Index

_

__call__() (tensorquant.markethandles.bootstrapping.ObjectiveFunction method) __rates (tensorquant.markethandles.ircurve.RateCurve attribute) __str__() (tensorquant.markethandles.interestrate.InterestRate method) (tensorquant.markethandles.utils.Currency method) _a (tensorquant.models.hullwhite.HullWhiteProcess attribute) _compounding (tensorquant.markethandles.interestrate.InterestRate attribute) _dates (tensorquant.markethandles.ircurve.RateCurve attribute) _daycounter (tensorquant.markethandles.interestrate.InterestRate attribute) (tensorquant.markethandles.ircurve.RateCurve attribute) _daycounter_convention (tensorquant.markethandles.ircurve.RateCurve attribute)

_frequency (tensorquant.markethandles.interestrate.InterestRate attribute) _jacobian (tensorquant.markethandles.ircurve.RateCurve attribute) _pillar_days (tensorquant.markethandles.ircurve.RateCurve attribute) _pillars (tensorquant.markethandles.ircurve.RateCurve attribute) _process (tensorquant.models.hullwhite.HullWhiteProcess attribute) _r (tensorquant.markethandles.interestrate.InterestRate attribute) _rates (tensorquant.markethandles.ircurve.RateCurve attribute) _reference_date (tensorquant.markethandles.ircurve.RateCurve attribute) _sigma (tensorquant.models.hullwhite.HullWhiteProcess attribute) _term_structure (tensorquant.models.hullwhite.HullWhiteProcess attribute)

A

a (tensorquant.models.hullwhite.HullWhiteProcess property) A_B() (tensorquant.models.hullwhite.HullWhiteProcess method) accrual_days (tensorquant.flows.coupon.Coupon property) accrual_end_date (tensorquant.flows.coupon.Coupon property) accrual_period (tensorquant.flows.coupon.Coupon property) (tensorquant.flows.fixedcoupon.FixedCoupon property) (tensorquant.flows.floatingcoupon.FloatingCoupon property) accrual_start_date (tensorquant.flows.coupon.Coupon property) accrued_amount() (tensorquant.flows.coupon.Coupon method) (tensorquant.flows.fixedcoupon.FixedCoupon method) (tensorquant.flows.floatingcoupon.FloatingCoupon method) accrued_days (tensorquant.flows.coupon.Coupon property) accrued_period (tensorquant.flows.coupon.Coupon property) Actual360 (tensorquant.timehandles.utils.DayCounterConvention attribute) Actual365 (tensorquant.timehandles.utils.DayCounterConvention attribute)

ActualActual (tensorquant.timehandles.utils.DayCounterConvention attribute) add_fixing() (tensorquant.index.index.Index method) adjust() (tensorquant.timehandles.tqcalendar.Calendar method) advance() (tensorquant.timehandles.tqcalendar.Calendar method) alpha() (tensorquant.models.hullwhite.HullWhiteProcess method) American (tensorquant.markethandles.utils.ExerciseType attribute) amount (tensorquant.flows.cashflow.CashFlow property) (tensorquant.flows.fixedcoupon.FixedCoupon property) (tensorquant.flows.floatingcoupon.FloatingCoupon property) amount() (tensorquant.pricers.floatingflow.FloatingCouponDiscounting method) (tensorquant.pricers.floatingflow.OisCouponDiscounting method) Annual (tensorquant.timehandles.utils.Frequency attribute) ArithmeticBrownianMotion (class in tensorquant.models.brownian) AssetOrNothing (tensorquant.markethandles.utils.PayoffType attribute) atm_rate (tensorquant.instruments.capfloor.IrOption property) AUD (tensorquant.markethandles.utils.Currency attribute), [1]

B

Bermudan (tensorquant.markethandles.utils.ExerciseType attribute) Bimonthly (tensorquant.timehandles.utils.Frequency attribute) Biweekly (tensorquant.timehandles.utils.Frequency attribute) bjerksund_stensland_calc() (in module tensorquant.pricers.black) BlackConstantVolatility (class in tensorquant.markethandles.volatilitysurface) blackscholes_calc() (in module tensorquant.pricers.black)

BlackScholesPricer (class in tensorquant.pricers.black) build() (tensorquant.instruments.helpers.DepositGenerator method) (tensorquant.instruments.helpers.FraGenerator method) (tensorquant.instruments.helpers.OisGenerator method) (tensorquant.instruments.helpers.ProductGenerator method) (tensorquant.instruments.helpers.SwapGenerator method) BusinessDayConvention (class in tensorquant.timehandles.utils)

C

CAD (tensorquant.markethandles.utils.Currency attribute), [1] calc_forward() (tensorquant.pricers.floatingflow.FloatingCouponDiscounting method) calculate_price() (tensorquant.pricers.black.BlackScholesPricer method) (tensorquant.pricers.deposit.DepositPricer method) (tensorquant.pricers.fixedflow.FixedCouponDiscounting method) (tensorquant.pricers.fixedflow.FixedLegDiscounting method) (tensorquant.pricers.floatingflow.FloatingCouponDiscounting method) (tensorquant.pricers.floatingflow.FloatingLegDiscounting method) (tensorquant.pricers.floatingflow.OisCouponDiscounting method) (tensorquant.pricers.floatingflow.OisLegDiscounting method) (tensorquant.pricers.fradiscounting.FraPricer method) (tensorquant.pricers.pricer.Pricer method), [1] (tensorquant.pricers.swapdiscounting.OisPricer method) (tensorquant.pricers.swapdiscounting.SwapPricer method) Calendar (class in tensorquant.timehandles.tqcalendar) calendar (tensorquant.instruments.helpers.DepositGenerator attribute) (tensorquant.instruments.helpers.FraGenerator attribute) (tensorquant.instruments.helpers.OisGenerator attribute) (tensorquant.instruments.helpers.SwapGenerator attribute) (tensorquant.markethandles.volatilitysurface.VolatilitySurface property)

Call (tensorquant.markethandles.utils.OptionType attribute) Cap (class in tensorquant.instruments.capfloor) CashFlow (class in tensorquant.flows.cashflow) CashOrNothing (tensorquant.markethandles.utils.PayoffType attribute) ccy (tensorquant.instruments.deposit.Deposit attribute) (tensorquant.instruments.forward.Fra attribute) (tensorquant.instruments.helpers.ProductGenerator attribute) (tensorquant.instruments.product.Product attribute) (tensorquant.instruments.product.Product property) CHF (tensorquant.markethandles.utils.Currency attribute), [1] Collar (class in tensorquant.instruments.capfloor) compound_factor() (tensorquant.markethandles.interestrate.InterestRate method) Compounded (tensorquant.timehandles.utils.CompoundingType attribute) compounding (tensorquant.markethandles.interestrate.InterestRate property) CompoundingType (class in tensorquant.timehandles.utils) Continuous (tensorquant.timehandles.utils.CompoundingType attribute) Coupon (class in tensorquant.flows.coupon) coupon_rates (tensorquant.flows.fixedcoupon.FixedRateLeg property) create() (tensorquant.pricers.factory.PricerAssignment static method) Currency (class in tensorquant.markethandles.utils) CurveBootstrap (class in tensorquant.markethandles.bootstrapping)

D

Daily (tensorquant.timehandles.utils.Frequency attribute) date (tensorquant.flows.cashflow.CashFlow property) (tensorquant.flows.coupon.Coupon property) DateGrid (class in tensorquant.timehandles.grid) dates (tensorquant.markethandles.ircurve.RateCurve property) (tensorquant.timehandles.grid.DateGrid property) day_count() (tensorquant.timehandles.daycounter.DayCounter method) day_count_convention (tensorquant.instruments.deposit.Deposit property) (tensorquant.instruments.forward.Fra attribute) (tensorquant.instruments.forward.Fra property) (tensorquant.instruments.helpers.DepositGenerator attribute) (tensorquant.instruments.helpers.FraGenerator attribute) day_count_convention_fix (tensorquant.instruments.helpers.OisGenerator attribute) (tensorquant.instruments.helpers.SwapGenerator attribute) day_count_convention_flt (tensorquant.instruments.helpers.OisGenerator attribute) (tensorquant.instruments.helpers.SwapGenerator attribute) day_counter (tensorquant.flows.fixedcoupon.FixedCoupon property) (tensorquant.flows.floatingcoupon.FloatingCoupon property) (tensorquant.instruments.deposit.Deposit attribute) (tensorquant.instruments.deposit.Deposit property) (tensorquant.instruments.forward.Fra property) (tensorquant.markethandles.bootstrapping.CurveBootstrap attribute) DayCounter (class in tensorquant.timehandles.daycounter) daycounter (tensorquant.flows.coupon.Coupon property) (tensorquant.index.curverateindex.IborIndex property) (tensorquant.markethandles.interestrate.InterestRate property) (tensorquant.markethandles.ircurve.RateCurve property) (tensorquant.markethandles.volatilitysurface.VolatilitySurface property) (tensorquant.timehandles.grid.DateGrid property)

daycounter_convention (tensorquant.markethandles.ircurve.RateCurve property) (tensorquant.timehandles.grid.DateGrid property) DayCounterConvention (class in tensorquant.timehandles.utils) Days (tensorquant.timehandles.utils.TimeUnit attribute) decode_term() (in module tensorquant.timehandles.utils) DefaultCurve (class in tensorquant.markethandles.ircurve) Deposit (class in tensorquant.instruments.deposit) DepositGenerator (class in tensorquant.instruments.helpers) DepositPricer (class in tensorquant.pricers.deposit) diffusion() (tensorquant.models.brownian.ArithmeticBrownianMotion method) (tensorquant.models.brownian.GeometricBrownianMotion method) (tensorquant.models.hullwhite.HullWhiteProcess method) (tensorquant.models.ornsteinuhlenbeck.OrnsteinUhlenbeckProcess method) (tensorquant.models.stochasticprocess.StochasticProcess method), [1] discount() (tensorquant.markethandles.ircurve.RateCurve method) discount_curve (tensorquant.instruments.ois.Ois property) (tensorquant.instruments.swap.Swap property) discount_factor() (tensorquant.markethandles.interestrate.InterestRate method) display() (tensorquant.flows.fixedcoupon.FixedCoupon method) (tensorquant.flows.floatingcoupon.FloatingCoupon method) display_flows() (tensorquant.flows.fixedcoupon.FixedRateLeg method) (tensorquant.flows.floatingcoupon.FloatingRateLeg method) drift() (tensorquant.models.brownian.ArithmeticBrownianMotion method) (tensorquant.models.brownian.GeometricBrownianMotion method) (tensorquant.models.hullwhite.HullWhiteProcess method) (tensorquant.models.ornsteinuhlenbeck.OrnsteinUhlenbeckProcess method) (tensorquant.models.stochasticprocess.StochasticProcess method), [1]

E

end_date (tensorquant.instruments.deposit.Deposit attribute) (tensorquant.instruments.forward.Fra attribute) (tensorquant.instruments.product.Product attribute) (tensorquant.instruments.product.Product property) end_of_month() (tensorquant.timehandles.tqcalendar.Calendar method) estimation_curve (tensorquant.instruments.ois.Ois property) (tensorquant.instruments.swap.Swap property) EUR (tensorquant.markethandles.utils.Currency attribute), [1] eur_generator_map (tensorquant.markethandles.bootstrapping.CurveBootstrap attribute) European (tensorquant.markethandles.utils.ExerciseType attribute) evaluation_date (tensorquant.markethandles.bootstrapping.CurveBootstrap attribute) (tensorquant.timehandles.utils.Settings attribute)

EveryFourthMonth (tensorquant.timehandles.utils.Frequency attribute) EveryFourthWeek (tensorquant.timehandles.utils.Frequency attribute) evolve() (tensorquant.models.brownian.ArithmeticBrownianMotion method) (tensorquant.models.brownian.GeometricBrownianMotion method) (tensorquant.models.stochasticprocess.StochasticProcess method), [1] exercise_type (tensorquant.instruments.option.Option property) ExerciseType (class in tensorquant.markethandles.utils) expectation() (tensorquant.models.hullwhite.HullWhiteProcess method) (tensorquant.models.ornsteinuhlenbeck.OrnsteinUhlenbeckProcess method) (tensorquant.models.stochasticprocess.StochasticProcess method), [1] extract_value() (in module tensorquant.markethandles.utils)

F

factors (tensorquant.models.stochasticprocess.StochasticProcess property) fixed_leg (tensorquant.instruments.ois.Ois property) (tensorquant.instruments.swap.Swap property) fixed_rate (tensorquant.instruments.forward.Fra property) (tensorquant.instruments.ois.Ois property) (tensorquant.instruments.swap.Swap property) FixedCoupon (class in tensorquant.flows.fixedcoupon) FixedCouponDiscounting (class in tensorquant.pricers.fixedflow) FixedLegDiscounting (class in tensorquant.pricers.fixedflow) FixedRateLeg (class in tensorquant.flows.fixedcoupon) fixing() (tensorquant.index.index.Index method) fixing_calendar (tensorquant.index.index.Index property) (tensorquant.index.inflationindex.InflationIndex attribute) fixing_date (tensorquant.flows.floatingcoupon.FloatingCoupon property) (tensorquant.instruments.forward.Fra property) fixing_date() (tensorquant.index.curverateindex.IborIndex method) (tensorquant.index.curverateindex.OvernightIndex method) (tensorquant.index.inflationindex.InflationIndex method) fixing_days (tensorquant.flows.floatingcoupon.FloatingCoupon property) (tensorquant.index.curverateindex.IborIndex property) (tensorquant.index.curverateindex.OvernightIndex property) (tensorquant.index.inflationindex.InflationIndex attribute) (tensorquant.index.inflationindex.InflationIndex property) (tensorquant.instruments.helpers.FraGenerator attribute) (tensorquant.instruments.helpers.OisGenerator attribute)

fixing_maturity() (tensorquant.index.curverateindex.IborIndex method) (tensorquant.index.curverateindex.OvernightIndex method) (tensorquant.index.inflationindex.InflationIndex method) fixing_time_series (tensorquant.index.index.Index property) FlatCurve (class in tensorquant.markethandles.ircurve) floating_leg (tensorquant.instruments.ois.Ois property) (tensorquant.instruments.swap.Swap property) floating_rate() (tensorquant.pricers.floatingflow.FloatingCouponDiscounting method) (tensorquant.pricers.floatingflow.OisCouponDiscounting method) FloatingCoupon (class in tensorquant.flows.floatingcoupon) FloatingCouponDiscounting (class in tensorquant.pricers.floatingflow) FloatingLegDiscounting (class in tensorquant.pricers.floatingflow) FloatingRateLeg (class in tensorquant.flows.floatingcoupon) Floor (class in tensorquant.instruments.capfloor) Following (tensorquant.timehandles.utils.BusinessDayConvention attribute) forward (tensorquant.instruments.option.Option property) forward_rate() (tensorquant.markethandles.ircurve.RateCurve method) Fra (class in tensorquant.instruments.forward) FraGenerator (class in tensorquant.instruments.helpers) FraPricer (class in tensorquant.pricers.fradiscounting) Frequency (class in tensorquant.timehandles.utils) frequency (tensorquant.index.inflationindex.InflationIndex attribute) (tensorquant.markethandles.interestrate.InterestRate property) from_flat_hazard_rate() (tensorquant.markethandles.ircurve.DefaultCurve class method) from_zcb() (tensorquant.markethandles.ircurve.RateCurve class method)

G

GBP (tensorquant.markethandles.utils.Currency attribute), [1]

generate() (tensorquant.timehandles.schedule.ScheduleGenerator method) GeometricBrownianMotion (class in tensorquant.models.brownian)

H

HalfMonthModifiedFollowing (tensorquant.timehandles.utils.BusinessDayConvention attribute) has_occurred() (tensorquant.flows.cashflow.CashFlow method)

hazard_rates (tensorquant.markethandles.ircurve.DefaultCurve property) HullWhiteProcess (class in tensorquant.models.hullwhite)

I

IborIndex (class in tensorquant.index.curverateindex) implied_rate() (tensorquant.markethandles.interestrate.InterestRate static method) implied_volatility (tensorquant.instruments.capfloor.IrOption property) (tensorquant.instruments.option.Option property) Index (class in tensorquant.index.index) index (tensorquant.flows.floatingcoupon.FloatingCoupon property) (tensorquant.flows.floatingcoupon.FloatingRateLeg property) (tensorquant.instruments.forward.Fra attribute) (tensorquant.instruments.helpers.FraGenerator attribute) (tensorquant.instruments.helpers.OisGenerator attribute) (tensorquant.instruments.helpers.SwapGenerator attribute) index_term (tensorquant.instruments.helpers.FraGenerator attribute) InflationIndex (class in tensorquant.index.inflationindex) initial_values() (tensorquant.models.brownian.ArithmeticBrownianMotion method) (tensorquant.models.brownian.GeometricBrownianMotion method) (tensorquant.models.hullwhite.HullWhiteProcess method) (tensorquant.models.ornsteinuhlenbeck.OrnsteinUhlenbeckProcess method) (tensorquant.models.stochasticprocess.StochasticProcess method), [1]

inst_fwd() (tensorquant.markethandles.ircurve.RateCurve method) InterestRate (class in tensorquant.markethandles.interestrate) interp (tensorquant.markethandles.ircurve.RateCurve attribute) interpolate() (tensorquant.numericalhandles.interpolation.LinearInterp method) interpolation_type (tensorquant.markethandles.ircurve.RateCurve attribute) IrOption (class in tensorquant.instruments.capfloor) is_business_day() (tensorquant.timehandles.targetcalendar.TARGET method) (tensorquant.timehandles.tqcalendar.Calendar method) is_end_of_month() (tensorquant.timehandles.tqcalendar.Calendar method) is_expired (tensorquant.instruments.capfloor.IrOption property) is_holiday() (tensorquant.timehandles.tqcalendar.Calendar method) is_in_arrears (tensorquant.flows.floatingcoupon.FloatingCoupon property) is_valid_fixing_date() (tensorquant.index.index.Index method) is_weekend() (tensorquant.timehandles.tqcalendar.Calendar method)

J

jacobian (tensorquant.markethandles.ircurve.RateCurve property)

JPY (tensorquant.markethandles.utils.Currency attribute), [1]

L

level (tensorquant.models.ornsteinuhlenbeck.OrnsteinUhlenbeckProcess attribute) (tensorquant.models.ornsteinuhlenbeck.OrnsteinUhlenbeckProcess property)

LinearInterp (class in tensorquant.numericalhandles.interpolation) Long (tensorquant.markethandles.utils.Position attribute), [1]

M

marginal_pd() (tensorquant.markethandles.ircurve.DefaultCurve method) market_env (tensorquant.markethandles.bootstrapping.CurveBootstrap attribute) (tensorquant.markethandles.bootstrapping.ObjectiveFunction attribute) maturity (tensorquant.markethandles.volatilitysurface.VolatilitySurface property) maturity_date (tensorquant.instruments.capfloor.IrOption property) ModifiedFollowing (tensorquant.timehandles.utils.BusinessDayConvention attribute) ModifiedPreceding (tensorquant.timehandles.utils.BusinessDayConvention attribute) module tensorquant.flows tensorquant.flows.cashflow tensorquant.flows.coupon tensorquant.flows.fixedcoupon tensorquant.flows.floatingcoupon tensorquant.index tensorquant.index.curverateindex tensorquant.index.index tensorquant.index.inflationindex tensorquant.instruments tensorquant.instruments.capfloor tensorquant.instruments.deposit tensorquant.instruments.forward tensorquant.instruments.helpers tensorquant.instruments.ois tensorquant.instruments.option tensorquant.instruments.product tensorquant.instruments.swap tensorquant.markethandles tensorquant.markethandles.bootstrapping tensorquant.markethandles.interestrate tensorquant.markethandles.ircurve tensorquant.markethandles.utils tensorquant.markethandles.volatilitysurface tensorquant.models.brownian tensorquant.models.hullwhite tensorquant.models.ornsteinuhlenbeck tensorquant.models.stochasticprocess tensorquant.numericalhandles tensorquant.numericalhandles.interpolation tensorquant.numericalhandles.newton tensorquant.pricers.black tensorquant.pricers.deposit tensorquant.pricers.factory tensorquant.pricers.fixedflow tensorquant.pricers.floatingflow tensorquant.pricers.fradiscounting tensorquant.pricers.pricer tensorquant.pricers.swapdiscounting tensorquant.timehandles tensorquant.timehandles.daycounter tensorquant.timehandles.grid tensorquant.timehandles.schedule tensorquant.timehandles.targetcalendar tensorquant.timehandles.tqcalendar tensorquant.timehandles.utils

Monthly (tensorquant.timehandles.utils.Frequency attribute) Months (tensorquant.timehandles.utils.TimeUnit attribute) mr_speed (tensorquant.models.ornsteinuhlenbeck.OrnsteinUhlenbeckProcess attribute) (tensorquant.models.ornsteinuhlenbeck.OrnsteinUhlenbeckProcess property)

N

name (tensorquant.index.index.Index property) (tensorquant.index.inflationindex.InflationIndex attribute) (tensorquant.instruments.helpers.ProductGenerator attribute) (tensorquant.markethandles.ircurve.RateCurve property) Nearest (tensorquant.timehandles.utils.BusinessDayConvention attribute) newton() (in module tensorquant.numericalhandles.newton) newton_1d() (in module tensorquant.numericalhandles.newton) nodes (tensorquant.markethandles.ircurve.RateCurve property)

NoFrequency (tensorquant.timehandles.utils.Frequency attribute) nominal (tensorquant.flows.coupon.Coupon property) notional (tensorquant.instruments.deposit.Deposit attribute) (tensorquant.instruments.deposit.Deposit property) (tensorquant.instruments.forward.Fra attribute) (tensorquant.instruments.forward.Fra property) (tensorquant.instruments.helpers.ProductGenerator attribute) (tensorquant.instruments.ois.Ois property) (tensorquant.instruments.swap.Swap property)

O

ObjectiveFunction (class in tensorquant.markethandles.bootstrapping) observation_lag (tensorquant.index.inflationindex.InflationIndex attribute) observation_lag_period (tensorquant.index.inflationindex.InflationIndex attribute) Ois (class in tensorquant.instruments.ois) OisCouponDiscounting (class in tensorquant.pricers.floatingflow) OisGenerator (class in tensorquant.instruments.helpers) OisLegDiscounting (class in tensorquant.pricers.floatingflow)

OisPricer (class in tensorquant.pricers.swapdiscounting) Once (tensorquant.timehandles.utils.Frequency attribute) Option (class in tensorquant.instruments.option) option_type (tensorquant.instruments.option.Option property) OptionType (class in tensorquant.markethandles.utils) OrnsteinUhlenbeckProcess (class in tensorquant.models.ornsteinuhlenbeck) OtherFrequency (tensorquant.timehandles.utils.Frequency attribute) OvernightIndex (class in tensorquant.index.curverateindex)

P

past_fixing() (tensorquant.index.index.Index method) Payer (tensorquant.markethandles.utils.SwapType attribute), [1] PayoffType (class in tensorquant.markethandles.utils) period_fix (tensorquant.instruments.helpers.OisGenerator attribute) (tensorquant.instruments.helpers.SwapGenerator attribute) period_flt (tensorquant.instruments.helpers.OisGenerator attribute) (tensorquant.instruments.helpers.SwapGenerator attribute) pillar_days (tensorquant.markethandles.ircurve.RateCurve property) pillars (tensorquant.markethandles.ircurve.DefaultCurve property) (tensorquant.markethandles.ircurve.RateCurve property) PlainVanilla (tensorquant.markethandles.utils.PayoffType attribute) Position (class in tensorquant.markethandles.utils)

Preceding (tensorquant.timehandles.utils.BusinessDayConvention attribute) price (tensorquant.flows.fixedcoupon.FixedRateLeg property) (tensorquant.flows.floatingcoupon.FloatingRateLeg property) (tensorquant.instruments.product.Product attribute) (tensorquant.instruments.product.Product property) price() (tensorquant.pricers.pricer.Pricer method), [1] Pricer (class in tensorquant.pricers.pricer) PricerAssignment (class in tensorquant.pricers.factory) pricers (tensorquant.markethandles.bootstrapping.ObjectiveFunction attribute) Product (class in tensorquant.instruments.product) ProductGenerator (class in tensorquant.instruments.helpers) products (tensorquant.markethandles.bootstrapping.ObjectiveFunction attribute) Put (tensorquant.markethandles.utils.OptionType attribute)

Q

Quarterly (tensorquant.timehandles.utils.Frequency attribute)

quote (tensorquant.instruments.forward.Fra attribute)

R

rate (tensorquant.flows.coupon.Coupon property) (tensorquant.flows.fixedcoupon.FixedCoupon property) (tensorquant.flows.floatingcoupon.FloatingCoupon property) (tensorquant.instruments.deposit.Deposit attribute) (tensorquant.instruments.deposit.Deposit property) (tensorquant.markethandles.interestrate.InterestRate property) (tensorquant.markethandles.ircurve.FlatCurve property) rate_curve (tensorquant.markethandles.bootstrapping.ObjectiveFunction attribute) RateCurve (class in tensorquant.markethandles.ircurve) rates (tensorquant.markethandles.ircurve.RateCurve property)

Receiver (tensorquant.markethandles.utils.SwapType attribute), [1] ref_period_end (tensorquant.flows.coupon.Coupon property) ref_period_start (tensorquant.flows.coupon.Coupon property) reference_date (tensorquant.markethandles.ircurve.DefaultCurve property) (tensorquant.markethandles.ircurve.RateCurve property) (tensorquant.markethandles.volatilitysurface.VolatilitySurface property) revised (tensorquant.index.inflationindex.InflationIndex attribute) roll_convention (tensorquant.instruments.helpers.DepositGenerator attribute) (tensorquant.instruments.helpers.FraGenerator attribute) (tensorquant.instruments.helpers.OisGenerator attribute) (tensorquant.instruments.helpers.SwapGenerator attribute)

S

ScheduleGenerator (class in tensorquant.timehandles.schedule) Semiannual (tensorquant.timehandles.utils.Frequency attribute) Settings (class in tensorquant.timehandles.utils) Short (tensorquant.markethandles.utils.Position attribute), [1] side (tensorquant.instruments.forward.Fra property) sigma (tensorquant.models.hullwhite.HullWhiteProcess property) Simple (tensorquant.timehandles.utils.CompoundingType attribute) size() (tensorquant.models.brownian.ArithmeticBrownianMotion method) (tensorquant.models.brownian.GeometricBrownianMotion method) (tensorquant.models.hullwhite.HullWhiteProcess method) (tensorquant.models.ornsteinuhlenbeck.OrnsteinUhlenbeckProcess method) (tensorquant.models.stochasticprocess.StochasticProcess method), [1] start_date (tensorquant.instruments.capfloor.IrOption property) (tensorquant.instruments.deposit.Deposit attribute) (tensorquant.instruments.forward.Fra attribute) (tensorquant.instruments.product.Product attribute) (tensorquant.instruments.product.Product property) start_delay (tensorquant.instruments.helpers.DepositGenerator attribute) (tensorquant.instruments.helpers.FraGenerator attribute) (tensorquant.instruments.helpers.OisGenerator attribute) (tensorquant.instruments.helpers.SwapGenerator attribute)

std_deviation() (tensorquant.models.hullwhite.HullWhiteProcess method) (tensorquant.models.ornsteinuhlenbeck.OrnsteinUhlenbeckProcess method) (tensorquant.models.stochasticprocess.StochasticProcess method), [1] StochasticProcess (class in tensorquant.models.stochasticprocess) strike (tensorquant.instruments.option.Option property) (tensorquant.markethandles.volatilitysurface.VolatilitySurface property) strip() (tensorquant.markethandles.bootstrapping.CurveBootstrap method) survival_prob() (tensorquant.markethandles.ircurve.DefaultCurve method) survival_probs (tensorquant.markethandles.ircurve.DefaultCurve property) Swap (class in tensorquant.instruments.swap) swap_type (tensorquant.instruments.ois.Ois property) (tensorquant.instruments.swap.Swap property) SwapGenerator (class in tensorquant.instruments.helpers) SwapPricer (class in tensorquant.pricers.swapdiscounting) SwapType (class in tensorquant.markethandles.utils)

T

tape (tensorquant.pricers.pricer.Pricer property) TARGET (class in tensorquant.timehandles.targetcalendar) tensorquant.flows module tensorquant.flows.cashflow module tensorquant.flows.coupon module tensorquant.flows.fixedcoupon module tensorquant.flows.floatingcoupon module tensorquant.index module tensorquant.index.curverateindex module tensorquant.index.index module tensorquant.index.inflationindex module tensorquant.instruments module tensorquant.instruments.capfloor module tensorquant.instruments.deposit module tensorquant.instruments.forward module tensorquant.instruments.helpers module tensorquant.instruments.ois module tensorquant.instruments.option module tensorquant.instruments.product module tensorquant.instruments.swap module tensorquant.markethandles module tensorquant.markethandles.bootstrapping module tensorquant.markethandles.interestrate module tensorquant.markethandles.ircurve module tensorquant.markethandles.utils module tensorquant.markethandles.volatilitysurface module

tensorquant.models.brownian module tensorquant.models.hullwhite module tensorquant.models.ornsteinuhlenbeck module tensorquant.models.stochasticprocess module tensorquant.numericalhandles module tensorquant.numericalhandles.interpolation module tensorquant.numericalhandles.newton module tensorquant.pricers.black module tensorquant.pricers.deposit module tensorquant.pricers.factory module tensorquant.pricers.fixedflow module tensorquant.pricers.floatingflow module tensorquant.pricers.fradiscounting module tensorquant.pricers.pricer module tensorquant.pricers.swapdiscounting module tensorquant.timehandles module tensorquant.timehandles.daycounter module tensorquant.timehandles.grid module tensorquant.timehandles.schedule module tensorquant.timehandles.targetcalendar module tensorquant.timehandles.tqcalendar module tensorquant.timehandles.utils module Thirty360 (tensorquant.timehandles.utils.DayCounterConvention attribute) Thirty360E (tensorquant.timehandles.utils.DayCounterConvention attribute) time_series (tensorquant.index.inflationindex.InflationIndex attribute) times (tensorquant.timehandles.grid.DateGrid property) TimeUnit (class in tensorquant.timehandles.utils) trade_date (tensorquant.instruments.deposit.Deposit attribute) (tensorquant.instruments.deposit.Deposit property)

U

Unadjusted (tensorquant.timehandles.utils.BusinessDayConvention attribute)

underlying (tensorquant.instruments.option.Option property) USD (tensorquant.markethandles.utils.Currency attribute), [1]

V

VanillaOption (class in tensorquant.instruments.option) variance() (tensorquant.markethandles.volatilitysurface.VolatilitySurface method) (tensorquant.models.hullwhite.HullWhiteProcess method) (tensorquant.models.ornsteinuhlenbeck.OrnsteinUhlenbeckProcess method) volatility (tensorquant.models.ornsteinuhlenbeck.OrnsteinUhlenbeckProcess attribute) (tensorquant.models.ornsteinuhlenbeck.OrnsteinUhlenbeckProcess property)

volatility() (tensorquant.markethandles.volatilitysurface.BlackConstantVolatility method) (tensorquant.markethandles.volatilitysurface.VolatilitySurface method) volatility_matrix (tensorquant.markethandles.volatilitysurface.VolatilitySurface property) VolatilitySurface (class in tensorquant.markethandles.volatilitysurface)

W

Weekly (tensorquant.timehandles.utils.Frequency attribute)

Weeks (tensorquant.timehandles.utils.TimeUnit attribute)

X

x0 (tensorquant.models.hullwhite.HullWhiteProcess property) (tensorquant.models.ornsteinuhlenbeck.OrnsteinUhlenbeckProcess attribute) (tensorquant.models.ornsteinuhlenbeck.OrnsteinUhlenbeckProcess property)

Y

year_days() (tensorquant.timehandles.daycounter.DayCounter method)

year_fraction() (tensorquant.timehandles.daycounter.DayCounter method) Years (tensorquant.timehandles.utils.TimeUnit attribute)

Z

zero_bond() (tensorquant.models.hullwhite.HullWhiteProcess method)

zero_rate() (tensorquant.markethandles.ircurve.RateCurve method)