResult attribute) (financialkit.interest_rate_models.BondMonteCarloResult attribute) (financialkit.time_series.OLSResult attribute) (financialkit.time_series.VolatilityFit attribute) std_price (financialkit.asset_pricing.ExcessVolatilityResult attribute) std_rational (financialkit.asset_pricing.ExcessVolatilityResult attribute) stock (financialkit.market_microstructure.GarmanResult attribute) stratified_estimate() (in module financialkit.monte_carlo) StratifiedResult (class in financialkit.monte_carlo) stratum_means (financialkit.monte_carlo.StratifiedResult attribute) stratum_stds (financialkit.monte_carlo.StratifiedResult attribute) strike (financialkit.interest_rate_models.CapFloorResult attribute) strikes (financialkit.exotic_options.VarianceSwapResult attribute) (financialkit.interest_rate_models.JamshidianResult attribute) (financialkit.options.DensityResult attribute) (financialkit.options.SmileResult attribute) (financialkit.stochastic_volatility.FFTResult attribute) (financialkit.stochastic_volatility.LocalVolSurface attribute) strips_curve() (in module financialkit.fixed_income) strips_decomposition() (in module financialkit.fixed_income) strips_value() (in module financialkit.fixed_income) strong_convergence() (in module financialkit.integrators) stulz_price() (in module financialkit.exotic_options) subadditivity (financialkit.risk.CoherenceResult attribute) surface (financialkit.pde_methods.FDResult attribute) surplus() (financialkit.fixed_income.ImmunizationResult method) survival() (financialkit.credit.SurvivalCurve method) SurvivalCurve (class in financialkit.credit) sustainable_growth() (in module financialkit.asset_pricing) SvenssonCurve (class in financialkit.fixed_income) svi_fit() (in module financialkit.stochastic_volatility) svi_total_variance() (in module financialkit.stochastic_volatility) SVIFit (class in financialkit.stochastic_volatility) swap_annuity() (in module financialkit.fixed_income) swap_rate() (in module financialkit.fixed_income) swaption_schedule() (in module financialkit.interest_rate_models) SwapValuation (class in financialkit.fixed_income) SymmetricQuotes (class in financialkit.market_microstructure) T T (financialkit.exotic_options.VarianceSwapResult attribute) (financialkit.options.SmileResult attribute) (financialkit.stochastic_volatility.SABRFit attribute) (financialkit.stochastic_volatility.SVIFit attribute) t_copula_sample() (in module financialkit.risk) t_tail_dependence() (in module financialkit.risk) t_values (financialkit.asset_pricing.FamaMacBethResult property) (financialkit.time_series.OLSResult attribute) tail_survival() (in module financialkit.time_series) TailIndexResult (class in financialkit.time_series) tangency_portfolio() (in module financialkit.portfolio) target (financialkit.portfolio.CovarianceResult attribute) target_rmse (financialkit.monte_carlo.MLMCResult attribute) tau (financialkit.pde_methods.HeatEquationResult attribute) (financialkit.portfolio.BlackLittermanResult attribute) tavella_randall_grid() (in module financialkit.pde_methods) tenors (financialkit.fixed_income.CurvePCAResult attribute) terminal_prices() (in module financialkit.monte_carlo) TestResult (class in financialkit.time_series) theta (financialkit.options.Greeks attribute) (financialkit.pde_methods.VonNeumannResult attribute) theta_march() (in module financialkit.pde_methods) ThetaScheme (class in financialkit.pde_methods) thomas_solve() (in module financialkit.pde_methods) threshold (financialkit.risk.GPDResult attribute) (financialkit.time_series.TailIndexResult attribute) tick_test() (in module financialkit.market_microstructure) time_series_regression() (in module financialkit.asset_pricing) times (financialkit.credit.TrancheResult attribute) (financialkit.exotic_options.LongstaffSchwartzResult attribute) (financialkit.fixed_income.CashFlows attribute) (financialkit.interest_rate_models.HJMResult attribute) (financialkit.interest_rate_models.RateTree attribute) (financialkit.market_microstructure.ExecutionResult attribute) (financialkit.market_microstructure.GarmanResult attribute) (financialkit.market_microstructure.MarketMakingResult attribute) (financialkit.options.HedgeResult attribute) (financialkit.options.TreeResult attribute) (financialkit.pde_methods.FDResult attribute) (financialkit.portfolio.CPPIResult attribute) (financialkit.stochastic_volatility.HestonPaths attribute) total (financialkit.pde_methods.TrinomialProbabilities property) (financialkit.risk.AllocationResult attribute) total_interest (financialkit.time_value.AmortizationSchedule property) total_variance() (financialkit.stochastic_volatility.SVIFit method) trade_share (financialkit.market_microstructure.TradeImpactResult attribute) trade_signs() (in module financialkit.market_microstructure) TradeImpactResult (class in financialkit.market_microstructure) trades (financialkit.market_microstructure.BertsimasLoResult attribute) (financialkit.market_microstructure.ExecutionResult attribute) (financialkit.market_microstructure.GlostenMilgromResult attribute) TrafficLightResult (class in financialkit.risk) tranche_loss() (in module financialkit.credit) tranche_spread() (in module financialkit.credit) TrancheResult (class in financialkit.credit) transition_from_generator() (in module financialkit.credit) translation_invariance (financialkit.risk.CoherenceResult attribute) TreeResult (class in financialkit.options) tridiagonal_matrix() (in module financialkit.pde_methods) TrinomialProbabilities (class in financialkit.pde_methods) TrinomialTree (class in financialkit.options) trough_index (financialkit.risk.DrawdownResult attribute) true_value (financialkit.market_microstructure.GlostenMilgromResult attribute) truncation_range() (in module financialkit.stochastic_volatility) turnbull_wakeman_price() (in module financialkit.exotic_options) turnover (financialkit.portfolio.OutOfSampleResult property) two_fund_allocation() (in module financialkit.portfolio) U u (financialkit.pde_methods.HeatEquationResult attribute) unconditional_variance (financialkit.time_series.ARCH property) (financialkit.time_series.EGARCH property) (financialkit.time_series.EWMA property) (financialkit.time_series.GARCH property) (financialkit.time_series.GJRGARCH property) (financialkit.time_series.VolatilityModel property) unexpected_loss() (financialkit.credit.LossDistribution method) uniform_grid() (in module financialkit.pde_methods) UnitRootResult (class in financialkit.time_series) upfront_to_spread() (in module financialkit.credit) V V (financialkit.pde_methods.ADIResult attribute) (financialkit.pde_methods.FDResult attribute) V() (financialkit.interest_rate_models.G2PlusPlusModel method) v_high (financialkit.market_microstructure.GlostenMilgromResult attribute) v_low (financialkit.market_microstructure.GlostenMilgromResult attribute) value (financialkit.fixed_income.SwapValuation attribute) ValueAtRisk (class in financialkit.risk) values (financialkit.credit.CreditMetricsResult attribute) (financialkit.pde_methods.RichardsonResult attribute) van_der_corput() (in module financialkit.monte_carlo) vanilla_payoff() (in module financialkit.monte_carlo) vanna (financialkit.options.Greeks attribute) var (financialkit.portfolio.CVaRResult attribute) (financialkit.risk.VaRResult attribute) var_exceptions() (in module financialkit.risk) variance (financialkit.market_microstructure.ExecutionResult attribute) (financialkit.monte_carlo.MonteCarloResult property) (financialkit.stochastic_volatility.HestonPaths attribute) (financialkit.time_series.VolatilityFit attribute) (financialkit.time_series.VolatilityPath attribute) variance() (financialkit.portfolio.FrontierConstants method) (financialkit.time_series.ARCH method) (financialkit.time_series.EGARCH method) (financialkit.time_series.EWMA method) (financialkit.time_series.GARCH method) (financialkit.time_series.GJRGARCH method) (financialkit.time_series.VolatilityModel method) variance_bound() (in module financialkit.asset_pricing) variance_mean() (financialkit.stochastic_volatility.HestonModel method) variance_ratio() (financialkit.monte_carlo.MonteCarloResult method) (in module financialkit.time_series) variance_swap_strike() (in module financialkit.exotic_options) VarianceGammaModel (class in financialkit.stochastic_volatility) VarianceRatioResult (class in financialkit.time_series) VarianceSwapResult (class in financialkit.exotic_options) VaRResult (class in financialkit.risk) vasicek() (financialkit.interest_rate_models.AffineModel class method) vasicek_cdf() (in module financialkit.credit) vasicek_pdf() (in module financialkit.credit) vasicek_quantile() (in module financialkit.credit) VasicekModel (class in financialkit.interest_rate_models) vega (financialkit.monte_carlo.MonteCarloGreeks attribute) (financialkit.options.Greeks attribute) vega_se (financialkit.monte_carlo.MonteCarloGreeks attribute) violated (financialkit.asset_pricing.ExcessVolatilityResult property) vol (financialkit.stochastic_volatility.LocalVolSurface attribute) vol_strike (financialkit.exotic_options.VarianceSwapResult property) volatilities (financialkit.portfolio.FrontierResult attribute) (financialkit.portfolio.ResampledFrontierResult attribute) volatility (financialkit.portfolio.PortfolioResult attribute) (financialkit.time_series.VolatilityPath property) volatility() (financialkit.portfolio.FrontierConstants method) volatility_history (financialkit.credit.KMVResult attribute) VolatilityFit (class in financialkit.time_series) VolatilityModel (class in financialkit.time_series) VolatilityPath (class in financialkit.time_series) volga (financialkit.options.Greeks attribute) vols (financialkit.options.SmileResult attribute) von_neumann_amplification() (in module financialkit.pde_methods) VonNeumannResult (class in financialkit.pde_methods) vpin (financialkit.market_microstructure.VPINResult attribute) vpin() (in module financialkit.market_microstructure) VPINResult (class in financialkit.market_microstructure) W wacc() (in module financialkit.asset_pricing) weak_convergence() (in module financialkit.integrators) wealth (financialkit.portfolio.CPPIResult attribute) (financialkit.risk.DrawdownResult attribute) weighted_tail() (in module financialkit.risk) weights (financialkit.exotic_options.VarianceSwapResult attribute) (financialkit.portfolio.BlackLittermanResult attribute) (financialkit.portfolio.CVaRResult attribute) (financialkit.portfolio.FrontierResult attribute) (financialkit.portfolio.HRPResult attribute) (financialkit.portfolio.OutOfSampleResult attribute) (financialkit.portfolio.PortfolioResult attribute) (financialkit.portfolio.ResampledFrontierResult attribute) (financialkit.risk.VaRResult attribute) window (financialkit.time_series.HurstResult attribute) X x (financialkit.pde_methods.HeatEquationResult attribute) (financialkit.pde_methods.LCPSolution attribute) xi (financialkit.pde_methods.VonNeumannResult attribute) (financialkit.risk.GEVResult attribute) (financialkit.risk.GPDResult attribute) Y year_fraction() (in module financialkit.time_value) yield_ (financialkit.fixed_income.BondRisk attribute) yield_correlation() (financialkit.interest_rate_models.G2PlusPlusModel method) yield_curve_pca() (in module financialkit.fixed_income) yield_discount_derivatives() (in module financialkit.fixed_income) yield_to_maturity() (in module financialkit.fixed_income) YieldCurve (class in financialkit.fixed_income) yields() (financialkit.interest_rate_models.ShortRateModel method) yule_walker() (in module financialkit.time_series) Z z (financialkit.time_series.VarianceRatioResult attribute) z_robust (financialkit.time_series.VarianceRatioResult attribute) z_scores (financialkit.interest_rate_models.BondMonteCarloResult property) zero_beta_capm() (in module financialkit.asset_pricing) zero_beta_rate (financialkit.asset_pricing.ZeroBetaResult attribute) zero_beta_weights (financialkit.asset_pricing.ZeroBetaResult attribute) zero_coupon_bond() (financialkit.interest_rate_models.AffineModel method) (financialkit.interest_rate_models.CIRModel method) (financialkit.interest_rate_models.G2PlusPlusModel method) (financialkit.interest_rate_models.MertonShortRateModel method) (financialkit.interest_rate_models.RateTree method) (financialkit.interest_rate_models.ShortRateModel method) (financialkit.interest_rate_models.VasicekModel method) zero_coupon_bond_option() (in module financialkit.interest_rate_models) zero_coupon_bond_price() (in module financialkit.fixed_income) zero_rate() (financialkit.fixed_income.FlatCurve method) (financialkit.fixed_income.NelsonSiegelCurve method) (financialkit.fixed_income.ShiftedCurve method) (financialkit.fixed_income.SplineDiscountCurve method) (financialkit.fixed_income.SvenssonCurve method) (financialkit.fixed_income.YieldCurve method) (financialkit.fixed_income.ZeroCurve method) (financialkit.interest_rate_models.ModelCurve method) ZeroBetaResult (class in financialkit.asset_pricing) ZeroCurve (class in financialkit.fixed_income) zone (financialkit.risk.TrafficLightResult attribute)
